-----BEGIN PRIVACY-ENHANCED MESSAGE----- Proc-Type: 2001,MIC-CLEAR Originator-Name: webmaster@www.sec.gov Originator-Key-Asymmetric: MFgwCgYEVQgBAQICAf8DSgAwRwJAW2sNKK9AVtBzYZmr6aGjlWyK3XmZv3dTINen TWSM7vrzLADbmYQaionwg5sDW3P6oaM5D3tdezXMm7z1T+B+twIDAQAB MIC-Info: RSA-MD5,RSA, MCkPJ+QTRrHQ86thRNxLev735e4Mjlbdio8tYn/4wknZ/i5FmBDRo0h46HJ+UIi0 +1x5MRp/TGBISKy392puTw== 0000912057-97-030047.txt : 19970912 0000912057-97-030047.hdr.sgml : 19970912 ACCESSION NUMBER: 0000912057-97-030047 CONFORMED SUBMISSION TYPE: N-30D PUBLIC DOCUMENT COUNT: 1 CONFORMED PERIOD OF REPORT: 19970630 FILED AS OF DATE: 19970905 SROS: NASD FILER: COMPANY DATA: COMPANY CONFORMED NAME: OPPENHEIMER VARIABLE ACCOUNT FUNDS CENTRAL INDEX KEY: 0000752737 STANDARD INDUSTRIAL CLASSIFICATION: UNKNOWN SIC - 0000 [0000] IRS NUMBER: 840974272 STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-30D SEC ACT: SEC FILE NUMBER: 811-04108 FILM NUMBER: 97676026 BUSINESS ADDRESS: STREET 1: 3410 S GALENA ST CITY: DENVER STATE: CO ZIP: 80231 BUSINESS PHONE: 3036713200 MAIL ADDRESS: STREET 2: 3410 S GALENA ST CITY: DENVER STATE: CO ZIP: 80231 FORMER COMPANY: FORMER CONFORMED NAME: OPPENHEIMER VARIABLE LIFE FUNDS DATE OF NAME CHANGE: 19860609 N-30D 1 N-30D OPPENHEIMER VARIABLE ACCOUNT FUNDS SEMIANNUAL REPORT JUNE 30, 1997 [LOGO] OPPENHEIMER MONEY FUND, A SERIES OF OPPENHEIMER VARIABLE ACCOUNT FUNDS OBJECTIVE OPPENHEIMER MONEY FUND, a series of Oppenheimer Variable Account Funds, primarily seeks maximum current income in "money market" securities that offer individual investors low capital risk and the maintenance of liquidity. These securities include short-term U.S. Government securities, certificates of deposit (CDs), bankers' acceptances and commercial paper. NARRATIVE BY DOROTHY WARMACK, FUND MANAGER The job of a money market fund is to provide liquidity, safety of principal and a yield that keeps pace with inflation. During the six months ended June 30, 1997, Oppenheimer Money Fund, a series of Oppenheimer Variable Account Funds, more than achieved those objectives. For the six months ended June 30, 1997, the Oppenheimer Money Fund had a compounded annualized yield of 5.23%. Without compounding, the corresponding yield was 5.10%. The seven-day annualized yields, with and without compounding, for the six months ended June 30, 1997 were 5.30% and 5.17%, respectively.(1) It's important to remember that an investment in the Fund is neither insured nor guaranteed by the U.S. Government, and there is no assurance that the Fund will maintain a stable net asset value of $1.00 per share in the future. Our strategy is to invest in the securities that present minimal credit risk. Through our independent credit analysis, we are able to add value, in the way of additional yield, by identifying and investing in securities that are improving credits. We may invest in securities that receive the second highest rating issued by one credit rating agency, but that security must also have been assigned the highest rating by at least two other ratings agencies. We invested in such a "split-rated" security only if it was, in our opinion, an improving credit and likely to be upgraded.(2) The U.S. economy is in the midst of one of its best periods in decades, with growth in 1997 reaching an annual rate of 4%, up from about 2% in 1995. Unemployment has fallen to its lowest level since the early 1970s. Meanwhile, inflation is dormant, despite the strengthening economy. As a result, interest rates have remained under control. Although 30-year Treasury rates have risen above 7% several times during the past twelve months, yields on short-term securities, such as U.S. Treasury bills and money market securities, have hovered around closer to 5%. In comparison, the annual inflation rate is generally agreed to have been about 2.5%. That means that the difference between money market yields and inflation have been roughly 3 percentage points, twice the normal "spread." Considering their low level of risk and their traditional role as a parking place for cash, money market fund yields are quite attractive. On March 25, 1997, the Federal Reserve Board raised short-term interest rates by 0.25%, its only action during the fiscal period. Many market observers predicted the Fed's attempt to slow down the economy, since the Gross Domestic Product during the first quarter of 1997 was growing at a 5.8% annual rate. Although the March action came as no surprise, the next question was whether the Fed was going to raise interest rates further. If we could be certain that the Fed was about to raise interest rates, we would shorten the portfolio's maturity. By shortening maturities, we could reinvest quickly at higher yields. However, the Fed often behaves unexpectedly. For instance, many investors expected the Fed to raise interest rates another 0.25% at its May 20, 1997 meeting. Instead, the Fed left interest rates unchanged, satisfied that the economy was slowing down. Rather than try to make such predictions, our strategy is to "ladder" the portfolio with some securities maturing in a few days, some maturing in a month, some maturing in two months and so on. With such a broad maturity spectrum, the portfolio is less affected by Fed moves up or down. At the same time, the portfolio is able to enjoy higher income typically available on longer-term money market securities. Thank you for your confidence in the Oppenheimer Variable Account Funds - Oppenheimer Money Fund. We look forward to helping you reach your investment goals in the future. - ---------------------------- 1. Compounded yields assume reinvestment of dividends. An "annualized" yield assumes that the actual six month performance is replicated for a full year. Past performance does not guarantee future results. 2. The Fund's portfolio is subject to change. 1 OPPENHEIMER HIGH INCOME FUND, A SERIES OF OPPENHEIMER VARIABLE ACCOUNT FUNDS OBJECTIVE OPPENHEIMER HIGH INCOME FUND, a series of Oppenheimer Variable Account Funds, seeks a high level of current income. The Fund invests in high-yielding, lower-rated and unrated fixed income securities. NARRATIVE BY DAVID NEGRI, FUND MANAGER The Oppenheimer High Income Fund has not performed as well as we had hoped in 1997. For the six-month period ended June 30, 1997, the Oppenheimer High Income Fund delivered a cumulative total return of 4.73%.(1) During the past six months, the U.S. economy was marked by moderate growth, strong corporate earnings, low inflation and low interest rates. In such an environment, bond yields remained low, which lead us to position the Fund more conservatively over the period. That is, rather than holding higher-yielding U.S. bonds, we instead held shorter duration, lower-yielding bonds, anticipating that interest rates would rise. However, rates did not rise during the period, and the Fund's sluggish performance can be attributed to our maintaining a more cautious posture. As for the small portion of the portfolio which was invested in international holdings, the assets were split between emerging market debt and developed country debt. We chose to limit the number of international holdings because the value of most foreign currencies was overshadowed by a strong U.S. dollar. While the emerging market instruments offered good valuations and a strong income stream, our overall performance was hindered because our position was limited. As for the developed country debt portion, it reported poor returns during the period. The remaining portfolio assets were invested in collateralized mortgage-backed securities (CMBS), which provided solid gains for the Fund during the period. Even though we had limited holdings, it did help improve the Fund's overall performance. "Private label" mortgage products are mortgages secured by real estate collateral, but not guaranteed by the U.S. Government. Over the past six months, we've established a large position in the financial services-related industries, such as banks, insurance companies and other types of lending institutions. We believe this shift will benefit the Fund's overall returns, because ongoing consolidations have helped these companies increase their profitability by improving productivity and efficiency. Another area that has been profitable for the Fund over the past six months is the telecommunications/technology sector. As our holdings in this area reached what we believed were peak values, we reduced our holdings and took profits. On the other hand, several cyclical industries, such as paper and steel, underperformed during the period, and because we were not heavily invested there, the Fund was able to avoid some of the declines associated with these areas. Today, unfortunately, valuation in the high yield and emerging markets don't look any more attractive than they did at the beginning of the year, but we believe yields are beginning to show signs of improvement. As a result, we recently reduced the Fund's emerging markets position, mainly because it appeared over-valued. As we reduced our holdings in emerging markets, we applied the resulting proceeds to investments in the high-yield market. In addition, over the past several months we have begun to slightly increase the duration of the Fund, bringing it from a cautious to a more neutral position. Looking ahead, we will continue to closely monitor the activities of the Federal Reserve, keeping a watchful eye for signs of an increase in short-term interest rates. If the Fed were to raise interest rates in order to stave off inflation, it would lead us to extend our durations and take a more aggressive approach on interest rate risk, a move that would enable us to earn higher yields. Additionally, if the international developed country debt should improve in the near term, we may also slightly increase our allocation there, which would generate higher yields. Together, by extending durations and increasing our international debt holdings, we believe the Fund could benefit from some very attractive returns over the coming year. We appreciate your confidence in Oppenheimer Variable Account Funds - Oppenheimer High Income Fund. We look forward to helping you reach your financial goals in the future. - ---------------------------- 1. Includes changes in net asset value per share without deducting any insurance product charges. Such performance is not annualized and would have been lower if these charges were taken into account. 2 OPPENHEIMER BOND FUND, A SERIES OF OPPENHEIMER VARIABLE ACCOUNT FUNDS OBJECTIVE OPPENHEIMER BOND FUND, a series of Oppenheimer Variable Account Funds, primarily seeks a high level of current income from investing in high yield fixed income securities rated "Baa" or better by Moody's or "BBB" or better according to Standard & Poor's. Secondarily, the Fund seeks capital growth when this is consistent with its primary objective of high current income. NARRATIVE BY DAVID NEGRI, FUND MANAGER The Oppenheimer Bond Fund has not performed as well as we had hoped in 1997. For the six-month period ended June 30, 1997, the Fund delivered a cumulative total return of 2.89%.(1) The main factor affecting the Fund's performance was its international exposure. This year, we've experienced an extended U.S. dollar rally - and a stronger dollar lowers the value of foreign investments. Because a portion of the Fund is international bonds, our performance suffered. In an attempt to manage the affects of the strong dollar, we've increased the percentage of our international position that was hedged. We've also decreased the allocation to international investments slightly in investment grade markets, both developed and emerging. However, we expect to see a number of events that could result in better growth overseas and in local foreign economies, so we continued to maintain many of these holdings. The good news is that the overall credit quality of the Fund is higher, due to a shift to more government assets. The Fund now has approximately 45% in government mortgage-backed assets, which is higher than it was at the end of 1996. Private label mortgages were also increased, which have substantially outperformed the returns of the overall fixed income market. As a result, we are maintaining a large allocation to mortgage-backed securities. (Private label mortgages are mortgages secured by real estate collateral, but are not guaranteed by the U.S. Government.) These securities continue to possess attractive valuations, especially compared to corporate bonds. In addition to being less sensitive to modest changes in interest rates, both private and government-guaranteed mortgages offer the benefit of earning higher yields than U.S. Treasuries. The corporate sector, while turning in excellent performance, remained underweighted because of its deteriorating valuation. We remained underweighted on corporate bonds for several reasons. First, valuations were not extremely attractive, since corporate bonds yielded little over U.S. Treasuries. And second, we view the business cycle as fairly mature - possibly peaking in the next year. This means that corporate earnings may not continue to rise as quickly as they have been, which would slow credit improvement at many companies. Because of these reasons, we have positioned the Fund defensively, with shorter durations,(2) for the past several quarters. Ultimately, we plan to increase the durations in the portfolio once the Federal Reserve has adjusted its policy bias toward higher interest rates. However, because wage costs - the harbinger of inflation - have not risen substantially, even with rising employment, we are not willing to position the Fund more aggressively at this time. We appreciate your confidence in the Oppenheimer Variable Account Funds - Oppenheimer Bond Fund. We look forward to helping you meet your financial goals in the future. - ---------------------------- 1. Includes changes in net asset value per share without deducting any insurance product charges. Such performance is not annualized and would have been lower if these charges were taken into account. 2. Duration is a measure of interest rate sensitivity. 3 OPPENHEIMER CAPITAL APPRECIATION FUND, A SERIES OF OPPENHEIMER VARIABLE ACCOUNT FUNDS OBJECTIVE OPPENHEIMER CAPITAL APPRECIATION FUND, a series of Oppenheimer Variable Account Funds, primarily seeks capital appreciation through investments in the common stocks of "growth-type" companies. In addition, the Fund may selectively invest in some "special situations" that management believes may provide opportunities for growth. NARRATIVE BY PAUL LAROCCO, FUND MANAGER The Oppenheimer Capital Appreciation Fund has not performed as well in 1997 as it did in 1996. For the six-month period ended June 30, 1997, the Oppenheimer Capital Appreciation Fund delivered a cumulative total return of 6.44%.(1) The overwhelming factor in the performance of the Fund for 1997 thus far has been that small growth stocks were out-of-favor. This may have been due to the fear in the market about rising interest rates and uncertainty about where the economy was headed. However, this trend is showing signs of turning around: From April 25 through May 5, the Capital Appreciation Fund rebounded almost 13%. In general, when the market resurged throughout the end of May and early June, small-cap stocks bounced back even more than large-caps. In fact, according to the Russell 2000, small-cap stocks rose 11% in May, a jump which represents their strongest month in the last 10 years. Time will tell whether this resurgence represents the beginning of a bona-fide small-cap rally.(2) The fund's strategy continues to be fairly aggressive. We're focusing on small- and mid-cap companies that have demonstrated rapid sales and earnings growth. It's our belief that these fast-growing companies are undervalued - and it's only a matter of time before they gain favor in the broader market. For example, we hold the stock of a number of companies in the business services area - in particular, information technology services. We're also very interested in telemarketing services - an industry that has been growing at a rate of 30%. These services help companies get closer to their customers and provide a higher level of personalized services. Our outlook for the Fund is very optimistic. That's because reported earnings have been in line with, or surpassed, expectations for a very high percentage of the companies we hold in the portfolio. Eventually, we believe these strong earnings can win out and will be reflected in better stock price performance. Our biggest challenge is to make sure that the projected earnings of the Fund's holdings will continue to come through. We appreciate your confidence in Oppenheimer Variable Account Funds - Oppenheimer Capital Appreciation Fund. We look forward to helping you reach your financial goals in the future. - ---------------------------- 1. Includes changes in net asset value per share without deducting any insurance product charges. Such performance is not annualized and would have been lower if these charges were taken into account. 2. The Russell 2000 is an unmanaged index of small capitalization U.S. issuers, and cannot be purchased directly by investors. It is not an indication of past or future Fund performance. 4 OPPENHEIMER GROWTH FUND, A SERIES OF OPPENHEIMER VARIABLE ACCOUNT FUNDS OBJECTIVE OPPENHEIMER GROWTH FUND, a series of Oppenheimer Variable Account Funds, primarily seeks capital appreciation from investments in securities of well-known and established companies. Current income is a secondary consideration. The Fund's present focus is in securities of mid- or large-cap companies with a history of earnings and dividend growth. NARRATIVE BY JANE PUTNAM, FUND MANAGER The Oppenheimer Growth Fund performed reasonably well over the past six months. The Fund provided a cumulative total return of 14.81% for the six-month period ended 6/30/97.(1) Although performance was in line with the Fund's peer group, our returns lagged the broader market as we underperformed the Dow and the S&P. In general, many of the Fund's stock selections performed better than average, but high levels of cash resulting from profit taking during this period undermined overall Fund performance. Significant volatility in the stock market presented both opportunities and challenges. March's almost-10% downturn created many buying opportunities, especially in technology stocks, but the rapid rebound caused prices of many stocks to rise above what we judged to be reasonable levels. During this period, the market favored "secure growth" over "high growth". By that, we mean that the prices of many steady, but only moderately growing, stocks had reached what we considered to be near full valuations. Simultaneously, for the first time in years, many "higher octane" stocks - those expected to deliver accelerated earnings growth - were trading at reasonable prices considering their growth rates. Therefore, we took the opportunity to trim some of the Fund's higher-priced, slow growth holdings, and in their place we added cheaper holdings which we believed would have faster growth. In what was a relatively active period for the Fund, weightings in several sectors shifted. We cut back our positions in basic materials and utilities, and, although we added to some energy names, our overall exposure to energy stocks was reduced.(2) Throughout this period, technology stocks experienced broad sell activity and, as a result, we were able to purchase some of the highest growth names at very good prices. By the end of June, technology stocks had grown to represent about a quarter of the Fund's holdings, up from less than 17% at the beginning of the year. We expect to see sustained strength in the technology area as corporations worldwide become increasingly more dependent on technological advances to fuel increased productivity. Financial sector stocks, after a rocky ride in March, re-emerged strongly to finish out the period. They comprise about 15% of the Fund's portfolio. We have been buying stocks of financial services firms with high growth potential - in areas such as asset management and mutual funds, insurance, consumer lending and other specialties - that are gaining at the expense of banks. We've significantly added to our holdings of a consumer lending concern, and have been aggressively purchasing a specialty insurer that has performed exceptionally well because they added several successful acquisitions to the company's core business. We are also somewhat overweighted in consumer cyclicals, which includes faster-growing specialty retailers, entertainment companies and consumer products companies. Going forward, we intend to continue our pursuit of growth at the right price - finding attractively-priced stocks of companies that are delivering high-quality, high-volume earnings growth. We will continue to focus on large- and mid-cap stocks, and carefully scrutinize earnings and track records before buying any stock. We hope to reduce the Fund's cash level, although we want to maintain a reserve that will allow us to be aggressive during the market dips we anticipate in coming periods. As always, we appreciate the trust you have placed in us. We look forward to helping you meet your investment goals with the Oppenheimer Variable Account Funds - Oppenheimer Growth Fund. - ---------------------------- 1. Includes changes in net asset value per share without deducting any insurance product charges. Such performance is not annualized and would have been lower if these charges were taken into account. 2. The Fund's portfolio is subject to change. 5 OPPENHEIMER MULTIPLE STRATEGIES FUND, A SERIES OF OPPENHEIMER VARIABLE ACCOUNT FUNDS OBJECTIVE OPPENHEIMER MULTIPLE STRATEGIES FUND, a series of Oppenheimer Variable Account Funds, seeks a total investment return (including current income and capital appreciation in the value of its shares) from investments in common stocks and other equity securities, bonds and other debt securities, and "money market" securities. The current allocation of the Fund's portfolio aims to take advantage of current economic conditions while managing risk. NARRATIVE BY RICHARD RUBENSTEIN, FUND MANAGER The Oppenheimer Multiple Strategies Fund delivered a cumulative return of 9.15% for the six-month period ended June 30, 1997.(1) What makes this Fund different from most funds is that we believe strongly in broad diversification - both by economic sector and by style. This composition aims for "a portfolio for all seasons" that is designed to seek above-average returns while taking on less risk, regardless of the market environment. During the past six months, the Fund's fixed-income holdings performed well, largely due to the success of our strategic income approach of diversification. While we picked up income yield around the world to date, with spreads declining, U.S. bonds became more attractive. The U.S. stock market experienced an unusual first half of 1997, which is reflected in the Fund's equity returns. For example, the stock market started the year strong, then declined in March. However, it bounced back a month later and continued to gain strength through June. For five years in a row, technology, healthcare and financial stocks have led the market, three areas in which the Fund is overweighted. However, during the March decline, many of our technology holdings weakened. We took this opportunity to add to our technology position and overall, the Fund's best performance came from the recovery of these stocks at the end of April and May. In particular, our holdings in IBM and Intel added to the Fund's positive performance, due to strong earnings reports that raised their stock value. One of our healthcare holdings benefited from its strong emphasis on technology, by pioneering non-invasive knee surgery that has now led to further applications for the heart and head.(2) Another beneficiary of technology - through improved profits - is the financial services industry. Several of our bank holdings reported positive results as technology allows banks to improve productivity and efficiency. "Applied technology" has improved profits as well in the energy business, particularly in oil exploration, where new prospecting and well-drilling techniques make it easier and cheaper to find and produce oil. Internationally, the portfolio's performance has lagged the U.S. due to the strong dollar. We've recently added some of Japan's strongest exporters in industries such as technology, games and entertainment, and bicycle equipment. Even with Japan's disappointing stock market, these stocks have performed well. Right now, we're trying to get the best value we can in every market. We've sold some of our large-cap holdings because we believe current valuations are too high in comparison to their growth rates. Our conservative positioning should allow us to participate in this new era of valuations, while maintaining low risk. We appreciate your confidence in Oppenheimer Variable Account Funds - Oppenheimer Multiple Strategies Fund. We look forward to helping you reach your financial goals in the future. - ---------------------------- 1. Includes changes in net asset value per share without deducting any insurance product charges. Such performance is not annualized and would have been lower if these charges were taken into account. 2. As of June 30, 1997, Intel was the Fund's largest stock holding (1.6% of net assets), IBM was the Fund's 4th largest stock holding (0.6% of net assets). The Fund's portfolio is subject to change. 6 OPPENHEIMER GLOBAL SECURITIES FUND, A SERIES OF OPPENHEIMER VARIABLE ACCOUNT FUNDS OBJECTIVE OPPENHEIMER GLOBAL SECURITIES FUND, a series of Oppenheimer Variable Account Funds, seeks capital growth by investing in a diversified portfolio of foreign and domestic stocks. NARRATIVE BY WILLIAM WILBY, FUND MANAGER The Oppenheimer Global Securities Fund provided a total rate of return of 16.12% for the six-month period ended June 30, 1997.(1) This return includes changes in share price and income distributions reinvested. The Fund's total rate of return compares favorably with its benchmark, Morgan Stanley's EAFE Index, an unmanaged index of international stocks, which provided a 11.21% total return.(2) Most international stock markets have done quite well, led by the emerging markets in Russia and Latin America. Of course, the U.S. stock market has continued to rise overall, despite the nearly 10% correction in March and April. We think that the U.S. market's rise is the result of a supply-driven expansion coexisting with a low-inflation environment, contrary to the view of most economists, who expect growth to produce inflation. We've also seen positive market developments in Europe. Many European countries are emerging from recession, and earnings growth is quite robust. In addition, many of the area's companies have begun to restructure their operations, much as U.S. companies have already done, which is an additional positive for future earnings growth. Finally, the emerging markets of Latin America continue to prosper in an environment of deregulation and robust economic growth as they make the transition from over-regulated, socialist economic systems to free market economies.(3) On the other hand, the Asian markets, including Japan, have not done well during the first half of 1997. The combination of a weak yen relative to other major currencies plus a deflationary economic environment has severely constrained Japan's stock market. The smaller Asian markets also have not done well, most notably in Thailand where a banking crisis is looming. In our view, Hong Kong is the only Asian market that has performed well. However, we are concerned that it has risen too far, too fast, and that the risks there outweigh the opportunities. We have also participated very selectively in emerging markets in Eastern Europe, including Russia. While these countries continue to experience severe economic problems, the direction of change is positive, and investors have begun to recognize the growth potential there. A couple of stocks have been very positive contributors to the Fund's performance. Porsche, the German automobile company, has done exceptionally well, as has Japan's Nintendo, a leisure and entertainment company, and our top stock holding. On the other hand, our position in French banks has been somewhat disappointing as these stocks have recently fallen on the back of fears in the wake of recent elections. However, we've used that weakness as an opportunity to acquire more shares because we believe that French banks will benefit greatly from higher profit margins and lower real estate write-offs. In addition, we have been hurt by declines in U.S. networking stocks, which we have also added to on weakness. Overall, however, we're pleased that the successes have far outnumbered the disappointments. We evaluate opportunities on a company-by-company basis rather than attempting to identify broad markets, industries or economies for investment. We like to say that we aim to buy good companies in good businesses at good prices - and at the right time. We particularly like businesses that enjoy strong demand for their products and that participate in markets with substantial barriers against potential competitors. We've identified eight long-term global investment themes that lead us to such companies. These themes include capital market development, corporate restructuring, efficiency-enhancing technologies and services, emerging consumer markets, health care and biotechnology, infrastructure spending, natural resources, and telecommunications and media. Within each theme, we look for areas of high potential growth and market demand. We then conduct exhaustive fundamental analysis of the companies that fit these broad criteria. Most important, we personally visit with the management teams of the companies we consider. Once we've narrowed down the list to those companies that we like from a growth standpoint, we use a variety of measures to determine which are selling at attractive prices and which are fairly valued or overpriced. Finally, we attempt to time our purchases to coincide with a positive catalyst within the company or its market, such as a change in management or economic event. 7 We are optimistic about the future of most, but not all, international markets. In the United States, while we are concerned with the duration and magnitude of the stock market's advance, we think a moderately expanding economy and low inflation should continue to support corporate profit growth and higher stock prices. In Europe, low interest rates, low inflation and corporate restructuring are expected to provide an outstanding environment for the stock markets. Asia should continue to experience economic difficulties, but, as mentioned earlier, further stock market declines may represent the bottom of the cycle and provide attractive investment opportunities. In the emerging markets, we continue to favor Latin America over Asia as more investors "discover" these markets and their growth potential. We appreciate your confidence in Oppenheimer Variable Account Funds - Oppenheimer Global Securities Fund. We look forward to helping you reach your financial goals in the future. - ---------------------------- 1. Includes changes in net asset value per share without deducting any insurance product charges. Such performance is not annualized and would have been lower if these charges were taken into account. 2. The Morgan Stanley Capital International EAFE Index is a broad-based, unmanaged index of foreign and domestic stocks including reinvestment of net dividends, cannot be purchased by investors, and does not reflect any insurance company separate account charges. Past performance does not guarantee future results. 3. As of June 30, 1997, Nintendo was the Fund's largest stock holding (2.8% of net assets), Porsche AG was the Fund's 7th largest stock holding (1.5% of net assets). The Fund's portfolio is subject to change. 8 OPPENHEIMER STRATEGIC BOND FUND, A SERIES OF OPPENHEIMER VARIABLE ACCOUNT FUNDS OBJECTIVE OPPENHEIMER STRATEGIC BOND FUND, a series of Oppenheimer Variable Account Funds, seeks a high level of current income from debt securities. The Fund primarily invests in three sectors: foreign fixed income securities, lower-rated high-yield domestic corporate bonds and U.S. government securities. NARRATIVE BY DAVID NEGRI, FUND MANAGER Relatively speaking, the Oppenheimer Strategic Bond Fund has had lower than expected performance in 1997. For the six-month period ended June 30, 1997, the Oppenheimer Strategic Bond Fund delivered a cumulative total return of 3.96%.(1) The Fund's relative performance was reduced by our broad conservative posture. Relative to our peers, we had less exposure to the biggest risk factors in a bond fund: interest rates and credit risk. On the other hand, we had more exposure to international markets, relative to our peers. This heavy international exposure worked both for and against us during the past six months. Our holdings in emerging markets were beneficial to the Fund's overall performance, fueled mostly by the U.S. bond rally. But our developed markets investments hindered the Fund's performance, because of the extended dollar rally this year - a stronger dollar hurts foreign investments in developed markets that are more closely tied to the U.S. stock market. It's important to keep in mind that while foreign investments offer attractive opportunities, they are subject to greater expenses and risks than U.S. investments, such as adverse currency fluctuations. The good news is that high-yield market and emerging market indices hit new highs in the first half of 1997.(2) However, the Fund didn't gain the full benefit of this performance because we maintained defensive high-yield and emerging market securities in the Fund's portfolio. While we may have given up some returns during the period, we still feel we're making the best long-term risk/reward decisions because we believe high-yield and emerging markets are fully valued. The goal of the portfolio continues to be earning high income by investing in loosely correlated sectors. That's because different types of bonds have different types of risks and they react to the market in opposing ways if held together in a mutual fund at the same time - which makes for a more stable portfolio. To that end, the Fund's allocation hasn't changed very much over the past six months. What we have changed is to increase the duration of our holdings in a way that would move the Fund's posture away from being very defensive and move it more toward a neutral-to-slightly defensive position. For example, we've increased the risk and interest-rate dimension of the Fund by adding to the government component. Conversely, we've decreased credit risk on average in the high-yield corporate sector. As far as longer duration dollar-based assets are concerned - primarily Brady bonds - we've shifted heavily into short-duration local currency instruments, which offer attractive valuations. In many cases, these bonds are the foreign equivalents of three-month to one-year U.S. Treasury bills. We're expecting that interest rates in the U.S. will rise eventually - and that the dollar's strength will continue. So we'll remain positioned relatively defensive in the high-yield and international sectors to protect the portfolio's assets in the event of an interest rate increase. We appreciate your confidence in Oppenheimer Variable Account Funds - Oppenheimer Strategic Bond Fund. We look forward to helping you reach your financial goals in the future. - ---------------------------- 1. Includes changes in net asset value per share without deducting any insurance product charges. Such performance is not annualized and would have been lower if these charges were taken into account. 2. The Fund may invest in below-investment-grade securities which carry a greater risk that the issuer may default on principal or interest payments. The Fund's portfolio is subject to change. 9 OPPENHEIMER GROWTH & INCOME FUND, A SERIES OF OPPENHEIMER VARIABLE ACCOUNT FUNDS OBJECTIVE OPPENHEIMER GROWTH & INCOME FUND, a series of Oppenheimer Variable Account Funds, seeks high total return, which includes growth in the value of its shares as well as current income from equity and debt securities. NARRATIVE BY ROBERT MILNAMOW AND MIKE LEVINE, FUND MANAGERS The Oppenheimer Growth & Income Fund performed well during the period. For the six-month period ended June 30, 1997, cumulative total return for the Fund was 13.87%.(1) The positive performance of the Fund has come from holdings in a variety of sectors, including insurance and technology companies. The Fund benefited from improving fundamentals in the insurance area, with two holdings in particular reporting strong gains. The first benefited from a strong management team, positive fundamentals in the financial services sector, and some positive trends in the insurance industry. The other reported solid results during the first half of the year because of improved underwriting procedures and reduced risk exposure to natural disasters. In general, the technology sector has been volatile, but our holdings have performed pretty well. One of our top holdings, IBM, has been extremely successful at reducing its cost structure and accelerating the growth of its new products and services. Additionally, IBM has been aggressively repurchasing its own stock. We believe that it was an inexpensive stock.(2) On the other hand, the Fund was adversely impacted by its underweighting in certain large capitalization stocks. A large percentage of the positive equity market performance this year has been generated by large blue-chip stocks. Because we believe that many of these stocks are presently overvalued, we have been intentionally underweighted in this area, and as a result, missed out on some gains. For the second half of 1997, we believe we will continue to see volatility as various groups and sectors rotate in-and out-of-favor. However, we view the stock market volatility as a "plus" because it has given us the opportunity to build some fairly large positions in areas that we do find promising, such as financial and retail companies. Despite the uncertainty in the market ahead, the Fund maintains an aggressive and opportunistic investment posture. And while we don't anticipate any major sector changes, and still plan to limit our equity exposure to selected large capitalization stocks, we will continue to seek and identify the most attractive values. At the same time, we'll continue to reduce exposure to areas with poor fundamentals or stocks which have reached fair valuation levels. The lesson to be learned from the market swings of the first half of 1997 is that investor perceptions change rapidly - even if the market doesn't change that much. We've found that it doesn't pay to overreact to market fluctuations ... on either the downside or the upside. So we'll be taking market events in stride and remain true to the Fund's strategy for the remainder of 1997. We appreciate your confidence in Oppenheimer Variable Account Funds - Oppenheimer Growth & Income Fund. We look forward to helping you reach your financial goals in the future. - ---------------------------- 1. Includes changes in net asset value per share without deducting any insurance product charges. Such performance is not annualized and would have been lower if these charges were taken into account. 2. As of June 30, 1997, IBM was the Fund's 15th largest stock holding (1.3% of net assets). The Fund's portfolio is subject to change. 10 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER MONEY FUND STATEMENT OF INVESTMENTS JUNE 30, 1997 (UNAUDITED)
PRINCIPAL VALUE AMOUNT NOTE 1 - ------------------------------------------------------------- DIRECT BANK OBLIGATIONS - 10.5% - ------------------------------------------------------------- Abbey National North America Corp., 5.39%, 7/11/97 $3,000,000 $ 2,995,509 - ------------------------------------------------------------- ABN Amro North America Finance, Inc., 5.38%, 7/24/97 1,000,000 996,563 - ------------------------------------------------------------- Bankers Trust Co., New York, 5.71%, 4/15/98(1) 3,000,000 3,000,000 - ------------------------------------------------------------- CoreStates Capital Corp., 5.608%, 12/18/97(1) 2,000,000 1,999,471 - ------------------------------------------------------------- National Westminster Bank of Canada, 5.371%, 7/8/97 5,000,000 4,994,778 ------------ Total Direct Bank Obligations 13,986,321 - ------------------------------------------------------------- LETTERS OF CREDIT - 9.5% - ------------------------------------------------------------- Barclays Bank PLC, guaranteeing commercial paper of: Banco Nacionale de Mexico SA-Series B, 5.63%, 7/1/97 3,700,000 3,700,000 - ------------------------------------------------------------- Credit Suisse, guaranteeing commercial paper of: CEMEX, S.A. de C.V.-Series B, 5.61%, 8/22/97 3,000,000 2,975,690 - ------------------------------------------------------------- Societe Generale, guaranteeing commercial paper of: Banco Nacionale de Comercio Exterior SNC-Series A, 5.61%, 12/2/97 3,000,000 2,928,005 Nacional Financiera SNC-Series A, 5.75%, 8/18/97 3,000,000 2,977,000 ------------ Total Letters of Credit 12,580,695 - ------------------------------------------------------------- SHORT-TERM NOTES - 74.6% - ------------------------------------------------------------- BANK HOLDING COMPANIES - 2.2% Bankers Trust New York Corp., 5.39%, 7/9/97 3,000,000 2,996,407 - ------------------------------------------------------------- BROKER/DEALERS - 22.2% Bear Stearns Cos., Inc., 5.888%, 3/23/98(1) 5,000,000 5,007,511 - ------------------------------------------------------------- Dean Witter, Discover & Co., 5.888%, 9/29/97(1) 2,500,000 2,501,402 - ------------------------------------------------------------- Goldman Sachs Group, L.P., Promissory Nts., 5.844%, 10/10/97(2) 3,000,000 3,000,000 - ------------------------------------------------------------- Lehman Brothers Holdings, Inc., 5.65%, 7/7/97 5,000,000 4,995,292 - ------------------------------------------------------------- Merrill Lynch & Co., Inc.: 5.40%, 7/11/97 2,000,000 1,997,000 5.70%, 8/12/97 2,000,000 1,986,700 - ------------------------------------------------------------- Morgan Stanley, Dean Witter, Discover & Co., 5.50%, 3/24/98 5,000,000 5,000,000 - ------------------------------------------------------------- Republic New York Securities Corp., 6.50%, 4/24/98(1) 5,000,000 5,000,000 ------------ 29,487,905 - ------------------------------------------------------------- COMMERCIAL FINANCE - 7.4% CIT Group Holdings, Inc., 5.764%, 3/11/98(1) 1,000,000 1,000,000 - ------------------------------------------------------------- FINOVA Capital Corp., 5.61%, 10/30/97 3,000,000 2,943,432 - ------------------------------------------------------------- Heller Financial, Inc.: 5.71%, 10/10/97(1) 2,000,000 1,999,889 5.75%, 12/15/97 2,000,000 1,946,653 5.75%, 9/4/97 2,000,000 1,979,236 ------------ 9,869,210 - ------------------------------------------------------------- CONSUMER FINANCE - 3.7% Sears Roebuck Acceptance Corp., 6.20%, 7/1/97 4,865,000 4,865,000
11 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER MONEY FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
PRINCIPAL VALUE AMOUNT NOTE 1 - ------------------------------------------------------------- DIVERSIFIED FINANCIAL - 5.3% Ford Motor Credit Corp., 5.57%, 11/20/97 $2,500,000 $ 2,445,074 - ------------------------------------------------------------- General Motors Acceptance Corp.: 5.63%, 11/10/97 3,000,000 2,938,070 5.63%, 12/8/97 1,660,000 1,618,463 ------------ 7,001,607 - ------------------------------------------------------------- ELECTRONICS - 1.5% Mitsubishi Electric Finance America, Inc., 5.65%, 8/27/97(3) 2,000,000 1,982,108 - ------------------------------------------------------------- HEALTHCARE/SUPPLIES & SERVICES - 2.2% American Home Products Corp., 5.63%, 9/3/97(3) 3,000,000 2,969,973 - ------------------------------------------------------------- INDUSTRIAL SERVICES - 4.5% PHH Corp.: 5.658%, 1/27/98(1) 1,000,000 999,886 5.698%, 1/15/98(1) 5,000,000 4,999,736 ------------ 5,999,622 - ------------------------------------------------------------- INSURANCE - 3.8% Pacific Mutual Life Insurance Co., 5.756%, 7/21/97(1)(2) 5,000,000 5,000,000 - ------------------------------------------------------------- OIL-INTEGRATED - 3.8% Repsol International Finance BV, 5.38%, 7/10/97 5,000,000 4,993,275 - ------------------------------------------------------------- SPECIAL PURPOSE FINANCIAL - 15.8% Beta Finance, Inc.: 5.61%, 9/5/97(3) 2,555,000 2,528,722 5.65%, 9/15/97(3) 4,000,000 3,952,289 - ------------------------------------------------------------- Enterprise Funding Corp., 5.65%, 12/15/97(3) 5,000,000 4,868,951 - ------------------------------------------------------------- Preferred Receivables Funding Corp., 5.62%, 8/25/97 5,800,000 5,750,201 - ------------------------------------------------------------- RACERS Series 1996-MM-12-3, 5.687%, 12/15/97(1)(2) 2,000,000 2,000,000 - ------------------------------------------------------------- Sigma Finance, Inc., 5.60%, 12/4/97(3) 2,000,000 1,951,467 ------------ 21,051,630 - ------------------------------------------------------------- SPECIALTY RETAILING - 2.2% St. Michael Finance Ltd., 5.61%, 9/11/97 3,000,000 2,966,340 ------------ Total Short-Term Notes 99,183,077 - ------------------------------------------------------------- U.S. GOVERNMENT OBLIGATIONS - 3.7% - ------------------------------------------------------------- Federal Home Loan Bank, 5.67%, 8/1/97(1) 5,000,000 4,999,625 - ------------------------------------------------------------- FOREIGN GOVERNMENT OBLIGATIONS - 1.5% - ------------------------------------------------------------- Bayerische Landesbank Girozentrale, 5.80%, 7/29/97(1) 2,000,000 2,000,000 - ------------------------------------------------------------- TOTAL INVESTMENTS, AT VALUE 99.8% 132,749,718 - ------------------------------------------------------------- OTHER ASSETS NET OF LIABILITIES 0.2 223,217 ---------- ------------ NET ASSETS 100.0% $132,972,935 ---------- ------------ ---------- ------------
12 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER MONEY FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED) Short-term notes, direct bank obligations and letters of credit are generally traded on a discount basis; the interest rate is the discount rate received by the Fund at the time of purchase. Other securities normally bear interest at the rates shown. 1. Floating or variable rate obligation. The interest rate, which is based on specific, or an index of, market interest rates, is subject to change periodically and is the effective rate on June 30, 1997. This instrument may also have a demand feature which allows the recovery of principal at any time, or at specified intervals not exceeding one year, on up to 30 days' notice. Maturity date shown represents effective maturity based on variable rate and, if applicable, demand feature. 2. Restricted securities which are considered illiquid, by virtue of the absence of a readily available market or because of legal or contractual restrictions on resale, amount to $7,000,000, or 5.26% of the Fund's net assets. The Fund may not invest more than 10% of its net assets (determined at the time of purchase) in illiquid securities. 3. Security issued in an exempt transaction without registration under the Securities Act of 1933 (the Act). The securities are carried at amortized cost, and amount to $18,253,510, or 13.73% of the Fund's net assets. See accompanying Notes to Financial Statements. 13 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER HIGH INCOME FUND STATEMENT OF INVESTMENTS JUNE 30, 1997 (UNAUDITED)
PRINCIPAL MARKET VALUE AMOUNT(1) NOTE 1 - ---------------------------------------------------------------------- MORTGAGE-BACKED OBLIGATIONS - 5.5% - ---------------------------------------------------------------------- Asset Securitization Corp., Commercial Mtg. Pass-Through Certificates: Series 1997-D4, Cl. B1, 7.525%, 4/14/29(2) $ 167,000 $ 156,589 Series 1997-D4, Cl. B2, 7.525%, 4/14/29(2) 167,000 152,701 Series 1997-D4, Cl. B3, 7.525%, 4/14/29(2) 166,000 147,403 - ---------------------------------------------------------------------- CBA Mortgage Corp., Mtg. Pass-Through Certificates, Series 1993-C1, Cl. F, 7.76%, 12/25/03(2)(3) 700,000 554,093 - ---------------------------------------------------------------------- CS First Boston Mortgage Securities Corp., Mtg. Pass-Through Certificates: Series 1997-C1, Cl. E, 7.50%, 6/20/29 506,000 503,707 Series 1997-C1, Cl. F, 7.50%, 6/20/29 300,000 278,391 Series 1997-C1, Cl. G, 7.50%, 6/20/29 500,000 445,547 Series 1997-C1, Cl. H, 7.50%, 6/20/29 225,000 165,656 - ---------------------------------------------------------------------- Commercial Mortgage Acceptance Corp., Collateralized Mtg. Obligation, Series 1996-C1, Cl. E, 8.118%, 12/25/20(2)(3) 250,000 252,227 - ---------------------------------------------------------------------- First Chicago/Lennar Trust 1, Commercial Mtg. Pass-Through Certificates: Series 1997-CHL1, 8.13%, 2/25/11(2) 1,500,000 1,194,375 Series 1997-CHL1, 8.13%, 5/25/08(2) 300,000 289,031 - ---------------------------------------------------------------------- First Union-Lehman Brothers Commercial Mortgage Trust, Interest-Only Stripped Mtg. Pass-Through Certificates, Series 97-C1, Cl. B-3, 1.37%, 4/18/29 8,247,300 653,663 - ---------------------------------------------------------------------- Merrill Lynch Mortgage Investors, Inc., Mtg. Pass-Through Certificates, Series 1995-C2, Cl. D, 8.206%, 6/15/21(2) 419,027 427,310 - ---------------------------------------------------------------------- Morgan Stanley Capital I, Inc., Commercial Mtg. Pass-Through Certificates: Series 1996-C1, Cl. E, 7.51%, 2/15/28(2)(4) 835,342 765,382 Series 1997-HF1, Cl. F, 6.86%, 7/15/29 300,000 268,875 - ---------------------------------------------------------------------- Mortgage Capital Funding, Inc., Commercial Mtg. Pass-Through Certificates: Series 1997-MC1, Cl. F, 7.452%, 5/20/07(4) 254,890 235,933 Series 1996-MC1, Cl. G, 7.15%, 6/15/06(3) 750,000 688,828 - ---------------------------------------------------------------------- NationsCommercial Corp., NB Commercial Mtg. Pass-Through Certificates, Series-DMC, Cl. C, 8.921%, 8/12/11(3) 900,000 932,555 - ---------------------------------------------------------------------- Resolution Trust Corp. Commercial Mtg. Pass-Through Certificates: Series 1994-C1, Cl. E, 8%, 6/25/26 683,884 661,551 Series 1994-C2, Cl. G, 8%, 4/25/25 783,674 775,593 Series 1995-C1, Cl. F, 6.90%, 2/25/27 836,272 772,899 - ---------------------------------------------------------------------- Salomon Brothers Mortgage Securities VII, Series 1996-B, Cl. 1, 7.136%, 4/25/26 1,482,878 993,528 - ---------------------------------------------------------------------- Structured Asset Securities Corp., Multiclass Pass-Through Certificates, Series 1996-C3, Cl. E, 8.458%, 6/25/30(3) 650,000 634,562 ------------ Total Mortgage-Backed Obligations (Cost $11,180,845) 11,950,399
14 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER HIGH INCOME FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
PRINCIPAL MARKET VALUE AMOUNT(1) NOTE 1 - ---------------------------------------------------------------------- FOREIGN GOVERNMENT OBLIGATIONS - 12.1% - ---------------------------------------------------------------------- Argentina (Republic of) Bonds, Bonos de Consolidacion de Deudas, Series I, 3.242%, 4/1/01(2)(5) ARP 99,561 $ 91,032 - ---------------------------------------------------------------------- Argentina (Republic of) Discount Bonds, 6.875%, 3/31/23(2) 900,000 779,625 - ---------------------------------------------------------------------- Banco Nacional de Comercio Exterior SNC International Finance BV Gtd. Registered Bonds, 11.25%, 5/30/06 80,000 90,200 - ---------------------------------------------------------------------- Bank Tabugan Negara Negotiable CD, Zero Coupon, 13.151%, 2/3/98(6) IDR 1,530,066,000 581,977 - ---------------------------------------------------------------------- Bonos de la Tesoreria de la Federacion, Zero Coupon, 27.786%, 4/2/98(6) MXP 27,488,320 2,967,572 - ---------------------------------------------------------------------- Brazil (Federal Republic of) Debt Conversion Bonds, 6.937%, 4/15/12(2) 250,000 206,641 - ---------------------------------------------------------------------- Brazil (Federal Republic of) Eligible Interest Bonds, 6.875%, 4/15/06(2) 163,350 151,201 - ---------------------------------------------------------------------- Brazil (Federal Republic of) Multi-Year Discount Facility Agreement Trust Certificates, Series REGS, 6.563%, 9/15/07(2)(3) 349,354 318,350 - ---------------------------------------------------------------------- Central Bank of Costa Rica Interest Claim Bonds, Series B, 6.664%, 5/21/05(2) 187,923 177,587 - ---------------------------------------------------------------------- City of Buenos Aires Bonds, 10.50%, 5/28/04(4) ARP 115,000 117,745 - ---------------------------------------------------------------------- City of St. Petersburg Sr. Unsub. Nts., 9.50%, 6/18/02(3) 1,025,000 1,025,641 - ---------------------------------------------------------------------- Ecuador (Republic of) Past Due Interest Bonds, 5.39%, 2/27/15(2) 4,735,764 3,051,620 - ---------------------------------------------------------------------- Financiera Energetica Nacional SA Nts., 9.375%, 6/15/06 420,000 450,712 - ---------------------------------------------------------------------- Hashemite (Kingdom of) Jordan Disc. Bonds, 6.75%, 12/23/23(2) 500,000 413,750 - ---------------------------------------------------------------------- Hashemite (Kingdom of) Jordan Par Bonds, 4%, 12/23/23(7) 3,750,000 2,475,000 - ---------------------------------------------------------------------- Hellenic Republic Treasury Bills, Zero Coupon: 9.269%, 10/31/97(6) GRD 100,000,000 348,672 9.154%, 4/1/98(6) GRD 109,000,000 369,330 - ---------------------------------------------------------------------- Jamaica (Government of) Bonds, 9.625%, 7/2/02(3) 1,400,000 1,409,100 - ---------------------------------------------------------------------- Moldova (Republic of) Bonds, 9.875%, 6/13/02(3) 1,100,000 1,124,695 - ---------------------------------------------------------------------- Moldova (Republic of) Sr. Unsub. Nts., 8.465%, 12/10/99(2) 140,000 141,768 - ---------------------------------------------------------------------- Petroleos Mexicanos Debs., 14.50%, 3/31/06 GBP 180,000 364,731 - ---------------------------------------------------------------------- Philippines (Republic of) Bonds, 8.60%, 6/15/27 300,000 297,000 - ---------------------------------------------------------------------- Poland (Republic of) Bonds: 12%, 6/12/01 PLZ 2,000,000 490,377 12%, 6/12/02 PLZ 1,500,000 363,218 16%, 10/12/98 PLZ 1,800,000 509,451 - ---------------------------------------------------------------------- PT Hutama Karya Promissory Nts., Zero Coupon, 14.783%, 2/10/98(6) IDR 1,000,000,000 376,947 - ---------------------------------------------------------------------- Renel R.A. Nts., 8.562%, 2/21/02(2)(4) 2,200,000 2,204,125 - ---------------------------------------------------------------------- Romanian Commercial Bank SA Bonds, 9.125%, 3/10/00 445,000 441,106 - ---------------------------------------------------------------------- South Africa (Republic of) Bonds, Series 162, 12.50%, 1/15/02 ZAR 7,929,000 1,645,920 - ---------------------------------------------------------------------- United Mexican States Bonds, Series A, 6.867%, 12/31/19(2) 1,050,000 979,125 - ---------------------------------------------------------------------- Venezuela (Republic of) Disc. Bonds, Series DL, 6.75%, 12/18/07(2) 500,000 465,000 - ---------------------------------------------------------------------- Venezuela (Republic of) New Money Bonds, Series P, 6.75%, 12/18/05(2) 500,000 472,500 - ---------------------------------------------------------------------- Venezuela (Republic of) Disc. Bonds, Series W-A, 6.812%, 3/31/20(2) 250,000 221,563
15 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER HIGH INCOME FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
PRINCIPAL MARKET VALUE AMOUNT(1) NOTE 1 - ---------------------------------------------------------------------- FOREIGN GOVERNMENT OBLIGATIONS (CONTINUED) - ---------------------------------------------------------------------- Wijaya Karya Negotiable Promissory Nts., Zero Coupon, 14.511%, 12/9/97(6) IDR 3,000,000,000 $ 1,158,860 ------------ Total Foreign Government Obligations (Cost $26,358,864) 26,282,141 - ---------------------------------------------------------------------- LOAN PARTICIPATIONS - 1.7% - ---------------------------------------------------------------------- Algeria (Republic of) Reprofiled Debt Loan Participation, Tranche A, 6.977%, 9/4/06(2) 3,215,000 2,818,148 - ---------------------------------------------------------------------- AO Rostelecom Loan Facility Nts., 9.50%, 2/15/00(2) 200,000 200,000 - ---------------------------------------------------------------------- Trinidad & Tobago Loan Participation Agreement, Tranche B, 1.625%, 9/30/00(2)(4) JPY 69,137,094 561,894 ------------ Total Loan Participations (Cost $3,511,427) 3,580,042 - ---------------------------------------------------------------------- MUNICIPAL BONDS AND NOTES - 0.8% - ---------------------------------------------------------------------- San Joaquin Hills, CA Transportation Corridor Agency Toll Road Capital Appreciation Revenue Bonds, Jr. Lien, Zero Coupon, 9%, 1/1/28 (Cost $852,871)(6) 12,500,000 1,699,375 - ---------------------------------------------------------------------- CORPORATE BONDS AND NOTES - 65.7% - ---------------------------------------------------------------------- BASIC INDUSTRY - 6.0% - ---------------------------------------------------------------------- CHEMICALS - 1.6% Harris Chemical North America, Inc.: 10.25% Gtd. Sr. Sec. Disc. Nts., 7/15/01 30,000 31,125 10.75% Gtd. Sr. Sub. Nts., 10/15/03 160,000 164,000 - ---------------------------------------------------------------------- ICO, Inc., 10.375% Sr. Nts., 6/1/07(3) 250,000 258,125 - ---------------------------------------------------------------------- NL Industries, Inc.: 0%/13% Sr. Sec. Disc. Nts., 10/15/05(8) 765,000 727,706 11.75% Sr. Sec. Nts., 10/15/03 200,000 218,750 - ---------------------------------------------------------------------- Pioneer Americas Acquisition Corp., 9.25% Sr. Nts., 6/15/07(3) 575,000 569,250 - ---------------------------------------------------------------------- Polytama International, 11.25% Gtd. Sec. Nts., 6/15/07 450,000 466,875 - ---------------------------------------------------------------------- Sterling Chemical Holdings, Inc., 0%/13.50% Sr. Disc. Nts., 8/15/08(8) 600,000 399,000 - ---------------------------------------------------------------------- Sterling Chemicals, Inc.: 11.25% Sr. Sub. Nts., 4/1/07(3) 100,000 106,500 11.75% Sr. Unsec. Sub. Nts., 8/15/06 475,000 515,375 ------------ 3,456,706 - ---------------------------------------------------------------------- CONTAINERS - 0.7% Consumers International, Inc., 10.25% Sr. Sec. Nts., 4/1/05(3) 375,000 405,000 - ---------------------------------------------------------------------- IVEX Holdings Corp., 0%/13% Sr. Disc. Debs., Series B, 3/15/05(8) 1,225,000 992,250 - ---------------------------------------------------------------------- Ivex Packaging Corp., 12.50% Sr. Sub. Nts., 12/15/02 100,000 109,000 ------------ 1,506,250 - ---------------------------------------------------------------------- METALS/MINING - 0.7% Carbide/Graphite Group, Inc. (The), 11.50% Sr. Nts., 9/1/03 454,000 497,130 - ---------------------------------------------------------------------- Royal Oak Mines, Inc., 11% Sr. Sub. Nts., 8/15/06 1,000,000 960,000 ------------ 1,457,130
16 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER HIGH INCOME FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
PRINCIPAL MARKET VALUE AMOUNT(1) NOTE 1 - ---------------------------------------------------------------------- PAPER - 2.5% APP International Finance Co. BV, 11.75% Gtd. Sec. Nts., 10/1/05 $ 1,400,000 $ 1,545,250 - ---------------------------------------------------------------------- Asia Pulp & Paper International Finance Co., Zero Coupon Asian Currency Nts.: 18.656%, 12/8/97(6) IDR 500,000,000 192,964 14.25%, 9/17/97(6) IDR 2,200,000,000 878,948 - ---------------------------------------------------------------------- Gaylord Container Corp., 9.75% Sr. Nts., 6/15/07(3) 100,000 100,250 - ---------------------------------------------------------------------- Indah Kiat International Finance Co. BV, 11.875% Gtd. Sr. Sec. Nts., 6/15/02 1,070,000 1,183,687 - ---------------------------------------------------------------------- Repap New Brunswick, Inc., 9.125% First Priority Sr. Sec. Nts., 7/15/00(2) 150,000 149,250 - ---------------------------------------------------------------------- Repap Wisconsin, Inc.: 9.25% First Priority Sr. Sec. Nts., 2/1/02 850,000 860,625 9.875% Second Priority Sr. Nts., 5/1/06 225,000 228,375 - ---------------------------------------------------------------------- Stone Container Corp., 9.875% Sr. Nts., 2/1/01 250,000 250,000 ------------ 5,389,349 - ---------------------------------------------------------------------- STEEL - 0.5% AK Steel Corp., 9.125% Sr. Nts., 12/15/06 600,000 619,500 - ---------------------------------------------------------------------- Algoma Steel, Inc., 12.375% First Mtg. Nts., 7/15/05 75,000 83,437 - ---------------------------------------------------------------------- Bar Technologies, Inc., 13.50% Sr. Sec. Nts., 4/1/01 450,000 466,875 ------------ 1,169,812 - ---------------------------------------------------------------------- CONSUMER RELATED - 8.6% - ---------------------------------------------------------------------- CONSUMER PRODUCTS - 3.4% Coleman Escrow Corp., Zero Coupon Sr. First Priority Disc. Nts., 11.125%, 5/15/01(3)(6) 575,000 366,562 - ---------------------------------------------------------------------- E & S Holdings Corp., 10.375% Sr. Sub. Nts., 10/1/06 550,000 576,125 - ---------------------------------------------------------------------- Harman International Industries, Inc., 12% Sr. Sub. Nts., 8/1/02 1,650,000 1,765,500 - ---------------------------------------------------------------------- Icon Fitness Corp., 0%/14% Sr. Disc. Nts., 11/15/06(4)(8) 800,000 438,000 - ---------------------------------------------------------------------- Icon Health & Fitness, Inc., 13% Sr. Sub. Nts., Series B, 7/15/02 400,000 452,000 - ---------------------------------------------------------------------- IHF Holdings, Inc., 0%/15% Sr. Sub. Disc. Nts., Series B, 11/15/04 1,050,000 882,000 - ---------------------------------------------------------------------- International Semi-Tech Microelectronics, Inc., 0%/11.50% Sr. Sec. Disc. Nts., 8/15/03(8) 335,000 199,325 - ---------------------------------------------------------------------- Revlon Worldwide Corp., Zero Coupon Sr. Sec. Disc. Nts.: 11.037%, 3/15/01(3)(6) 1,900,000 1,296,750 12.333%, 3/15/98(6) 350,000 333,375 - ---------------------------------------------------------------------- TAG Heuer International SA, 12% Sr. Sub. Nts., 12/15/05 350,000 402,500 - ---------------------------------------------------------------------- Williams (J. B.) Holdings, Inc., 12% Sr. Nts., 3/1/04 600,000 609,000 ------------ 7,321,137 - ---------------------------------------------------------------------- FOOD/BEVERAGES/TOBACCO - 0.5% CFP Holdings, Inc., 11.625% Gtd. Sr. Nts., 1/15/04(3) 415,000 431,600 - ---------------------------------------------------------------------- Foodbrands America, Inc., 10.75% Sr. Sub. Nts., 5/15/06(4) 235,000 272,600 - ---------------------------------------------------------------------- Windy Hill Pet Food, Inc., 9.75% Sr. Sub. Nts., 5/15/07(3) 300,000 301,500 ------------ 1,005,700
17 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER HIGH INCOME FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
PRINCIPAL MARKET VALUE AMOUNT(1) NOTE 1 - ---------------------------------------------------------------------- HEALTHCARE - 0.7% Genesis Health Ventures, Inc., 9.25% Sr. Sub. Nts., 10/1/06 $ 760,000 $ 786,600 - ---------------------------------------------------------------------- Integrated Health Services, Inc.: 11% Sr. Sub. Nts., 4/30/06(2)(3) 35,000 37,450 9.50% Sr. Sub. Nts., 9/15/07(6) 600,000 616,500 ------------ 1,440,550 - ---------------------------------------------------------------------- HOTEL/GAMING - 1.8% Boyd Gaming Corp., 9.25% Sr. Nts., 10/1/03 575,000 577,875 - ---------------------------------------------------------------------- Capital Gaming International, Inc., Promissory Nts., 8/1/95(9) 9,500 -- - ---------------------------------------------------------------------- Grupo Posadas SA de CV, 10.375% Bonds, 2/13/02(4) 125,000 128,984 - ---------------------------------------------------------------------- Horseshoe Gaming LLC, 9.375% Sr. Sub. Nts., 6/15/07(3) 925,000 936,562 - ---------------------------------------------------------------------- Mohegan Tribal Gaming Authority, 13.50% Sr. Sec. Nts., Series B, 11/15/02 700,000 920,500 - ---------------------------------------------------------------------- Rio Hotel & Casino, Inc., 9.50% Gtd. Sr. Sub. Nts., 4/15/07 250,000 258,125 - ---------------------------------------------------------------------- Showboat Marina Casino Partnership/Showboat Marina Finance Corp., 13.50% First Mtg. Nts., Series B, 3/15/03 950,000 1,087,750 ------------ 3,909,796 - ---------------------------------------------------------------------- RESTAURANTS - 1.1% Ameriking, Inc., 10.75% Sr. Nts., 12/1/06 705,000 738,487 - ---------------------------------------------------------------------- Carrols Corp., 11.50% Sr. Nts., 8/15/03 430,000 460,100 - ---------------------------------------------------------------------- Foodmaker, Inc.: 9.25% Sr. Nts., 3/1/99 200,000 206,000 9.75% Sr. Sub. Nts., 6/1/02 950,000 986,812 ------------ 2,391,399 - ---------------------------------------------------------------------- TEXTILE/APPAREL - 1.1% CMI Industries, Inc., 9.50% Sr. Sub. Nts., 10/1/03(4) 240,000 243,000 - ---------------------------------------------------------------------- GFSI, Inc., 9.625% Sr. Sub. Nts., 3/1/07(3) 305,000 309,575 - ---------------------------------------------------------------------- Polysindo International Finance Co. BV, 11.375% Gtd. Sec. Nts., 6/15/06 1,100,000 1,212,750 - ---------------------------------------------------------------------- Tultex Corp., 9.625% Sr. Nts., 4/15/07(3) 150,000 159,094 - ---------------------------------------------------------------------- William Carter Co., 10.375% Sr. Sub. Nts., 12/1/06 350,000 368,375 ------------ 2,292,794 - ---------------------------------------------------------------------- ENERGY - 5.6% - ---------------------------------------------------------------------- Belden & Blake Corp., 9.875% Sr. Sub. Nts., 6/15/07(3) 1,100,000 1,097,250 - ---------------------------------------------------------------------- BP America, Inc., 10.875% Nts., 8/1/01 CAD 350,000 299,054 - ---------------------------------------------------------------------- Chesapeake Energy Corp., 9.125% Sr. Nts., 4/15/06 475,000 477,375 - ---------------------------------------------------------------------- Clark R&M Holdings, Inc., Zero Coupon Sr. Sec. Nts., Series A, 10.565%, 2/15/00(6) 1,400,000 1,067,500 - ---------------------------------------------------------------------- Cross Timbers Oil Co., 9.25% Sr. Sub. Nts., 4/1/07 200,000 205,000 - ---------------------------------------------------------------------- DI Industries, Inc., 8.875% Sr. Nts., 7/1/07 400,000 396,000 - ---------------------------------------------------------------------- Energy Corp. of America, 9.50% Sr. Sub. Nts., 5/15/07(3) 500,000 497,500 - ---------------------------------------------------------------------- Forcenergy, Inc., 9.50% Sr. Sub. Nts., 11/1/06 100,000 104,000
18 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER HIGH INCOME FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
PRINCIPAL MARKET VALUE AMOUNT(1) NOTE 1 - ---------------------------------------------------------------------- ENERGY (CONTINUED) - ---------------------------------------------------------------------- J. Ray McDermott SA, 9.375% Sr. Sub. Bonds, 7/15/06 $ 1,600,000 $ 1,652,000 - ---------------------------------------------------------------------- Mariner Energy, Inc., 10.50% Sr. Sub. Nts., 8/1/06 925,000 966,625 - ---------------------------------------------------------------------- Maxus Energy Corp., 11.50% Debs., 11/15/15 800,000 843,000 - ---------------------------------------------------------------------- Mesa Operating Co.: 0%/11.625% Gtd. Sr. Sub. Disc. Nts., 7/1/06(8) 300,000 232,500 10.625% Gtd. Sr. Sub. Nts., 7/1/06 960,000 1,096,800 - ---------------------------------------------------------------------- Parker Drilling Corp., 9.75% Gtd. Sr. Nts., 11/15/06 600,000 634,500 - ---------------------------------------------------------------------- Petroleum Heat & Power Co., Inc., 9.375% Sub. Debs., 2/1/06 1,150,000 1,098,250 - ---------------------------------------------------------------------- Pogo Producing Co., 8.75% Sub. Nts., 5/15/07(3) 910,000 913,412 - ---------------------------------------------------------------------- Statia Terminals International/Statia Terminals (Canada), Inc., 11.75% First Mtg., Series B, 11/15/03 225,000 238,500 - ---------------------------------------------------------------------- Wiser Oil Co., 9.50% Sr. Sub. Nts., 5/15/07(3) 400,000 402,000 ------------ 12,221,266 - ---------------------------------------------------------------------- FINANCIAL SERVICES - 5.5% - ---------------------------------------------------------------------- BANKS & THRIFTS - 1.1% First Nationwide Holdings, Inc., 10.625% Sr. Sub. Nts., 10/1/03 750,000 832,500 - ---------------------------------------------------------------------- Ocwen Financial Corp., 11.875% Nts., 10/1/03 800,000 876,000 - ---------------------------------------------------------------------- Ongko International Finance Co. BV, 10.50% Gtd. Nts., 3/29/04(3) 200,000 206,433 - ---------------------------------------------------------------------- Shoshone Partners Trust, 8% Sr. Nts., 5/31/02(2)(4) 466,000 466,645 ------------ 2,381,578 - ---------------------------------------------------------------------- DIVERSIFIED FINANCIAL - 3.5% Aames Financial Corp., 9.125% Sr. Nts., 11/1/03 1,000,000 1,025,000 - ---------------------------------------------------------------------- Americredit Corp., 9.25% Sr. Nts., 2/1/04 600,000 591,000 - ---------------------------------------------------------------------- Amresco, Inc., 10% Sr. Sub. Nts., Series 97-A, 3/15/04 600,000 612,000 - ---------------------------------------------------------------------- Cityscape Financial Corp., 12.75% Sr. Nts., 6/1/04(3) 1,300,000 1,287,000 - ---------------------------------------------------------------------- ECM Fund, L.P.I., 14% Sub. Nts., 6/10/02(4) 117,970 130,210 - ---------------------------------------------------------------------- Olympic Financial Ltd., Units (each unit consists of $1,000 principal amount of 11.50% sr. nts., 3/15/07 and one warrant to purchase 6.84 shares of common stock)(10) 850,000 877,625 - ---------------------------------------------------------------------- PT Polysindo Eka Perkasa, Zero Coupon Promissory Nts., 9.374%, 7/28/98(6) 1,000,000 901,859 - ---------------------------------------------------------------------- Saul (B.F.) Real Estate Investment Trust, 11.625% Sr. Sec. Nts., Series B, 4/1/02 1,200,000 1,278,000 - ---------------------------------------------------------------------- Wilshire Financial Services Group, Inc., 13% Nts., 1/1/04 850,000 862,750 ------------ 7,565,444 - ---------------------------------------------------------------------- INSURANCE - 0.9% Residential Reinsurance, 11.951% Nts., 12/15/98(2)(11) 1,000,000 1,005,750 - ---------------------------------------------------------------------- Veritas Holdings, Inc., 9.625% Sr. Nts., 12/15/03(3) 1,000,000 1,035,000 ------------ 2,040,750
19 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER HIGH INCOME FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
PRINCIPAL MARKET VALUE AMOUNT(1) NOTE 1 - ---------------------------------------------------------------------- HOUSING RELATED - 1.2% - ---------------------------------------------------------------------- BUILDING MATERIALS - 0.4% American Builders & Contractors Supply, Inc., 10.625% Sr. Sub. Nts., 5/15/07(3) $ 200,000 $ 207,000 - ---------------------------------------------------------------------- Building Materials Corp. of America, 8.625% Sr. Nts., 12/15/06 265,000 270,300 - ---------------------------------------------------------------------- Falcon Building Products, Inc., 9.50% Sr. Sub. Nts., 6/15/07(3) 185,000 185,000 - ---------------------------------------------------------------------- Nortek, Inc., 9.25% Sr. Nts., 3/15/07 200,000 205,000 ------------ 867,300 - ---------------------------------------------------------------------- HOMEBUILDERS/REAL ESTATE - 0.8% Continental Homes Holding Corp., 10% Gtd. Unsec. Bonds, 4/15/06 80,000 82,800 - ---------------------------------------------------------------------- First Place Tower, Inc.: 9.22% First Mtg. Bonds, 12/15/05 CAD 300,400 250,201 Units (each unit consists of one $10 principal amount of 8.50% cv. sub. debs., 12/15/15 and 40 common shares)(10) CAD 180,660 339,664 - ---------------------------------------------------------------------- Greystone Homes, Inc., 10.75% Sr. Nts., 3/1/04 280,000 303,800 - ---------------------------------------------------------------------- Hovnanian K. Enterprises, Inc., 11.25% Gtd. Sub. Nts., 4/15/02 200,000 209,000 - ---------------------------------------------------------------------- Standard Pacific Corp., 8.50% Sr. Nts., 6/15/07 385,000 385,962 - ---------------------------------------------------------------------- U.S. Home Corp., 9.75% Sr. Nts., 6/15/03 100,000 104,500 ------------ 1,675,927 - ---------------------------------------------------------------------- MANUFACTURING - 5.4% - ---------------------------------------------------------------------- AEROSPACE - 2.7% America West Airlines, Inc., 10.75% Sr. Nts., 9/1/05 1,700,000 1,765,875 - ---------------------------------------------------------------------- Atlas Air, Inc., 12.25% Pass-Through Certificates, 12/1/02(4) 950,000 1,054,500 - ---------------------------------------------------------------------- Continental Airlines, Inc., 9.50% Sr. Unsec. Nts., 12/15/01 70,000 73,500 - ---------------------------------------------------------------------- GPA Delaware, Inc., 8.75% Gtd. Nts., 12/15/98 1,500,000 1,533,750 - ---------------------------------------------------------------------- Northwest Airlines Corp.: 8.70% Nts., 3/15/07 50,000 51,508 8.375% Gtd. Nts., 3/15/04 100,000 101,530 - ---------------------------------------------------------------------- Pegasus Aircraft Lease Securitization Trust, 11.76% Sr. Nts., Cl. A, 6/15/04(4) 350,000 353,045 - ---------------------------------------------------------------------- Rohr, Inc., 11.625% Sr. Nts., 5/15/03 800,000 892,000 ------------ 5,825,708 - ---------------------------------------------------------------------- AUTOMOTIVE - 1.0% Aftermarket Technology Corp., 12% Sr. Sub. Nts., Series B, 8/1/04 300,000 334,500 - ---------------------------------------------------------------------- Hayes Wheels International, Inc.: 11% Sr. Sub. Nts., 7/15/06 700,000 771,750 9.125% Sr. Sub. Nts., 7/15/07(4) 300,000 300,375 - ---------------------------------------------------------------------- Lear Corp., 9.50% Sub. Nts., 7/15/06 300,000 319,500 - ---------------------------------------------------------------------- Oxford Automotive, Inc., 10.125% Sr. Sub. Nts., 6/15/07(3) 300,000 300,375 - ---------------------------------------------------------------------- Penda Corp., 10.75% Sr. Nts., Series B, 3/1/04 110,000 110,550 ------------ 2,137,050 - ---------------------------------------------------------------------- CAPITAL GOODS - 1.7% Clark-Schwebel, Inc., 10.50% Sr. Nts., 4/15/06 725,000 775,750
20 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER HIGH INCOME FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
PRINCIPAL MARKET VALUE AMOUNT(1) NOTE 1 - ---------------------------------------------------------------------- CAPITAL GOODS (CONTINUED) Communications & Power Industries, Inc., 12% Sr. Sub. Nts., Series B, 8/1/05 $ 1,050,000 $ 1,144,500 - ---------------------------------------------------------------------- Consorcio Ecuatoriano, 14% Nts., 5/1/02(4) 170,000 180,625 - ---------------------------------------------------------------------- Farley, Inc., Zero Coupon Sub. Debs., 14.143%, 12/30/12(4)(6) 198,000 24,152 - ---------------------------------------------------------------------- International Wire Group, Inc., 11.75% Sr. Sub. Nts., 6/1/05(4) 265,000 287,525 - ---------------------------------------------------------------------- Mettler Toledo, Inc., 9.75% Gtd. Sr. Sub. Nts., 10/1/06 850,000 896,750 - ---------------------------------------------------------------------- Roller Bearing Co. (America), 9.625% Sr. Sub. Nts., 6/15/07(3) 160,000 162,400 - ---------------------------------------------------------------------- Synthetic Industries, Inc., 9.25% Sr. Sub. Nts., 2/15/07(3) 170,000 174,250 - ---------------------------------------------------------------------- Titan Wheel International, Inc., 8.75% Sr. Sub. Nts., 4/1/07 150,000 153,750 ------------ 3,799,702 - ---------------------------------------------------------------------- MEDIA - 8.9% - ---------------------------------------------------------------------- BROADCASTING - 2.5% Argyle Television, Inc., 9.75% Sr. Sub. Nts., 11/1/05 200,000 210,000 - ---------------------------------------------------------------------- Capstar Broadcasting Partners, Inc., 9.25% Sr. Sub. Nts., 7/1/07(3) 300,000 291,750 - ---------------------------------------------------------------------- Chancellor Radio Broadcasting Co., 8.75% Sr. Sub. Nts., 6/15/07(3) 450,000 447,750 - ---------------------------------------------------------------------- Jacor Communications Co., 8.75% Gtd. Sr. Sub. Nts., 6/15/07(3) 500,000 497,500 - ---------------------------------------------------------------------- Outlet Broadcasting, Inc., 10.875% Sr. Sub. Nts., 7/15/03(12) 1,000,000 1,083,743 - ---------------------------------------------------------------------- Paxson Communications Corp., 11.625% Sr. Sub. Nts., 10/1/02 495,000 538,312 - ---------------------------------------------------------------------- Radio One, Inc., 7% Sr. Sub. Nts., 5/15/04(3)(7) 400,000 358,000 - ---------------------------------------------------------------------- Sinclair Broadcast Group, Inc.: 10% Sr. Sub. Nts., 9/30/05 100,000 103,500 9% Sr. Sub. Nts., 7/15/07(3) 300,000 291,375 - ---------------------------------------------------------------------- Summit Communications Group, Inc., 10.50% Sr. Sub. Debs., 4/15/05(4) 850,000 915,875 - ---------------------------------------------------------------------- Young Broadcasting, Inc.: 8.75% Sr. Sub. Debs., 6/15/07(3) 300,000 287,250 9% Sr. Sub. Nts., Series B, 1/15/06 425,000 418,625 ------------ 5,443,680 - ---------------------------------------------------------------------- CABLE TELEVISION - 3.2% Cablevision Industries Corp., 9.25% Sr. Debs., Series B, 4/1/08 600,000 647,393 - ---------------------------------------------------------------------- Cablevision Systems Corp.: 10.50% Sr. Sub. Debs., 5/15/16 250,000 276,250 10.75% Sr. Sub. Debs., 4/1/04 500,000 515,355 9.875% Sr. Sub. Nts., 5/15/06 100,000 107,250 - ---------------------------------------------------------------------- EchoStar Communications Corp., 0%/12.875% Sr. Disc. Nts., 6/1/04(8) 200,000 169,000 - ---------------------------------------------------------------------- EchoStar DBS Corp., 12.50% Gtd. Nts., 7/1/02(3) 1,000,000 995,000 - ---------------------------------------------------------------------- EchoStar Satellite Broadcasting Corp., 0%/13.125% Sr. Sec. Disc. Nts., 3/15/04(8) 340,000 243,950 - ---------------------------------------------------------------------- Helicon Group LP/Helicon Capital Corp., 11% Sr. Sec. Nts., Series B, 11/1/03(2) 885,000 924,825 - ---------------------------------------------------------------------- Optel, Inc., Units (each unit consists of $1,000 principal amount of 13% sr. nts., 2/15/05 and one warrant to purchase one share of non-vtg. common stock)(3)(10) 700,000 672,000
21 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER HIGH INCOME FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
PRINCIPAL MARKET VALUE AMOUNT(1) NOTE 1 - ---------------------------------------------------------------------- CABLE TELEVISION (CONTINUED) Panamsat LP/Panamsat Capital Corp., 0%/11.375% Sr. Sub. Disc. Nts., 8/1/03(8) $ 850,000 $ 827,688 - ---------------------------------------------------------------------- Rogers Cablesystems Ltd., 10% Second Priority Sr. Sec. Debs., 12/1/07 200,000 215,000 - ---------------------------------------------------------------------- TCI Satellite Entertainment, Inc.: 0%/10.875% Sr. Sub. Nts., 2/15/07(3)(8) 900,000 535,500 10.875% Sr. Sub. Nts., 2/15/07(3) 470,000 474,700 - ---------------------------------------------------------------------- TKR Cable I, Inc., 10.50% Sr. Debs., 10/30/07 300,000 330,206 ------------ 6,934,117 - ---------------------------------------------------------------------- DIVERSIFIED MEDIA - 1.7% Ackerley Communications, Inc., 10.75% Sr. Sec. Nts., Series A, 10/1/03 750,000 806,250 - ---------------------------------------------------------------------- GSP I Corp., 10.15% First Mtg. Bonds, 6/24/10(3) 471,719 435,213 - ---------------------------------------------------------------------- Heritage Media Corp., 8.75% Sr. Sub. Nts., 2/15/06 160,000 165,600 - ---------------------------------------------------------------------- Katz Media Corp., 10.50% Sr. Sub. Nts., 1/15/07 475,000 467,875 - ---------------------------------------------------------------------- Lamar Advertising Co., 9.625% Sr. Sub. Nts., 12/1/06 815,000 839,450 - ---------------------------------------------------------------------- Outdoor Systems, Inc., 8.875% Sr. Sub. Nts., 6/15/07(3) 400,000 390,500 - ---------------------------------------------------------------------- Universal Outdoor, Inc.: 9.75% Sr. Sub. Nts., 10/15/06 365,000 379,600 9.75% Sr. Sub. Nts., Series B, 10/15/06 250,000 260,000 ------------ 3,744,488 - ---------------------------------------------------------------------- ENTERTAINMENT/FILM - 1.2% Azteca Holdings SA, 11% Sr. Nts., 6/15/02(3) 830,000 842,450 - ---------------------------------------------------------------------- Imax Corp., 10% Sr. Nts., 3/1/01 1,600,000 1,684,000 ------------ 2,526,450 - ---------------------------------------------------------------------- PUBLISHING/PRINTING - 0.3% Hollinger International Publishing, Inc., 9.25% Gtd. Sr. Sub. Nts., 3/15/07 200,000 205,000 - ---------------------------------------------------------------------- Sun Media Corp., 9.50% Sr. Sub. Nts., 2/15/07(3) 350,000 355,250 ------------ 560,250 - ---------------------------------------------------------------------- OTHER - 1.9% - ---------------------------------------------------------------------- CONGLOMERATES - 0.1% Cia Latino Americana de Infraestructura & Servicios SA - CLISA, 11.625% Gtd. Sr. Nts., 6/1/04(3) 70,000 74,200 - ---------------------------------------------------------------------- Maxxam Group, Inc., 0%/12.25% Sr. Sec. Disc. Nts., 8/1/03(8) 100,000 92,500 ------------ 166,700 - ---------------------------------------------------------------------- ENVIRONMENTAL - 0.1% Allied Waste Industries, Inc., 0%/11.30% Sr. Disc. Nts., 6/1/07(3)(8) 450,000 283,500 - ---------------------------------------------------------------------- SERVICES - 1.7% Borg-Warner Security Corp., 9.625% Sr. Sub. Nts., 3/15/07(3) 100,000 101,250 - ---------------------------------------------------------------------- Coinstar, Inc., 0%/13% Sr. Disc. Nts., 10/1/06(4)(8) 750,000 517,500 - ---------------------------------------------------------------------- Neodata Services, Inc., 12% Sr. Nts., Series B, 5/1/03 400,000 432,000 - ---------------------------------------------------------------------- Protection One Alarm Monitoring, Inc.: 0%/13.625% Sr. Disc. Nts., 6/30/05(8) 550,000 572,000 6.75% Cv. Gtd. Sr. Sub. Nts., 9/15/03 950,000 967,813
22 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER HIGH INCOME FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
PRINCIPAL MARKET VALUE AMOUNT(1) NOTE 1 - ---------------------------------------------------------------------- SERVICES (CONTINUED) Road King Infrastructure Finance (1997) Ltd., 9.50% Gtd. Unsec. Unsub. Bonds, 7/15/07(4)(11) $ 1,000,000 $ 1,007,500 ------------ 3,598,063 - ---------------------------------------------------------------------- RETAIL - 2.4% - ---------------------------------------------------------------------- SPECIALTY RETAILING - 0.9% Brylane LP/Brylane Capital Corp., 10% Sr. Sub. Nts., Series B, 9/1/03 500,000 533,750 - ---------------------------------------------------------------------- Central Termica Guemes, 12% Bonds, 11/26/01(4) 200,000 209,500 - ---------------------------------------------------------------------- Eye Care Centers of America, Inc., 12% Sr. Nts., 10/1/03 630,000 696,150 - ---------------------------------------------------------------------- Finlay Fine Jewelry Corp., 10.625% Sr. Nts., 5/1/03(4) 95,000 101,175 - ---------------------------------------------------------------------- Profitt's, Inc., 8.125% Sr. Nts., 5/15/04(3) 200,000 201,500 - ---------------------------------------------------------------------- Specialty Retailers, Inc., 8.50% Gtd. Sr. Nts., 7/15/05(3) 200,000 202,500 ------------ 1,944,575 - ---------------------------------------------------------------------- SUPERMARKETS - 1.5% Grand Union Co., 12% Sr. Nts., 9/1/04 20,000 14,900 - ---------------------------------------------------------------------- Jitney-Jungle Stores of America, Inc., 12% Gtd. Sr. Nts., 3/1/06 565,000 632,094 - ---------------------------------------------------------------------- Ralph's Grocery Co.: (New), 11% Sr. Sub. Nts., 6/15/05(3) 150,000 163,500 10.45% Sr. Nts., 6/15/04 50,000 53,938 10.45% Sr. Nts., 6/15/04 1,100,000 1,186,625 - ---------------------------------------------------------------------- Randall's Food Markets, 9.375% Sr. Sub. Nts., 7/1/07(3) 700,000 696,500 - ---------------------------------------------------------------------- Smith's Food & Drug Centers, Inc., 11.25% Sr. Unsec. Sub. Nts., 5/15/07 520,000 612,950 ------------ 3,360,507 - ---------------------------------------------------------------------- TECHNOLOGY - 16.2% - ---------------------------------------------------------------------- INFORMATION TECHNOLOGY - 8.6% Amphenol Corp., 9.875% Sr. Sub. Nts., 5/15/07 275,000 285,313 - ---------------------------------------------------------------------- CellNet Data Systems, Inc., 0%/13% Sr. Disc. Nts., 6/15/05(4)(8) 800,000 568,000 - ---------------------------------------------------------------------- Cellular Communications International, Inc., Zero Coupon Sr. Disc. Nts., 11.908%, 8/15/00(6) 3,600,000 2,763,000 - ---------------------------------------------------------------------- Cellular, Inc., 0%/11.75% Sr. Sub. Disc. Nts., 9/1/03(8) 2,000,000 1,950,000 - ---------------------------------------------------------------------- Comunicacion Celular SA, 0%/13.125% Sr. Deferred Coupon Bonds, 11/15/03(8) 1,575,000 1,130,063 - ---------------------------------------------------------------------- Dyncorp, Inc., 9.50% Sr. Sub. Nts., 3/1/07(3) 600,000 607,500 - ---------------------------------------------------------------------- Geotek Communications, Inc., 0%/15% Sr. Sec. Disc. Nts., 7/15/05(8) 1,650,000 1,031,250 - ---------------------------------------------------------------------- Globalstar LP/Globalstar Capital Corp., 11.25% Sr. Nts., 6/15/04(3) 500,000 471,250 - ---------------------------------------------------------------------- Metrocall, Inc., 10.375% Sr. Sub. Nts., 10/1/07 700,000 644,000 - ---------------------------------------------------------------------- Millicom International Cellular SA, 0%/13.50% Sr. Disc. Nts., 6/1/06(8) 800,000 580,000 - ---------------------------------------------------------------------- Occidente y Caribe Celular SA, 0%/14% Sr. Disc. Nts., Series B, 3/15/04(8) 300,000 226,500 - ---------------------------------------------------------------------- Omnipoint Corp.: 11.625% Sr. Nts., 8/15/06 450,000 434,250 11.625% Sr. Nts., Series A, 8/15/06 345,000 332,925 - ---------------------------------------------------------------------- ORBCOMM Global LP/ORBCOMM Capital Corp., 14% Sr. Nts., 8/15/04 1,180,000 1,197,700
23 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER HIGH INCOME FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
PRINCIPAL MARKET VALUE AMOUNT(1) NOTE 1 - ---------------------------------------------------------------------- INFORMATION TECHNOLOGY (CONTINUED) PriCellular Wireless Corp.: 0%/12.25% Sr. Sub. Disc. Nts., 10/1/03(8) $ 500,000 $ 472,500 0%/14% Sr. Sub. Disc. Nts., 11/15/01(8) 1,750,000 1,846,250 10.75% Sr. Nts., 11/1/04 425,000 448,375 - ---------------------------------------------------------------------- Real Time Data, Inc., Units (each unit consists of $1,000 principal amount of 0%/13.50% sub. disc. nts., 8/15/06 and one warrant to purchase six ordinary shares)(4)(8)(10) 1,900,000 1,083,000 - ---------------------------------------------------------------------- Therma-Wave, Inc., 10.625% Sr. Nts., 5/15/04(3) 200,000 213,000 - ---------------------------------------------------------------------- Tracor, Inc., 8.50% Sr. Sub. Nts., 3/1/07 300,000 303,750 - ---------------------------------------------------------------------- Unisys Corp., 11.75% Sr. Nts., 10/15/04 250,000 271,250 - ---------------------------------------------------------------------- USA Mobile Communications, Inc. II: 14% Sr. Nts., 11/1/04 650,000 721,500 9.50% Sr. Nts., 2/1/04 650,000 611,000 - ---------------------------------------------------------------------- Wavetek Corp., 10.125% Sr. Sub. Nts., 6/15/07(3) 475,000 489,844 ------------ 18,682,220 - ---------------------------------------------------------------------- TELECOMMUNICATIONS-TECHNOLOGY - 7.6% American Communications Services, Inc., 0%/12.75% Sr. Disc. Nts., 4/1/06(8) 390,000 214,500 - ---------------------------------------------------------------------- Bell Cablemedia plc: 0%/11.875% Sr. Disc. Nts., 9/15/05(8) 1,100,000 924,000 0%/11.95% Sr. Disc. Nts., 7/15/04(8) 1,700,000 1,547,000 - ---------------------------------------------------------------------- Brooks Fiber Properties, Inc.: 0%/10.875% Sr. Disc. Nts., 3/1/06(8) 550,000 377,438 0%/11.875% Sr. Disc. Nts., 11/1/06(8) 1,150,000 753,250 10% Sr. Nts., 6/1/07(3) 1,175,000 1,195,563 - ---------------------------------------------------------------------- Celcaribe SA, 0%/13.50% Sr. Sec. Nts., 3/15/04(4)(8) 1,025,000 937,875 - ---------------------------------------------------------------------- Colt Telecom Group plc, Units (each unit consists of $1,000 principal amount of 0%/12% sr. disc. nts., 12/15/06 and one warrant to purchase 7.8 ordinary shares)(8)(10) 1,570,000 1,028,350 - ---------------------------------------------------------------------- Comcast UK Cable Partner Ltd., 0%/11.20% Sr. Disc. Debs., 11/15/07(8) 575,000 438,438 - ---------------------------------------------------------------------- Diamond Cable Communications plc, 0%/11.75% Sr. Disc. Nts., 12/15/05(8) 1,985,000 1,349,800 - ---------------------------------------------------------------------- GST Telecommunications, Inc., 0%/13.875% Cv. Sr. Sub. Disc. Nts., 12/15/05(3)(8) 178,000 106,133 - ---------------------------------------------------------------------- GST USA, Inc., 0%/13.875% Bonds, 12/15/05(8) 555,000 345,488 - ---------------------------------------------------------------------- ICG Holdings, Inc., 0%/13.50% Sr. Disc. Nts., 9/15/05(8) 1,870,000 1,346,400 - ---------------------------------------------------------------------- International CableTel, Inc., 0%/11.50% Sr. Deferred Coupon Nts., Series B, 2/1/06(9) 475,000 331,313 - ---------------------------------------------------------------------- McLeod, Inc., 0%/10.50% Sr. Disc. Nts., 3/1/07(3)(8) 810,000 520,425 - ---------------------------------------------------------------------- MFS Communications Co., Inc.: 0%/8.875% Sr. Disc. Nts., 1/15/06(8) 250,000 198,750 0%/9.375% Sr. Disc. Nts., 1/15/04(8) 600,000 561,000
24 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER HIGH INCOME FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
PRINCIPAL MARKET VALUE AMOUNT(1) NOTE 1 - ---------------------------------------------------------------------- TELECOMMUNICATIONS-TECHNOLOGY (CONTINUED) NTL, Inc.: 0%/10.875% Sr. Deferred Coupon Nts., 10/15/03(8) $ 100,000 $ 87,250 10% Sr. Nts., 2/15/07(3) 400,000 409,000 - ---------------------------------------------------------------------- Petersburg Long Distance, Inc.: 9% Cv. Sub. Nts., 6/1/06(3) 170,000 167,238 Units (each unit consists of $1,000 principal amount of 0%/14% sr. disc. nts., 6/1/04 and one warrant to purchase 34 ordinary shares)(4)(8)(10) 1,150,000 971,750 - ---------------------------------------------------------------------- PTC International Finance BV, 0%/10.75% Gtd. Sr. Sub. Unsec. Bonds, 7/1/07(4)(8) 425,000 259,250 - ---------------------------------------------------------------------- Teleport Communications Group, Inc.: 0%/11.125% Sr. Disc. Nts., 7/1/07(8) 1,575,000 1,139,906 9.875% Sr. Nts., 7/1/06 300,000 321,000 - ---------------------------------------------------------------------- Telesystem International Wireless, Inc., 0%/13.25% Sr. Disc. Nts., 6/30/07(3)(8) 235,000 125,725 - ---------------------------------------------------------------------- Telewest Communications plc, 0%/11% Sr. Disc. Debs., 10/1/07(8) 590,000 427,750 - ---------------------------------------------------------------------- UNIFI Communications, Inc., Units (each unit consists of $1,000 principal amount of 14% sr. nts., 3/1/04 and one warrant to purchase 27.52 ordinary shares)(3)(10) 260,000 258,700 - ---------------------------------------------------------------------- Videotron Holdings plc, 0%/11% Sr. Disc. Nts., 8/15/05(8) 250,000 210,000 ------------ 16,553,292 - ---------------------------------------------------------------------- TRANSPORTATION - 1.9% - ---------------------------------------------------------------------- RAILROADS - 1.1% TFM SA de CV, 0%/11.75% Gtd. Sr. Disc. Bonds, 6/15/09(3)(8) 665,000 387,363 - ---------------------------------------------------------------------- Transtar Holdings LP/Transtar Capital Corp., 0%/13.375% Sr. Disc. Nts., Series B, 12/15/03(8) 2,425,000 2,049,125 ------------ 2,436,488 - ---------------------------------------------------------------------- TRUCKING - 0.8% Coach USA, Inc., 9.375% Gtd. Sr. Sub. Nts., 7/1/07(3) 650,000 646,750 - ---------------------------------------------------------------------- Tribasa Toll Road Trust, 10.50% Nts., Series 1993-A, 12/1/11(3) 700,000 579,831 - ---------------------------------------------------------------------- Western Star Truck Holdings Ltd., 8.75% Sr. Nts., 5/1/07(3) 500,000 515,000 ------------ 1,741,581 - ---------------------------------------------------------------------- UTILITIES - 2.1% - ---------------------------------------------------------------------- ELECTRIC UTILITIES - 2.1% CalEnergy, Inc., 9.50% Sr. Nts., 9/15/06 300,000 321,750 - ---------------------------------------------------------------------- California Energy, Inc., 10.25% Sr. Disc. Nts., 1/15/04 550,000 595,375 - ---------------------------------------------------------------------- Calpine Corp.: 10.50% Sr. Nts., 5/15/06 190,000 207,100 9.25% Sr. Nts., 2/1/04 135,000 137,700 - ---------------------------------------------------------------------- El Paso Electric Co., 9.40% First Mtg. Bonds, Series E, 5/1/11 800,000 874,000 - ---------------------------------------------------------------------- First PV Funding Corp.: 10.15% Lease Obligation Bonds, Series 1986B, 1/15/16 208,000 221,780 10.15% Lease Obligation Bonds, Series 1986B, 1/15/16 2,000 2,000 10.30% Lease Obligation Bonds, Series 1986A, 1/15/14 725,000 773,031 - ---------------------------------------------------------------------- Panda Global Energy Co., 12.50% Sr. Nts., 4/15/04(3) 850,000 833,000
25 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER HIGH INCOME FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
PRINCIPAL MARKET VALUE AMOUNT(1) NOTE 1 - ---------------------------------------------------------------------- ELECTRIC UTILITIES (CONTINUED) Subic Power Corp., 9.50% Sr. Sec. Nts., 12/28/08 $ 620,689 $ 645,561 ------------ 4,611,297 ------------ Total Corporate Bonds and Notes (Cost $137,612,802) 142,442,556 SHARES - ---------------------------------------------------------------------- COMMON STOCKS - 1.0% - ---------------------------------------------------------------------- Celcaribe SA(4)(13) 121,950 365,850 - ---------------------------------------------------------------------- Cellnet Data Systems, Inc.(13) 4,800 59,700 - ---------------------------------------------------------------------- ECM Fund, L.P.I.(4) 150 150,563 - ---------------------------------------------------------------------- EchoStar Communications Corp., Cl. A(13) 4,000 62,500 - ---------------------------------------------------------------------- Equitable Bag, Inc.(3)(13) 3,723 18,615 - ---------------------------------------------------------------------- GST Telecommunications, Inc.(13) 1,200 12,150 - ---------------------------------------------------------------------- Grand Union Co.(13) 20,511 46,150 - ---------------------------------------------------------------------- Gulfstream Holding, Inc.(13) 56 -- - ---------------------------------------------------------------------- J. Ray McDermott SA(13) 10,965 296,055 - ---------------------------------------------------------------------- Omnipoint Corp.(4)(13) 46,875 740,332 - ---------------------------------------------------------------------- Triangle Wire & Cable, Inc.(4)(13) 21,111 21,111 - ---------------------------------------------------------------------- Vail Resorts, Inc.(13) 14,010 354,628 - ---------------------------------------------------------------------- Walter Industries, Inc.(13) 6,455 108,121 ------------ Total Common Stocks (Cost $2,155,448) 2,235,775 - ---------------------------------------------------------------------- PREFERRED STOCKS - 7.6% - ---------------------------------------------------------------------- California Federal Bank: 10.625% Non-Cum., Series B 9,500 1,047,375 11.50% Non-Cum., Non-Vtg. 6,000 666,000 - ---------------------------------------------------------------------- CGA Group Ltd., Preferred(4)(13) 62,000 1,550,000 - ---------------------------------------------------------------------- CRIIMI MAE, Inc., 10.875% Cum. Cv. Preferred Stock, Series B 38,000 1,372,750 - ---------------------------------------------------------------------- Earthwatch, Inc., 12% Cv. Sr. Preferred Stock, Series C(4)(13) 90,000 936,000 - ---------------------------------------------------------------------- El Paso Electric Co., 11.40% Series A Preferred Stock(5) 8,556 964,689 - ---------------------------------------------------------------------- Fidelity Federal Bank, 12% Non-Cum. Exchangeable Perpetual Preferred Stock, Series A(4) 20,700 579,600 - ---------------------------------------------------------------------- Fresenius Medical Care Trust, 9% Preferred Securities(14) 2,460,000 2,558,400 - ---------------------------------------------------------------------- Glendale Federal Bank, F.S.B., 8.75% Non-Cum. Cv., Series E 16,500 1,072,500 - ---------------------------------------------------------------------- K-III Communications Corp., $11.625 Exchangeable, Series B(4)(5) 8,668 938,311 - ---------------------------------------------------------------------- Kelley Oil & Gas Corp., $2.625 Cv. 15,300 371,025 - ---------------------------------------------------------------------- Navistar International Corp., $6.00 Cv., Series G 2,500 152,812 - ---------------------------------------------------------------------- NEXTLINK Communications, Inc., 14% Sr. Exchangeable Preferred(5)(13) 16,495 870,111 - ---------------------------------------------------------------------- Panamsat Corp., 12.75% Sr. Preferred Exchangeable(5) 1,543 1,892,104 - ---------------------------------------------------------------------- Prime Retail, Inc., $19.00 Cv., Series B 14,500 344,375
26 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER HIGH INCOME FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
MARKET VALUE SHARES NOTE 1 - ---------------------------------------------------------------------- PREFERRED STOCKS (CONTINUED) - ---------------------------------------------------------------------- Walden Residential Properties, Inc.: Preferred Stock 13,000 $ 338,000 9.16% Cv. Preferred Stock, Series B 30,000 870,000 ------------ Total Preferred Stocks (Cost $14,759,763) 16,524,052 - ---------------------------------------------------------------------- OTHER SECURITIES - 1.5% - ---------------------------------------------------------------------- BankUnited Capital Trust, 10.25% Redeemable Trust Preferred Securities 750,000 744,375 - ---------------------------------------------------------------------- Pantry Pride, Inc., $14.875 Exchangeable, Series B 2,000 200,875 - ---------------------------------------------------------------------- SD Warren Co., 14% Cum. Exchangeable, Series B(13) 8,000 346,000 - ---------------------------------------------------------------------- SDW Holdings Corp., 15% Cum. Sr. Exchangeable Preferred(3)(13) 40,200 1,447,200 - ---------------------------------------------------------------------- WorldCom, Inc., 8% Cv. Depositary Shares each Representing 1/100 Share of Dividend Enhanced Convertible Stock 5,000 563,750 ------------ Total Other Securities (Cost $2,761,726) 3,302,200 UNITS - ---------------------------------------------------------------------- RIGHTS, WARRANTS AND CERTIFICATES - 0.5% - ---------------------------------------------------------------------- American Communications Services, Inc. Wts., Exp. 11/05(4) 475 23,750 - ---------------------------------------------------------------------- American Telecasting, Inc. Wts., Exp. 6/99(4) 6,000 3,030 - ---------------------------------------------------------------------- Ames Department Stores, Inc., Litigation Trust(4) 39,658 396 - ---------------------------------------------------------------------- Australis Media Ltd. Wts., Exp. 5/00(4) 125 1 - ---------------------------------------------------------------------- Capital Gaming International, Inc. Wts., Exp. 2/99(4) 21,112 -- - ---------------------------------------------------------------------- Cellular Communications International, Inc. Wts., Exp. 8/03(4) 2,920 43,800 - ---------------------------------------------------------------------- CGA Group Ltd. Wts., Exp. 12/49(4) 62,000 31,000 - ---------------------------------------------------------------------- Coinstar, Inc. Wts., Exp. 11/03(4) 750 52,500 - ---------------------------------------------------------------------- Comunicacion Celular SA Wts., Exp. 11/03(4) 875 48,125 - ---------------------------------------------------------------------- Eye Care Centers of America, Inc. Wts., Exp. 10/03(4) 630 3,150 - ---------------------------------------------------------------------- Foamex LP/JPS Automotive Corp. Wts., Exp. 7/99(4) 500 12,500 - ---------------------------------------------------------------------- Gaylord Container Corp. Wts., Exp. 11/02 14,410 115,280 - ---------------------------------------------------------------------- Geotek Communications, Inc. Wts., Exp. 7/05(4) 52,500 105,000 - ---------------------------------------------------------------------- ICG Communications, Inc. Wts., Exp. 9/05(4) 5,940 47,520 - ---------------------------------------------------------------------- IHF Capital, Inc., Series I Wts., Exp. 11/99(4) 400 22,000 - ---------------------------------------------------------------------- IHF Holdings, Inc. Wts., Exp. 11/99(4) 250 37,500 - ---------------------------------------------------------------------- In-Flight Phone Corp. Wts., Exp. 8/02 950 -- - ---------------------------------------------------------------------- Jewel Recovery LP, Participation Units of Limited Partners' Interest 2,360 -- - ---------------------------------------------------------------------- NEXTLINK Communications, Inc. Wts., Exp. 2/09(4) 16,000 160 - ---------------------------------------------------------------------- Occidente y Caribe Celular SA Wts., Exp. 3/04(4) 1,200 12,000 - ---------------------------------------------------------------------- Omnipoint Corp. Wts., Exp. 11/00(4) 7,500 118,453 - ---------------------------------------------------------------------- Protection One, Inc. Wts.: Exp. 11/03(4) 28,000 206,500 Exp. 6/05(4) 1,600 11,800 - ---------------------------------------------------------------------- SDW Holdings Corp., Cl. B Wts., Exp. 12/06(4) 3,750 48,750
27 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER HIGH INCOME FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
MARKET VALUE UNITS NOTE 1 - ---------------------------------------------------------------------- RIGHTS, WARRANTS AND CERTIFICATES (CONTINUED) - ---------------------------------------------------------------------- Trizec Corp. Wts., Exp. 7/99 3,970 $ 16,835 - ---------------------------------------------------------------------- United International Holdings, Inc. Wts., Exp. 11/99(4) 1,440 7,200 - ---------------------------------------------------------------------- Venezuela Oil Linked Certificates Wts., Exp. 4/20 1,785 -- ------------ Total Rights, Warrants and Certificates (Cost $311,493) 967,250 PRINCIPAL AMOUNT(1) - ---------------------------------------------------------------------- STRUCTURED INSTRUMENTS - 4.7% - ---------------------------------------------------------------------- Bayerische Landesbank Girozentrale (New York Branch): Deutsche Mark Currency Protected Yield Curve CD, 6.28%, 7/25/97 $ 300,000 312,765 Nikkei 225 Equity-Linked Nts., 6.03%, 4/23/98 700,000 771,470 Lehman Brothers High Yield Bond Index Nts., 12.50%, 8/7/97 400,000 409,240 - ---------------------------------------------------------------------- Canadian Imperial Bank of Commerce (New York Branch): U.S. Dollar CD Linked to South African Rand, 17%, 1/21/98 200,000 206,260 CD, 11.25%, 9/4/97 (indexed to the Russian Federation GKO, Zero Coupon, 8/27/97)(4) 1,100,000 1,097,250 - ---------------------------------------------------------------------- Credit Suisse First Boston (Cayman) Ltd., City of Moscow, Credit & Convertibility Linked Nts., Series EM 215, Zero Coupon, 11.111%, 12/30/97(6)(11) 450,000 426,393 - ---------------------------------------------------------------------- Daiwa Finance Corp. (New York), Daiwa Physical Commodity Excess Return Index Linked Nts., 4.719%, 8/21/97(2) 800,000 699,920 - ---------------------------------------------------------------------- ING (U.S.) Financial Holdings Corp.: Nts., Linked to the Greek Drachma/Swiss Franc Exchange Rate, Zero Coupon, 14.232%, 12/10/97(6) 285,000 259,706 Nts., Linked to the Greek Drachma/Swiss Franc Exchange Rate, Zero Coupon, 14.536%, 12/8/97(6) 600,000 544,818 Zero Coupon Nts., Linked to the Greek Drachma/Swiss Franc Exchange Rate, 13.838%, 10/8/97(6) 1,600,000 1,497,536 U.S. Dollar Hedged GKO Pass-Through Nts., Zero Coupon, 12.664%, 12/3/97(4)(7) 850,000 801,499 - ---------------------------------------------------------------------- Lehman Brothers Holdings, Inc. U.S. Dollar Nts. Linked to the Greek Drachma/Swiss Franc Exchange Rate, Zero Coupon: 25.055%, 12/23/97(6) 400,000 421,160 10.612%, 12/26/97(6) 400,000 420,520 25.567%, 12/30/97(6) 200,000 209,300 - ---------------------------------------------------------------------- Salomon, Inc. Russian S-Account Credit Linked Nts., Zero Coupon, 13.866%, 5/22/98(6) 1,850,000 1,623,690 - ---------------------------------------------------------------------- Standard Chartered Bank, Korean Wong Principal & Interest Linked Deposit: 8.04%, 12/17/97 100,000 99,450 8.63%, 6/30/98 450,000 445,995 ------------ Total Structured Instruments (Cost $10,333,432) 10,246,972
DATE STRIKE CONTRACTS - ------------------------------------------------------------------------ PUT OPTIONS PURCHASED - 0.0% - ------------------------------------------------------------------------ Italy (Republic of) Treasury Bonds, Buoni del Tesoro Poliennali, 9.50%, 2/1/06 Put Opt. (Cost $16,476) 7/97 99.96% ITL 480 --
28 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER HIGH INCOME FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
PRINCIPAL MARKET VALUE AMOUNT(1) NOTE 1 - ------------------------------------------------------------------ REPURCHASE AGREEMENTS - 3.7% - ------------------------------------------------------------------ Repurchase agreement with Zion First National Bank, 5.95%, dated 6/30/97, to be repurchased at $8,101,339 on 7/1/97, collateralized by U.S. Treasury Bonds, 12.50%, 8/15/14, with a value of $2,050,650 and U.S. Treasury Nts., 5.125%-7.25%, 5/31/98-8/15/04, with a value of $6,220,122 (Cost $8,100,000) $8,100,000 $ 8,100,000 - ------------------------------------------------------------------ TOTAL INVESTMENTS, AT VALUE (COST $217,955,147) 104.8% 227,330,762 - ------------------------------------------------------------------ LIABILITIES IN EXCESS OF OTHER ASSETS (4.8 ) (10,350,089 ) ---------- ------------ NET ASSETS 100.0% $216,980,673 ---------- ------------ ---------- ------------
1. Principal amount is reported in U.S. Dollars, except for those denoted in the following currencies: ARP - Argentine Peso JPY - Japanese Yen CAD - Canadian Dollar MXP - Mexican Peso GBP - British Pound Sterling PLZ - Polish Zloty GRD - Greek Drachma ZAR - South African Rand IDR - Indonesian Rupiah
2. Represents the current interest rate for a variable rate security. 3. 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 $36,873,098 or 16.99% of the Fund's net assets, at June 30, 1997. 4. Identifies issues considered to be illiquid or restricted - See Note 7 of Notes to Financial Statements. 5. Interest or dividend is paid in kind. 6. For zero coupon bonds, the interest rate shown is the effective yield on the date of purchase. 7. Represents the current interest rate for an increasing rate security. 8. Denotes a step bond: a zero coupon bond that converts to a fixed or variable interest rate at a designated future date. 9. Non-income producing - issuer is in default of interest payment. 10. Units may be comprised of several components, such as debt and equity and/or warrants to purchase equity at some point in the future. For units which represent debt securities, principal amount disclosed represents total underlying principal. 11. When-issued security to be delivered and settled after June 30, 1997. 12. Securities with an aggregate market value of $1,604,413 are held in collateralized accounts to cover initial margin requirements on open futures sales contracts. See Note 5 of Notes to Financial Statements. 13. Non-income producing security. 14. A sufficient amount of securities has been designated to cover outstanding written call options, as follows:
CONTRACTS SUBJECT EXPIRATION EXERCISE PREMIUM MARKET VALUE TO CALL DATE PRICE RECEIVED NOTE 1 - ------------------------------------------------------------------------------------------------------ Mexican Peso Call Option 2,200,000 7/21/97 7.955 MXP $ 21,670 $ 30,360
See accompanying Notes to Financial Statements. 29 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER BOND FUND STATEMENT OF INVESTMENTS JUNE 30, 1997 (UNAUDITED)
PRINCIPAL MARKET VALUE AMOUNT(1) NOTE 1 - ----------------------------------------------------------------- MORTGAGE-BACKED OBLIGATIONS - 56.1% - ----------------------------------------------------------------- GOVERNMENT AGENCY - 45.0% - ----------------------------------------------------------------- FHLMC/FNMA/SPONSORED - 35.1% Federal Home Loan Mortgage Corp.: Collateralized Mtg. Obligations, Gtd. Multiclass Mtg. Participation Certificates, Series 151, Cl. F, 9%, 5/15/21 $ 1,000,000 $ 1,078,338 Collateralized Mtg. Obligations, Gtd. Multiclass Mtg. Participation Certificates, Series 1712, Cl. B, 6%, 3/15/09 1,000,000 934,370 Collateralized Mtg. Obligations, Gtd. Multiclass Mtg. Participation Certificates, Series 1714, Cl. M, 7%, 8/15/23 2,000,000 1,939,360 Gtd. Multiclass Mtg. Participation Certificates, 7%, 4/1/26 4,943,877 4,861,562 Interest-Only Stripped Mtg.-Backed Security, Series 177, Cl. B, 12.298%, 7/1/26(2) 3,759,278 1,341,005 Interest-Only Stripped Mtg.-Backed Security, Series 177, Cl. B, 12.022%, 7/1/26(2) 6,723,270 2,398,317 Interest-Only Stripped Mtg.-Backed Security, Series 177, Cl. B, 13.01%, 7/1/26(2) 9,854,263 3,515,201 Interest-Only Stripped Mtg.-Backed Security, Series 177, Cl. B, 11.33%, 7/1/26(2) 25,247,985 9,006,430 Interest-Only Stripped Mtg.-Backed Security, Series 177, Cl. B, 12.349%, 7/1/26(2) 3,091,533 1,102,808 - ----------------------------------------------------------------- Government National Mortgage Assn., Gtd. Multiclass Mtg. Participation Certificates, Series 26, Cl. B, 6%, 5/25/15 6,499,999 6,088,769 - ----------------------------------------------------------------- Federal National Mortgage Assn.: 6.50%, 3/1/11 876,680 861,023 7%, 11/1/25 1,252,813 1,229,862 7%, 4/1/04 309,618 310,767 7%, 7/1/12(3) 17,850,000 17,810,908 7%, 7/25/27(3) 9,200,000 9,013,148 7.50%, 1/1/08 299,018 304,840 7.50%, 1/1/26 4,780,444 4,800,905 7.50%, 4/1/08 249,165 254,016 7.50%, 7/1/27(3) 49,025,000 49,132,365 7.50%, 7/25/12(3) 21,900,000 22,214,922 8%, 5/1/17 768,409 793,890 Collateralized Mtg. Obligations, Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates, 8.75%, 11/25/05 3,000,000 3,134,531 Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates, Trust 1989-17, Cl. E, 10.40%, 4/25/19 1,383,605 1,502,942 Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates, Trust 1997-25, Cl. B, 7%, 12/18/22 1,370,000 1,341,452 Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates, Trust 1997-5, Cl. B, 7%, 9/18/17 3,667,000 3,600,619 Interest-Only Stripped Mtg.-Backed Security, Trust 272, Cl. 2, 7.50%, 7/1/26(2) 3,084,508 1,060,782 Principal-Only Stripped Mtg.-Backed Security, Series 267, Cl. 1, 5.52%, 10/1/24(4) 7,702,126 5,656,249 ------------ 155,289,381 - ----------------------------------------------------------------- GNMA/GUARANTEED - 9.9% Government National Mortgage Assn.: 6%, 7/20/27(3) 12,000,000 12,015,000 6.50%, 7/20/27(3) 9,000,000 9,104,062 6.875%, 10/20/24 2,213,488 2,269,866 6.875%, 10/20/25 4,349,536 4,456,230 7%, 1/15/09 323,214 325,719
30 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER BOND FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
PRINCIPAL MARKET VALUE AMOUNT(1) NOTE 1 - ----------------------------------------------------------------- GNMA/GUARANTEED (CONTINUED) Government National Mortgage Assn.: (Continued) 7%, 5/15/09 $ 337,740 $ 340,358 7.50%, 7/1/27(3) 9,000,000 9,025,290 7.50%, 7/15/26 6,097,415 6,124,793 ------------ 43,661,318 - ----------------------------------------------------------------- PRIVATE - 11.1% - ----------------------------------------------------------------- COMMERCIAL - 6.5% Asset Securitization Corp., Commercial Mtg. Pass-Through Certificates, Series 1997-MD7, Cl. A6, 8.243%, 1/13/30(5) 500,000 512,187 - ----------------------------------------------------------------- BKB Commercial Mortgage Trust, Commercial Mtg. Obligations, Series 1997-C1, Cl. C, 7.45%, 10/25/00 815,000 821,112 - ----------------------------------------------------------------- Capital Lease Funding Securitization LP, Interest-Only Stripped Mtg.-Backed Security, Series 1997-CTL1, 4.69%, 6/22/24(2)(6) 33,440,398 1,524,882 - ----------------------------------------------------------------- Commercial Mortgage Acceptance Corp., Collateralized Mtg. Obligation, Series 1996-C1, Cl. D, 7.65%, 12/25/20(5)(6) 2,500,000 2,497,656 - ----------------------------------------------------------------- Criimi Mae Financial Corp., Collateralized Mtg. Obligations, Trust I, Cl. A-2, 7.56%, 8/30/05 2,000,000 1,986,250 - ----------------------------------------------------------------- FDIC Trust, Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Series 1994-C1, Cl. 2-D, 8.70%, 9/25/25(6) 1,500,000 1,561,406 Series 1994-C1, Cl. 2-E, 8.70%, 9/25/25(6) 1,500,000 1,563,750 - ----------------------------------------------------------------- Merrill Lynch Mortgage Investors, Inc., Mtg. Pass-Through Certificates, Series 1996-C1, 7.42%, 4/25/28 2,000,000 2,012,344 - ----------------------------------------------------------------- Morgan Stanley Capital I, Inc., Commercial Mtg. Pass-Through Certificates, Series 1996-C1, Cl. D-1, 7.51%, 2/15/28(5)(6) 1,000,000 1,007,500 - ----------------------------------------------------------------- NationsCommercial Corp., NB Commercial Mtg. Pass-Through Certificates: Series-DMC, Cl. B, 8.562%, 8/12/11(6) 1,600,000 1,631,437 Series-DMC, Cl. C, 8.921%, 8/12/11(7) 3,500,000 3,626,602 - ----------------------------------------------------------------- Potomac Gurnee Financial Corp., Commercial Mtg. Pass-Through Certificates: Cl. C, 7.217%, 12/21/26(6) 250,000 250,118 Cl. D, 7.683%, 12/21/26(6) 500,000 502,970 - ----------------------------------------------------------------- Resolution Trust Corp., Commercial Mtg. Pass-Through Certificates: Series 1994-C1, Cl. C, 8%, 6/25/26 1,500,000 1,533,050 Series 1995-C1, Cl. D, 6.90%, 2/25/27 3,000,000 2,951,250 - ----------------------------------------------------------------- Structured Asset Securities Corp., Multiclass Pass-Through Certificates: Series 1996-C3, Cl. C, 7.375%, 6/25/30(5)(6) 3,000,000 3,008,438 Series 1996-CFL, Cl. D, 7.034%, 2/25/28 1,800,000 1,789,313 ------------ 28,780,265 - ----------------------------------------------------------------- MANUFACTURED HOUSING - 0.2% Green Tree Financial Corp., Series 1994-6, Cl. A3, 7.70%, 1/15/20 1,000,000 1,010,930 - ----------------------------------------------------------------- MULTI-FAMILY - 0.7% Countrywide Funding Corp., Mtg. Pass-Through Certificates, Series 1993-12, Cl. B1, 6.625%, 2/25/24 1,000,000 927,891 - ----------------------------------------------------------------- Merrill Lynch Trust, Collateralized Mtg. Obligations, Gtd. Multiclass Mtg. Participation Certificates, Series 43, Cl. E, 6.50%, 8/27/15 500,000 490,000
31 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER BOND FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
PRINCIPAL MARKET VALUE AMOUNT(1) NOTE 1 - ----------------------------------------------------------------- MULTI-FAMILY (CONTINUED) Resolution Trust Corp., Commercial Mtg. Pass-Through Certificates, Series 1991-M5, Cl. A, 9%, 3/25/17 $ 1,696,577 $ 1,739,391 ------------ 3,157,282 - ----------------------------------------------------------------- OTHER - 0.0% GE Capital Mortgage Services, Inc., Series 1994-14, Cl. A1, 6.50%, 4/25/24 103,526 103,170 - ----------------------------------------------------------------- Salomon Brothers Mortgage Securities VI: Interest-Only Stripped Mtg.-Backed Security, Series 1987-3, Cl. B, 10.373%, 10/23/17(2) 91,452 29,636 Interest-Only Stripped Mtg.-Backed Security, Series 1987-3, Cl. B, 10.373%, 10/23/17(2) 32,514 10,537 Principal-Only Stripped Mtg.-Backed Security, Series 1987-3, Cl. A, Zero Coupon, 8.061%, 10/23/17(4) 47,531 32,722 ------------ 176,065 - ----------------------------------------------------------------- RESIDENTIAL - 3.7% Contimortgage Home Equity Loan Trust, Series 1995-2, Cl. A2, 7.95%, 4/15/10 262,662 265,823 - ----------------------------------------------------------------- CS First Boston Mortgage Securities Corp., Mtg. Pass-Through Certificates, Series 1997-C1, Cl. E, 7.50%, 6/20/29 4,500,000 4,479,611 - ----------------------------------------------------------------- First Chicago/Lennar Trust 1, Commercial Mtg. Pass-Through Certificates, Series 1997-CHL1, 8.13%, 7/25/06 4,024,000 4,103,851 - ----------------------------------------------------------------- First Union-Lehman Brothers Commercial Mortgage Trust, Interest-Only Stripped Mtg. Pass-Through Certificates, Series 97-C1, Cl. E-3, 8.79%, 4/18/29 17,122,600 1,357,100 - ----------------------------------------------------------------- Morgan Stanley Capital I, Inc., Commercial Mtg. Pass-Through Certificates: Series 1997-HF1, Cl. E, 7.55%, 7/15/29 1,500,000 1,498,594 Series 1997-WF1, Cl. E, 7.49%, 5/15/09 2,000,000 1,991,250 - ----------------------------------------------------------------- NationsBank Trust, Lease Pass-Through Certificates, Series 1997A-1, 7.442%, 1/10/11(5) 2,500,000 2,517,578 - ----------------------------------------------------------------- Ryland Mortgage Securities Corp. III, Sub. Bonds, Series 1992-A, Cl. 1A, 8.284%, 3/29/30(5) 363,828 364,966 ------------ 16,578,773 ------------ Total Mortgage-Backed Obligations (Cost $246,477,376) 248,654,014
- ---------------------------------------------------------------------- U.S. GOVERNMENT OBLIGATIONS - 40.3% - ---------------------------------------------------------------------- AGENCY - 0.1% - ---------------------------------------------------------------------- Fannie Mae: Sr. Unsub. Medium-Term Nts., 6.50%, 7/10/02(3) AUD 360,000 270,891 Medium-Term Nts., 7.25%, 6/20/02 NZD 385,000 262,361 ------------ 533,252 - ---------------------------------------------------------------------- TREASURY - 40.2% - ---------------------------------------------------------------------- U.S. Treasury Bonds: 10.375%, 11/15/09 500,000 607,813 10.375%, 11/15/12 500,000 635,000 12.75%, 11/15/10 1,000,000 1,388,126 9.25%, 2/15/16(8)(9) 9,500,000 11,889,848
32 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER BOND FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
PRINCIPAL MARKET VALUE AMOUNT(1) NOTE 1 - ---------------------------------------------------------------------- TREASURY (CONTINUED) - ---------------------------------------------------------------------- U.S. Treasury Nts.: 5.125%, 11/30/98 $ 500,000 $ 494,532 5.75%, 8/15/03 470,000 453,991 5.875%, 4/30/98 2,500,000 2,503,127 6%, 12/31/97 3,000,000 3,007,503 6%, 8/31/97 49,817,000 49,863,726 6.375%, 3/31/01 1,500,000 1,503,282 6.375%, 8/15/02 500,000 499,844 6.50%, 10/15/06 28,840,000 28,722,851 6.50%, 4/30/99 500,000 503,906 6.50%, 5/15/05 6,000,000 5,992,506 6.50%, 8/15/05 10,500,000 10,477,036 6.75%, 6/30/99 22,150,000 22,426,895 6.875%, 3/31/00 500,000 508,281 7.25%, 5/15/04 1,000,000 1,042,501 7.25%, 8/15/04 12,750,000 13,295,865 7.50%, 11/15/01 3,150,000 3,283,878 7.50%, 2/15/05 12,000,000 12,701,256 7.875%, 1/15/98 1,900,000 1,923,157 7.875%, 11/15/04 2,000,000 2,158,126 9.25%, 8/15/98(10) 2,000,000 2,071,876 ------------ 177,954,926 ------------ Total U.S. Government Obligations (Cost $177,649,675) 178,488,178 - ---------------------------------------------------------------------- FOREIGN GOVERNMENT OBLIGATIONS - 4.5% - ---------------------------------------------------------------------- Argentina (Republic of) Bonds, Bonos de Consolidacion de Deudas, Series I, 3.242%, 4/1/01(5)(11) ARP 530,995 485,504 - ---------------------------------------------------------------------- Bank Tabugan Negara Negotiable CD, Zero Coupon, 12.882%, 2/18/98(12) IDR 5,000,000,000 1,887,209 - ---------------------------------------------------------------------- Bonos de la Tesoreria de la Federacion, Zero Coupon: 23.663%, 2/4/98(12) MXP 6,481,720 720,855 22.519%, 3/5/98(12) MXP 20,000,000 2,189,951 - ---------------------------------------------------------------------- Canada (Government of): Debs., 10.50%, 7/1/00 CAD 360,000 298,637 Treasury Bills, Zero Coupon, 2.827%, 9/18/97(12) CAD 75,000 54,128 - ---------------------------------------------------------------------- Financiera Energetica Nacional SA Nts., 9.375%, 6/15/06 300,000 321,938 - ---------------------------------------------------------------------- Finland (Republic of) Bonds: 10%, 9/15/01 FIM 420,000 96,825 9.50%, 3/15/04 FIM 360,000 84,182 - ---------------------------------------------------------------------- Hong Kong & Shanghai Bank Banker's Acceptance Bills, Zero Coupon, 7.02%, 7/8/97(12) MYR 2,315,000 916,617 - ---------------------------------------------------------------------- Italy (Republic of): Sr. Unsec. Unsub. Global Bonds, 0.633%, 7/26/99(5) JPY 99,000,000 870,954 Treasury Bonds, Buoni del Tesoro Poliennali, 9.50%, 5/1/01 ITL 565,000,000 368,089 - ---------------------------------------------------------------------- New Zealand (Government of): Bonds, 10%, 3/15/02 NZD 720,000 550,084 Nts., 6.50%, 2/15/00 NZD 345,000 233,146
33 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER BOND FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
PRINCIPAL MARKET VALUE AMOUNT(1) NOTE 1 - ---------------------------------------------------------------------- FOREIGN GOVERNMENT OBLIGATIONS (CONTINUED) - ---------------------------------------------------------------------- Ontario, Canada (Province of) Bonds, 8%, 10/17/01 $ 750,000 $ 788,273 - ---------------------------------------------------------------------- Poland (Republic of) Bonds, 12%, 6/12/01 PLZ 5,140,000 1,260,269 Bonds, 12%, 6/12/02 PLZ 2,000,000 484,291 Portugal (Republic of) Bonds, Obrigicion do tes Medio Prazo, 11.875%, 2/23/00 PTE 86,650,000 570,749 - ---------------------------------------------------------------------- PT Hutama Karya Medium-Term Nts.: Zero Coupon, 14.201%, 3/17/98(12) IDR 1,000,000,000 371,299 Zero Coupon, 14.091%, 4/8/98(12) IDR 2,000,000,000 736,294 - ---------------------------------------------------------------------- South Africa (Republic of): Bonds, Series 162, 12.50%, 1/15/02 ZAR 13,336,000 2,768,318 Debs., 9.625%, 12/15/99 1,000,000 1,059,250 - ---------------------------------------------------------------------- Spain (Kingdom of) Gtd. Bonds, Bonos y Obligacion del Estado, 12.25%, 3/25/00 ESP 58,000,000 463,779 - ---------------------------------------------------------------------- Sweden (Kingdom of) Bonds, Series 1030, 13%, 6/15/01 SEK 2,100,000 342,466 - ---------------------------------------------------------------------- Telkom SA Ltd. Bonds, Series TK05, 12%, 3/31/98 ZAR 1,130,000 243,401 - ---------------------------------------------------------------------- The Netherlands (Government of) Bonds, 8.75%, 9/15/01 NLG 150,000 88,967 - ---------------------------------------------------------------------- Treasury Corp. of Victoria Gtd. Bonds, 12.50%, 10/15/03 AUD 333,000 324,081 - ---------------------------------------------------------------------- United Kingdom Treasury Nts., 12.50%, 11/21/05 GBP 380,000 802,401 - ---------------------------------------------------------------------- United Mexican States Bonds, 7.875%, 8/6/01(5)(7) 750,000 753,075 ------------ Total Foreign Government Obligations (Cost $20,426,610) 20,135,032 - ---------------------------------------------------------------------- LOAN PARTICIPATIONS - 0.3% - ---------------------------------------------------------------------- Colombia (Republic of) 1989-1990 Integrated Loan Facility Bonds, 6.937%, 7/1/01 (Cost $1,096,016)(5)(6) 1,163,362 1,125,553 - ---------------------------------------------------------------------- MUNICIPAL BONDS AND NOTES - 0.4% - ---------------------------------------------------------------------- Dade County, FL Educational Facilities Authority: Exchangeable Revenue Bonds, University of Miami, Prerefunded, MBIA Insured, 7.65%, 4/1/10 175,000 193,526 Revenue Bonds, University of Miami, MBIA Insured, 7.65%, 4/1/10 205,000 224,395 Taxable Exchange Revenue Bonds, University of Miami, MBIA Insured, 7.65%, 4/1/10 120,000 131,353 - ---------------------------------------------------------------------- Pinole, CA Redevelopment Agency Tax Allocation Taxable Bonds, Pinole Vista Redevelopment, Series B, 8.35%, 8/1/17 670,000 697,684 - ---------------------------------------------------------------------- Port of Portland, OR Special Obligation Taxable Revenue Bonds, PAMCO Project, 9.20%, 5/15/22 500,000 559,385 ------------ Total Municipal Bonds and Notes (Cost $1,664,213) 1,806,343 - ---------------------------------------------------------------------- CORPORATE BONDS AND NOTES - 21.2% - ---------------------------------------------------------------------- BASIC INDUSTRY - 1.6% - ---------------------------------------------------------------------- CHEMICALS - 0.5% Quantum Chemical Corp., 10.375% First Mtg. Nts., 6/1/03 2,100,000 2,243,753 - ---------------------------------------------------------------------- PAPER - 1.1% Boise Cascade Corp., 9.90% Nts., 3/15/00 750,000 806,779
34 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER BOND FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
PRINCIPAL MARKET VALUE AMOUNT(1) NOTE 1 - ---------------------------------------------------------------------- PAPER (CONTINUED) Fletcher Challenge Capital Canada, Inc., 7.75% Nts., 6/20/06 $ 1,800,000 $ 1,852,526 - ---------------------------------------------------------------------- Potlatch Corp., 9.46% Medium-Term Nts., 4/2/02 500,000 552,141 - ---------------------------------------------------------------------- Scotia Pacific Holding Co., 7.95% Timber Collateralized Nts., 7/20/15 1,445,741 1,455,515 ------------ 4,666,961 - ---------------------------------------------------------------------- CONSUMER RELATED - 2.2% - ---------------------------------------------------------------------- CONSUMER PRODUCTS - 1.0% Harman International Industries, Inc., 7.32% Nts., 7/1/07 3,000,000 2,987,400 - ---------------------------------------------------------------------- Procter & Gamble Co., 9.36% Debs., 1/1/21 500,000 606,205 - ---------------------------------------------------------------------- Toro Co., 7.125% Nts., 6/15/07 1,000,000 988,400 ------------ 4,582,005 - ---------------------------------------------------------------------- FOOD/BEVERAGES/TOBACCO - 0.2% Bass America, Inc., 6.75% Gtd. Nts., 8/1/99 750,000 755,413 - ---------------------------------------------------------------------- HEALTHCARE - 0.3% Roche Holdings, Inc., 2.75% Bonds, 4/14/00 1,250,000 1,150,781 - ---------------------------------------------------------------------- HOTEL/GAMING - 0.5% Circus Circus Enterprises, Inc., 6.75% Nts., 7/15/03 375,000 368,352 - ---------------------------------------------------------------------- Hilton Hotels Corp., 7.95% Sr. Nts., 4/15/07 2,000,000 2,049,712 ------------ 2,418,064 - ---------------------------------------------------------------------- TEXTILE/APPAREL - 0.2% Fruit of the Loom, Inc., 7% Debs., 3/15/11 1,097,000 1,023,039 - ---------------------------------------------------------------------- ENERGY - 1.7% - ---------------------------------------------------------------------- BP America, Inc., 10.875% Nts., 8/1/01 CAD 650,000 555,386 - ---------------------------------------------------------------------- Coastal Corp., 8.75% Sr. Nts., 5/15/99 500,000 520,524 - ---------------------------------------------------------------------- Colorado International Gas Corp., 10% Sr. Debs., 6/15/05 500,000 588,006 - ---------------------------------------------------------------------- Eastern Energy Ltd., 6.75% Nts., 12/1/06(7) 2,000,000 1,941,718 - ---------------------------------------------------------------------- Enron Corp., 9.875% Debs., 6/15/03 375,000 429,411 - ---------------------------------------------------------------------- HNG Internorth/Enron Corp., 9.625% Debs., 3/15/06 500,000 581,755 - ---------------------------------------------------------------------- McDermott, Inc., 9.375% Nts., 3/15/02 400,000 418,010 - ---------------------------------------------------------------------- Mitchell Energy & Development Corp., 9.25% Sr. Nts., 1/15/02 1,000,000 1,064,842 - ---------------------------------------------------------------------- Texaco Capital, Inc., 8.875% Gtd. Debs., 9/1/21 500,000 579,731 - ---------------------------------------------------------------------- TransCanada PipeLines Ltd., 9.875% Debs., 1/1/21 750,000 924,465 ------------ 7,603,848
- ----------------------------------------------------------------- FINANCIAL SERVICES - 8.3% - ----------------------------------------------------------------- BANKS & THRIFTS - 3.4% Banco Ganadero SA, 9.75% Medium-Term Nts., 8/26/99(7) 250,000 263,438 - ----------------------------------------------------------------- BankAmerica Corp., 7.75% Sub. Nts., 7/15/02 750,000 779,010 - ----------------------------------------------------------------- BankAmerica Institute, 8.07% Gtd. Bonds, Series A, 12/31/26(6) 2,000,000 2,004,330 - ----------------------------------------------------------------- Chase Manhattan Corp. (New), 10.125% Sub. Nts., 11/1/00 750,000 827,173 - ----------------------------------------------------------------- Citicorp Capital I, 7.933% Gtd. Bonds, 2/15/27 2,000,000 2,000,404 - ----------------------------------------------------------------- Deutsche Bank Financial, Inc., 6.70% Gtd. Nts., 12/13/06 2,000,000 1,946,700
35 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER BOND FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
PRINCIPAL MARKET VALUE AMOUNT(1) NOTE 1 - ----------------------------------------------------------------- BANKS & THRIFTS (CONTINUED) First Chicago Corp.: 11.25% Sub. Nts., 2/20/01 $ 750,000 $ 856,811 9% Sub. Nts., 6/15/99 150,000 157,028 - ----------------------------------------------------------------- First Fidelity Bancorporation, 8.50% Sub. Capital Nts., 4/1/98 850,000 864,308 - ----------------------------------------------------------------- Mellon Capital II, 7.995% Gtd. Capital Securities Bonds, Series B, 1/15/27 3,000,000 2,998,164 - ----------------------------------------------------------------- Suntrust Banks, Inc., 8.875% Debs., 2/1/98 500,000 508,429 - ----------------------------------------------------------------- Swiss Bank Corp., 7.25% Sub. Nts., 9/1/06 2,000,000 2,023,372 ------------ 15,229,167 - ----------------------------------------------------------------- DIVERSIFIED FINANCIAL - 3.5% Allied-Lyons Finance BV, 6.50% Debs., 8/26/97 500,000 500,175 - ----------------------------------------------------------------- American General Finance Corp., 5.875% Sr. Nts., 7/1/00 196,000 192,440 - ----------------------------------------------------------------- Countrywide Funding Corp., 6.57% Gtd. Medium-Term Nts., Series A, 8/4/97 196,000 196,183 - ----------------------------------------------------------------- Fleet Mtg. Group, Inc., 6.50% Nts., 9/15/99 500,000 500,120 - ----------------------------------------------------------------- Ford Motor Credit Co., 6.75% Nts., 8/15/08 1,000,000 966,193 - ----------------------------------------------------------------- Household Finance Corp., 8.95% Debs., 9/15/99 500,000 524,895 - ----------------------------------------------------------------- Household International BV, 6% Gtd. Sr. Nts., 3/15/99 131,000 129,905 - ----------------------------------------------------------------- HSBC Americas Capital Trust II, 8.38% Capital Securities, 5/15/27(7) 3,000,000 3,059,388 - ----------------------------------------------------------------- Merrill Lynch & Co., Inc., 6.875% Nts., 3/1/03 750,000 752,047 - ----------------------------------------------------------------- Morgan Stanley, Dean Witter, Discover & Co., 7% Debs., 10/1/13 1,000,000 959,856 - ----------------------------------------------------------------- Norsk Hydro AS, 8.75% Bonds, 10/23/01 1,000,000 1,070,625 - ----------------------------------------------------------------- Penske Truck Leasing Co. LP, 7.75% Sr. Nts., 5/15/99 1,000,000 1,025,978 - ----------------------------------------------------------------- Salomon, Inc., 7.30% Nts., 5/15/02 1,000,000 1,008,031 - ----------------------------------------------------------------- U.S. Leasing International, Inc.: 6.625% Sr. Nts., 5/15/03 750,000 738,878 7% Nts., 11/1/97 750,000 752,629 - ----------------------------------------------------------------- Washington Mutual Capital I, 8.375% Gtd. Bonds, 6/1/27 3,000,000 3,047,751 ------------ 15,425,094 - ----------------------------------------------------------------- INSURANCE - 1.4% Aetna Services, Inc., 7.125% Nts., 8/15/06 1,000,000 998,729 - ----------------------------------------------------------------- Allmerica Capital I, 8.207% Debs., 2/3/27(7) 2,000,000 2,019,166 - ----------------------------------------------------------------- Prudential Insurance Co. of America, 7.65% Surplus Nts., 7/1/07(7) 3,000,000 3,043,851 - ----------------------------------------------------------------- SunAmerica, Inc., 9% Sr. Nts., 1/15/99 196,000 202,855 ------------ 6,264,601 - ----------------------------------------------------------------- MANUFACTURING - 0.3% - ----------------------------------------------------------------- AUTOMOTIVE - 0.3% Chrysler Corp., 10.95% Debs., 8/1/17 800,000 848,251 - ----------------------------------------------------------------- Johnson Controls, Inc., 7.70% Debs., 3/1/15 500,000 522,518 ------------ 1,370,769 - ----------------------------------------------------------------- MEDIA - 3.7% - ----------------------------------------------------------------- CABLE TELEVISION - 2.0% Cablevision Industries Corp., 9.25% Sr. Debs., Series B, 4/1/08 4,000,000 4,315,956
36 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER BOND FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
PRINCIPAL MARKET VALUE AMOUNT(1) NOTE 1 - ----------------------------------------------------------------- CABLE TELEVISION (CONTINUED) Panamsat LP/Panamsat Capital Corp., 0%/11.375% Sr. Sub. Disc. Nts., 8/1/03(13) $ 2,000,000 $ 1,947,500 - ----------------------------------------------------------------- TKR Cable I, Inc., 10.50% Sr. Debs., 10/30/07 2,200,000 2,421,511 ------------ 8,684,967 - ----------------------------------------------------------------- DIVERSIFIED MEDIA - 1.4% GSP I Corp., 10.15% First Mtg. Bonds, 6/24/10(7) 1,121,594 1,034,795 - ----------------------------------------------------------------- News America Holdings, Inc., 10.125% Gtd. Sr. Debs., 10/15/12 500,000 563,428 - ----------------------------------------------------------------- Time Warner Entertainment LP/Time Warner, Inc., 8.375% Sr. Debs., 3/15/23 4,295,000 4,413,932 ------------ 6,012,155 - ----------------------------------------------------------------- ENTERTAINMENT/FILM - 0.1% Columbia Pictures Entertainment, Inc., 9.875% Sr. Sub. Nts., 2/1/98 500,000 510,771 - ----------------------------------------------------------------- PUBLISHING/PRINTING - 0.2% Reed Elsevier, Inc., 6.625% Nts., 10/15/23(7) 600,000 530,478 - ----------------------------------------------------------------- Reed Publishing (USA), Inc., 7.66% Medium-Term Nts., 2/19/99 500,000 510,000 ------------ 1,040,478 - ----------------------------------------------------------------- OTHER - 0.5% - ----------------------------------------------------------------- CONGLOMERATES - 0.3% Tenneco, Inc. (New): 10.20% Debs., 3/15/08 400,000 488,053 8.075% Nts., 10/1/02 650,000 684,108 ------------ 1,172,161 - ----------------------------------------------------------------- SERVICES - 0.2% Archer Daniels Midland Co., 7.125% Debs., 3/1/13 750,000 758,350 - ----------------------------------------------------------------- TECHNOLOGY - 0.4% - ----------------------------------------------------------------- TELECOMMUNICATIONS-TECHNOLOGY - 0.4% Bell Cablemedia plc, 0%/11.95% Sr. Disc. Nts., 7/15/04(13) 2,100,000 1,911,000 - ----------------------------------------------------------------- TRANSPORTATION - 0.3% - ----------------------------------------------------------------- RAILROADS - 0.3% Kansas City Southern Industries, Inc., 6.625% Nts., 3/1/05 750,000 730,101 - ----------------------------------------------------------------- Union Pacific Corp., 9.65% Medium-Term Nts., 4/17/00 400,000 429,268 ------------ 1,159,369 - ----------------------------------------------------------------- UTILITIES - 2.2% - ----------------------------------------------------------------- ELECTRIC UTILITIES - 1.0% Cleveland Electric Illuminating Co./Toledo Edison Co., 7.13% Nts., 7/1/07(7) 3,000,000 3,060,000 - ----------------------------------------------------------------- Long Island Lighting Co., 7% Nts., 3/1/04 150,000 147,915 - ----------------------------------------------------------------- Public Service Co. of Colorado, 8.75% First Mtg. Bonds, 3/1/22 750,000 799,197 - ----------------------------------------------------------------- South Carolina Electric & Gas Co., 9% Mtg. Bonds, 7/15/06 500,000 561,502 ------------ 4,568,614 - ----------------------------------------------------------------- GAS UTILITIES - 0.6% Consolidated Natural Gas Co., 6.625% Debs., 12/1/13 1,000,000 940,651 - ----------------------------------------------------------------- National Fuel Gas Co., 7.75% Debs., 2/1/04 500,000 516,622 - ----------------------------------------------------------------- Texas Gas Transmission Corp., 8.625% Nts., 4/1/04 500,000 542,012
37 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER BOND FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
PRINCIPAL MARKET VALUE AMOUNT(1) NOTE 1 - ----------------------------------------------------------------- GAS UTILITIES (CONTINUED) Washington Gas Light Co., 8.75% First Mtg. Bonds, 7/1/19 $ 500,000 $ 521,484 ------------ 2,520,769 - ----------------------------------------------------------------- TELEPHONE UTILITIES - 0.6% Alltel Corp., 6.50% Debs., 11/1/13 1,000,000 921,678 - ----------------------------------------------------------------- GTE Corp.: 8.85% Debs., 3/1/98 750,000 763,593 9.375% Debs., 12/1/00 500,000 541,561 - ----------------------------------------------------------------- Northern Telecom Ltd., 6.875% Nts., 10/1/02 500,000 502,375 ------------ 2,729,207 ------------ Total Corporate Bonds and Notes (Cost $93,810,611) 93,801,336 SHARES - ----------------------------------------------------------------- PREFERRED STOCKS - 0.7% - ----------------------------------------------------------------- Allstate Financing I, 7.95% Gtd. Quarterly Income Preferred Securities, Series A (Cost $3,000,000) 120,000 3,000,000 PRINCIPAL AMOUNT(1) - ----------------------------------------------------------------- STRUCTURED INSTRUMENTS - 2.1% - ----------------------------------------------------------------- Bayerische Landesbank (New York Branch) CD, 13.75%, 8/18/97 (indexed to the cross currency rates of Greek Drachma & Swiss Franc) $ 250,000 238,725 - ----------------------------------------------------------------- Bayerische Landesbank Girozentrale (New York Branch) Deutsche Mark Currency Protected Yield Curve CD, 6.28%, 7/25/97 150,000 156,382 - ----------------------------------------------------------------- Canadian Imperial Bank of Commerce (New York Branch) U.S. Dollar CD Linked to South African Rand, 17%, 1/21/98 500,000 515,650 - ----------------------------------------------------------------- Canadian Imperial Bank of Commerce (New York Branch) Canadian Dollar Three Month Banker's Acceptance Linked Maximum Rate Nts., 8.66%, 4/13/98 500,000 499,800 - ----------------------------------------------------------------- Canadian Imperial Bank of Commerce (New York Branch) CD, 11.25%, 9/4/97 (indexed to the Russian Federation GKO, Zero Coupon, 8/27/97)(6) 2,000,000 1,995,000 - ----------------------------------------------------------------- Canadian Imperial Bank of Commerce (New York Branch) Three Month British Pound LIBOR Forward Linked Nts., 5.79%, 5/22/98 500,000 500,500 - ----------------------------------------------------------------- Daiwa Finance Corp. (New York), Daiwa Physical Commodity Excess Return Index Linked Nts., 4.719%, 8/21/97(5) 1,000,000 874,900 - ----------------------------------------------------------------- ING (U.S.) Financial Holdings Corp. U.S. Dollar Denominated Pass-Through Nts. Linked to Malaysian Ringgit, Zero Coupon, 7.13%, 10/14/97(12) 250,000 243,048 - ----------------------------------------------------------------- Lehman Brothers Holdings, Inc. Greek Drachma/Swiss Franc Linked Nts., Zero Coupon, 14.709%, 1/15/98(12) 800,000 799,440 - ----------------------------------------------------------------- Lehman Brothers Holdings, Inc. U.S. Dollar Nts. Linked to the Greek Drachma/ Swiss Franc Exchange Rate, Zero Coupon, 25.635%, 12/23/97(12) 500,000 526,450 - ----------------------------------------------------------------- Lehman Brothers Holdings, Inc. U.S. Dollar Nts. Linked to the Greek Drachma/ Swiss Franc Exchange Rate, Zero Coupon, 22.869%, 12/26/97(12) 500,000 525,650 - ----------------------------------------------------------------- Lehman Brothers Holdings, Inc. U.S. Dollar Nts. Linked to the Greek Drachma/ Swiss Franc Exchange Rate, Zero Coupon, 26.092%, 12/30/97(12) 1,000,000 1,046,500
38 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER BOND FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
PRINCIPAL MARKET VALUE AMOUNT(1) NOTE 1 - ----------------------------------------------------------------- STRUCTURED INSTRUMENTS (CONTINUED) - ----------------------------------------------------------------- Merrill Lynch & Co., Inc., Units, 9.75%, 6/15/99 (representing debt of Chemical Banking Corp., sub. capital nts., and equity of Citicorp, 7.75% preferred, series 22)(6) $ 1,000,000 $ 1,177,600 - ----------------------------------------------------------------- Morgan Guaranty Trust Co. of New York, Japanese Government Bond 193 Currency Protected Bank Nts., 8.14%, 4/29/98 10,000 10,383 - ----------------------------------------------------------------- Standard Chartered Bank, Korean Wong Principal & Interest Linked Deposit, 8.04%, 12/17/97 250,000 248,625 ------------ Total Structured Instruments (Cost $9,430,176) 9,358,653
DATE STRIKE CONTRACTS - ------------------------------------------------------------------------------------- CALL OPTIONS PURCHASED - 0.0% - ------------------------------------------------------------------------------------- U.S. Treasury Nts., 6.625%, 5/15/07 Call Opt., (Cost $159,908) 9/97 100.563% 13,600 133,875 - ------------------------------------------------------------------------------------- PUT OPTIONS PURCHASED - 0.0% - ------------------------------------------------------------------------------------- Italy (Republic of) Treasury Bonds, Buoni del Tesoro Poliennali, 9.50%, 2/1/06 Put Opt. 7/97 99.96 ITL 1,700 -- - ------------------------------------------------------------------------------------- New Zealand Dollar Put Opt. 8/97 1.460 NZD 605,000 7,151 - ------------------------------------------------------------------------------------- New Zealand Dollar Put Opt. 8/97 1.465 NZD 240,000 2,448 ------------ Total Put Options Purchased (Cost $63,574) 9,599
PRINCIPAL AMOUNT(1) - -------------------------------------------------------------------------- REPURCHASE AGREEMENTS - 1.4% - -------------------------------------------------------------------------- Repurchase agreement with J.P. Morgan Securities, Inc., 5.95%, dated 6/30/97, to be repurchased at $6,101,008 on 7/1/97, collateralized by U.S. Treasury Bonds, 8.875%-12%, 8/15/13-2/15/19, with a value of $5,723,935 and U.S. Treasury Nts., 7.875%, 11/15/04, with a value of $521,946 (Cost $6,100,000) $ 6,100,000 6,100,000 - -------------------------------------------------------------------------- TOTAL INVESTMENTS, AT VALUE (COST $559,878,159) 127.0% 562,612,583 - -------------------------------------------------------------------------- LIABILITIES IN EXCESS OF OTHER ASSETS (27.0) (119,602,786) ---------------- ---------------- NET ASSETS 100.0% $ 443,009,797 ---------------- ---------------- ---------------- ----------------
1. Principal amount is reported in U.S. Dollars, except for those denoted in the following currencies: ARP - Argentine Peso IEP - Irish Punt AUD - Australian Dollar INR - Indian Rupee CAD - Canadian Dollar ITL - Italian Lira CHF - Swiss Franc JPY - Japanese Yen CLP - Chilean Peso MXP - Mexican Peso CZK - Czech Koruna MYR - Malaysian Ringgit DEM - German Deutsche Mark NLG - Netherlands Guilder DKK - Danish Krone NOK - Norwegian Krone ESP - Spanish Peseta NZD - New Zealand Dollar FIM - Finnish Markka PLZ - Polish Zloty FRF - French Franc PTE - Portuguese Escudo GBP - British Pound Sterling SEK - Swedish Krona GRD - Greek Drachma SGD - Singapore Dollar HKD - Hong Kong Dollar SKK - Slovakia Koruna HUF - Hungarian Forint THB - Thai Baht IDR - Indonesian Rupiah ZAR - South African Rand
39 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER BOND FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED) 2. Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. 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-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. 3. When-issued security to be delivered and settled after June 30, 1997. 4. 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. 5. Represents the current interest rate for a variable rate security. 6. Identifies issues considered to be illiquid or restricted - See Note 8 of Notes to Financial Statements. 7. 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 $19,332,511 or 5.06% of the Fund's net assets, at June 30, 1997. 8. A sufficient amount of liquid assets has been designated to cover outstanding written call and put options, as follows:
FACE/CONTRACTS MARKET SUBJECT TO EXPIRATION PREMIUM VALUE NOTE CALL DATE EXERCISE PRICE RECEIVED 1 - ------------------------------------------------------------------------------------------------------ Australia (Commonwealth of) Bonds, 10%, 10/15/07 Call Opt. $ 280 7/21/97 114.16% AUD $ 3,741 $ 14,741 British Pound Sterling Call Option 130,000 7/17/97 .607 GBP 2,600 1,509 Federal National Mortgage Assn., 7.50%, 7/1/27, Call Option $ 22,700 9/4/97 99.813% 159,609 159,609 New Zealand Dollar Call Option 240,000 8/25/97 1.433 NZD 1,320 204 New Zealand Dollar Call Option 605,000 8/25/97 1.449 NZD 3,933 1,252 New Zealand (Government of) Bonds, 10%, 3/15/02 Put Option $ 340 7/15/97 106.64% NZD 2,597 27 New Zealand (Government of) Bonds, 8%, 11/15/06 Put Option $ 490 8/22/97 100.76% NZD 2,762 -- ----------- ----------- $176,562 $ 177,342 ----------- ----------- ----------- -----------
9. A sufficient amount of securities has been designated to cover outstanding forward foreign currency exchange contracts. See Note 5 of Notes to Financial Statements. 10. Securities with an aggregate market value of $2,071,876 are held in collateralized accounts to cover initial margin requirements on open futures sales contracts. See Note 6 of Notes to Financial Statements. 11. Interest or dividend is paid in kind. 12. For zero coupon bonds, the interest rate shown is the effective yield on the date of purchase. 13. Denotes a step bond: a zero coupon bond that converts to a fixed or variable interest rate at a designated future date. See accompanying Notes to Financial Statements. 40 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER CAPITAL APPRECIATION FUND STATEMENT OF INVESTMENTS JUNE 30, 1997 (UNAUDITED)
PRINCIPAL MARKET VALUE AMOUNT NOTE 1 - --------------------------------------------------------------------- CONVERTIBLE CORPORATE BONDS AND NOTES - 0.6% - --------------------------------------------------------------------- DIVERSIFIED FINANCIAL - 0.1% - --------------------------------------------------------------------- Danka Business Systems plc, 6.75% Cv. Sub. Nts., 4/1/02(1) $ 800,000 $ 1,188,000 - --------------------------------------------------------------------- Southern Pacific Funding Corp., 6.75% Cv. Sub. Nts., 10/15/06 1,000,000 938,750 - --------------------------------------------------------------------- United Waste Systems, Inc., 4.50% Cv. Sub. Nts., 6/1/01(2) 2,000,000 2,747,500 ------------- Total Convertible Corporate Bonds and Notes (Cost $3,800,000) 4,874,250 SHARES - --------------------------------------------------------------------- COMMON STOCKS - 84.0% - --------------------------------------------------------------------- CONSUMER CYCLICALS - 11.1% - --------------------------------------------------------------------- LEISURE & ENTERTAINMENT - 3.8% Applebee's International, Inc. 170,000 4,547,500 - --------------------------------------------------------------------- Callaway Golf Co. 100,000 3,550,000 - --------------------------------------------------------------------- CKE Restaurants, Inc. 273,500 8,649,437 - --------------------------------------------------------------------- HFS, Inc.(3) 100,000 5,800,000 - --------------------------------------------------------------------- Landry's Seafood Restaurants, Inc.(3) 280,000 6,440,000 ------------- 28,986,937 - --------------------------------------------------------------------- RETAIL: GENERAL - 2.9% Meyer (Fred), Inc.(3) 70,000 3,618,125 - --------------------------------------------------------------------- Nautica Enterprises, Inc.(3) 230,000 6,080,625 - --------------------------------------------------------------------- North Face, Inc. (The)(3) 165,000 3,011,250 - --------------------------------------------------------------------- Vans, Inc.(3) 350,000 5,293,750 - --------------------------------------------------------------------- Wolverine World Wide, Inc. 127,750 3,880,406 ------------- 21,884,156 - --------------------------------------------------------------------- RETAIL: SPECIALTY - 4.4% Central Garden & Pet Co.(3) 110,000 2,750,000 - --------------------------------------------------------------------- General Nutrition Cos., Inc.(3) 330,000 9,240,000 - --------------------------------------------------------------------- Hollywood Entertainment Corp.(3) 217,500 4,975,312 - --------------------------------------------------------------------- Linens 'N Things, Inc.(3) 230,500 6,828,562 - --------------------------------------------------------------------- Petco Animal Supplies, Inc.(3) 160,000 4,800,000 - --------------------------------------------------------------------- TJX Cos., Inc. 180,000 4,747,500 ------------- 33,341,374 - --------------------------------------------------------------------- CONSUMER NON-CYCLICALS - 17.6% - --------------------------------------------------------------------- FOOD - 0.3% Disco SA, Sponsored ADR(3) 60,800 2,409,200 - --------------------------------------------------------------------- HEALTHCARE/DRUGS - 4.0% Alpha-Beta Technology, Inc.(3) 126,900 1,157,962 - --------------------------------------------------------------------- BioChem Pharma, Inc.(3) 180,000 4,005,000 - --------------------------------------------------------------------- Biogen, Inc.(3) 100,000 3,387,500 - --------------------------------------------------------------------- Dura Pharmaceuticals, Inc.(3) 160,000 6,380,000
41 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER CAPITAL APPRECIATION FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
MARKET VALUE SHARES NOTE 1 - --------------------------------------------------------------------- HEALTHCARE/DRUGS (CONTINUED) Human Genome Sciences, Inc.(3) 100,000 $ 3,325,000 - --------------------------------------------------------------------- Incyte Pharmaceuticals, Inc.(3) 45,000 3,015,000 - --------------------------------------------------------------------- Millennium Pharmaceuticals, Inc.(3) 100,000 1,612,500 - --------------------------------------------------------------------- Nuerocrine Biosciences, Inc.(3) 105,000 945,000 - --------------------------------------------------------------------- Parexel International Corp.(3) 200,000 6,350,000 ------------- 30,177,962 - --------------------------------------------------------------------- HEALTHCARE/SUPPLIES & SERVICES - 10.7% AmeriSource Health Corp., Cl. A(3) 164,700 8,214,413 - --------------------------------------------------------------------- Cardinal Health, Inc. 57,500 3,291,875 - --------------------------------------------------------------------- Covance, Inc.(3) 300,000 5,793,750 - --------------------------------------------------------------------- ESC Medical Systems Ltd.(3) 122,100 3,113,550 - --------------------------------------------------------------------- FPA Medical Management, Inc.(3) 360,000 8,527,500 - --------------------------------------------------------------------- HEALTHSOUTH Corp.(3) 340,000 8,478,750 - --------------------------------------------------------------------- IMPATH, Inc.(3) 150,000 4,087,500 - --------------------------------------------------------------------- Integ, Inc.(3) 111,500 864,125 - --------------------------------------------------------------------- MedPartners, Inc.(3) 135,000 2,919,375 - --------------------------------------------------------------------- Omnicare, Inc. 98,600 3,093,575 - --------------------------------------------------------------------- Pediatrix Medical Group, Inc.(3) 150,000 6,871,875 - --------------------------------------------------------------------- PhyCor, Inc.(3) 127,500 4,390,781 - --------------------------------------------------------------------- Quintiles Transnational Corp.(3) 30,000 2,088,750 - --------------------------------------------------------------------- Renal Treatment Centers, Inc.(3) 300,000 8,062,500 - --------------------------------------------------------------------- Total Renal Care Holdings, Inc.(3) 302,600 12,160,738 ------------- 81,959,057 - --------------------------------------------------------------------- HOUSEHOLD GOODS - 1.6% Blyth Industries, Inc.(3) 352,500 11,896,875 - --------------------------------------------------------------------- TOBACCO - 1.0% General Cigar Holdings, Inc.(3) 133,600 3,932,850 - --------------------------------------------------------------------- Swisher International Group, Inc., Cl. A(3) 225,000 3,881,250 ------------- 7,814,100 - --------------------------------------------------------------------- ENERGY - 4.9% - --------------------------------------------------------------------- ENERGY SERVICES & PRODUCERS - 4.9% Calpine Corp.(3) 245,000 4,655,000 - --------------------------------------------------------------------- Diamond Offshore Drilling, Inc.(3) 76,900 6,007,813 - --------------------------------------------------------------------- EVI, Inc.(3) 180,400 7,576,800 - --------------------------------------------------------------------- Halliburton Co. 100,000 7,925,000 - --------------------------------------------------------------------- Nabors Industries, Inc.(3) 150,000 3,750,000 - --------------------------------------------------------------------- Santa Fe International Corp.(3) 230,000 7,820,000 ------------- 37,734,613
42 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER CAPITAL APPRECIATION FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
MARKET VALUE SHARES NOTE 1 - --------------------------------------------------------------------- FINANCIAL - 7.3% - --------------------------------------------------------------------- BANKS - 0.3% Banco de Galicia y Buenos Aires SA de CV, Sponsored ADR 100,000 $ 2,637,500 - --------------------------------------------------------------------- DIVERSIFIED FINANCIAL - 2.4% Arm Financial Group, Inc., Cl. A(3) 200,000 4,000,000 - --------------------------------------------------------------------- Associates First Capital Corp., Cl. A 161,000 8,935,500 - --------------------------------------------------------------------- FIRSTPLUS Financial Group, Inc.(3) 150,000 5,100,000 ------------- 18,035,500 - --------------------------------------------------------------------- INSURANCE - 4.6% CapMAC Holdings, Inc. 100,600 3,382,675 - --------------------------------------------------------------------- Conseco, Inc. 230,000 8,510,000 - --------------------------------------------------------------------- Everest Reinsurance Holdings, Inc. 200,000 7,925,000 - --------------------------------------------------------------------- Executive Risk, Inc. 135,000 7,020,000 - --------------------------------------------------------------------- Travelers Property Casualty Corp., Cl. A 200,000 7,975,000 ------------- 34,812,675 - --------------------------------------------------------------------- INDUSTRIAL - 13.0% - --------------------------------------------------------------------- INDUSTRIAL MATERIALS - 0.4% Corning, Inc. 60,000 3,337,500 - --------------------------------------------------------------------- INDUSTRIAL SERVICES - 11.4% AccuStaff, Inc.(3) 250,000 5,921,875 - --------------------------------------------------------------------- Affiliated Computer Services, Inc., Cl. A(3) 200,000 5,600,000 - --------------------------------------------------------------------- CIBER, Inc.(3) 201,300 6,881,944 - --------------------------------------------------------------------- Computer Horizons Corp.(3) 90,000 3,082,500 - --------------------------------------------------------------------- Corrections Corp. of America(3) 210,000 8,347,500 - --------------------------------------------------------------------- CORT Business Services Corp.(3) 50,300 1,483,850 - --------------------------------------------------------------------- CUC International, Inc.(3) 330,000 8,518,125 - --------------------------------------------------------------------- Danka Business Systems plc, Sponsored ADR 150,000 6,131,250 - --------------------------------------------------------------------- National Data Corp. 150,000 6,496,875 - --------------------------------------------------------------------- Newpark Resources, Inc.(3) 143,400 4,839,750 - --------------------------------------------------------------------- Precision Response Corp.(3) 308,100 5,083,650 - --------------------------------------------------------------------- SITEL Corp.(3) 342,200 7,057,875 - --------------------------------------------------------------------- Tetra Technologies, Inc.(3) 125,000 3,093,750 - --------------------------------------------------------------------- U.S. Rentals, Inc.(3) 181,500 4,594,219 - --------------------------------------------------------------------- United Waste Systems, Inc.(3) 84,000 3,444,000 - --------------------------------------------------------------------- USA Waste Services, Inc.(3) 106,300 4,105,838 - --------------------------------------------------------------------- West TeleServices Corp.(3) 150,200 2,215,450 ------------- 86,898,451 - --------------------------------------------------------------------- MANUFACTURING - 1.2% Cognex Corp.(3) 130,000 3,445,000 - --------------------------------------------------------------------- U.S. Filter Corp.(3) 208,600 5,684,350 ------------- 9,129,350
43 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER CAPITAL APPRECIATION FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
MARKET VALUE SHARES NOTE 1 - --------------------------------------------------------------------- TECHNOLOGY - 29.4% - --------------------------------------------------------------------- AEROSPACE/DEFENSE - 1.0% REMEC, Inc.(3) 337,500 $ 7,931,250 - --------------------------------------------------------------------- COMPUTER HARDWARE - 0.5% MicroTouch Systems, Inc.(3) 180,000 4,140,000 - --------------------------------------------------------------------- COMPUTER SOFTWARE - 11.5% Aspen Technologies, Inc.(3) 136,000 5,117,000 - --------------------------------------------------------------------- Cambridge Technology Partners, Inc.(3) 226,600 7,251,200 - --------------------------------------------------------------------- Compuware Corp.(3) 100,000 4,775,000 - --------------------------------------------------------------------- Dr. Solomon's Group plc, ADR(3) 150,000 3,806,250 - --------------------------------------------------------------------- Eidos plc, Sponsored ADR(3) 225,000 2,756,250 - --------------------------------------------------------------------- Harbinger Corp.(3) 260,000 7,280,000 - --------------------------------------------------------------------- HBO & Co. 100,000 6,887,500 - --------------------------------------------------------------------- IONA Technologies plc, ADR(3) 120,000 2,370,000 - --------------------------------------------------------------------- JDA Software Group, Inc.(3) 260,000 8,872,500 - --------------------------------------------------------------------- McAfee Associates, Inc.(3) 120,000 7,575,000 - --------------------------------------------------------------------- Rational Software Corp.(3) 82,500 1,387,031 - --------------------------------------------------------------------- Remedy Corp.(3) 95,000 3,800,000 - --------------------------------------------------------------------- Rogue Wave Software, Inc.(3) 200,000 2,500,000 - --------------------------------------------------------------------- SELECT Software Tools Ltd., ADR(3) 220,000 2,915,000 - --------------------------------------------------------------------- Template Software, Inc.(3) 225,000 3,262,500 - --------------------------------------------------------------------- Versant Object Technology Corp.(3) 225,000 1,350,000 - --------------------------------------------------------------------- Viasoft, Inc.(3) 80,000 4,060,000 - --------------------------------------------------------------------- Visigenic Software, Inc.(3) 235,000 1,997,500 - --------------------------------------------------------------------- Visio Corp.(3) 140,000 9,870,000 ------------- 87,832,731 - --------------------------------------------------------------------- ELECTRONICS - 3.0% Altera Corp.(3) 80,000 4,040,000 - --------------------------------------------------------------------- BENCHMARQ Microelectronics, Inc.(3) 150,000 2,587,500 - --------------------------------------------------------------------- Photronics, Inc.(3) 100,000 4,775,000 - --------------------------------------------------------------------- Sawtek, Inc.(3) 50,100 1,690,875 - --------------------------------------------------------------------- Vitesse Semiconductor Corp.(3) 125,000 4,085,938 - --------------------------------------------------------------------- Waters Corp.(3) 150,000 5,381,250 ------------- 22,560,563 - --------------------------------------------------------------------- TELECOMMUNICATIONS-TECHNOLOGY - 13.4% Advanced Fibre Communications, Inc.(3) 80,000 4,830,000 - --------------------------------------------------------------------- Allen Telecom, Inc.(3) 300,000 6,225,000 - --------------------------------------------------------------------- Ascend Communications, Inc.(3) 175,000 6,890,625 - --------------------------------------------------------------------- Comverse Technology, Inc.(3) 170,000 8,840,000 - --------------------------------------------------------------------- Davox Corp.(3) 187,500 6,703,125 - --------------------------------------------------------------------- Gilat Satellite Networks Ltd.(3) 115,000 3,823,750
44 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER CAPITAL APPRECIATION FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
MARKET VALUE SHARES NOTE 1 - --------------------------------------------------------------------- TELECOMMUNICATIONS-TECHNOLOGY (CONTINUED) Lucent Technologies, Inc. 80,000 $ 5,765,000 - --------------------------------------------------------------------- Newbridge Networks Corp.(3) 210,000 9,135,000 - --------------------------------------------------------------------- Periphonics Corp.(3) 190,800 4,102,200 - --------------------------------------------------------------------- QUALCOMM, Inc.(3) 120,000 6,105,000 - --------------------------------------------------------------------- Saville Systems Ireland plc, Sponsored ADR(3) 170,000 8,840,000 - --------------------------------------------------------------------- Scientific-Atlanta, Inc. 100,000 2,187,500 - --------------------------------------------------------------------- Tel-Save Holdings, Inc.(3) 130,000 1,982,500 - --------------------------------------------------------------------- Teledata Communications Ltd.(3) 270,000 9,281,250 - --------------------------------------------------------------------- Tellabs, Inc.(3) 160,000 8,940,000 - --------------------------------------------------------------------- Uniphase Corp.(3) 140,000 8,155,000 ------------- 101,805,950 - --------------------------------------------------------------------- UTILITIES - 0.7% - --------------------------------------------------------------------- TELEPHONE UTILITIES - 0.7% Telecomunicacoes Brasileiras SA, Sponsored ADR 35,000 5,311,250 ------------- Total Common Stocks (Cost $495,214,163) 640,636,994 UNITS - --------------------------------------------------------------------- RIGHTS, WARRANTS AND CERTIFICATES - 0.0% - --------------------------------------------------------------------- PerSeptive Biosystems, Inc. Wts., Exp. 9/03 (Cost $0) 961 -- PRINCIPAL AMOUNT - --------------------------------------------------------------------- REPURCHASE AGREEMENTS - 15.7% - --------------------------------------------------------------------- Repurchase agreement with J.P. Morgan Securities, Inc., 5.95%, dated 6/30/97, to be repurchased at $119,619,767 on 7/1/97, collateralized by U.S. Treasury Bonds, 8.875%-12%, 8/15/13-2/15/19, with a value of $112,226,655 and U.S. Treasury Nts., 7.875%, 11/15/04, with a value of $10,233,573 (Cost $119,600,000) $ 119,600,000 119,600,000 - --------------------------------------------------------------------- TOTAL INVESTMENTS, AT VALUE (COST $618,614,163) 100.3% 765,111,244 - --------------------------------------------------------------------- LIABILITIES IN EXCESS OF OTHER ASSETS (0.3) (2,604,611 ) -------------- ------------- NET ASSETS 100.0% $762,506,633 -------------- ------------- -------------- -------------
1. Identifies issues considered to be illiquid or restricted - See Note 5 of Notes to Financial Statements. 2. Represents securities sold under Rule 144A, which is 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 $2,747,500 or 0.36% of the Fund's net assets, at June 30, 1997. 3. Non-income producing security. See accompanying Notes to Financial Statements. 45 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER GROWTH FUND STATEMENT OF INVESTMENTS JUNE 30, 1997 (UNAUDITED)
MARKET VALUE SHARES NOTE 1 - ------------------------------------------------------------------------ COMMON STOCKS - 79.6% - ------------------------------------------------------------------------ BASIC MATERIALS - 2.9% - ------------------------------------------------------------------------ CHEMICALS - 2.2% Du Pont (E.I.) De Nemours & Co. 34,000 $ 2,137,750 - ------------------------------------------------------------------------ Goodrich (B.F.) Co. 19,000 822,937 - ------------------------------------------------------------------------ IMC Global, Inc. 19,000 665,000 - ------------------------------------------------------------------------ Morton International, Inc. 29,000 875,437 - ------------------------------------------------------------------------ Potash Corp. of Saskatchewan, Inc. 5,000 375,312 - ------------------------------------------------------------------------ Praxair, Inc. 38,600 2,161,600 - ------------------------------------------------------------------------ Scotts Co. (The), Cl. A((1)) 48,000 1,392,000 -------------- 8,430,036 - ------------------------------------------------------------------------ METALS - 0.7% Oregon Steel Mills, Inc. 70,000 1,395,625 - ------------------------------------------------------------------------ USX-U.S. Steel Group, Inc. 37,000 1,297,312 -------------- 2,692,937 - ------------------------------------------------------------------------ PAPER - 0.0% Bowater, Inc. 4,000 185,000 - ------------------------------------------------------------------------ CONSUMER CYCLICALS - 12.6% - ------------------------------------------------------------------------ AUTOS & HOUSING - 2.6% Arvin Industries, Inc. 49,300 1,343,425 - ------------------------------------------------------------------------ Autoliv, Inc.((1)) 49,889 1,951,907 - ------------------------------------------------------------------------ Centex Corp. 34,000 1,381,250 - ------------------------------------------------------------------------ Champion Enterprises, Inc.((1)) 64,000 960,000 - ------------------------------------------------------------------------ Furniture Brands International, Inc.((1)) 78,100 1,513,187 - ------------------------------------------------------------------------ Magna International, Inc., Cl. A 22,000 1,324,125 - ------------------------------------------------------------------------ Pulte Corp. 22,000 760,375 - ------------------------------------------------------------------------ Toll Brothers, Inc.((1)) 46,000 845,250 -------------- 10,079,519 - ------------------------------------------------------------------------ LEISURE & ENTERTAINMENT - 2.0% AMR Corp.((1)) 3,000 277,500 - ------------------------------------------------------------------------ Applebee's International, Inc. 19,500 521,625 - ------------------------------------------------------------------------ Callaway Golf Co. 76,200 2,705,100 - ------------------------------------------------------------------------ CKE Restaurants, Inc. 26,700 844,387 - ------------------------------------------------------------------------ Disney (Walt) Co. 13,000 1,043,250 - ------------------------------------------------------------------------ ITT Corp. (New)((1)) 8,000 488,500 - ------------------------------------------------------------------------ Lone Star Steakhouse & Saloon, Inc.((1)) 50,000 1,300,000 - ------------------------------------------------------------------------ West Marine, Inc.((1)) 20,000 515,000 -------------- 7,695,362 - ------------------------------------------------------------------------ MEDIA - 0.3% Reuters Holdings plc, Sponsored ADR 19,000 1,197,000
46 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER GROWTH FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
MARKET VALUE SHARES NOTE 1 - ------------------------------------------------------------------------ RETAIL: GENERAL - 2.2% Federated Department Stores, Inc.((1)) 57,000 $ 1,980,750 - ------------------------------------------------------------------------ Fruit of the Loom, Inc., Cl. A((1)) 20,000 620,000 - ------------------------------------------------------------------------ Jones Apparel Group, Inc.((1)) 25,200 1,203,300 - ------------------------------------------------------------------------ Liz Claiborne, Inc. 5,000 233,125 - ------------------------------------------------------------------------ Nautica Enterprises, Inc.((1)) 77,000 2,035,687 - ------------------------------------------------------------------------ Tommy Hilfiger Corp.((1)) 59,800 2,403,212 -------------- 8,476,074 - ------------------------------------------------------------------------ RETAIL: SPECIALTY - 5.5% American Pad & Paper Co.((1)) 13,500 227,812 - ------------------------------------------------------------------------ Ann Taylor Stores Corp.((1)) 37,000 721,500 - ------------------------------------------------------------------------ Bed Bath & Beyond, Inc.((1)) 26,000 789,750 - ------------------------------------------------------------------------ Brown Group, Inc. 42,000 784,875 - ------------------------------------------------------------------------ Consolidated Stores Corp.((1)) 18,750 651,562 - ------------------------------------------------------------------------ CVS Corp. 60,000 3,075,000 - ------------------------------------------------------------------------ Ethan Allen Interiors, Inc. 40,000 2,280,000 - ------------------------------------------------------------------------ Gap, Inc. (The)((1)) 17,000 660,875 - ------------------------------------------------------------------------ Nine West Group, Inc.((1)) 65,600 2,505,100 - ------------------------------------------------------------------------ Ross Stores, Inc. 51,000 1,667,062 - ------------------------------------------------------------------------ Samsonite Corp.((1)) 43,500 1,919,437 - ------------------------------------------------------------------------ Tiffany & Co. 17,000 785,187 - ------------------------------------------------------------------------ TJX Cos., Inc. 92,000 2,426,500 - ------------------------------------------------------------------------ Williams-Sonoma, Inc.((1)) 62,500 2,671,875 -------------- 21,166,535 - ------------------------------------------------------------------------ CONSUMER NON-CYCLICALS - 11.2% - ------------------------------------------------------------------------ FOOD - 2.2% Hershey Foods Corp. 20,000 1,106,250 - ------------------------------------------------------------------------ JP Foodservice, Inc.((1)) 25,600 734,400 - ------------------------------------------------------------------------ Kroger Co.((1)) 44,000 1,276,000 - ------------------------------------------------------------------------ Morningstar Group, Inc.((1)) 35,000 1,028,125 - ------------------------------------------------------------------------ Richfood Holdings, Inc. 55,500 1,443,000 - ------------------------------------------------------------------------ Safeway, Inc.((1)) 35,000 1,614,375 - ------------------------------------------------------------------------ Sara Lee Corp. 30,000 1,248,750 -------------- 8,450,900 - ------------------------------------------------------------------------ HEALTHCARE/DRUGS - 3.3% Abbott Laboratories 4,000 267,000 - ------------------------------------------------------------------------ Amgen, Inc.((1)) 5,000 290,625 - ------------------------------------------------------------------------ Biogen, Inc.((1)) 35,000 1,185,625 - ------------------------------------------------------------------------ Bristol-Myers Squibb Co. 4,000 324,000 - ------------------------------------------------------------------------ Lilly (Eli) & Co. 32,090 3,507,838 - ------------------------------------------------------------------------ Pfizer, Inc. 37,500 4,481,250
47 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER GROWTH FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
MARKET VALUE SHARES NOTE 1 - ------------------------------------------------------------------------ HEALTHCARE/DRUGS (CONTINUED) Schering-Plough Corp. 50,800 $ 2,432,050 -------------- 12,488,388 - ------------------------------------------------------------------------ HEALTHCARE/SUPPLIES & SERVICES - 4.6% Guidant Corp. 27,916 2,372,860 - ------------------------------------------------------------------------ HealthCare COMPARE Corp.((1)) 35,900 1,880,262 - ------------------------------------------------------------------------ HEALTHSOUTH Corp.((1)) 84,000 2,094,750 - ------------------------------------------------------------------------ Lincare Holdings, Inc.((1)) 75,700 3,255,100 - ------------------------------------------------------------------------ Medtronic, Inc. 10,000 810,000 - ------------------------------------------------------------------------ Oxford Health Plans, Inc.((1)) 23,000 1,650,250 - ------------------------------------------------------------------------ Renal Treatment Centers, Inc.((1)) 42,000 1,128,750 - ------------------------------------------------------------------------ Sofamor Danek Group, Inc.((1)) 17,000 777,750 - ------------------------------------------------------------------------ VISX, Inc.((1)) 11,000 261,250 - ------------------------------------------------------------------------ WellPoint Health Networks, Inc.((1)) 70,400 3,229,600 -------------- 17,460,572 - ------------------------------------------------------------------------ HOUSEHOLD GOODS - 0.0% Procter & Gamble Co. 1,000 141,250 - ------------------------------------------------------------------------ TOBACCO - 1.1% Philip Morris Cos., Inc. 96,000 4,260,000 - ------------------------------------------------------------------------ ENERGY - 4.1% - ------------------------------------------------------------------------ ENERGY SERVICES & PRODUCERS - 2.2% BJ Services Co.((1)) 25,000 1,340,625 - ------------------------------------------------------------------------ ENSCO International, Inc.((1)) 32,000 1,688,000 - ------------------------------------------------------------------------ Global Marine, Inc.((1)) 90,000 2,092,500 - ------------------------------------------------------------------------ Smith International, Inc.((1)) 38,000 2,308,500 - ------------------------------------------------------------------------ Tidewater, Inc. 10,000 440,000 - ------------------------------------------------------------------------ Transocean Offshore, Inc. 10,000 726,250 -------------- 8,595,875 - ------------------------------------------------------------------------ OIL-INTEGRATED - 1.9% Mobil Corp. 18,200 1,271,725 - ------------------------------------------------------------------------ Phillips Petroleum Co. 33,000 1,443,750 - ------------------------------------------------------------------------ Royal Dutch Petroleum Co., NY Shares 24,000 1,288,500 - ------------------------------------------------------------------------ Unocal Corp. 30,000 1,164,375 - ------------------------------------------------------------------------ USX-Marathon Group 69,000 1,992,375 -------------- 7,160,725 - ------------------------------------------------------------------------ FINANCIAL - 15.4% - ------------------------------------------------------------------------ BANKS - 4.3% Banc One Corp. 107,262 5,195,503 - ------------------------------------------------------------------------ BankAmerica Corp. 15,000 968,437 - ------------------------------------------------------------------------ BankBoston Corp. 23,000 1,657,438 - ------------------------------------------------------------------------ Chase Manhattan Corp. (New) 15,640 1,518,058
48 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER GROWTH FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
MARKET VALUE SHARES NOTE 1 - ------------------------------------------------------------------------ BANKS (CONTINUED) Citicorp 8,000 $ 964,500 - ------------------------------------------------------------------------ Greenpoint Financial Corp. 12,000 798,750 - ------------------------------------------------------------------------ Societe Generale 12,500 1,396,711 - ------------------------------------------------------------------------ Star Banc Corp. 37,500 1,584,375 - ------------------------------------------------------------------------ State Street Corp. 49,200 2,275,500 -------------- 16,359,272 - ------------------------------------------------------------------------ DIVERSIFIED FINANCIAL - 7.2% Associates First Capital Corp., Cl. A 27,000 1,498,500 - ------------------------------------------------------------------------ Countrywide Credit Industries, Inc. 20,000 623,750 - ------------------------------------------------------------------------ Everen Capital Corp. 19,000 592,563 - ------------------------------------------------------------------------ Fannie Mae 36,000 1,570,500 - ------------------------------------------------------------------------ Federal Home Loan Mortgage Corp. 60,000 2,062,500 - ------------------------------------------------------------------------ Finova Group, Inc. 23,000 1,759,500 - ------------------------------------------------------------------------ Franklin Resources, Inc. 31,100 2,256,694 - ------------------------------------------------------------------------ Green Tree Financial Corp. 103,000 3,669,375 - ------------------------------------------------------------------------ Merrill Lynch & Co., Inc. 30,000 1,788,750 - ------------------------------------------------------------------------ MGIC Investment Corp. 32,200 1,543,588 - ------------------------------------------------------------------------ Money Store, Inc. (The) 40,000 1,147,500 - ------------------------------------------------------------------------ Morgan Stanley, Dean Witter, Discover & Co. 60,200 2,592,363 - ------------------------------------------------------------------------ Price (T. Rowe) Associates 31,200 1,610,700 - ------------------------------------------------------------------------ Schwab (Charles) Corp. 20,000 813,750 - ------------------------------------------------------------------------ Travelers Group, Inc. 66,666 4,204,125 -------------- 27,734,158 - ------------------------------------------------------------------------ INSURANCE - 3.9% Allstate Corp. 27,500 2,007,500 - ------------------------------------------------------------------------ American International Group, Inc. 3,000 448,125 - ------------------------------------------------------------------------ Cigna Corp. 3,600 639,000 - ------------------------------------------------------------------------ Conseco, Inc. 90,000 3,330,000 - ------------------------------------------------------------------------ Equitable Cos., Inc. 84,000 2,793,000 - ------------------------------------------------------------------------ Hartford Financial Services Group, Inc. 5,000 413,750 - ------------------------------------------------------------------------ Hartford Life, Inc., Cl. A((1)) 3,000 112,500 - ------------------------------------------------------------------------ Loews Corp. 11,000 1,101,375 - ------------------------------------------------------------------------ Progressive Corp. 15,000 1,305,000 - ------------------------------------------------------------------------ SunAmerica, Inc. 54,000 2,632,500 -------------- 14,782,750 - ------------------------------------------------------------------------ INDUSTRIAL - 7.5% - ------------------------------------------------------------------------ ELECTRICAL EQUIPMENT - 0.9% Emerson Electric Co. 37,000 2,037,313 - ------------------------------------------------------------------------ General Electric Co. 20,000 1,307,500 -------------- 3,344,813
49 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER GROWTH FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
MARKET VALUE SHARES NOTE 1 - ------------------------------------------------------------------------ INDUSTRIAL MATERIALS - 0.4% Rayonier, Inc. 32,400 $ 1,362,825 - ------------------------------------------------------------------------ INDUSTRIAL SERVICES - 2.0% Corrections Corp. of America((1)) 66,000 2,623,500 - ------------------------------------------------------------------------ Culligan Water Technologies, Inc.((1)) 18,500 827,875 - ------------------------------------------------------------------------ Kent Electronics Corp.((1)) 98,200 3,602,713 - ------------------------------------------------------------------------ Manpower, Inc. 10,000 445,000 -------------- 7,499,088 - ------------------------------------------------------------------------ MANUFACTURING - 2.5% Aeroquip-Vickers, Inc. 35,000 1,653,750 - ------------------------------------------------------------------------ AGCO Corp. 25,200 905,625 - ------------------------------------------------------------------------ AlliedSignal, Inc. 14,000 1,176,000 - ------------------------------------------------------------------------ American Standard Cos., Inc.((1)) 35,000 1,566,250 - ------------------------------------------------------------------------ MascoTech, Inc. 65,000 1,356,875 - ------------------------------------------------------------------------ Sealed Air Corp.((1)) 38,000 1,805,000 - ------------------------------------------------------------------------ U.S. Filter Corp.((1)) 40,300 1,098,175 -------------- 9,561,675 - ------------------------------------------------------------------------ TRANSPORTATION - 1.7% Burlington Northern Santa Fe Corp. 7,000 629,125 - ------------------------------------------------------------------------ Canadian Pacific Ltd. (New) 90,000 2,559,375 - ------------------------------------------------------------------------ Illinois Central Corp. 12,500 436,719 - ------------------------------------------------------------------------ Kansas City Southern Industries, Inc. 47,000 3,031,500 -------------- 6,656,719 - ------------------------------------------------------------------------ TECHNOLOGY - 24.4% - ------------------------------------------------------------------------ COMPUTER HARDWARE - 8.2% Adaptec, Inc.((1)) 42,200 1,466,450 - ------------------------------------------------------------------------ Applied Magnetics Corp.((1)) 30,000 678,750 - ------------------------------------------------------------------------ Cabletron Systems, Inc.((1)) 65,000 1,840,313 - ------------------------------------------------------------------------ Cascade Communications Corp.((1)) 72,500 2,002,813 - ------------------------------------------------------------------------ Compaq Computer Corp.((1)) 62,000 6,153,500 - ------------------------------------------------------------------------ Data General Corp.((1)) 40,000 1,040,000 - ------------------------------------------------------------------------ Dell Computer Corp.((1)) 26,000 3,053,375 - ------------------------------------------------------------------------ EMC Corp.((1)) 23,000 897,000 - ------------------------------------------------------------------------ Gateway 2000, Inc.((1)) 70,600 2,290,088 - ------------------------------------------------------------------------ International Business Machines Corp. 37,000 3,336,938 - ------------------------------------------------------------------------ Seagate Technology((1)) 80,000 2,815,000 - ------------------------------------------------------------------------ Sun Microsystems, Inc.((1)) 80,000 2,977,500 - ------------------------------------------------------------------------ Western Digital Corp.((1)) 90,000 2,846,250 -------------- 31,397,977 - ------------------------------------------------------------------------ COMPUTER SOFTWARE - 7.0% Automatic Data Processing, Inc. 4,000 188,000
50 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER GROWTH FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
MARKET VALUE SHARES NOTE 1 - ------------------------------------------------------------------------ COMPUTER SOFTWARE (CONTINUED) BMC Software, Inc.((1)) 58,400 $ 3,233,900 - ------------------------------------------------------------------------ Computer Associates International, Inc. 9,000 501,188 - ------------------------------------------------------------------------ First Data Corp. 38,000 1,669,625 - ------------------------------------------------------------------------ HBO & Co. 30,000 2,066,250 - ------------------------------------------------------------------------ McAfee Associates, Inc.((1)) 45,000 2,840,625 - ------------------------------------------------------------------------ Microsoft Corp.((1)) 60,000 7,582,500 - ------------------------------------------------------------------------ Oracle Corp.((1)) 34,400 1,732,900 - ------------------------------------------------------------------------ Peoplesoft, Inc.((1)) 71,800 3,787,450 - ------------------------------------------------------------------------ PLATINUM Technology, Inc.((1)) 9,900 131,175 - ------------------------------------------------------------------------ SAP AG, Preference 4,000 825,235 - ------------------------------------------------------------------------ Structural Dynamics Research Corp.((1)) 38,500 1,010,625 - ------------------------------------------------------------------------ Sungard Data Systems, Inc.((1)) 27,000 1,255,500 -------------- 26,824,973 - ------------------------------------------------------------------------ ELECTRONICS - 3.6% Advanced Micro Devices, Inc.((1)) 15,000 540,000 - ------------------------------------------------------------------------ Analog Devices, Inc.((1)) 28,333 752,595 - ------------------------------------------------------------------------ Intel Corp. 13,000 1,843,563 - ------------------------------------------------------------------------ LSI Logic Corp.((1)) 45,000 1,440,000 - ------------------------------------------------------------------------ Novellus Systems, Inc.((1)) 24,200 2,093,300 - ------------------------------------------------------------------------ SCI Systems, Inc.((1)) 43,100 2,747,625 - ------------------------------------------------------------------------ Vitesse Semiconductor Corp.((1)) 26,500 866,219 - ------------------------------------------------------------------------ Waters Corp.((1)) 95,000 3,408,125 -------------- 13,691,427 - ------------------------------------------------------------------------ TELECOMMUNICATIONS-TECHNOLOGY - 5.6% Ascend Communications, Inc.((1)) 23,000 905,625 - ------------------------------------------------------------------------ Cisco Systems, Inc.((1)) 81,000 5,437,125 - ------------------------------------------------------------------------ Lucent Technologies, Inc. 39,000 2,810,438 - ------------------------------------------------------------------------ Newbridge Networks Corp.((1)) 41,000 1,783,500 - ------------------------------------------------------------------------ Pairgain Technologies, Inc.((1)) 70,000 1,085,000 - ------------------------------------------------------------------------ Tellabs, Inc.((1)) 96,600 5,397,525 - ------------------------------------------------------------------------ WorldCom, Inc. 125,000 4,000,000 -------------- 21,419,213 - ------------------------------------------------------------------------ UTILITIES - 1.5% - ------------------------------------------------------------------------ ELECTRIC UTILITIES - 0.9% American Electric Power Co., Inc. 11,550 485,100 - ------------------------------------------------------------------------ CMS Energy Corp. 16,200 571,050 - ------------------------------------------------------------------------ FPL Group, Inc. 13,600 626,450 - ------------------------------------------------------------------------ PacifiCorp 31,000 682,000 - ------------------------------------------------------------------------ Pinnacle West Capital Corp. 34,000 1,022,125 -------------- 3,386,725
51 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER GROWTH FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
MARKET VALUE SHARES NOTE 1 - ------------------------------------------------------------------------ GAS UTILITIES - 0.2% Sonat, Inc. 13,000 $ 666,250 - ------------------------------------------------------------------------ TELEPHONE UTILITIES - 0.4% BellSouth Corp. 14,600 677,075 - ------------------------------------------------------------------------ Cincinnati Bell, Inc. 23,600 743,400 -------------- 1,420,475 -------------- Total Common Stocks (Cost $221,277,380) 304,588,513 PRINCIPAL AMOUNT - ------------------------------------------------------------------------ REPURCHASE AGREEMENTS - 19.5% - ------------------------------------------------------------------------ Repurchase agreement with Zion First National Bank, 5.95%, dated 6/30/97, to be repurchased at $74,412,297 on 7/1/97, collateralized by U.S. Treasury Bonds, 12.50%, 8/15/14, with a value of $18,835,600 and U.S. Treasury Nts., 5.125%-7.25%, 5/31/98-8/15/04, with a value of $57,132,975 (Cost $74,400,000) $ 74,400,000 74,400,000 - ------------------------------------------------------------------------ TOTAL INVESTMENTS, AT VALUE (COST $295,677,380) 99.1% 378,988,513 - ------------------------------------------------------------------------ OTHER ASSETS NET OF LIABILITIES 0.9 3,394,380 -------------- -------------- NET ASSETS 100.0% $ 382,382,893 -------------- -------------- -------------- --------------
1. Non-income producing security. See accompanying Notes to Financial Statements. 52 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER MULTIPLE STRATEGIES FUND STATEMENT OF INVESTMENTS JUNE 30, 1997 (UNAUDITED)
PRINCIPAL MARKET VALUE AMOUNT(1) NOTE 1 - --------------------------------------------------------------- MORTGAGE-BACKED OBLIGATIONS - 2.0% - --------------------------------------------------------------- Federal National Mortgage Assn.: 7.50%, 7/1/27(2) $ 3,000,000 $ 3,006,570 8.50%, 7/25/27(2) 3,000,000 3,112,500 - --------------------------------------------------------------- Government National Mortgage Assn.: 8%, 4/15/23 3,031,628 3,121,001 8%, 7/15/22 1,410,936 1,453,857 - --------------------------------------------------------------- Resolution Trust Corp., Commercial Mtg. Pass-Through Certificates, Series 1994-C2, Cl. E, 8%, 4/25/25 692,315 694,964 ------------ Total Mortgage-Backed Obligations (Cost $11,309,917) 11,388,892 - --------------------------------------------------------------- U.S. GOVERNMENT OBLIGATIONS - 5.3% - --------------------------------------------------------------- U.S. Treasury Bonds, STRIPS, Zero Coupon: 7.258%, 11/15/18(3) 18,600,000 4,248,256 7.101%, 11/15/18(3) 24,500,000 5,595,822 7.313%, 8/15/19(3) 26,800,000 5,811,174 - --------------------------------------------------------------- U.S. Treasury Nts.: 6.375%, 8/15/02(4) 5,000,000 4,998,440 9.25%, 8/15/98 9,000,000 9,323,442 ------------ Total U.S. Government Obligations (Cost $29,160,015) 29,977,134
- ------------------------------------------------------------------ FOREIGN GOVERNMENT OBLIGATIONS - 14.4% - ------------------------------------------------------------------ Argentina (Republic of) Bonds, Bonos de Consolidacion de Deudas, Series I, 5.695%, 4/1/01(5)(6) 2,418,595 2,340,985 - ------------------------------------------------------------------ Argentina (Republic of) Par Bonds, 5.50%, 3/31/23(7) 24,000,000 16,665,000 - ------------------------------------------------------------------ Argentina (Republic of) Past Due Interest Bonds, Series L, 6.75%, 3/31/05(5) 8,730,000 8,228,025 - ------------------------------------------------------------------ Brazil (Federal Republic of) Par Bonds, 5.25%, 4/15/24(7) 8,000,000 5,435,000 - ------------------------------------------------------------------ Canada (Government of) Bonds: 8.50%, 4/1/02 CAD 1,500,000 1,213,193 8.75%, 12/1/05 CAD 12,200,000 10,300,452 9.75%, 12/1/01 CAD 3,000,000 2,520,155 9.75%, 6/1/01 CAD 2,000,000 1,663,982 - ------------------------------------------------------------------ Denmark (Kingdom of) Bonds, 8%, 3/15/06 DKK 32,100,000 5,448,182 - ------------------------------------------------------------------ Eskom Depositary Receipts, Series E168, 11%, 6/1/08 ZAR 12,570,000 2,235,232 - ------------------------------------------------------------------ International Bank for Reconstruction & Development, 11.50% Medium-Term Nts., 10/9/97 CZK 72,000,000 2,176,530 - ------------------------------------------------------------------ Ireland (Government of) Bonds, 9.25%, 7/11/03 IEP 1,110,000 1,945,001 - ------------------------------------------------------------------ New Zealand (Government of) Bonds, 8%, 2/15/01 NZD 10,440,000 7,365,982 - ------------------------------------------------------------------ Poland (Republic of) Bonds, 15%, 10/12/99 PLZ 9,000,000 2,446,332 - ------------------------------------------------------------------ Queensland Treasury Corp. Exchangeable Gtd. Nts., 10.50%, 5/15/03 AUD 1,800,000 1,605,755 - ------------------------------------------------------------------ Treasury Corp. of Victoria Gtd. Bonds, 8.25%, 10/15/03 AUD 3,000,000 2,425,673 - ------------------------------------------------------------------ United Kingdom Treasury Bonds, 6.75%, 11/26/04 GBP 2,680,000 4,375,301
53 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER MULTIPLE STRATEGIES FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
PRINCIPAL MARKET VALUE AMOUNT(1) NOTE 1 - ------------------------------------------------------------------ FOREIGN GOVERNMENT OBLIGATIONS (CONTINUED) - ------------------------------------------------------------------ United Kingdom Treasury Nts., 13%, 7/14/00 GBP 1,590,000 $ 3,064,674 ------------ Total Foreign Government Obligations (Cost $73,775,240) 81,455,454
- --------------------------------------------------------------- NON-CONVERTIBLE CORPORATE BONDS AND NOTES - 9.1% - --------------------------------------------------------------- BASIC MATERIALS - 1.3% - --------------------------------------------------------------- CHEMICALS - 0.2% Harris Chemical North America, Inc., 10.75% Gtd. Sr. Sub. Nts., 10/15/03 100,000 102,500 - --------------------------------------------------------------- NL Industries, Inc., 0%/13% Sr. Sec. Disc. Nts., 10/15/05(8) 360,000 342,450 - --------------------------------------------------------------- Quantum Chemical Corp., 10.375% First Mtg. Nts., 6/1/03 500,000 534,227 - --------------------------------------------------------------- Sterling Chemicals, Inc., 11.75% Sr. Unsec. Sub. Nts., 8/15/06 250,000 271,250 ------------ 1,250,427 - --------------------------------------------------------------- GOLD AND PLATINUM - 0.2% Royal Oak Mines, Inc., 11% Sr. Sub. Nts., 8/15/06 1,250,000 1,200,000 - --------------------------------------------------------------- METALS - 0.4% AK Steel Corp., 9.125% Sr. Nts., 12/15/06 1,150,000 1,187,375 - --------------------------------------------------------------- Armco, Inc., 8.50% Sinking Fund Debs., 9/1/01 178,000 176,220 - --------------------------------------------------------------- Kaiser Aluminum & Chemical Corp., 12.75% Sr. Sub. Nts., 2/1/03 1,000,000 1,090,000 ------------ 2,453,595 - --------------------------------------------------------------- PAPER - 0.5% APP International Finance Co. BV, 11.75% Gtd. Sec. Nts., 10/1/05 500,000 551,875 - --------------------------------------------------------------- Aracruz Celulose SA, 10.375% Debs., 1/31/02 430,000 456,337 - --------------------------------------------------------------- Buckeye Cellulose Corp., 9.25% Sr. Sub. Nts., 9/15/08 115,000 119,025 - --------------------------------------------------------------- Pacific Lumber Co., 10.50% Sr. Nts., 3/1/03 425,000 439,875 - --------------------------------------------------------------- Repap Wisconsin, Inc., 9.875% Second Priority Sr. Nts., 5/1/06 500,000 507,500 - --------------------------------------------------------------- SD Warren Co., 12% Sr. Sub. Nts., Series B, 12/15/04 750,000 838,125 ------------ 2,912,737 - --------------------------------------------------------------- CONSUMER CYCLICALS - 2.9% - --------------------------------------------------------------- AUTOS & HOUSING - 0.8% Chrysler Financial Corp., 13.25% Nts., 10/15/99 500,000 570,835 - --------------------------------------------------------------- Coleman Escrow Corp., Zero Coupon Sr. First Priority Disc. Nts., 11.125%, 5/15/01(3)(9) 1,000,000 637,500 - --------------------------------------------------------------- Harman International Industries, Inc., 12% Sr. Sub. Nts., 8/1/02 1,000,000 1,070,000 - --------------------------------------------------------------- Hayes Wheels International, Inc., 11% Sr. Sub. Nts., 7/15/06 500,000 551,250 - --------------------------------------------------------------- Icon Health & Fitness, Inc., 13% Sr. Sub. Nts., Series B, 7/15/02 1,000,000 1,130,000 - --------------------------------------------------------------- Penda Corp., 10.75% Sr. Nts., Series B, 3/1/04 250,000 251,250 - --------------------------------------------------------------- Samsonite Corp., 11.125% Sr. Sub. Nts., 7/15/05(10) 345,000 391,575 ------------ 4,602,410 - --------------------------------------------------------------- LEISURE & ENTERTAINMENT - 0.5% Foodmaker, Inc.: 9.25% Sr. Nts., 3/1/99 450,000 463,500 9.75% Sr. Sub. Nts., 6/1/02 350,000 363,562
54 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER MULTIPLE STRATEGIES FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
PRINCIPAL MARKET VALUE AMOUNT(1) NOTE 1 - --------------------------------------------------------------- LEISURE & ENTERTAINMENT (CONTINUED) - --------------------------------------------------------------- Grand Casinos, Inc., 10.125% Gtd. First Mtg. Nts., 12/1/03 $ 655,000 $ 686,113 - --------------------------------------------------------------- Imax Corp., 10% Sr. Nts., 3/1/01 600,000 631,500 - --------------------------------------------------------------- Rio Hotel & Casino, Inc., 9.50% Gtd. Sr. Sub. Nts., 4/15/07 750,000 774,375 - --------------------------------------------------------------- Trump Atlantic City Associates/Trump Atlantic City Funding, Inc., 11.25% First Mtg. Nts., 5/1/06 80,000 78,400 ------------ 2,997,450 - --------------------------------------------------------------- MEDIA - 1.3% American Telecasting, Inc., 0%/14.50% Sr. Disc. Nts., 6/15/04(8) 229,000 72,135 - --------------------------------------------------------------- Cablevision Systems Corp., 9.875% Sr. Sub. Nts., 5/15/06 250,000 268,125 - --------------------------------------------------------------- EchoStar Communications Corp., 0%/12.875% Sr. Disc. Nts., 6/1/04(8) 540,000 456,300 - --------------------------------------------------------------- Helicon Group LP/Helicon Capital Corp., 11% Sr. Sec. Nts., Series B, 11/1/03(5) 550,000 574,750 - --------------------------------------------------------------- Lamar Advertising Co., 9.625% Sr. Sub. Nts., 12/1/06 150,000 154,500 - --------------------------------------------------------------- Outlet Broadcasting, Inc., 10.875% Sr. Sub. Nts., 7/15/03 1,000,000 1,083,743 - --------------------------------------------------------------- Rogers Cablesystems Ltd., 10% Second Priority Sr. Sec. Debs., 12/1/07 1,000,000 1,075,000 - --------------------------------------------------------------- SCI Television, Inc., 11% Sr. Sec. Nts., 6/30/05(10) 500,000 535,000 - --------------------------------------------------------------- TCI Satellite Entertainment, Inc., 10.875% Sr. Sub. Nts., 2/15/07(9) 300,000 303,000 - --------------------------------------------------------------- Time Warner Entertainment LP/Time Warner, Inc., 10.15% Sr. Nts., 5/1/12 500,000 609,088 - --------------------------------------------------------------- Time Warner, Inc., 9.125% Debs., 1/15/13 500,000 555,722 - --------------------------------------------------------------- TKR Cable I, Inc., 10.50% Sr. Debs., 10/30/07 1,000,000 1,100,687 - --------------------------------------------------------------- Universal Outdoor, Inc., 9.75% Sr. Sub. Nts., Series B, 10/15/06 500,000 520,000 ------------ 7,308,050 - --------------------------------------------------------------- RETAIL: GENERAL - 0.0% CMI Industries, Inc., 9.50% Sr. Sub. Nts., 10/1/03(10) 70,000 70,875 - --------------------------------------------------------------- RETAIL: SPECIALTY - 0.3% Cole National Group, Inc., 11.25% Sr. Nts., 10/1/01(10) 1,000,000 1,100,000 - --------------------------------------------------------------- Finlay Fine Jewelry Corp., 10.625% Sr. Nts., 5/1/03(10) 750,000 798,750 ------------ 1,898,750 - --------------------------------------------------------------- CONSUMER NON-CYCLICALS - 0.8% - --------------------------------------------------------------- FOOD - 0.3% Grand Union Co., 12% Sr. Nts., 9/1/04 410,000 305,450 - --------------------------------------------------------------- Jitney-Jungle Stores of America, Inc., 12% Gtd. Sr. Nts., 3/1/06 70,000 78,313 - --------------------------------------------------------------- Ralph's Grocery Co., 10.45% Sr. Nts., 6/15/04 850,000 916,938 - --------------------------------------------------------------- RJR Nabisco, Inc., 8.625% Medium-Term Nts., 12/1/02 500,000 512,226 ------------ 1,812,927 - --------------------------------------------------------------- HEALTHCARE/SUPPLIES & SERVICES - 0.4% Genesis Health Ventures, Inc., 9.25% Sr. Sub. Nts., 10/1/06 1,695,000 1,754,325 - --------------------------------------------------------------- Magellan Health Services, Inc., 11.25% Sr. Sub. Nts., Series A, 4/15/04 355,000 397,600 ------------ 2,151,925 - --------------------------------------------------------------- HOUSEHOLD GOODS - 0.1% Revlon Worldwide Corp., Zero Coupon Sr. Sec. Disc. Nts., Series B, 13.169%, 3/15/98(3) 500,000 476,250
55 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER MULTIPLE STRATEGIES FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
PRINCIPAL MARKET VALUE AMOUNT(1) NOTE 1 - --------------------------------------------------------------- ENERGY - 0.3% - --------------------------------------------------------------- ENERGY SERVICES & PRODUCERS - 0.3% J. Ray McDermott SA, 9.375% Sr. Sub. Bonds, 7/15/06 $ 750,000 $ 774,375 - --------------------------------------------------------------- OPI International, Inc., 12.875% Gtd. Sr. Nts., 7/15/02(10) 1,000,000 1,064,000 ------------ 1,838,375 - --------------------------------------------------------------- FINANCIAL - 0.3% - --------------------------------------------------------------- BANKS - 0.1% First Chicago Corp., 11.25% Sub. Nts., 2/20/01 250,000 285,604 - --------------------------------------------------------------- First Chicago Corp., 9% Sub. Nts., 6/15/99 250,000 261,713 ------------ 547,317 - --------------------------------------------------------------- DIVERSIFIED FINANCIAL - 0.2% Saul (B.F.) Real Estate Investment Trust, 11.625% Sr. Sec. Nts., Series B, 4/1/02 950,000 1,011,750 - --------------------------------------------------------------- INDUSTRIAL - 0.8% - --------------------------------------------------------------- INDUSTRIAL MATERIALS - 0.4% American Standard, Inc., 10.875% Sr. Nts., 5/15/99(10) 500,000 536,250 - --------------------------------------------------------------- Building Materials Corp. of America, 8.625% Sr. Nts., 12/15/06 100,000 102,000 - --------------------------------------------------------------- Owens-Illinois, Inc., 10% Sr. Sub. Nts., 8/1/02 500,000 527,500 - --------------------------------------------------------------- Triangle Pacific Corp., 10.50% Sr. Nts., 8/1/03 850,000 913,750 ------------ 2,079,500 - --------------------------------------------------------------- INDUSTRIAL SERVICES - 0.1% Allied Waste North America, Inc., 10.25% Sr. Sub. Nts., 12/1/06(9) 285,000 306,375 - --------------------------------------------------------------- Neodata Services, Inc., 12% Sr. Nts., Series B, 5/1/03 400,000 432,000 ------------ 738,375 - --------------------------------------------------------------- MANUFACTURING - 0.3% Mettler Toledo, Inc., 9.75% Gtd. Sr. Sub. Nts., 10/1/06 500,000 527,500 - --------------------------------------------------------------- Synthetic Industries, Inc., 9.25% Sr. Sub. Nts., 2/15/07(9) 80,000 82,000 - --------------------------------------------------------------- Terex Corp., 13.25% Sr. Sec. Nts., 5/15/02 1,000,000 1,127,500 ------------ 1,737,000 - --------------------------------------------------------------- TECHNOLOGY - 2.0% - --------------------------------------------------------------- AEROSPACE/DEFENSE - 0.4% America West Airlines, Inc., 10.75% Sr. Nts., 9/1/05 925,000 960,844 - --------------------------------------------------------------- GPA Delaware, Inc., 8.75% Gtd. Nts., 12/15/98 1,000,000 1,022,500 ------------ 1,983,344 - --------------------------------------------------------------- COMPUTER SOFTWARE - 0.3% Bell & Howell Co. (New), 0%/11.50% Sr. Disc. Debs., Series B, 3/1/05(8) 1,000,000 810,000 - --------------------------------------------------------------- Unisys Corp., 15% Credit Sensitive Nts., 7/1/97(5)(10) 650,000 653,250 ------------ 1,463,250 - --------------------------------------------------------------- TELECOMMUNICATIONS-TECHNOLOGY - 1.3% Call-Net Enterprises, Inc., 0%/13.25% Sr. Disc. Nts., 12/1/04(8) 800,000 695,000 - --------------------------------------------------------------- ICG Holdings, Inc., 0%/13.50% Sr. Disc. Nts., 9/15/05(8) 800,000 576,000 - --------------------------------------------------------------- NTL, Inc., 0%/10.875% Sr. Deferred Coupon Nts., 10/15/03(8) 500,000 436,250 - --------------------------------------------------------------- Omnipoint Corp., 11.625% Sr. Nts., 8/15/06 850,000 820,250
56 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER MULTIPLE STRATEGIES FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
PRINCIPAL MARKET VALUE AMOUNT(1) NOTE 1 - --------------------------------------------------------------- TELECOMMUNICATIONS-TECHNOLOGY (CONTINUED) PriCellular Wireless Corp., 0%/14% Sr. Sub. Disc. Nts., 11/15/01(8) $ 1,000,000 $ 1,055,000 - --------------------------------------------------------------- Teleport Communications Group, Inc.: 0%/11.125% Sr. Disc. Nts., 7/1/07(8) 1,500,000 1,085,625 9.875% Sr. Nts., 7/1/06 400,000 428,000 - --------------------------------------------------------------- Telewest Communications plc: 0%/11% Sr. Disc. Debs., 10/1/07(8) 1,000,000 725,000 9.625% Sr. Debs., 10/1/06 500,000 525,000 - --------------------------------------------------------------- USA Mobile Communications, Inc. II, 9.50% Sr. Nts., 2/1/04 1,000,000 940,000 ------------ 7,286,125 - --------------------------------------------------------------- UTILITIES - 0.7% - --------------------------------------------------------------- ELECTRIC UTILITIES - 0.5% California Energy, Inc., 10.25% Sr. Disc. Nts., 1/15/04 750,000 811,875 - --------------------------------------------------------------- Calpine Corp., 10.50% Sr. Nts., 5/15/06 800,000 872,000 - --------------------------------------------------------------- First PV Funding Corp.: 10.15% Lease Obligation Bonds, Series 1986B, 1/15/16 759,000 809,284 10.15% Lease Obligation Bonds, Series 1986B, 1/15/16 11,000 11,000 ------------ 2,504,159 - --------------------------------------------------------------- GAS UTILITIES - 0.2% Beaver Valley II Funding Corp., 9% Second Lease Obligation Bonds, 6/1/17 989,000 1,043,395 ------------ Total Non-Convertible Corporate Bonds and Notes (Cost $49,312,389) 51,367,986
- -------------------------------------------------------------------- CONVERTIBLE CORPORATE BONDS AND NOTES - 0.0% - -------------------------------------------------------------------- Castorama Dubois Investissements SA, 3.15% Cv. Bonds, 1/1/03 (Cost $33,994) FRF 165,000 34,428
SHARES - ---------------------------------------------------------------------------- COMMON STOCKS - 49.4% - ---------------------------------------------------------------------------- BASIC MATERIALS - 2.8% - ---------------------------------------------------------------------------- CHEMICALS - 1.3% Agrium, Inc. 141,000 1,621,500 - ---------------------------------------------------------------------------- Bayer AG, Sponsored ADR 51,000 1,961,521 - ---------------------------------------------------------------------------- Dow Chemical Co. 8,000 697,000 - ---------------------------------------------------------------------------- Ecolab, Inc.(11) 30,000 1,432,500 - ---------------------------------------------------------------------------- Monsanto Co.(11) 12,000 516,750 - ---------------------------------------------------------------------------- Potash Corp. of Saskatchewan, Inc. 13,440 1,008,840 ---------------- 7,238,111 - ---------------------------------------------------------------------------- METALS - 1.0% Alumax, Inc.(11)(12) 36,919 1,400,615 - ---------------------------------------------------------------------------- Brush Wellman, Inc. 90,000 1,884,375 - ---------------------------------------------------------------------------- Custom Chrome, Inc.(12) 59,000 951,375 - ---------------------------------------------------------------------------- Inco Ltd. 15,200 456,950 - ---------------------------------------------------------------------------- Oregon Metallurgical Corp.(12) 25,500 717,187 ---------------- 5,410,502
57 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER MULTIPLE STRATEGIES FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
MARKET VALUE SHARES NOTE 1 - ---------------------------------------------------------------------------- PAPER - 0.5% Aracruz Celulose SA, Sponsored ADR 56,499 $ 1,151,167 - ---------------------------------------------------------------------------- MacMillan Bloedel Ltd. 103,630 1,423,491 - ---------------------------------------------------------------------------- MacMillan Bloedel Ltd. 14,200 195,250 ---------------- 2,769,908 - ---------------------------------------------------------------------------- CONSUMER CYCLICALS - 9.1% - ---------------------------------------------------------------------------- AUTOS & HOUSING - 0.7% Champion Enterprises, Inc.(12) 70,000 1,050,000 - ---------------------------------------------------------------------------- General Motors Corp. 25,000 1,392,187 - ---------------------------------------------------------------------------- IRSA Inversiones y Representaciones SA 214,506 939,650 - ---------------------------------------------------------------------------- Toll Brothers, Inc.(12) 42,000 771,750 ---------------- 4,153,587 - ---------------------------------------------------------------------------- LEISURE & ENTERTAINMENT - 4.7% Alaska Air Group, Inc.(11)(12) 55,000 1,409,375 - ---------------------------------------------------------------------------- AMR Corp.(12) 25,500 2,358,750 - ---------------------------------------------------------------------------- Boston Chicken, Inc.(12) 129,000 1,806,000 - ---------------------------------------------------------------------------- Carnival Corp., Cl. A(11) 34,100 1,406,625 - ---------------------------------------------------------------------------- Cheesecake Factory (The)(12) 52,700 1,106,700 - ---------------------------------------------------------------------------- Cracker Barrel Old Country Store, Inc. 57,000 1,510,500 - ---------------------------------------------------------------------------- Disney (Walt) Co.(11) 16,000 1,284,000 - ---------------------------------------------------------------------------- Eastman Kodak Co.(11) 12,000 921,000 - ---------------------------------------------------------------------------- Gaylord Entertainment Co., Cl. A(11) 71,000 1,637,437 - ---------------------------------------------------------------------------- International Game Technology 105,000 1,863,750 - ---------------------------------------------------------------------------- Mattel, Inc.(11) 39,296 1,331,160 - ---------------------------------------------------------------------------- Mirage Resorts, Inc.(12) 23,000 580,750 - ---------------------------------------------------------------------------- Nintendo Co. Ltd. 32,000 2,684,610 - ---------------------------------------------------------------------------- Outback Steakhouse, Inc.(11)(12) 50,000 1,209,375 - ---------------------------------------------------------------------------- Primadonna Resorts, Inc.(11)(12) 48,000 927,000 - ---------------------------------------------------------------------------- Shangri-La Asia Ltd. 507,000 608,614 - ---------------------------------------------------------------------------- Shimano, Inc. 85,000 1,782,749 - ---------------------------------------------------------------------------- SkyWest, Inc. 65,000 1,015,625 - ---------------------------------------------------------------------------- Time Warner, Inc. 23,000 1,109,750 ---------------- 26,553,770 - ---------------------------------------------------------------------------- MEDIA - 1.2% Comcast Corp., Cl. A Special(11) 100,000 2,137,500 - ---------------------------------------------------------------------------- Dow Jones & Co., Inc.(11) 36,000 1,446,750 - ---------------------------------------------------------------------------- South China Morning Post Holdings Ltd. 1,300,000 1,275,286 - ---------------------------------------------------------------------------- U S West Media Group(12) 90,000 1,822,500 ---------------- 6,682,036 - ---------------------------------------------------------------------------- RETAIL: GENERAL - 0.6% Cone Mills Corp.(12) 231,000 1,848,000
58 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER MULTIPLE STRATEGIES FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
MARKET VALUE SHARES NOTE 1 - ---------------------------------------------------------------------------- RETAIL: GENERAL (CONTINUED) Neiman-Marcus Group, Inc. 38,000 $ 997,500 - ---------------------------------------------------------------------------- Starter Corp.(12) 80,000 360,000 ---------------- 3,205,500 - ---------------------------------------------------------------------------- RETAIL: SPECIALTY - 1.9% AutoZone, Inc.(12) 55,000 1,295,937 - ---------------------------------------------------------------------------- Books-A-Million, Inc.(12) 220,000 1,045,000 - ---------------------------------------------------------------------------- Castorama Dubois Investissements SA 4,131 581,907 - ---------------------------------------------------------------------------- Costco Cos., Inc.(11)(12) 41,400 1,361,025 - ---------------------------------------------------------------------------- General Nutrition Cos., Inc.(11)(12) 68,000 1,904,000 - ---------------------------------------------------------------------------- Gymboree Corp.(11)(12) 61,900 1,485,600 - ---------------------------------------------------------------------------- Movie Gallery, Inc.(12) 80,000 510,000 - ---------------------------------------------------------------------------- Toys 'R' Us, Inc.(12) 66,000 2,310,000 ---------------- 10,493,469 - ---------------------------------------------------------------------------- CONSUMER NON-CYCLICALS - 8.8% - ---------------------------------------------------------------------------- BEVERAGES - 0.5% Guinness plc 180,000 1,761,496 - ---------------------------------------------------------------------------- PepsiCo, Inc. 27,000 1,014,187 ---------------- 2,775,683 - ---------------------------------------------------------------------------- FOOD - 1.0% Chiquita Brands International, Inc. 109,080 1,499,850 - ---------------------------------------------------------------------------- Groupe Danone 10,413 1,722,217 - ---------------------------------------------------------------------------- Nestle SA, Sponsored ADR 12,000 792,674 - ---------------------------------------------------------------------------- Sara Lee Corp.(11) 41,000 1,706,625 ---------------- 5,721,366 - ---------------------------------------------------------------------------- HEALTHCARE/DRUGS - 3.3% Abbott Laboratories(11) 26,000 1,735,500 - ---------------------------------------------------------------------------- American Home Products Corp. 26,000 1,989,000 - ---------------------------------------------------------------------------- Amgen, Inc.(12) 13,500 784,687 - ---------------------------------------------------------------------------- Astra AB Free, Series A 60,000 1,117,379 - ---------------------------------------------------------------------------- BioChem Pharma, Inc.(12) 35,000 778,750 - ---------------------------------------------------------------------------- Bristol-Myers Squibb Co.(11) 19,000 1,539,000 - ---------------------------------------------------------------------------- Genzyme Corp. (General Division)(12) 60,000 1,665,000 - ---------------------------------------------------------------------------- Johnson & Johnson(11) 38,000 2,446,250 - ---------------------------------------------------------------------------- Mylan Laboratories, Inc. 110,000 1,622,500 - ---------------------------------------------------------------------------- Novartis AG 2,106 3,371,680 - ---------------------------------------------------------------------------- SmithKline Beecham plc, ADR 19,600 1,795,850 ---------------- 18,845,596 - ---------------------------------------------------------------------------- HEALTHCARE/SUPPLIES & SERVICES - 2.8% Alternative Living Services, Inc.(12) 73,000 1,637,937 - ---------------------------------------------------------------------------- Apache Medical Systems, Inc.(12) 122,000 930,250
59 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER MULTIPLE STRATEGIES FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
MARKET VALUE SHARES NOTE 1 - ---------------------------------------------------------------------------- HEALTHCARE/SUPPLIES & SERVICES (CONTINUED) Biomet, Inc. 80,000 $ 1,490,000 - ---------------------------------------------------------------------------- Datascope Corp.(12) 31,500 618,187 - ---------------------------------------------------------------------------- HemaSure, Inc.(12) 135,500 372,625 - ---------------------------------------------------------------------------- Innovasive Devices, Inc.(12) 85,000 998,750 - ---------------------------------------------------------------------------- Integrated Health Services, Inc.(11) 32,500 1,251,250 - ---------------------------------------------------------------------------- Manor Care, Inc. 44,985 1,467,636 - ---------------------------------------------------------------------------- MedPartners, Inc.(12) 23,000 497,375 - ---------------------------------------------------------------------------- Nellcor Puritan Bennett, Inc.(12) 95,600 1,732,750 - ---------------------------------------------------------------------------- PerSeptive Biosystems, Inc.(12) 440 2,695 - ---------------------------------------------------------------------------- United Healthcare Corp.(11) 24,000 1,248,000 - ---------------------------------------------------------------------------- United States Surgical Corp. 28,000 1,043,000 - ---------------------------------------------------------------------------- WellPoint Health Networks, Inc.(11)(12) 49,981 2,292,878 ---------------- 15,583,333 - ---------------------------------------------------------------------------- HOUSEHOLD GOODS - 0.5% Kimberly-Clark Corp.(11) 26,200 1,303,450 - ---------------------------------------------------------------------------- Procter & Gamble Co.(11) 2,600 367,250 - ---------------------------------------------------------------------------- Wella AG 1,550 1,040,726 - ---------------------------------------------------------------------------- Wella AG, Preference 200 135,205 ---------------- 2,846,631 - ---------------------------------------------------------------------------- TOBACCO - 0.7% Imperial Tobacco Group plc 190,000 1,220,598 - ---------------------------------------------------------------------------- Philip Morris Cos., Inc. 62,400 2,769,000 ---------------- 3,989,598 - ---------------------------------------------------------------------------- ENERGY - 3.8% - ---------------------------------------------------------------------------- ENERGY SERVICES & PRODUCERS - 1.3% Global Marine, Inc.(11)(12) 42,000 976,500 - ---------------------------------------------------------------------------- Louisiana Land & Exploration Co. 35,000 1,999,375 - ---------------------------------------------------------------------------- Transocean Offshore, Inc. 19,000 1,379,875 - ---------------------------------------------------------------------------- Weatherford Enterra, Inc.(11)(12) 29,000 1,116,500 - ---------------------------------------------------------------------------- Western Atlas, Inc.(12) 24,000 1,758,000 ---------------- 7,230,250 - ---------------------------------------------------------------------------- OIL-INTEGRATED - 2.5% Atlantic Richfield Co.(11) 32,000 2,256,000 - ---------------------------------------------------------------------------- Elan Energy, Inc.(12) 154,000 1,110,718 - ---------------------------------------------------------------------------- Enterprise Oil plc 100,000 1,120,074 - ---------------------------------------------------------------------------- Kerr-McGee Corp.(11) 12,000 760,500 - ---------------------------------------------------------------------------- Occidental Petroleum Corp. 41,000 1,027,563 - ---------------------------------------------------------------------------- Royal Dutch Petroleum Co., NY Shares(11) 34,400 1,846,850 - ---------------------------------------------------------------------------- Talisman Energy, Inc.(12) 34,000 1,046,205 - ---------------------------------------------------------------------------- Total SA, Sponsored ADR(11) 21,701 1,098,613
60 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER MULTIPLE STRATEGIES FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
MARKET VALUE SHARES NOTE 1 - ---------------------------------------------------------------------------- OIL-INTEGRATED (CONTINUED) Unocal Corp.(11) 50,000 $ 1,940,625 - ---------------------------------------------------------------------------- YPF SA, Cl. D, ADR 57,000 1,752,750 ---------------- 13,959,898 - ---------------------------------------------------------------------------- FINANCIAL - 6.0% - ---------------------------------------------------------------------------- BANKS - 2.9% Akbank T.A.S. 4,730,015 406,235 - ---------------------------------------------------------------------------- Banco Frances del Rio de la Plata SA 100,050 1,087,675 - ---------------------------------------------------------------------------- Chase Manhattan Corp. (New)(11) 61,000 5,920,813 - ---------------------------------------------------------------------------- NationsBank Corp. 86,000 5,547,000 - ---------------------------------------------------------------------------- PNC Bank Corp. 32,000 1,332,000 - ---------------------------------------------------------------------------- Societe Generale 16,700 1,866,006 ---------------- 16,159,729 - ---------------------------------------------------------------------------- DIVERSIFIED FINANCIAL - 1.5% American Express Co.(11) 38,000 2,831,000 - ---------------------------------------------------------------------------- Federal Home Loan Mortgage Corp.(11) 43,000 1,478,125 - ---------------------------------------------------------------------------- Merrill Lynch & Co., Inc.(11) 26,000 1,550,250 - ---------------------------------------------------------------------------- Morgan Stanley, Dean Witter, Discover & Co.(11) 56,000 2,411,500 ---------------- 8,270,875 - ---------------------------------------------------------------------------- INSURANCE - 1.6% ACE Ltd. 31,500 2,327,063 - ---------------------------------------------------------------------------- American International Group, Inc.(11) 10,200 1,523,625 - ---------------------------------------------------------------------------- Equitable Cos., Inc.(11) 57,000 1,895,250 - ---------------------------------------------------------------------------- Skandia Forsakrings AB 40,000 1,474,320 - ---------------------------------------------------------------------------- UNUM Corp.(11) 46,000 1,932,000 ---------------- 9,152,258 - ---------------------------------------------------------------------------- INDUSTRIAL - 5.8% - ---------------------------------------------------------------------------- ELECTRICAL EQUIPMENT - 1.4% Core Industries, Inc. 25,000 618,750 - ---------------------------------------------------------------------------- General Electric Co.(11) 34,000 2,222,750 - ---------------------------------------------------------------------------- Methode Electronics, Inc., Cl. A 95,000 1,888,125 - ---------------------------------------------------------------------------- Rockwell International Corp.(11) 25,000 1,475,000 - ---------------------------------------------------------------------------- Westinghouse Electric Corp. 70,000 1,618,750 ---------------- 7,823,375 - ---------------------------------------------------------------------------- INDUSTRIAL MATERIALS - 0.7% Owens Corning(11) 44,000 1,897,500 - ---------------------------------------------------------------------------- Wolverine Tube, Inc.(12) 73,500 2,048,813 ---------------- 3,946,313 - ---------------------------------------------------------------------------- INDUSTRIAL SERVICES - 0.3% Calgon Carbon Corp. 101,000 1,401,375
61 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER MULTIPLE STRATEGIES FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
MARKET VALUE SHARES NOTE 1 - ---------------------------------------------------------------------------- INDUSTRIAL SERVICES (CONTINUED) Children's Comprehensive Services, Inc.(12) 40,000 $ 565,000 ---------------- 1,966,375 - ---------------------------------------------------------------------------- MANUFACTURING - 2.0% AGCO Corp. 60,000 2,156,250 - ---------------------------------------------------------------------------- Citic Pacific Ltd. 110,000 687,209 - ---------------------------------------------------------------------------- Cognex Corp.(11)(12) 40,000 1,060,000 - ---------------------------------------------------------------------------- Eaton Corp.(11) 16,000 1,397,000 - ---------------------------------------------------------------------------- Hutchison Whampoa Ltd. 70,000 605,374 - ---------------------------------------------------------------------------- Komatsu Ltd. 48,000 390,107 - ---------------------------------------------------------------------------- Mannesmann AG 1,400 625,870 - ---------------------------------------------------------------------------- Tenneco, Inc.(11) 32,000 1,446,000 - ---------------------------------------------------------------------------- Trinity Industries, Inc. 41,000 1,301,750 - ---------------------------------------------------------------------------- Westinghouse Air Brake Co. 80,000 1,600,000 ---------------- 11,269,560 - ---------------------------------------------------------------------------- TRANSPORTATION - 1.4% Airborne Freight Corp.(11) 23,600 988,250 - ---------------------------------------------------------------------------- Burlington Northern Santa Fe Corp.(11) 26,000 2,336,750 - ---------------------------------------------------------------------------- Canadian National Railway Co. 25,500 1,112,748 - ---------------------------------------------------------------------------- Spartan Motors, Inc. 118,000 914,500 - ---------------------------------------------------------------------------- Stolt-Nielsen SA 72,100 1,360,888 - ---------------------------------------------------------------------------- Stolt-Nielsen SA, Sponsored ADR 22,050 427,219 - ---------------------------------------------------------------------------- Transportacion Maritima Mexicana SA de CV, Sponsored ADR, L Shares 130,000 804,375 ---------------- 7,944,730 - ---------------------------------------------------------------------------- TECHNOLOGY - 11.3% - ---------------------------------------------------------------------------- AEROSPACE/DEFENSE - 0.3% Lockheed Martin Corp. 18,000 1,864,125 - ---------------------------------------------------------------------------- COMPUTER HARDWARE - 2.3% Cabletron Systems, Inc.(11)(12) 48,000 1,359,000 - ---------------------------------------------------------------------------- Canon, Inc. 40,000 1,090,623 - ---------------------------------------------------------------------------- Hewlett-Packard Co. 25,000 1,400,000 - ---------------------------------------------------------------------------- International Business Machines Corp.(11) 38,400 3,463,200 - ---------------------------------------------------------------------------- Komag, Inc.(11)(12) 33,000 540,375 - ---------------------------------------------------------------------------- Moore Corp. Ltd. 72,000 1,417,500 - ---------------------------------------------------------------------------- Seagate Technology(12) 14,000 492,625 - ---------------------------------------------------------------------------- Xerox Corp.(11) 43,500 3,431,063 ---------------- 13,194,386 - ---------------------------------------------------------------------------- COMPUTER SOFTWARE - 2.6% America Online, Inc.(11)(12) 32,540 1,810,038 - ---------------------------------------------------------------------------- American Software, Inc.(12) 80,000 601,250 - ---------------------------------------------------------------------------- Business Objects SA, Sponsored ADR(12) 41,700 406,575
62 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER MULTIPLE STRATEGIES FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
MARKET VALUE SHARES NOTE 1 - ---------------------------------------------------------------------------- COMPUTER SOFTWARE (CONTINUED) Computer Associates International, Inc.(11) 50,975 $ 2,838,670 - ---------------------------------------------------------------------------- Electronic Arts, Inc.(11)(12) 55,000 1,849,375 - ---------------------------------------------------------------------------- Inference Corp., Cl. A(12) 160,000 670,000 - ---------------------------------------------------------------------------- Novell, Inc.(12) 158,000 1,096,125 - ---------------------------------------------------------------------------- Rational Software Corp.(11)(12) 73,000 1,227,313 - ---------------------------------------------------------------------------- Sabre Group Holdings, Inc.(12) 32,200 873,425 - ---------------------------------------------------------------------------- Structural Dynamics Research Corp.(11)(12) 21,000 551,250 - ---------------------------------------------------------------------------- Symantec Corp.(11)(12) 88,364 1,723,098 - ---------------------------------------------------------------------------- Transition Systems, Inc.(12) 57,700 1,049,419 ---------------- 14,696,538 - ---------------------------------------------------------------------------- ELECTRONICS - 4.0% CAE, Inc. 75,433 601,470 - ---------------------------------------------------------------------------- Dynatech Corp.(11)(12) 30,000 1,072,500 - ---------------------------------------------------------------------------- General Motors Corp., Cl. H(11) 24,000 1,386,000 - ---------------------------------------------------------------------------- Input/Output, Inc.(12) 138,000 2,501,250 - ---------------------------------------------------------------------------- Intel Corp.(11) 65,000 9,217,813 - ---------------------------------------------------------------------------- Keyence Corp. 7,700 1,143,930 - ---------------------------------------------------------------------------- Kyocera Corp. 14,000 1,113,344 - ---------------------------------------------------------------------------- LSI Logic Corp.(11)(12) 33,800 1,081,600 - ---------------------------------------------------------------------------- Nokia Corp., A Shares, Sponsored ADR(11) 18,400 1,357,000 - ---------------------------------------------------------------------------- Novellus Systems, Inc.(11)(12) 14,200 1,228,300 - ---------------------------------------------------------------------------- SGS-Thomson Microelectronics NV(12) 13,000 1,040,000 - ---------------------------------------------------------------------------- Xilinx, Inc.(11)(12) 16,400 804,625 ---------------- 22,547,832 - ---------------------------------------------------------------------------- TELECOMMUNICATIONS-TECHNOLOGY - 2.1% Airtouch Communications, Inc.(12) 75,600 2,069,550 - ---------------------------------------------------------------------------- Cisco Systems, Inc.(11)(12) 40,000 2,685,000 - ---------------------------------------------------------------------------- ECI Telecommunications Ltd.(11) 77,000 2,290,750 - ---------------------------------------------------------------------------- Kinnevik Investments AB Free, Series B 24,500 681,226 - ---------------------------------------------------------------------------- MCI Communications Corp.(11) 11,400 436,406 - ---------------------------------------------------------------------------- Newbridge Networks Corp.(11)(12) 39,000 1,696,500 - ---------------------------------------------------------------------------- Qwest Communications International, Inc.(12) 34,300 934,675 - ---------------------------------------------------------------------------- SK Telecom Co. Ltd. 325 243,778 - ---------------------------------------------------------------------------- Tellabs, Inc.(11)(12) 14,000 782,250 ---------------- 11,820,135 - ---------------------------------------------------------------------------- UTILITIES - 1.8% - ---------------------------------------------------------------------------- ELECTRIC UTILITIES - 1.0% Allegheny Power System, Inc. 42,000 1,120,875 - ---------------------------------------------------------------------------- Houston Industries, Inc. 33,700 722,444 - ---------------------------------------------------------------------------- PacifiCorp 60,000 1,320,000
63 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER MULTIPLE STRATEGIES FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
MARKET VALUE SHARES NOTE 1 - ---------------------------------------------------------------------------- ELECTRIC UTILITIES (CONTINUED) Public Service Enterprise Group, Inc. 52,000 $ 1,300,000 - ---------------------------------------------------------------------------- Southern Co. 49,000 1,071,875 ---------------- 5,535,194 - ---------------------------------------------------------------------------- GAS UTILITIES - 0.0% Southwestern Energy Co. 24,000 312,000 - ---------------------------------------------------------------------------- TELEPHONE UTILITIES - 0.8% BCE, Inc. 47,200 1,321,600 - ---------------------------------------------------------------------------- SBC Communications, Inc. 19,000 1,175,625 - ---------------------------------------------------------------------------- U S West Communications Group(11) 62,000 2,336,625 ---------------- 4,833,850 ---------------- Total Common Stocks (Cost $199,016,868) 278,796,513 - ---------------------------------------------------------------------------- PREFERRED STOCKS - 0.1% - ---------------------------------------------------------------------------- K-III Communications Corp., Sr. Exchangeable, Series A 20,000 537,500 - ---------------------------------------------------------------------------- Time Warner, Inc., 10.25% Exchangeable Preferred, Series M(6)(12) 1 1,139 ---------------- Total Preferred Stocks (Cost $500,000) 538,639 - ---------------------------------------------------------------------------- OTHER SECURITIES - 0.2% - ---------------------------------------------------------------------------- Pantry Pride, Inc., $14.875 Exchangeable, Series B (Cost $782,000) 8,000 803,500 UNITS - ---------------------------------------------------------------------------- RIGHTS, WARRANTS AND CERTIFICATES - 0.0% - ---------------------------------------------------------------------------- American Telecasting, Inc. Wts., Exp. 6/99(10) 6,000 3,030 - ---------------------------------------------------------------------------- Gaylord Container Corp. Wts., Exp. 11/02 9,232 73,856 - ---------------------------------------------------------------------------- Hong Kong & China Gas Co. Ltd. Wts., Exp. 9/97 29,376 31,472 - ---------------------------------------------------------------------------- IHF Capital, Inc., Series I Wts., Exp. 11/99(10) 1,000 55,000 - ---------------------------------------------------------------------------- PerSeptive Biosystems, Inc. Wts., Exp. 9/03 249 -- - ---------------------------------------------------------------------------- Terex Corp. Rts., Exp. 5/02(10) 4,000 61,000 ---------------- Total Rights, Warrants and Certificates (Cost $28,557) 224,358 PRINCIPAL AMOUNT(1) - ---------------------------------------------------------------------------- REPURCHASE AGREEMENTS - 20.3% - ---------------------------------------------------------------------------- Repurchase agreement with J.P. Morgan Securities, Inc., 5.95%, dated 6/30/97, to be repurchased at $114,418,908 on 7/1/97, collateralized by U.S. Treasury Bonds, 8.875%-12%, 8/15/13-2/15/19, with a value of $107,347,235 and U.S. Treasury Nts., 7.875%, 11/15/04, with a value of $9,788,635 (Cost $114,400,000) $ 114,400,000 114,400,000 - ---------------------------------------------------------------------------- TOTAL INVESTMENTS, AT VALUE (COST $478,318,980) 100.8% 568,986,904 - ---------------------------------------------------------------------------- LIABILITIES IN EXCESS OF OTHER ASSETS (0.8) (4,474,572 ) ---------------- ---------------- NET ASSETS 100.0% $ 564,512,332 ---------------- ---------------- ---------------- ----------------
64 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER MULTIPLE STRATEGIES FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED) 1. Principal amount is reported in U.S. Dollars, except for those denoted in the following currencies: British Pound AUD - Australian Dollar GBP - Sterling CAD - Canadian Dollar IEP - Irish Punt CZK - Czech Koruna NZD - New Zealand Dollar DKK - Danish Krone PLZ - Polish Zloty FRF - French Franc ZAR - South African Rand
2. When-issued security to be delivered and settled after June 30, 1997. 3. For zero coupon bonds, the interest rate shown is the effective yield on the date of purchase. 4. Securities with an aggregate market value of $4,998,440 are held in collateralized accounts to cover initial margin requirements on open futures sales contracts. See Note 6 of Notes to Financial Statements. 5. Represents the current interest rate for a variable rate security. 6. Interest or dividend is paid in kind. 7. Represents the current interest rate for an increasing rate security. 8. Denotes a step bond: a zero coupon bond that converts to a fixed or variable interest rate at a designated future date. 9. 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 $1,328,875 or 0.24% of the Fund's net assets, at June 30, 1997. 10. Identifies issues considered to be illiquid or restricted - See Note 7 of Notes to Financial Statements. 11. A sufficient amount of securities has been designated to cover outstanding written call options, as follows:
SHARES SUBJECT EXPIRATION EXERCISE PREMIUM MARKET VALUE TO CALL DATE PRICE RECEIVED NOTE 1 - --------------------------------------------------------------------------------------------------- Abbott Laboratories 5,200 11/97 $ 65.00 $ 13,494 $ 26,000 Airborne Freight Corp. 17,200 11/97 40.00 41,408 79,550 Airborne Freight Corp. 6,400 8/97 30.00 7,808 74,400 Alaska Air Group, Inc. 5,000 7/97 25.00 6,850 5,000 Alumax, Inc. 6,400 7/97 40.00 15,407 800 American Express Co. 7,600 10/97 75.00 16,871 49,400 American Express Co. 7,600 7/97 60.00 11,647 113,050 American International Group, Inc. 2,000 11/97 130.00 16,939 45,250 America Online, Inc. 6,400 10/97 60.00 16,808 26,400 Atlantic Richfield Co. 5,600 7/97 72.50 6,041 4,900 Bristol-Myers Squibb Co. 8,000 12/97 70.00 32,759 104,000 Burlington Northern Santa Fe Corp. 5,200 10/97 90.00 7,644 25,350 Cabletron Systems, Inc. 8,800 10/97 40.00 36,035 4,400 Carnival Corp., Cl. A 5,000 10/97 40.00 10,475 18,125 Carnival Corp., Cl. A 1,900 7/97 35.00 2,793 11,875 Chase Manhattan Corp. (New) 9,000 9/97 115.00 15,479 5,625 Cisco Systems, Inc. 8,000 10/97 75.00 23,759 27,000 Cisco Systems, Inc. 2,600 7/97 85.00 10,322 325 Cognex Corp. 8,000 11/97 30.00 16,259 13,000 Comcast Corp., Cl. A Special 20,000 1/98 20.00 17,099 62,500 Computer Associates International, Inc. 10,000 10/97 55.00 44,699 51,250 Costco Cos., Inc. 11,600 7/97 30.00 11,644 34,800 Costco Cos., Inc. 15,000 10/97 35.00 19,424 32,813 Disney (Walt) Co. 5,000 10/97 85.00 15,474 10,000
65 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER MULTIPLE STRATEGIES FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
SHARES 11. Outstanding written call options SUBJECT EXPIRATION EXERCISE PREMIUM MARKET VALUE (continued) TO CALL DATE PRICE RECEIVED NOTE 1 - --------------------------------------------------------------------------------------------------- Disney (Walt) Co. 4,000 7/97 $ 80.00 $ 9,880 $ 5,500 Dow Jones & Co., Inc. 14,400 12/97 45.00 29,717 27,000 Dow Jones & Co., Inc. 7,200 9/97 50.00 17,333 2,700 Dynatech Corp. 6,000 10/97 40.00 25,319 20,250 ECI Telecommunications Ltd. 7,400 8/97 25.00 13,653 37,925 Eastman Kodak Co. 12,000 7/97 90.00 35,139 750 Eaton Corp. 3,200 7/97 75.00 5,504 38,000 Ecolab, Inc. 6,000 10/97 45.00 10,320 29,250 Electronic Arts, Inc. 16,500 12/97 35.00 61,378 74,250 Equitable Cos., Inc. 11,000 1/98 35.00 21,669 27,500 Federal Home Loan Mortgage Corp. 7,200 7/97 30.00 10,521 36,900 Gaylord Entertainment Co., Cl. A 10,000 9/97 30.00 18,496 625 General Electric Co. 6,800 12/97 60.00 17,322 56,100 General Motors Corp., Cl. H 3,100 12/97 60.00 6,882 10,850 General Nutrition Cos., Inc. 13,000 10/97 25.00 15,859 55,250 Global Marine, Inc. 8,400 1/98 25.00 20,747 21,000 Gymboree Corp. 12,000 10/97 30.00 13,890 7,500 Integrated Health Services, Inc. 2,000 12/97 40.00 2,815 5,625 Intel Corp. 8,500 1/98 195.00 53,931 26,563 Intel Corp. 7,000 10/97 170.00 53,163 27,125 International Business Machines Corp. 7,600 7/97 92.50 11,286 15,200 Johnson & Johnson 5,800 7/97 60.00 16,500 25,375 Kerr-McGee Corp. 2,400 7/97 75.00 4,728 450 Kimberly-Clark Corp. 5,200 7/97 50.00 12,597 7,800 Komag, Inc. 5,600 12/97 35.00 31,331 700 LSI Logic Corp. 6,600 10/97 45.00 37,751 6,600 LSI Logic Corp. 7,400 7/97 35.00 20,127 6,013 MCI Communications Corp. 11,400 7/97 32.50 23,882 65,550 Mattel, Inc. 6,400 7/97 35.00 6,608 3,200 Merrill Lynch & Co., Inc. 2,600 1/98 60.00 7,397 17,550 Monsanto Co. 3,600 10/97 45.00 6,192 7,650 Monsanto Co. 3,600 7/97 45.00 7,092 1,575 Morgan Stanley, Dean Witter, Discover & Co. 9,200 7/97 45.00 20,998 4,025 Morgan Stanley, Dean Witter, Discover & Co. 9,200 7/97 35.00 14,812 75,900 Newbridge Networks Corp. 7,800 12/97 45.00 33,890 36,075 Nokia Corp., A Shares, Sponsored ADR 4,000 10/97 70.00 14,880 33,000 Nokia Corp., A Shares, Sponsored ADR 4,600 7/97 70.00 27,461 23,000 Novellus Systems, Inc. 3,000 9/97 85.00 31,409 31,875 Novellus Systems, Inc. 6,000 9/97 95.00 29,819 36,000 Outback Steakhouse, Inc. 10,000 11/97 25.00 17,824 21,250 Owens Corning 6,200 12/97 45.00 17,638 17,050 Owens Corning 6,600 9/97 55.00 10,939 413 Primadonna Resorts, Inc. 9,600 10/97 22.50 28,511 6,000 Procter & Gamble Co. 2,600 7/97 115.00 8,372 65,000 Rational Software Corp. 14,600 10/97 25.00 12,483 7,300 Rockwell International Corp. 4,800 7/97 75.00 10,656 900 Royal Dutch Petroleum Co., NY Shares 7,200 7/97 43.75 11,420 64,800 Sara Lee Corp. 8,200 10/97 45.00 11,028 8,200 Structural Dynamics Research Corp. 10,000 11/97 25.00 20,324 32,500
66 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER MULTIPLE STRATEGIES FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
SHARES 11. Outstanding written call options SUBJECT EXPIRATION EXERCISE PREMIUM MARKET VALUE (continued) TO CALL DATE PRICE RECEIVED NOTE 1 - --------------------------------------------------------------------------------------------------- Symantec Corp. 17,600 1/98 $ 20.00 $ 54,470 $ 52,800 Symantec Corp. 17,600 10/97 17.50 21,471 57,200 Tellabs, Inc. 5,200 12/97 55.00 23,243 39,650 Tenneco, Inc. 5,500 8/97 50.00 8,772 1,031 Total SA, Sponsored ADR 4,200 11/97 45.00 5,984 30,975 U S West Communications Group 11,000 7/97 35.00 13,419 29,562 UNUM Corp. 8,400 12/97 45.00 37,547 19,425 United Healthcare Corp. 4,800 9/97 60.00 7,356 4,800 Unocal Corp. 10,000 10/97 45.00 18,449 6,250 Weatherford Enterra, Inc. 1,500 9/97 40.00 3,986 2,906 WellPoint Health Networks, Inc. 2,300 1/98 50.00 12,580 9,487 WellPoint Health Networks, Inc. 10,000 7/97 35.00 34,699 108,750 Xerox Corp. 8,600 10/97 70.00 20,704 95,675 Xilinx, Inc. 4,000 12/97 60.00 33,379 15,500 ---------- ------------ $1,664,690 $2,431,438 ---------- ------------ ---------- ------------
12. Non-income producing security. See accompanying Notes to Financial Statements. 67 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER GLOBAL SECURITIES FUND STATEMENT OF INVESTMENTS JUNE 30, 1997 (UNAUDITED)
PRINCIPAL MARKET VALUE AMOUNT NOTE 1 - ------------------------------------------------------------------------ U.S. GOVERNMENT OBLIGATIONS - 9.6% - ------------------------------------------------------------------------ U.S. Treasury Bonds, STRIPS, Zero Coupon: 6.976%, 11/15/18(1) $ 86,770,000 $ 19,818,344 6.93%, 2/15/19(1) 87,000,000 19,527,661 6.933%, 8/15/19(1) 180,000,000 39,113,443 --------------- Total U.S. Government Obligations (Cost $79,835,910) 78,459,448 SHARES - ------------------------------------------------------------------------ COMMON STOCKS - 79.5% - ------------------------------------------------------------------------ BASIC MATERIALS - 1.6% - ------------------------------------------------------------------------ CHEMICALS - 0.5% Minerals Technologies, Inc. 100,000 3,750,000 - ------------------------------------------------------------------------ GOLD AND PLATINUM - 0.6% Newmont Mining Corp. 120,500 4,699,500 - ------------------------------------------------------------------------ METALS - 0.5% Cia de Minas Buenaventura SA, Sponsored ADR 46,000 905,625 - ------------------------------------------------------------------------ Freeport-McMoRan Copper & Gold, Inc., Cl. B 107,000 3,330,375 --------------- 4,236,000 - ------------------------------------------------------------------------ CONSUMER CYCLICALS - 10.3% - ------------------------------------------------------------------------ AUTOS & HOUSING - 2.9% Brazil Realty SA, GDR(2) 60,000 1,488,084 - ------------------------------------------------------------------------ IRSA Inversiones y Representaciones SA 1,028,807 4,506,720 - ------------------------------------------------------------------------ Mahindra & Mahindra Ltd., GDR(2) 200,000 2,950,000 - ------------------------------------------------------------------------ Porsche AG, Preference 9,750 12,701,330 - ------------------------------------------------------------------------ Solidere, GDR(3) 110,000 1,955,250 --------------- 23,601,384 - ------------------------------------------------------------------------ LEISURE & ENTERTAINMENT - 5.0% Callaway Golf Co. 220,800 7,838,400 - ------------------------------------------------------------------------ International Game Technology 500,000 8,875,000 - ------------------------------------------------------------------------ Nintendo Co. Ltd. 275,000 23,070,867 - ------------------------------------------------------------------------ Resorts World Berhad 563,000 1,695,243 --------------- 41,479,510 - ------------------------------------------------------------------------ MEDIA - 0.0% Reed International plc 33,200 320,478 - ------------------------------------------------------------------------ RETAIL: GENERAL - 1.7% Credit Saison Co. Ltd. 290,000 7,096,039 - ------------------------------------------------------------------------ PT Matahari Putra Prima 1,000,000 2,015,217 - ------------------------------------------------------------------------ Sonae Investimentos 118,000 4,939,769 --------------- 14,051,025 - ------------------------------------------------------------------------ RETAIL: SPECIALTY - 0.7% Giordano International Ltd. 2,100,000 1,436,633 - ------------------------------------------------------------------------ Reebok International Ltd. 71,000 3,319,250
68 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER GLOBAL SECURITIES FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
MARKET VALUE SHARES NOTE 1 - ------------------------------------------------------------------------ RETAIL: SPECIALTY (CONTINUED) Wolford AG 12,450 $ 1,208,343 --------------- 5,964,226 - ------------------------------------------------------------------------ CONSUMER NON-CYCLICALS - 14.5% - ------------------------------------------------------------------------ BEVERAGES - 2.5% Cia Cervejaria Brahma, Preference 4,700,000 3,601,790 - ------------------------------------------------------------------------ Guinness plc 700,000 6,850,261 - ------------------------------------------------------------------------ Hellenic Bottling Co., SA 35,000 1,294,950 - ------------------------------------------------------------------------ Panamerican Beverages, Inc., Cl. A 100,000 3,287,500 - ------------------------------------------------------------------------ South African Breweries Ltd. 178,900 5,492,582 --------------- 20,527,083 - ------------------------------------------------------------------------ FOOD - 1.1% Cresud SA, Sponsored ADR(3) 95,000 2,113,750 - ------------------------------------------------------------------------ Dairy Farm International Holdings Ltd. 4,750,000 3,562,500 - ------------------------------------------------------------------------ Disco SA, Sponsored ADR(3) 93,200 3,693,050 --------------- 9,369,300 - ------------------------------------------------------------------------ HEALTHCARE/DRUGS - 5.0% Amgen, Inc.(3) 100,000 5,812,500 - ------------------------------------------------------------------------ BioChem Pharma, Inc.(3) 198,900 4,425,525 - ------------------------------------------------------------------------ Genzyme Corp. (General Division)(3) 220,800 6,127,200 - ------------------------------------------------------------------------ Gilead Sciences, Inc.(3) 72,700 2,008,337 - ------------------------------------------------------------------------ Glaxo Wellcome plc, Sponsored ADR 200,000 8,362,500 - ------------------------------------------------------------------------ Novartis AG 9,000 14,408,890 --------------- 41,144,952 - ------------------------------------------------------------------------ HEALTHCARE/SUPPLIES & SERVICES - 2.3% Gehe AG 69,990 4,819,877 - ------------------------------------------------------------------------ United States Surgical Corp. 381,500 14,210,875 --------------- 19,030,752 - ------------------------------------------------------------------------ HOUSEHOLD GOODS - 2.2% Wella AG, Preference 27,000 18,252,728 - ------------------------------------------------------------------------ TOBACCO - 1.4% B.A.T. Industries plc 600,000 5,367,369 - ------------------------------------------------------------------------ Philip Morris Cos., Inc. 120,000 5,325,000 - ------------------------------------------------------------------------ PT Gudang Garam 79,500 333,498 - ------------------------------------------------------------------------ PT Hanjaya Mandala Sampoerna 100,000 381,452 --------------- 11,407,319 - ------------------------------------------------------------------------ ENERGY - 5.6% - ------------------------------------------------------------------------ ENERGY SERVICES & PRODUCERS - 2.8% Coflexip SA, Sponsored ADR 105,000 3,163,125 - ------------------------------------------------------------------------ Global Marine, Inc.(3) 117,500 2,731,875 - ------------------------------------------------------------------------ Mosenergo, Sponsored ADR(3) 82,000 3,486,221
69 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER GLOBAL SECURITIES FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
MARKET VALUE SHARES NOTE 1 - ------------------------------------------------------------------------ ENERGY SERVICES & PRODUCERS (CONTINUED) Transocean Offshore, Inc. 135,459 $ 9,837,710 - ------------------------------------------------------------------------ Western Atlas, Inc.(3) 49,300 3,611,225 --------------- 22,830,156 - ------------------------------------------------------------------------ OIL-INTEGRATED - 2.8% British Petroleum Co. plc, ADR 51,818 3,879,873 - ------------------------------------------------------------------------ Gulf Canada Resources Ltd.(3) 565,600 4,632,846 - ------------------------------------------------------------------------ Lukoil Oil Co., Sponsored ADR 66,900 5,279,460 - ------------------------------------------------------------------------ Petroleo Brasileiro SA, Preference 27,698,000 7,589,917 - ------------------------------------------------------------------------ Saga Petroleum AS, Cl. A 100,000 1,898,701 --------------- 23,280,797 - ------------------------------------------------------------------------ FINANCIAL - 16.4% - ------------------------------------------------------------------------ BANKS - 10.5% ABN Amro Holding NV 280,000 5,230,381 - ------------------------------------------------------------------------ Banco Bradesco SA, Preference 455,260,951 4,567,208 - ------------------------------------------------------------------------ Banco Frances del Rio de la Plata SA, Sponsored ADR 63,250 2,055,625 - ------------------------------------------------------------------------ Banco Latinoamericano de Exportaciones SA, Cl. E 80,000 3,450,000 - ------------------------------------------------------------------------ Bankers Trust New York Corp. 90,000 7,830,000 - ------------------------------------------------------------------------ Banque Libanaise Pour Le Comm SAL, GDR, Cl. B(3) 50,000 1,042,500 - ------------------------------------------------------------------------ Barclays plc 300,414 5,959,752 - ------------------------------------------------------------------------ Chase Manhattan Corp. (New) 52,000 5,047,250 - ------------------------------------------------------------------------ Cie Financiere de Paribas, Series A 250,000 17,288,555 - ------------------------------------------------------------------------ Citicorp 45,000 5,425,312 - ------------------------------------------------------------------------ HSBC Holdings plc 154,836 4,656,703 - ------------------------------------------------------------------------ Industrial Finance Corp. 1,048,000 1,335,032 - ------------------------------------------------------------------------ Merita Ltd., Cl. A 2,000,000 6,661,205 - ------------------------------------------------------------------------ Northern Trust Corp. 9,100 440,213 - ------------------------------------------------------------------------ PT Pan Indonesia Bank(3) 1,939,000 1,275,920 - ------------------------------------------------------------------------ Societe Generale 110,000 12,291,055 - ------------------------------------------------------------------------ Unibanco-Uniao de Bancos Brasileiros SA, Sponsored GDR Representing 500 Units of one Preferred Share of Unibanco and one Preferred Share of Unibanco Holdings SA(3) 44,000 1,633,500 --------------- 86,190,211 - ------------------------------------------------------------------------ DIVERSIFIED FINANCIAL - 3.7% American Express Co. 24,500 1,825,250 - ------------------------------------------------------------------------ Associates First Capital Corp., Cl. A 160,000 8,880,000 - ------------------------------------------------------------------------ Fannie Mae 150,000 6,543,750 - ------------------------------------------------------------------------ First NIS Regional Fund(4) 180,000 3,420,000 - ------------------------------------------------------------------------ Housing Development Finance Corp. Ltd. 5,700 650,046 - ------------------------------------------------------------------------ Industrial Credit & Investment Corp. of India Ltd. (The), GDR(2)(3) 162,500 2,335,938 - ------------------------------------------------------------------------ ING Groep NV 90,432 4,177,004
70 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER GLOBAL SECURITIES FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
MARKET VALUE SHARES NOTE 1 - ------------------------------------------------------------------------ DIVERSIFIED FINANCIAL (CONTINUED) Promise Co. Ltd. 40,000 $ 2,293,104 --------------- 30,125,092 - ------------------------------------------------------------------------ INSURANCE - 2.2% American International Group, Inc. 35,000 5,228,125 - ------------------------------------------------------------------------ Norwich Union plc(3) 850,000 4,498,604 - ------------------------------------------------------------------------ Reinsurance Australia Corp. Ltd. 783,000 2,367,118 - ------------------------------------------------------------------------ Skandia Forsakrings AB 166,800 6,147,914 --------------- 18,241,761 - ------------------------------------------------------------------------ INDUSTRIAL - 8.4% - ------------------------------------------------------------------------ INDUSTRIAL SERVICES - 5.1% Adecco SA 35,000 13,444,456 - ------------------------------------------------------------------------ Axime(3) 50,000 5,918,988 - ------------------------------------------------------------------------ Boskalis Westminster 85,500 1,680,045 - ------------------------------------------------------------------------ Grupo Elektra SA de CV, CPO(3) 146,100 1,596,086 - ------------------------------------------------------------------------ IHC Caland NV 45,000 2,464,373 - ------------------------------------------------------------------------ PT Citra Marga Nusaphala Persada 2,331,000 1,366,101 - ------------------------------------------------------------------------ VBH Holding AG 247,000 5,358,059 - ------------------------------------------------------------------------ WPP Group plc 2,520,000 10,338,302 --------------- 42,166,410 - ------------------------------------------------------------------------ MANUFACTURING - 2.8% Bic Corp. 17,966 2,940,813 - ------------------------------------------------------------------------ Bobst Bearers AG 2,000 3,402,270 - ------------------------------------------------------------------------ Bombardier, Inc., Cl. B 250,000 5,672,107 - ------------------------------------------------------------------------ Hutchison Whampoa Ltd. 375,000 3,243,073 - ------------------------------------------------------------------------ Powerscreen International plc 730,100 7,952,868 --------------- 23,211,131 - ------------------------------------------------------------------------ TRANSPORTATION - 0.5% Guangshen Railway Co. Ltd., Sponsored ADR 180,000 3,937,500 - ------------------------------------------------------------------------ TECHNOLOGY - 17.7% - ------------------------------------------------------------------------ AEROSPACE/DEFENSE - 1.1% Rolls-Royce plc 2,300,723 8,768,627 - ------------------------------------------------------------------------ COMPUTER HARDWARE - 2.5% Accton Technology Corp., GDR(3) 100,000 875,000 - ------------------------------------------------------------------------ International Business Machines Corp. 140,000 12,626,250 - ------------------------------------------------------------------------ Iomega Corp.(3) 350,000 6,956,250 --------------- 20,457,500 - ------------------------------------------------------------------------ COMPUTER SOFTWARE - 3.6% Cap Gemini SA 210,000 11,088,521 - ------------------------------------------------------------------------ First Data Corp. 87,000 3,822,563 - ------------------------------------------------------------------------ Konami Co. Ltd. 100,000 3,740,277
71 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER GLOBAL SECURITIES FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
MARKET VALUE SHARES NOTE 1 - ------------------------------------------------------------------------ COMPUTER SOFTWARE (CONTINUED) Microsoft Corp.(3) 58,000 $ 7,329,750 - ------------------------------------------------------------------------ Misys plc 151,600 3,408,681 --------------- 29,389,792 - ------------------------------------------------------------------------ ELECTRONICS - 3.0% Advanced Semiconductor Engineering, Inc., GDR(3) 141,339 2,809,113 - ------------------------------------------------------------------------ Intel Corp. 10,000 1,418,125 - ------------------------------------------------------------------------ Keyence Corp. 27,500 4,085,466 - ------------------------------------------------------------------------ SGS-Thomson Microelectronics NV(3) 49,100 3,928,000 - ------------------------------------------------------------------------ Sony Corp. 100,000 8,730,226 - ------------------------------------------------------------------------ Taiwan Semiconductor Manufacturing Co.(3)(4) 768,000 3,411,794 --------------- 24,382,724 - ------------------------------------------------------------------------ TELECOMMUNICATIONS - TECHNOLOGY - 7.5% Alcatel Alsthom SA 90,000 11,282,698 - ------------------------------------------------------------------------ Ascend Communications, Inc.(3) 120,000 4,725,000 - ------------------------------------------------------------------------ Cisco Systems, Inc.(3) 41,100 2,758,838 - ------------------------------------------------------------------------ Millicom International Cellular SA(3) 145,000 6,923,750 - ------------------------------------------------------------------------ Millicom, Inc.(3) 25,000 -- - ------------------------------------------------------------------------ NEC Corp.(3) 500,000 6,991,172 - ------------------------------------------------------------------------ Newbridge Networks Corp.(3) 160,000 6,960,000 - ------------------------------------------------------------------------ QUALCOMM, Inc.(3) 221,500 11,268,813 - ------------------------------------------------------------------------ SK Telecom Co. Ltd. 5,546 4,159,981 - ------------------------------------------------------------------------ Telecom Italia Mobile SpA 2,000,000 6,464,884 --------------- 61,535,136 - ------------------------------------------------------------------------ UTILITIES - 5.0% - ------------------------------------------------------------------------ ELECTRIC UTILITIES - 0.6% Empresa Nacional de Electricidad SA 60,000 5,046,574 - ------------------------------------------------------------------------ GAS UTILITIES - 0.2% Gazprom, ADR(2)(3) 118,800 2,043,360 - ------------------------------------------------------------------------ TELEPHONE UTILITIES - 4.2% CPT Telefonica del Peru SA, Cl. B 3,400,031 8,934,207 - ------------------------------------------------------------------------ SBC Communications, Inc. 128,500 7,950,938 - ------------------------------------------------------------------------ Telecomunicacoes Brasileiras SA, Preference 82,500,000 12,529,632 - ------------------------------------------------------------------------ Videsh Sanchar Nigam Ltd., GDR(3) 250,000 5,187,500 --------------- 34,602,277 --------------- Total Common Stocks (Cost $519,334,232) 654,043,305 - ------------------------------------------------------------------------ PREFERRED STOCKS - 1.5% - ------------------------------------------------------------------------ Marschollek, Lautenschlaeger und Partner AG, Non-Vtg. Preferred Stock (Cost $3,854,224) 50,307 12,125,410
72 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER GLOBAL SECURITIES FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
MARKET VALUE UNITS NOTE 1 - ------------------------------------------------------------------------ RIGHTS, WARRANTS AND CERTIFICATES - 0.1% - ------------------------------------------------------------------------ American Satellite Network, Inc. Wts., Exp. 6/99 6,250 $ -- - ------------------------------------------------------------------------ PT Citra Marga Nusaphala Persada Rts., Exp. 8/97 2,331,000 910,734 - ------------------------------------------------------------------------ PT Pan Indonesia Bank Rts., Exp. 7/97 969,500 25,917 - ------------------------------------------------------------------------ PT Pan Indonesia Bank Wts., Exp. 6/00 415,500 4,443 --------------- Total Rights, Warrants and Certificates (Cost $0) 941,094 PRINCIPAL AMOUNT - ------------------------------------------------------------------------ REPURCHASE AGREEMENTS - 8.9% - ------------------------------------------------------------------------ Repurchase agreement with Zion First National Bank, 5.95%, dated 6/30/97, to be repurchased at $73,412,131 on 7/1/97, collateralized by U.S. Treasury Bonds, 12.50%, 8/15/14, with a value of $18,582,433 and U.S. Treasury Nts., 5.125%-7.25%, 5/31/98-8/15/04, with a value of $56,365,059 (Cost $73,400,000) $ 73,400,000 73,400,000 - ------------------------------------------------------------------------ TOTAL INVESTMENTS, AT VALUE (COST $676,424,366) 99.6% 818,969,257 - ------------------------------------------------------------------------ OTHER ASSETS NET OF LIABILITIES 0.4 3,370,893 ---------------- --------------- NET ASSETS 100.0% $ 822,340,150 ---------------- --------------- ---------------- ---------------
1. For zero coupon bonds, the interest rate shown is the effective yield on the date of purchase. 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 $8,817,382 or 1.07% of the Fund's net assets, at June 30, 1997. 3. Non-income producing security. 4. Identifies issues considered to be illiquid or restricted - See Note 6 of Notes to Financial Statements. Distribution of investments by country of issue, as a percentage of total investments at value, is as follows:
COUNTRY MARKET VALUE PERCENT - -------------------------------------------------------------- United States $ 347,296,870 42.4% - -------------------------------------------------------------- France 67,901,756 8.3 - -------------------------------------------------------------- Great Britain 65,707,315 8.0 - -------------------------------------------------------------- Japan 56,007,151 6.8 - -------------------------------------------------------------- Germany 53,257,405 6.5 - -------------------------------------------------------------- Brazil 31,410,131 3.8 - -------------------------------------------------------------- Switzerland 31,255,616 3.8 - -------------------------------------------------------------- Canada 14,730,477 1.8 - -------------------------------------------------------------- Russia 14,229,041 1.7 - -------------------------------------------------------------- The Netherlands 13,551,803 1.7 - -------------------------------------------------------------- Argentina 12,369,145 1.5 - -------------------------------------------------------------- India 11,123,484 1.4 - -------------------------------------------------------------- Peru 9,839,832 1.2 - -------------------------------------------------------------- Hong Kong 9,336,410 1.1 - -------------------------------------------------------------- Taiwan 7,095,907 0.9
73 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER GLOBAL SECURITIES FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED) Distributions of Investments By Country (Continued)
COUNTRY MARKET VALUE PERCENT - -------------------------------------------------------------- Finland $ 6,661,206 0.8% - -------------------------------------------------------------- Italy 6,464,884 0.8 - -------------------------------------------------------------- Indonesia 6,313,281 0.8 - -------------------------------------------------------------- Sweden 6,147,914 0.8 - -------------------------------------------------------------- South Africa 5,492,582 0.7 - -------------------------------------------------------------- Spain 5,046,574 0.6 - -------------------------------------------------------------- Portugal 4,939,769 0.6 - -------------------------------------------------------------- Mexico 4,883,586 0.6 - -------------------------------------------------------------- Korea, Republic of (South) 4,159,981 0.5 - -------------------------------------------------------------- China 3,937,500 0.5 - -------------------------------------------------------------- Singapore 3,562,500 0.4 - -------------------------------------------------------------- Panama 3,450,000 0.4 - -------------------------------------------------------------- Lebanon 2,997,750 0.4 - -------------------------------------------------------------- Australia 2,367,118 0.3 - -------------------------------------------------------------- Norway 1,898,701 0.2 - -------------------------------------------------------------- Malaysia 1,695,243 0.2 - -------------------------------------------------------------- Thailand 1,335,032 0.2 - -------------------------------------------------------------- Greece 1,294,950 0.2 - -------------------------------------------------------------- Austria 1,208,343 0.1 - -------------------------------------------------------------- Total $ 818,969,257 100.0% ---------------- ------ ---------------- ------
See accompanying Notes to Financial Statements. 74 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER STRATEGIC BOND FUND STATEMENT OF INVESTMENTS JUNE 30, 1997 (UNAUDITED)
PRINCIPAL MARKET VALUE AMOUNT(1) NOTE 1 - --------------------------------------------------------------------- MORTGAGE-BACKED OBLIGATIONS - 17.3% - --------------------------------------------------------------------- GOVERNMENT AGENCY - 14.4% - --------------------------------------------------------------------- FHLMC/FNMA/SPONSORED - 8.0% Federal Home Loan Mortgage Corp., Collateralized Mtg. Obligations, Gtd. Multiclass Mtg. Participation Certificates, Series 151, Cl. F, 9%, 5/15/21 $ 1,500,000 $ 1,617,507 - --------------------------------------------------------------------- Federal National Mortgage Assn.: 7.50%, 7/1/27(2) 10,000,000 10,021,900 7.50%, 8/1/25 1,002,253 1,008,428 ------------ 12,647,835 - --------------------------------------------------------------------- GNMA/GUARANTEED - 6.4% Government National Mortgage Assn.: 6.875%, 11/20/25 652,549 668,556 7.50%, 2/15/27 4,705,510 4,723,674 8%, 11/15/25 2,855,970 2,926,770 8%, 5/15/26 1,841,007 1,885,523 ------------ 10,204,523 - --------------------------------------------------------------------- PRIVATE - 2.9% - --------------------------------------------------------------------- COMMERCIAL - 0.9% Criimi Mae Financial Corp., Collateralized Mtg. Obligations, Trust I, Cl. A-2, 7.56%, 8/30/05 100,000 99,313 - --------------------------------------------------------------------- FDIC Trust, Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates, Series 1994-C1, Cl. 2-G, 8.70%, 9/25/25(3) 153,594 153,258 - --------------------------------------------------------------------- Merrill Lynch Mortgage Investors, Inc., Mtg. Pass-Through Certificates, Series 1995-C2, Cl. D, 8.206%, 6/15/21(4) 419,027 427,310 - --------------------------------------------------------------------- Morgan Stanley Capital I, Inc., Commercial Mtg. Pass-Through Certificates, Series 1996-C1, Cl. F, 7.51%, 2/15/28(3)(4) 162,744 118,396 - --------------------------------------------------------------------- NationsCommercial Corp., NB Commercial Mtg. Pass-Through Certificates, Series-DMC, Cl. C, 8.921%, 8/12/11(5) 200,000 207,234 - --------------------------------------------------------------------- Resolution Trust Corp., Commercial Mtg. Pass-Through Certificates: Series 1992-CHF, Cl. D, 8.25%, 12/25/20 122,374 123,876 Series 1993-C1, Cl. D, 9.45%, 5/25/24 91,000 93,282 Series 1994-C2, Cl. E, 8%, 4/25/25 216,348 217,176 - --------------------------------------------------------------------- Structured Asset Securities Corp., Multiclass Pass-Through Certificates, Series 1995-C4, Cl. E, 8.837%, 6/25/26(3)(4) 46,290 45,031 ------------ 1,484,876 - --------------------------------------------------------------------- MULTI-FAMILY - 1.1% Mortgage Capital Funding, Inc.: Commercial Mtg. Pass-Through Certificates, Series 1997-MC1, Cl. F, 7.452%, 5/20/07(3) 63,720 58,981 Multifamily Mtg. Pass-Through Certificates, Series 1996-MC1, Cl. G, 7.15%, 6/15/06(5) 800,000 734,750 - --------------------------------------------------------------------- Resolution Trust Corp., Commercial Mtg. Pass-Through Certificates, Series 1991-M6, Cl. B4, 7.089%, 6/25/21(4) 26,665 26,297
75 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER STRATEGIC BOND FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
PRINCIPAL MARKET VALUE AMOUNT(1) NOTE 1 - --------------------------------------------------------------------- MULTI-FAMILY (CONTINUED) Salomon Brothers Mortgage Securities VII, Series 1996-CL, Cl. F, 9.186%, 1/20/28(4) $ 1,000,000 $ 831,875 ------------ 1,651,903 - --------------------------------------------------------------------- RESIDENTIAL - 0.9% CS First Boston Mortgage Securities Corp., Mtg. Pass-Through Certificates: Series 1997-C1, Cl. F, 7.50%, 6/20/29 100,000 92,797 Series 1997-C1, Cl. G, 7.50%, 6/20/29 100,000 89,109 Series 1997-C1, Cl. H, 7.50%, 6/20/29 60,000 44,175 - --------------------------------------------------------------------- First Chicago/Lennar Trust 1, Commercial Mtg. Pass-Through Certificates: Series 1997-CHL1, 8.13%, 2/25/11(4) 600,000 477,750 Series 1997-CHL1, 8.13%, 5/25/08(4) 350,000 337,203 - --------------------------------------------------------------------- Morgan Stanley Capital I, Inc., Commercial Mtg. Pass-Through Certificates, Series 1997-HF1, Cl. F, 6.86%, 7/15/29 150,000 134,438 - --------------------------------------------------------------------- Salomon Brothers Mortgage Securities VII, Series 1996-B, Cl. 1, 7.136%, 4/25/26 395,434 264,941 ------------ 1,440,413 ------------ Total Mortgage-Backed Obligations (Cost $26,833,018) 27,429,550 - --------------------------------------------------------------------- U.S. GOVERNMENT OBLIGATIONS - 22.2% - --------------------------------------------------------------------- AGENCY - 1.0% - --------------------------------------------------------------------- Fannie Mae Sr. Unsub. Medium-Term Nts., 6.50%, 7/10/02(2) AUD 1,720,000 1,294,257 - --------------------------------------------------------------------- Fannie Mae, Medium-Term Nts., 7.25%, 6/20/02 NZD 400,000 272,583 ------------ 1,566,840 - --------------------------------------------------------------------- TREASURY - 21.2% - --------------------------------------------------------------------- U.S. Treasury Bonds: 11.25%, 2/15/15 690,000 1,002,657 11.625%, 11/15/02 300,000 370,594 11.625%, 11/15/04 765,000 990,914 13.125%, 5/15/01(6)(7) 2,800,000 3,446,626 6.50%, 11/15/26 170,000 162,988 6.875%, 8/15/25(8) 1,100,000 1,103,782 8.125%, 8/15/19(8) 163,000 185,922 - --------------------------------------------------------------------- U.S. Treasury Nts.: 10.75%, 5/15/03 2,783,000 3,363,083 6%, 2/15/26 1,330,000 1,190,351 6.25%, 10/31/01 10,135,000 10,093,831 6.25%, 2/15/03 2,355,000 2,337,340 7.50%, 10/31/99 7,130,000 7,334,994 7.50%, 5/15/02 2,020,000 2,114,057 ------------ 33,697,139 ------------ Total U.S. Government Obligations (Cost $35,674,790) 35,263,979
76 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER STRATEGIC BOND FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
PRINCIPAL MARKET VALUE AMOUNT(1) NOTE 1 - --------------------------------------------------------------------- FOREIGN GOVERNMENT OBLIGATIONS - 26.7% - --------------------------------------------------------------------- ARGENTINA - 2.9% Argentina (Republic of) Bonds: 5%, 12/20/02 JPY 60,000,000 $ 545,167 Bonos de Consolidacion de Deudas, Series I, 3.242%, 4/1/01(4)(9) ARP 404,884 370,197 Bonos de Consolidacion de Deudas, Series I, 5.695%, 4/1/01(4)(9) 1,094,732 1,059,604 - --------------------------------------------------------------------- Argentina (Republic of) Nts., 11.75%, 2/12/07(5) ARP 360,000 400,548 - --------------------------------------------------------------------- Argentina (Republic of) Past Due Interest Bonds, Series L, 6.75%, 3/31/05(4) 174,600 164,560 - --------------------------------------------------------------------- Argentina (Republic of) Unsec. Unsub. Medium-Term Nts., 5.50%, 3/27/01 JPY 120,000,000 1,115,319 - --------------------------------------------------------------------- Argentina (Republic of) Unsec. Unsub. Nts., 5.50%, 3/27/01 JPY 50,000,000 464,716 - --------------------------------------------------------------------- Banco Hipotecario Nacional (Argentina) Medium-Term Nts., 10.625%, 8/7/06 400,000 427,000 ------------ 4,547,111 - --------------------------------------------------------------------- AUSTRALIA - 2.2% Australia (Commonwealth of) Bonds: 10%, 10/15/02 AUD 900,000 783,299 Series 302, 9.75%, 3/15/02 AUD 125,000 106,842 - --------------------------------------------------------------------- Queensland Treasury Corp. Exchangeable Gtd. Nts.: 10.50%, 5/15/03 AUD 175,000 156,115 8%, 8/14/01 AUD 1,423,000 1,139,850 - --------------------------------------------------------------------- Treasury Corp. of Victoria Gtd. Bonds: 12.50%, 10/15/03 AUD 96,000 93,429 Series 999, 10.25%, 9/15/99 AUD 1,424,000 1,174,489 ------------ 3,454,024 - --------------------------------------------------------------------- BRAZIL - 0.7% Banco Estado Minas Gerais, 8.25%, 2/10/00 250,000 245,937 - --------------------------------------------------------------------- Brazil (Federal Republic of) Eligible Interest Bonds, 6.875%, 4/15/06(4) 881,100 815,568 - --------------------------------------------------------------------- Telecomunicacoes Brasileiras SA Medium-Term Nts., 11.437%, 12/9/99(4) 10,000 10,512 ------------ 1,072,017 - --------------------------------------------------------------------- BULGARIA - 0.2% Bulgaria (Republic of) Interest Arrears Bonds, 6.688%, 7/28/11(4) 400,000 289,000 - --------------------------------------------------------------------- CANADA - 3.2% Canada (Government of) Bonds: 11.75%, 2/1/03 CAD 430,000 398,616 7%, 12/1/06 CAD 280,000 213,416 8.75%, 12/1/05 CAD 640,000 540,352 9.75%, 12/1/01 CAD 540,000 453,628 9.75%, 6/1/01 CAD 2,675,000 2,225,576 Series A-33, 11.50%, 9/1/00 CAD 1,100,000 940,195 - --------------------------------------------------------------------- NAV Canada Bonds, Series 97-2, 7.56%, 3/1/27 CAD 360,000 273,087 ------------ 5,044,870 - --------------------------------------------------------------------- COLOMBIA - 0.3% Financiera Energetica Nacional SA Nts., 9.375%, 6/15/06 500,000 536,563
77 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER STRATEGIC BOND FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
PRINCIPAL MARKET VALUE AMOUNT(1) NOTE 1 - --------------------------------------------------------------------- FINLAND - 2.0% Finland (Republic of) Bonds: 7.25%, 4/18/06 FIM 6,000,000 $ 1,253,192 9.50%, 3/15/04 FIM 8,000,000 1,870,701 ------------ 3,123,893 - --------------------------------------------------------------------- GERMANY - 1.4% Germany (Republic of) Bonds, Series 94, 6.25%, 1/4/24 DEM 4,200,000 2,344,964 - --------------------------------------------------------------------- GREAT BRITAIN - 1.7% United Kingdom Treasury Bonds, 10%, 9/8/03 GBP 1,020,000 1,933,657 - --------------------------------------------------------------------- United Kingdom Treasury Nts.: 12.50%, 11/21/05 GBP 158,000 333,630 13%, 7/14/00 GBP 200,000 385,494 9.75%, 8/27/02 GBP 30,000 55,437 ------------ 2,708,218 - --------------------------------------------------------------------- INDONESIA - 0.3% Bank Tabugan Negara Negotiable CD, Zero Coupon, 13.151%, 2/3/98(10) IDR 1,178,876,000 448,398 - --------------------------------------------------------------------- ITALY - 2.1% Italy (Republic of) Treasury Bonds, Buoni del Tesoro Poliennali: 10.50%, 4/1/00 ITL 550,000,000 356,797 10.50%, 7/15/00 ITL 1,160,000,000 762,198 10.50%, 7/15/98 ITL 380,000,000 231,908 9%, 10/1/03 ITL 450,000,000 295,574 9.50%, 2/1/01 ITL 2,215,000,000 1,435,096 9.50%, 5/1/01 ITL 450,000,000 293,168 ------------ 3,374,741 - --------------------------------------------------------------------- JORDAN - 0.2% Hashemite (Kingdom of) Jordan Disc. Bonds, 6.75%, 12/23/23(4) 500,000 413,750 - --------------------------------------------------------------------- MEXICO - 2.1% Banco Nacional de Comercio Exterior SNC International Finance BV Gtd. Registered Bonds, 11.25%, 5/30/06 265,000 298,788 - --------------------------------------------------------------------- Bonos de la Tesoreria de la Federacion, Zero Coupon, 23.149%, 12/31/97(10) MXP 13,278,140 1,505,421 - --------------------------------------------------------------------- United Mexican States Bonds: 10.375%, 1/29/03 DEM 725,000 478,262 11.50%, 5/15/26 300,000 342,375 16.50%, 9/1/08(3) GBP 20,000 50,262 - --------------------------------------------------------------------- United Mexican States: Collateralized Fixed Rate Par Bonds, Series B, 6.25%, 12/31/19 600,000 465,000 Petroleos Mexicanos Gtd. Unsec. Unsub. Nts., 7.875%, 3/2/99 CAD 200,000 148,961 ------------ 3,289,069 - --------------------------------------------------------------------- NEW ZEALAND - 2.0% New Zealand (Government of) Bonds: 10%, 3/15/02 NZD 1,635,000 1,249,150 10%, 7/15/97 NZD 1,154,000 782,693 8%, 11/15/06 NZD 675,000 490,793 - --------------------------------------------------------------------- New Zealand (Government of) Index Linked Bonds, 4.628%, 2/15/16 NZD 640,000 422,068
78 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER STRATEGIC BOND FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
PRINCIPAL MARKET VALUE AMOUNT(1) NOTE 1 - --------------------------------------------------------------------- NEW ZEALAND (CONTINUED) Transpower Finance Ltd. Gtd. Unsec. Unsub. Bonds: 8%, 2/15/01(3) NZD $ 125,000 $ $87,254 8%, 3/15/02 NZD 125,000 87,456 ------------ 3,119,414 - --------------------------------------------------------------------- NORWAY - 0.2% Norway (Government of) Bonds, 9.50%, 10/31/02 NOK 1,980,000 323,798 - --------------------------------------------------------------------- PANAMA - 0.2% Panama (Government of) Past Due Interest Debs., 6.191%, 7/17/16(4) 405,624 357,077 - --------------------------------------------------------------------- PHILIPPINES - 0.0% Philippines (Republic of) Bonds, 8.60%, 6/15/27 100,000 99,000 - --------------------------------------------------------------------- POLAND - 0.5% Poland (Republic of) Bonds: 16%, 2/12/99 PLZ 2,150,000 604,520 16%, 6/12/98 PLZ 650,000 187,212 ------------ 791,732 - --------------------------------------------------------------------- RUSSIA - 0.9% City of St. Petersburg Sr. Unsub. Nts., 9.50%, 6/18/02(5) 400,000 400,250 - --------------------------------------------------------------------- Ministry of Finance (Russian Government) Unsec. Unsub. Bonds, 10%, 6/26/07(5) 320,000 318,920 - --------------------------------------------------------------------- Russia (Government of) Principal Loans Debs., 5.80%, 12/29/49(2)(4) 1,000,000 667,500 ------------ 1,386,670 - --------------------------------------------------------------------- SOUTH AFRICA - 0.6% South Africa (Republic of) Bonds: 12.50%, 12/21/06 ZAR 1,900,000 378,331 Series 162, 12.50%, 1/15/02 ZAR 1,100,000 228,341 - --------------------------------------------------------------------- Telkom SA Ltd. Bonds, Series TK05, 12%, 3/31/98 ZAR 1,648,000 354,978 ------------ 961,650 - --------------------------------------------------------------------- SPAIN - 2.2% Spain (Kingdom of) Debs., Bonos y Obligacion del Estado, 10.10%, 2/28/01 ESP 186,000,000 1,462,629 - --------------------------------------------------------------------- Spain (Kingdom of) Gtd. Bonds, Bonos y Obligacion del Estado: 10.30%, 6/15/02 ESP 21,500,000 175,251 10.50%, 10/30/03 ESP 59,550,000 502,371 11.45%, 8/30/98 ESP 12,000,000 87,273 12.25%, 3/25/00 ESP 155,000,000 1,239,409 ------------ 3,466,933 - --------------------------------------------------------------------- SUPRANATIONAL - 0.1% International Bank for Reconstruction & Development Bonds, 12.50%, 7/25/97(3) NZD 325,000 221,363 - --------------------------------------------------------------------- VENEZUELA - 0.7% Venezuela (Republic of) Collateralized Par Bonds, Series W-A, 6.75%, 3/31/20 500,000 394,688 - --------------------------------------------------------------------- Venezuela (Republic of) Disc. Bonds, Series DL, 6.75%, 12/18/07(4) 500,000 465,000
79 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER STRATEGIC BOND FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
PRINCIPAL MARKET VALUE AMOUNT(1) NOTE 1 - --------------------------------------------------------------------- VENEZUELA (CONTINUED) Venezuela (Republic of) New Money Bonds, Series A, 6.875%, 12/18/05(4) $ 250,000 $ 233,984 ------------ 1,093,672 ------------ Total Foreign Government Obligations (Cost $42,556,703) 42,467,927 - --------------------------------------------------------------------- LOAN PARTICIPATIONS - 0.6% - --------------------------------------------------------------------- Colombia (Republic of) 1989-1990 Integrated Loan Facility Bonds, 6.937%, 7/1/01(3)(4) 174,502 168,831 - --------------------------------------------------------------------- Jamaica (Government of) 1990 Refinancing Agreement Nts.: Tranche A, 6.625%, 10/16/00(3)(4) 50,000 48,375 Tranche B, 6.625%, 11/15/04(3)(4) 150,000 136,875 - --------------------------------------------------------------------- Morocco (Kingdom of) Loan Participation Agreement: Tranche A, 6.812%, 1/1/09(4) 571,000 522,287 Tranche B, 6.812%, 1/1/04(4) 41,176 42,064 - --------------------------------------------------------------------- United Mexican States, Combined Facility 3, Loan Participation Agreement, Tranche A, 1.019%, 9/20/97(3)(4) 9,600 8,928 ------------ Total Loan Participations (Cost $887,364) 927,360 - --------------------------------------------------------------------- CORPORATE BONDS AND NOTES - 28.5% - --------------------------------------------------------------------- BASIC INDUSTRY - 3.9% - --------------------------------------------------------------------- CHEMICALS - 0.7% Harris Chemical North America, Inc., 10.75% Gtd. Sr. Sub. Nts., 10/15/03 100,000 102,500 - --------------------------------------------------------------------- ICO, Inc., 10.375% Sr. Nts., 6/1/07(5) 50,000 51,625 - --------------------------------------------------------------------- ISP Holdings, Inc., 9% Sr. Nts., 10/15/03 150,000 156,187 - --------------------------------------------------------------------- NL Industries, Inc., 0%/13% Sr. Sec. Disc. Nts., 10/15/05(11) 250,000 237,812 - --------------------------------------------------------------------- Pioneer Americas Acquisition Corp., 9.25% Sr. Nts., 6/15/07(5) 200,000 198,000 - --------------------------------------------------------------------- Polytama International, 11.25% Gtd. Sec. Nts., 6/15/07 100,000 103,750 - --------------------------------------------------------------------- Sterling Chemicals, Inc., 11.75% Sr. Unsec. Sub. Nts., 8/15/06 150,000 162,750 - --------------------------------------------------------------------- Tri Polyta Finance BV, 11.375% Gtd. Sec. Nts., 12/1/03 150,000 151,125 ------------ 1,163,749 - --------------------------------------------------------------------- CONTAINERS - 0.3% Consumers International, Inc., 10.25% Sr. Sec. Nts., 4/1/05(5) 250,000 270,000 - --------------------------------------------------------------------- IVEX Holdings Corp., 0%/13% Sr. Disc. Debs., Series B, 3/15/05(11) 150,000 121,500 ------------ 391,500 - --------------------------------------------------------------------- METALS/MINING - 0.3% Carbide/Graphite Group, Inc. (The), 11.50% Sr. Nts., 9/1/03 200,000 219,000 - --------------------------------------------------------------------- Royal Oak Mines, Inc., 11% Sr. Sub. Nts., 8/15/06 250,000 240,000 ------------ 459,000 - --------------------------------------------------------------------- PAPER - 2.3% APP International Finance Co. BV, 11.75% Gtd. Sec. Nts., 10/1/05 200,000 220,750 - --------------------------------------------------------------------- Asia Pulp & Paper International Finance Co., Zero Coupon Asian Currency Nts.: 14.463%, 1/23/98(10) IDR 200,000,000 75,702 8.473%, 10/24/97(10) MYR 500,000 192,182
80 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER STRATEGIC BOND FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
PRINCIPAL MARKET VALUE AMOUNT(1) NOTE 1 - --------------------------------------------------------------------- PAPER (CONTINUED) Asia Pulp & Paper International Finance Co., Zero Coupon Asian Currency Nts.: 15.146%, 12/4/97(10) IDR 1,400,000,000 $ 541,158 14.712%, 12/8/97(10) IDR 400,000,000 154,371 - --------------------------------------------------------------------- Buckeye Cellulose Corp., 9.25% Sr. Sub. Nts., 9/15/08 110,000 113,850 - --------------------------------------------------------------------- Fletcher Challenge Ltd.: 10% Cv. Unsec. Sub. Nts., 4/30/05 NZD 60,000 44,136 10.75% Cv. Sub. Nts., 12/15/97 NZD 80,000 54,928 14.50% Cv. Sub. Nts., 9/30/00 NZD 60,000 47,932 - --------------------------------------------------------------------- Florida Coast Paper Co. LLC, 12.75% First Mtg. Nts., 6/1/03 130,000 134,875 - --------------------------------------------------------------------- Four M Corp., 12% Sr. Nts., Series B, 6/1/06 75,000 77,625 - --------------------------------------------------------------------- Gaylord Container Corp., 9.75% Sr. Nts., 6/15/07(5) 20,000 20,050 - --------------------------------------------------------------------- Indah Kiat International Finance Co. BV: 11.375% Gtd. Sec. Nts., 6/15/99 205,000 217,300 11.875% Gtd. Sr. Sec. Nts., 6/15/02 100,000 110,625 - --------------------------------------------------------------------- Pacific Lumber Co., 10.50% Sr. Nts., 3/1/03 100,000 103,500 - --------------------------------------------------------------------- Repap New Brunswick, Inc., 9.125% First Priority Sr. Sec. Nts., 7/15/00(4) 250,000 248,750 - --------------------------------------------------------------------- Repap Wisconsin, Inc.: 9.25% First Priority Sr. Sec. Nts., 2/1/02 300,000 303,750 9.875% Second Priority Sr. Nts., 5/1/06 250,000 253,750 - --------------------------------------------------------------------- Riverwood International Corp., 10.25% Sr. Nts., 4/1/06 300,000 299,250 - --------------------------------------------------------------------- SD Warren Co., 12% Sr. Sub. Nts., Series B, 12/15/04 200,000 223,500 - --------------------------------------------------------------------- Stone Container Corp., 9.875% Sr. Nts., 2/1/01 220,000 220,000 ------------ 3,657,984 - --------------------------------------------------------------------- STEEL - 0.3% AK Steel Corp., 9.125% Sr. Nts., 12/15/06 300,000 309,750 - --------------------------------------------------------------------- Algoma Steel, Inc., 12.375% First Mtg. Nts., 7/15/05 50,000 55,625 - --------------------------------------------------------------------- Bar Technologies, Inc., 13.50% Sr. Sec. Nts., 4/1/01 50,000 51,875 ------------ 417,250 - --------------------------------------------------------------------- CONSUMER RELATED - 3.6% - --------------------------------------------------------------------- CONSUMER PRODUCTS - 1.3% Coleman Escrow Corp., Zero Coupon Sr. First Priority Disc. Nts., 11.125%, 5/15/01(5)(10) 200,000 127,500 - --------------------------------------------------------------------- Coleman Holdings, Inc., Zero Coupon Sr. Sec. Disc. Nts., Series B, 12.712%, 5/27/98(3)(10) 150,000 139,821 - --------------------------------------------------------------------- Harman International Industries, Inc., 12% Sr. Sub. Nts., 8/1/02 150,000 160,500 - --------------------------------------------------------------------- Icon Fitness Corp., 0%/14% Sr. Disc. Nts., 11/15/06(3)(11) 200,000 109,500 - --------------------------------------------------------------------- Icon Health & Fitness, Inc., 13% Sr. Sub. Nts., Series B, 7/15/02 200,000 226,000 - --------------------------------------------------------------------- IHF Holdings, Inc., 0%/15% Sr. Sub. Disc. Nts., Series B, 11/15/04(11) 200,000 168,000 - --------------------------------------------------------------------- Indorayon International Finance Co. BV, 10% Gtd. Unsec. Unsub. Nts., 3/29/01(3) 100,000 99,750 - --------------------------------------------------------------------- International Semi-Tech Microelectronics, Inc., 0%/11.50% Sr. Sec. Disc. Nts., 8/15/03(11) 315,000 187,425
81 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER STRATEGIC BOND FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
PRINCIPAL MARKET VALUE AMOUNT(1) NOTE 1 - --------------------------------------------------------------------- CONSUMER PRODUCTS (CONTINUED) Revlon Worldwide Corp., Zero Coupon Sr. Sec. Disc. Nts., 11.28%, 3/15/01(5)(10) $ 500,000 $ 341,250 - --------------------------------------------------------------------- Samsonite Corp., 11.125% Sr. Sub. Nts., 7/15/05(3) 137,000 155,495 - --------------------------------------------------------------------- TAG Heuer International SA, 12% Sr. Sub. Nts., 12/15/05 100,000 115,000 - --------------------------------------------------------------------- Vitro SA, 13% Nts., 12/7/99(4) MXP 438,000 112,909 - --------------------------------------------------------------------- Williams (J. B.) Holdings, Inc., 12% Sr. Nts., 3/1/04 100,000 101,500 ------------ 2,044,650 - --------------------------------------------------------------------- FOOD/BEVERAGES/TOBACCO - 0.3% CFP Holdings, Inc., 11.625% Gtd. Sr. Nts., 1/15/04(5) 100,000 104,000 - --------------------------------------------------------------------- Dr. Pepper Bottling Holdings, Inc., 0%/11.625% Sr. Disc. Nts., 2/15/03(11) 200,000 198,000 - --------------------------------------------------------------------- Windy Hill Pet Food, Inc., 9.75% Sr. Sub. Nts., 5/15/07(5) 150,000 150,750 ------------ 452,750 - --------------------------------------------------------------------- HEALTHCARE - 0.3% Genesis Health Ventures, Inc., 9.25% Sr. Sub. Nts., 10/1/06 135,000 139,725 - --------------------------------------------------------------------- Integrated Health Services, Inc.: 11% Sr. Sub. Nts., 4/30/06(4)(5) 15,000 16,050 9.50% Sr. Sub. Nts., 9/15/07(5) 100,000 102,750 - --------------------------------------------------------------------- Magellan Health Services, Inc., 11.25% Sr. Sub. Nts., Series A, 4/15/04 135,000 151,200 - --------------------------------------------------------------------- Mariner Health Group, Inc., 9.50% Sr. Sub. Nts., Series B, 4/1/06 100,000 101,625 ------------ 511,350 - --------------------------------------------------------------------- HOTEL/GAMING - 0.9% Boyd Gaming Corp., 9.25% Sr. Nts., 10/1/03 100,000 100,500 - --------------------------------------------------------------------- Grand Casinos, Inc., 10.125% Gtd. First Mtg. Nts., 12/1/03 80,000 83,800 - --------------------------------------------------------------------- Grupo Posadas SA de CV, 10.375% Bonds, 2/13/02(3) 50,000 51,594 - --------------------------------------------------------------------- HMC Acquisition Properties, Inc., 9% Sr. Nts., Series B, 12/15/07 150,000 153,750 - --------------------------------------------------------------------- Horseshoe Gaming LLC, 9.375% Sr. Sub. Nts., 6/15/07(5) 225,000 227,812 - --------------------------------------------------------------------- Mohegan Tribal Gaming Authority, 13.50% Sr. Sec. Nts., Series B, 11/15/02 100,000 131,500 - --------------------------------------------------------------------- Rio Hotel & Casino, Inc., 9.50% Gtd. Sr. Sub. Nts., 4/15/07 250,000 258,125 - --------------------------------------------------------------------- Showboat Marina Casino Partnership/Showboat Marina Finance Corp., 13.50% First Mtg. Nts., Series B, 3/15/03 300,000 343,500 - --------------------------------------------------------------------- Trump Atlantic City Associates/Trump Atlantic City Funding, Inc., 11.25% First Mtg. Nts., 5/1/06 115,000 112,700 ------------ 1,463,281 - --------------------------------------------------------------------- RESTAURANTS - 0.4% Ameriking, Inc., 10.75% Sr. Nts., 12/1/06 125,000 130,937 - --------------------------------------------------------------------- Carrols Corp., 11.50% Sr. Nts., 8/15/03 100,000 107,000 - --------------------------------------------------------------------- Foodmaker, Inc.: 9.25% Sr. Nts., 3/1/99 100,000 103,000 9.75% Sr. Sub. Nts., 6/1/02 300,000 311,625 ------------ 652,562
82 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER STRATEGIC BOND FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
PRINCIPAL MARKET VALUE AMOUNT(1) NOTE 1 - --------------------------------------------------------------------- TEXTILE/APPAREL - 0.4% CMI Industries, Inc., 9.50% Sr. Sub. Nts., 10/1/03(3) $ 35,000 $ 35,437 - --------------------------------------------------------------------- GFSI, Inc., 9.625% Sr. Sub. Nts., 3/1/07(5) 60,000 60,900 - --------------------------------------------------------------------- PT Polysindo Eka Perkasa, Zero Coupon Promissory Nts., 9.39%, 7/14/98(10) 100,000 90,507 - --------------------------------------------------------------------- Tultex Corp., 9.625% Sr. Nts., 4/15/07(5) 200,000 212,125 - --------------------------------------------------------------------- William Carter Co., 10.375% Sr. Sub. Nts., 12/1/06 200,000 210,500 ------------ 609,469 - --------------------------------------------------------------------- ENERGY - 3.5% - --------------------------------------------------------------------- Belden & Blake Corp., 9.875% Sr. Sub. Nts., 6/15/07(5) 300,000 299,250 - --------------------------------------------------------------------- Chesapeake Energy Corp.: 12% Gtd. Sr. Exchangeable Nts., 3/1/01 200,000 213,000 9.125% Sr. Nts., 4/15/06 200,000 201,000 - --------------------------------------------------------------------- Clark Oil Refining & Marketing Corp., 10.50% Sr. Nts., 12/1/01 100,000 103,750 - --------------------------------------------------------------------- Clark R&M Holdings, Inc., Zero Coupon Sr. Sec. Nts., Series A, 10.533%, 2/15/00(10) 550,000 419,375 - --------------------------------------------------------------------- Cross Timbers Oil Co., 9.25% Sr. Sub. Nts., 4/1/07 200,000 205,000 - --------------------------------------------------------------------- DI Industries, Inc., 8.875% Sr. Nts., 7/1/07 100,000 99,000 - --------------------------------------------------------------------- Energy Corp. of America, 9.50% Sr. Sub. Nts., 5/15/07(5) 250,000 248,750 - --------------------------------------------------------------------- Forcenergy, Inc.: 8.50% Sr. Sub. Nts., 2/15/07 80,000 78,600 9.50% Sr. Sub. Nts., 11/1/06 445,000 462,800 - --------------------------------------------------------------------- J. Ray McDermott SA, 9.375% Sr. Sub. Bonds, 7/15/06 350,000 361,375 - --------------------------------------------------------------------- Mariner Energy, Inc., 10.50% Sr. Sub. Nts., 8/1/06 200,000 209,000 - --------------------------------------------------------------------- Mesa Operating Co.: 0%/11.625% Gtd. Sr. Sub. Disc. Nts., 7/1/06(11) 400,000 310,000 10.625% Gtd. Sr. Sub. Nts., 7/1/06 350,000 399,875 - --------------------------------------------------------------------- National Energy Group, Inc., 10.75% Sr. Nts., 11/1/06 425,000 439,875 - --------------------------------------------------------------------- Parker Drilling Corp., 9.75% Gtd. Sr. Nts., 11/15/06 300,000 317,250 - --------------------------------------------------------------------- Petroleum Heat & Power Co., Inc., 9.375% Sub. Debs., 2/1/06 425,000 405,875 - --------------------------------------------------------------------- Pogo Producing Co., 8.75% Sub. Nts., 5/15/07(5) 330,000 331,237 - --------------------------------------------------------------------- Statia Terminals International/Statia Terminals (Canada), Inc., 11.75% First Mtg., Series B, 11/15/03 175,000 185,500 - --------------------------------------------------------------------- Vintage Petroleum, Inc., 9% Sr. Sub. Nts., 12/15/05 100,000 101,500 - --------------------------------------------------------------------- Wiser Oil Co., 9.50% Sr. Sub. Nts., 5/15/07(5) 200,000 201,000 ------------ 5,593,012 - --------------------------------------------------------------------- FINANCIAL SERVICES - 2.5% - --------------------------------------------------------------------- BANKS & THRIFTS - 0.9% Abbey National Treasury Services plc, 7.625% Gtd. Nts., 12/30/02 GBP 150,000 251,361 - --------------------------------------------------------------------- Alliance & Leicester Building Society, 8.75% Unsec. Sub. Nts., 12/7/06 GBP 80,000 140,467 - --------------------------------------------------------------------- Banco de Colombia, 5.20% Cv. Jr. Unsec. Sub. Nts., 2/1/99(3) 200,000 191,000 - --------------------------------------------------------------------- Banco Nacional de Mexico SA, 11% Sub. Exchangeable Capital Debs., 7/15/03 130,000 139,263
83 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER STRATEGIC BOND FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
PRINCIPAL MARKET VALUE AMOUNT(1) NOTE 1 - --------------------------------------------------------------------- BANKS & THRIFTS (CONTINUED) First Nationwide Holdings, Inc., 10.625% Sr. Sub. Nts., 10/1/03 $ 150,000 $ 166,500 - --------------------------------------------------------------------- Ocwen Financial Corp., 11.875% Nts., 10/1/03 150,000 164,250 - --------------------------------------------------------------------- Ongko International Finance Co. BV, 10.50% Gtd. Nts., 3/29/04(5) 200,000 206,433 - --------------------------------------------------------------------- Shoshone Partners Trust, 8% Sr. Nts., 5/31/02(3)(4) 177,000 177,245 ------------ 1,436,519 - --------------------------------------------------------------------- DIVERSIFIED FINANCIAL - 1.4% Aames Financial Corp., 9.125% Sr. Nts., 11/1/03 250,000 256,250 - --------------------------------------------------------------------- Americredit Corp., 9.25% Sr. Nts., 2/1/04 100,000 98,500 - --------------------------------------------------------------------- Amresco, Inc., 10% Sr. Sub. Nts., Series 97-A, 3/15/04 100,000 102,000 - --------------------------------------------------------------------- Banco del Atlantico SA, 7.875% Eurobonds, 11/5/98 370,000 370,237 - --------------------------------------------------------------------- Cityscape Financial Corp., 12.75% Sr. Nts., 6/1/04(5) 350,000 346,500 - --------------------------------------------------------------------- General Electric Capital Corp., 11.625% Nts., 10/29/97 SKK 16,500,000 468,334 - --------------------------------------------------------------------- Olympic Financial Ltd., Units (each unit consists of $1,000 principal amount of 11.50% sr. nts., 3/15/07 and one warrant to purchase 6.84 shares of common stock)(12) 250,000 258,125 - --------------------------------------------------------------------- Saul (B.F.) Real Estate Investment Trust, 11.625% Sr. Sec. Nts., Series B, 4/1/02 200,000 213,000 - --------------------------------------------------------------------- Wilshire Financial Services Group, Inc., 13% Nts., 1/1/04 100,000 101,500 ------------ 2,214,446 - --------------------------------------------------------------------- INSURANCE - 0.2% Terra Nova Insurance (UK) Holdings plc, 10.75% Sr. Nts., 7/1/05 100,000 111,377 - --------------------------------------------------------------------- Veritas Holdings, Inc., 9.625% Sr. Nts., 12/15/03(5) 200,000 207,000 ------------ 318,377 - --------------------------------------------------------------------- HOUSING RELATED - 0.5% - --------------------------------------------------------------------- BUILDING MATERIALS - 0.3% American Builders & Contractors Supply, Inc., 10.625% Sr. Sub. Nts., 5/15/07(5) 200,000 207,000 - --------------------------------------------------------------------- Building Materials Corp. of America, 8.625% Sr. Nts., 12/15/06 50,000 51,000 - --------------------------------------------------------------------- Falcon Building Products, Inc., 9.50% Sr. Sub. Nts., 6/15/07(5) 175,000 175,000 - --------------------------------------------------------------------- Nortek, Inc., 9.25% Sr. Nts., 3/15/07 50,000 51,250 ------------ 484,250 - --------------------------------------------------------------------- HOMEBUILDERS/REAL ESTATE - 0.2% Continental Homes Holding Corp., 10% Gtd. Unsec. Bonds, 4/15/06 50,000 51,750 - --------------------------------------------------------------------- Greystone Homes, Inc., 10.75% Sr. Nts., 3/1/04 50,000 54,250 - --------------------------------------------------------------------- Hovnanian K. Enterprises, Inc., 11.25% Gtd. Sub. Nts., 4/15/02 75,000 78,375 - --------------------------------------------------------------------- Standard Pacific Corp., 8.50% Sr. Nts., 6/15/07 130,000 130,325 - --------------------------------------------------------------------- U.S. Home Corp., 9.75% Sr. Nts., 6/15/03 25,000 26,125 ------------ 340,825 - --------------------------------------------------------------------- MANUFACTURING - 2.2% - --------------------------------------------------------------------- AEROSPACE - 1.0% America West Airlines, Inc., 10.75% Sr. Nts., 9/1/05 450,000 467,438
84 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER STRATEGIC BOND FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
PRINCIPAL MARKET VALUE AMOUNT(1) NOTE 1 - --------------------------------------------------------------------- AEROSPACE (CONTINUED) Atlas Air, Inc., 12.25% Pass-Through Certificates, 12/1/02(3) $ 350,000 $ 388,500 - --------------------------------------------------------------------- Continental Airlines, Inc., 9.50% Sr. Unsec. Nts., 12/15/01 50,000 52,500 - --------------------------------------------------------------------- GPA Delaware, Inc., 8.75% Gtd. Nts., 12/15/98 300,000 306,750 - --------------------------------------------------------------------- Northwest Airlines Corp.: 8.70% Nts., 3/15/07 125,000 128,771 8.375% Gtd. Nts., 3/15/04 50,000 50,765 - --------------------------------------------------------------------- Pegasus Aircraft Lease Securitization Trust, 11.76% Sr. Nts., Cl. A, 6/15/04(3) 100,000 100,870 - --------------------------------------------------------------------- Rohr, Inc., 11.625% Sr. Nts., 5/15/03 100,000 111,500 ------------ 1,607,094 - --------------------------------------------------------------------- AUTOMOTIVE - 0.6% Collins & Aikman Products Co., 11.50% Gtd. Sr. Sub. Nts., 4/15/06 300,000 341,250 - --------------------------------------------------------------------- Hayes Wheels International, Inc., 11% Sr. Sub. Nts., 7/15/06 250,000 275,625 - --------------------------------------------------------------------- Hayes Wheels International, Inc., 9.125% Sr. Sub. Nts., 7/15/07(3) 100,000 100,125 - --------------------------------------------------------------------- Lear Corp., 9.50% Sub. Nts., 7/15/06 200,000 213,000 - --------------------------------------------------------------------- Oxford Automotive, Inc., 10.125% Sr. Sub. Nts., 6/15/07(5) 50,000 50,063 - --------------------------------------------------------------------- Penda Corp., 10.75% Sr. Nts., Series B, 3/1/04 45,000 45,225 ------------ 1,025,288 - --------------------------------------------------------------------- CAPITAL GOODS - 0.6% Clark-Schwebel, Inc., 10.50% Sr. Nts., 4/15/06 100,000 107,000 - --------------------------------------------------------------------- Communications & Power Industries, Inc., 12% Sr. Sub. Nts., Series B, 8/1/05 250,000 272,500 - --------------------------------------------------------------------- Consorcio Ecuatoriano Nts., 14%, 5/1/02(3) 150,000 159,375 - --------------------------------------------------------------------- International Wire Group, Inc., 11.75% Sr. Sub. Nts., 6/1/05(3) 100,000 108,500 - --------------------------------------------------------------------- Mettler Toledo, Inc., 9.75% Gtd. Sr. Sub. Nts., 10/1/06 105,000 110,775 - --------------------------------------------------------------------- Roller Bearing Co. (America), 9.625% Sr. Sub. Nts., 6/15/07(5) 40,000 40,600 - --------------------------------------------------------------------- Synthetic Industries, Inc., 9.25% Sr. Sub. Nts., 2/15/07(5) 45,000 46,125 - --------------------------------------------------------------------- Titan Wheel International, Inc., 8.75% Sr. Sub. Nts., 4/1/07 100,000 102,500 - --------------------------------------------------------------------- Unifrax Investment Corp., 10.50% Sr. Nts., 11/1/03(3) 50,000 51,750 ------------ 999,125 - --------------------------------------------------------------------- MEDIA - 3.2% - --------------------------------------------------------------------- BROADCASTING - 1.0% Argyle Television, Inc., 9.75% Sr. Sub. Nts., 11/1/05 100,000 105,000 - --------------------------------------------------------------------- Capstar Broadcasting Partners, Inc., 9.25% Sr. Sub. Nts., 7/1/07(5) 200,000 194,500 - --------------------------------------------------------------------- Chancellor Radio Broadcasting Co., 8.75% Sr. Sub. Nts., 6/15/07(5) 100,000 99,500 - --------------------------------------------------------------------- Jacor Communications Co., 8.75% Gtd. Sr. Sub. Nts., 6/15/07(5) 100,000 99,500 - --------------------------------------------------------------------- Paxson Communications Corp., 11.625% Sr. Sub. Nts., 10/1/02 95,000 103,313 - --------------------------------------------------------------------- Radio One, Inc., 7% Sr. Sub. Nts., 5/15/04(5)(13) 100,000 89,500 - --------------------------------------------------------------------- SFX Broadcasting, Inc., 10.75% Sr. Sub. Nts., Series B, 5/15/06 150,000 162,000
85 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER STRATEGIC BOND FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
PRINCIPAL MARKET VALUE AMOUNT(1) NOTE 1 - --------------------------------------------------------------------- BROADCASTING (CONTINUED) Sinclair Broadcast Group, Inc.: 10% Sr. Sub. Nts., 9/30/05 $ 100,000 $ 103,500 9% Sr. Sub. Nts., 7/15/07(5) 100,000 97,125 - --------------------------------------------------------------------- Spanish Broadcasting System, Inc., 11% Sr. Nts., 3/15/04(5) 100,000 105,500 - --------------------------------------------------------------------- TV Azteca SA de CV: 10.125% Sr. Nts., 2/15/04(5) 100,000 102,750 10.50% Sr. Nts., 2/15/07(5) 150,000 154,125 - --------------------------------------------------------------------- Young Broadcasting, Inc.: 8.75% Sr. Sub. Debs., 6/15/07(5) 100,000 95,750 9% Sr. Sub. Nts., Series B, 1/15/06 100,000 98,500 ------------ 1,610,563 - --------------------------------------------------------------------- CABLE TELEVISION - 1.3% American Telecasting, Inc., 0%/14.50% Sr. Disc. Nts., 6/15/04(11) 72,000 22,680 - --------------------------------------------------------------------- Cablevision Systems Corp.: 10.75% Sr. Sub. Debs., 4/1/04 100,000 103,071 9.875% Sr. Sub. Nts., 5/15/06 250,000 268,125 - --------------------------------------------------------------------- EchoStar Communications Corp., 0%/12.875% Sr. Disc. Nts., 6/1/04(11) 40,000 33,800 - --------------------------------------------------------------------- EchoStar DBS Corp., 12.50% Gtd. Nts., 7/1/02(5) 300,000 298,500 - --------------------------------------------------------------------- EchoStar I, 8.25% Bonds, 2/26/01(3) 71,649 70,933 - --------------------------------------------------------------------- EchoStar II, 8.25% Bonds, 11/9/01(3) 65,169 64,518 - --------------------------------------------------------------------- EchoStar Satellite Broadcasting Corp., 0%/13.125% Sr. Sec. Disc. Nts., 3/15/04(11) 150,000 107,625 - --------------------------------------------------------------------- Fundy Cable Ltd./Ltee, 11% Sr. Sec. Second Priority Nts., 11/15/05(3) 100,000 108,500 - --------------------------------------------------------------------- Helicon Group LP/Helicon Capital Corp., 11% Sr. Sec. Nts., Series B, 11/1/03 175,000 182,875 - --------------------------------------------------------------------- Marcus Cable Operating Co. LP/Marcus Cable Capital Corp., 0%/13.50% Gtd. Sr. Sub. Disc. Nts., Series II, 8/1/04(11) 200,000 174,500 - --------------------------------------------------------------------- Optel, Inc., Units (each unit consists of $1,000 principal amount of 13% sr. nts., 2/15/05 and one warrant to purchase one share of non-vtg. common stock)(5)(12) 85,000 81,600 - --------------------------------------------------------------------- Rogers Cablesystems Ltd., 10% Second Priority Sr. Sec. Debs., 12/1/07 200,000 215,000 - --------------------------------------------------------------------- TCI Satellite Entertainment, Inc.: 0%/10.875% Sr. Sub. Nts., 2/15/07(5)(11) 200,000 119,000 10.875% Sr. Sub. Nts., 2/15/07(5) 130,000 131,300 ------------ 1,982,027 - --------------------------------------------------------------------- DIVERSIFIED MEDIA - 0.6% Ackerley Communications, Inc., 10.75% Sr. Sec. Nts., Series A, 10/1/03 200,000 215,000 - --------------------------------------------------------------------- Katz Media Corp., 10.50% Sr. Sub. Nts., 1/15/07 100,000 98,500 - --------------------------------------------------------------------- Lamar Advertising Co., 9.625% Sr. Sub. Nts., 12/1/06 50,000 51,500 - --------------------------------------------------------------------- Outdoor Systems, Inc., 8.875% Sr. Sub. Nts., 6/15/07(5) 150,000 146,438 - --------------------------------------------------------------------- Time Warner Entertainment LP/Time Warner, Inc., 8.375% Sr. Debs., 3/15/23 300,000 308,307
86 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER STRATEGIC BOND FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
PRINCIPAL MARKET VALUE AMOUNT(1) NOTE 1 - --------------------------------------------------------------------- DIVERSIFIED MEDIA (CONTINUED) Universal Outdoor, Inc.: 9.75% Sr. Sub. Nts., 10/15/06 $ 80,000 $ 83,200 9.75% Sr. Sub. Nts., Series B, 10/15/06 70,000 72,800 ------------ 975,745 - --------------------------------------------------------------------- ENTERTAINMENT/FILM - 0.2% Azteca Holdings SA, 11% Sr. Nts., 6/15/02(5) 155,000 157,325 - --------------------------------------------------------------------- Imax Corp., 10% Sr. Nts., 3/1/01 200,000 210,500 ------------ 367,825 - --------------------------------------------------------------------- PUBLISHING/PRINTING - 0.1% Sun Media Corp., 9.50% Sr. Sub. Nts., 2/15/07(5) 150,000 152,250 - --------------------------------------------------------------------- OTHER - 0.9% - --------------------------------------------------------------------- CONGLOMERATES - 0.2% Cia Latino Americana de Infraestructura & Servicios SA - CLISA, 11.625% Gtd. Sr. Nts., 6/1/04(5) 30,000 31,800 - --------------------------------------------------------------------- Empresas ICA Sociedad Controladora SA de CV, 11.875% Nts., 5/30/01 60,000 65,475 - --------------------------------------------------------------------- MacAndrews & Forbes Holdings, Inc., 13% Sub. Debs., 3/1/99(3) 131,000 131,983 - --------------------------------------------------------------------- Mechala Group Jamaica Ltd., 12.75% Bonds, 12/30/99 85,000 89,118 ------------ 318,376 - --------------------------------------------------------------------- ENVIRONMENTAL - 0.3% Allied Waste Industries, Inc., 0%/11.30% Sr. Disc. Nts., 6/1/07(5)(11) 300,000 189,000 - --------------------------------------------------------------------- Allied Waste North America, Inc., 10.25% Sr. Sub. Nts., 12/1/06(5) 250,000 268,750 ------------ 457,750 - --------------------------------------------------------------------- SERVICES - 0.4% Borg-Warner Security Corp.: 9.125% Sr. Sub. Nts., 5/1/03 100,000 102,000 9.625% Sr. Sub. Nts., 3/15/07(5) 100,000 101,250 - --------------------------------------------------------------------- Coinstar, Inc., 0%/13% Sr. Disc. Nts., 10/1/06(3)(11) 100,000 69,000 - --------------------------------------------------------------------- Kindercare Learning Centers, Inc., 9.50% Sr. Sub. Nts., 2/15/09 50,000 49,000 - --------------------------------------------------------------------- Neodata Services, Inc., 12% Sr. Nts., Series B, 5/1/03 100,000 108,000 - --------------------------------------------------------------------- Protection One Alarm Monitoring, Inc., 6.75% Cv. Gtd. Sr. Sub. Nts., 9/15/03 125,000 127,344 ------------ 556,594 - --------------------------------------------------------------------- RETAIL - 0.8% - --------------------------------------------------------------------- SPECIALTY RETAILING - 0.3% Central Termica Guemes, 12% Bonds, 11/26/01(3) 100,000 104,750 - --------------------------------------------------------------------- Eye Care Centers of America, Inc., 12% Sr. Nts., 10/1/03 70,000 77,350 - --------------------------------------------------------------------- Finlay Fine Jewelry Corp., 10.625% Sr. Nts., 5/1/03(3) 100,000 106,500 - --------------------------------------------------------------------- Profitt's, Inc., 8.125% Sr. Nts., 5/15/04(5) 150,000 151,125 - --------------------------------------------------------------------- Specialty Retailers, Inc., 8.50% Gtd. Sr. Nts., 7/15/05(5) 100,000 101,250 ------------ 540,975 - --------------------------------------------------------------------- SUPERMARKETS - 0.5% Grand Union Co., 12% Sr. Nts., 9/1/04 75,000 55,875
87 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER STRATEGIC BOND FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
PRINCIPAL MARKET VALUE AMOUNT(1) NOTE 1 - --------------------------------------------------------------------- SUPERMARKETS (CONTINUED) Jitney-Jungle Stores of America, Inc., 12% Gtd. Sr. Nts., 3/1/06 $ 200,000 $ 223,750 - --------------------------------------------------------------------- Ralph's Grocery Co. (New), 11% Sr. Sub. Nts., 6/15/05(5) 50,000 54,500 10.45% Sr. Nts., 6/15/04 125,000 134,844 10.45% Sr. Nts., 6/15/04 200,000 215,750 - --------------------------------------------------------------------- Randall's Food Markets, 9.375% Sr. Sub. Nts., 7/1/07(5) 50,000 49,750 ------------ 734,469 - --------------------------------------------------------------------- TECHNOLOGY - 5.7% - --------------------------------------------------------------------- INFORMATION TECHNOLOGY - 3.0% Amphenol Corp., 9.875% Sr. Sub. Nts., 5/15/07 75,000 77,813 - --------------------------------------------------------------------- Call-Net Enterprises, Inc., 0%/13.25% Sr. Disc. Nts., 12/1/04(11) 200,000 173,750 - --------------------------------------------------------------------- Cellular Communications International, Inc., Zero Coupon Sr. Disc. Nts., 11.409%, 8/15/00(10) 600,000 460,500 - --------------------------------------------------------------------- Cellular, Inc., 0%/11.75% Sr. Sub. Disc. Nts., 9/1/03(11) 50,000 48,750 - --------------------------------------------------------------------- Comcast Cellular Communications, Inc., 9.50% Sr. Nts., 5/1/07(5) 150,000 151,125 - --------------------------------------------------------------------- Comunicacion Celular SA, 0%/13.125% Sr. Deferred Coupon Bonds, 11/15/03(11) 350,000 251,125 - --------------------------------------------------------------------- Dobson Communications Corp., 11.75% Sr. Nts., 4/15/07 225,000 219,375 - --------------------------------------------------------------------- Dyncorp, Inc., 9.50% Sr. Sub. Nts., 3/1/07(5) 350,000 354,375 - --------------------------------------------------------------------- Geotek Communications, Inc.: 0%/15% Sr. Sec. Disc. Nts., 7/15/05(11) 250,000 156,250 12% Cv. Sr. Sub. Nts., 2/15/01(3) 250,000 250,000 - --------------------------------------------------------------------- Globalstar LP/Globalstar Capital Corp., 11.25% Sr. Nts., 6/15/04(5) 100,000 94,250 - --------------------------------------------------------------------- McCaw International Ltd., Units (each unit consists of $1,000 principal amount of 0%/13% sr. disc. nts., 4/15/07 and one warrant to purchase 0.10616 shares of common stock)(5)(11)(12) 50,000 24,250 - --------------------------------------------------------------------- Millicom International Cellular SA, 0%/13.50% Sr. Disc. Nts., 6/1/06(11) 300,000 217,500 - --------------------------------------------------------------------- Occidente y Caribe Celular SA, 0%/14% Sr. Disc. Nts., Series B, 3/15/04(11) 200,000 151,000 - --------------------------------------------------------------------- Omnipoint Corp., 11.625% Sr. Nts., 8/15/06 250,000 241,250 - --------------------------------------------------------------------- ORBCOMM Global LP/ORBCOMM Capital Corp., 14% Sr. Nts., 8/15/04 200,000 203,000 - --------------------------------------------------------------------- PriCellular Wireless Corp.: 0%/12.25% Sr. Sub. Disc. Nts., 10/1/03(11) 150,000 141,750 0%/14% Sr. Sub. Disc. Nts., 11/15/01(11) 300,000 316,500 10.75% Sr. Nts., 11/1/04 50,000 52,750 - --------------------------------------------------------------------- Real Time Data, Inc., Units (each unit consists of $1,000 principal amount of 0%/13.50% sub. disc. nts., 8/15/06 and one warrant to purchase six ordinary shares)(3)(11)(12) 300,000 171,000 - --------------------------------------------------------------------- Sprint Spectrum LP/Sprint Spectrum Finance Corp., 0%/12.50% Sr. Disc. Nts., 8/15/06(11) 220,000 160,050 - --------------------------------------------------------------------- Unisys Corp.: 11.75% Sr. Nts., 10/15/04 150,000 162,750 15% Credit Sensitive Nts., 7/1/97(3)(4) 50,000 50,250
88 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER STRATEGIC BOND FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
PRINCIPAL MARKET VALUE AMOUNT(1) NOTE 1 - --------------------------------------------------------------------- INFORMATION TECHNOLOGY (CONTINUED) USA Mobile Communications, Inc. II: 14% Sr. Nts., 11/1/04 $ 300,000 $ 333,000 9.50% Sr. Nts., 2/1/04 100,000 94,000 - --------------------------------------------------------------------- Wavetek Corp., 10.125% Sr. Sub. Nts., 6/15/07(5) 175,000 180,469 ------------ 4,736,832 - --------------------------------------------------------------------- TELECOMMUNICATIONS-TECHNOLOGY - 2.7% American Communications Services, Inc., 0%/12.75% Sr. Disc. Nts., 4/1/06(11) 185,000 101,750 - --------------------------------------------------------------------- Bell Cablemedia plc: 0%/11.875% Sr. Disc. Nts., 9/15/05(11) 100,000 84,000 0%/11.95% Sr. Disc. Nts., 7/15/04(11) 300,000 273,000 - --------------------------------------------------------------------- Brooks Fiber Properties, Inc.: 0%/10.875% Sr. Disc. Nts., 3/1/06(11) 300,000 205,875 0%/11.875% Sr. Disc. Nts., 11/1/06(11) 250,000 163,750 10% Sr. Nts., 6/1/07(5) 250,000 254,375 - --------------------------------------------------------------------- Celcaribe SA, 0%/13.50% Sr. Sec. Nts., 3/15/04(3)(11) 150,000 137,250 - --------------------------------------------------------------------- Colt Telecom Group plc, Units (each unit consists of $1,000 principal amount of 0%/12% sr. disc. nts., 12/15/06 and one warrant to purchase 7.8 ordinary shares)(11)(12) 200,000 131,000 - --------------------------------------------------------------------- Comcast UK Cable Partner Ltd., 0%/11.20% Sr. Disc. Debs., 11/15/07(11) 250,000 190,625 - --------------------------------------------------------------------- Diamond Cable Communications plc, 0%/11.75% Sr. Disc. Nts., 12/15/05(11) 475,000 323,000 - --------------------------------------------------------------------- GST Telecommunications, Inc., 0%/13.875% Cv. Sr. Sub. Disc. Nts., 12/15/05(5)(11) 25,000 14,906 - --------------------------------------------------------------------- GST USA, Inc., 0%/13.875% Bonds, 12/15/05(11) 90,000 56,025 - --------------------------------------------------------------------- Hyperion Telecommunications, Inc., 0%/13% Sr. Disc. Nts., Series B, 4/15/03(11) 60,000 30,450 - --------------------------------------------------------------------- ICG Holdings, Inc.: 0%/12.50% Gtd. Sr. Disc. Nts., 5/1/06(11) 145,000 95,700 0%/13.50% Sr. Disc. Nts., 9/15/05(11) 310,000 223,200 - --------------------------------------------------------------------- International CableTel, Inc., 0%/11.50% Sr. Deferred Coupon Nts., Series B, 2/1/06(11) 300,000 209,250 - --------------------------------------------------------------------- McLeod, Inc., 0%/10.50% Sr. Disc. Nts., 3/1/07(5)(11) 285,000 183,113 - --------------------------------------------------------------------- MFS Communications Co., Inc.: 0%/8.875% Sr. Disc. Nts., 1/15/06(11) 150,000 119,250 0%/9.375% Sr. Disc. Nts., 1/15/04(11) 375,000 350,625 - --------------------------------------------------------------------- NTL, Inc., 10% Sr. Nts., 2/15/07(5) 100,000 102,250 - --------------------------------------------------------------------- Petersburg Long Distance, Inc., Units (each unit consists of $1,000 principal amount of 0%/14% sr. disc. nts., 6/1/04 and one warrant to purchase 34 ordinary shares)(3)(11)(12) 300,000 253,500 - --------------------------------------------------------------------- PTC International Finance BV, 0%/10.75% Gtd. Sr. Sub. Unsec. Bonds, 7/1/07(3)(11) 110,000 67,100 - --------------------------------------------------------------------- Teleport Communications Group, Inc.: 0%/11.125% Sr. Disc. Nts., 7/1/07(11) 475,000 343,781 9.875% Sr. Nts., 7/1/06 100,000 107,000
89 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER STRATEGIC BOND FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
PRINCIPAL MARKET VALUE AMOUNT(1) NOTE 1 - --------------------------------------------------------------------- TELECOMMUNICATIONS-TECHNOLOGY (CONTINUED) Telesystem International Wireless, Inc., 0%/13.25% Sr. Disc. Nts., 6/30/07(5)(11) $ 25,000 $ 13,375 - --------------------------------------------------------------------- Telewest Communications plc, 0%/11% Sr. Disc. Debs., 10/1/07(11) 200,000 145,000 - --------------------------------------------------------------------- UNIFI Communications, Inc., Units (each unit consists of $1,000 principal amount of 14% sr. nts., 3/1/04 and one warrant to purchase 27.52 ordinary shares)(5)(12) 25,000 24,875 ------------ 4,204,025 - --------------------------------------------------------------------- TRANSPORTATION - 0.5% - --------------------------------------------------------------------- AIR TRANSPORTATION - 0.0% American International Group, Inc., 11.70% Unsec. Unsub. Bonds, 12/4/01 ITL 90,000,000 63,275 - --------------------------------------------------------------------- RAILROADS - 0.1% Transtar Holdings LP/Transtar Capital Corp., 0%/13.375% Sr. Disc. Nts., Series B, 12/15/03(11) 200,000 169,000 - --------------------------------------------------------------------- TRUCKING - 0.4% Coach USA, Inc., 9.375% Gtd. Sr. Sub. Nts., 7/1/07(5) 200,000 199,000 - --------------------------------------------------------------------- Tribasa Toll Road Trust, 10.50% Nts., Series 1993-A, 12/1/11(5) 250,000 207,083 - --------------------------------------------------------------------- Western Star Truck Holdings Ltd., 8.75% Sr. Nts., 5/1/07(5) 250,000 257,500 ------------ 663,583 - --------------------------------------------------------------------- UTILITIES - 1.2% - --------------------------------------------------------------------- ELECTRIC UTILITIES - 1.1% CalEnergy, Inc., 9.50% Sr. Nts., 9/15/06 200,000 214,500 - --------------------------------------------------------------------- California Energy, Inc., 10.25% Sr. Disc. Nts., 1/15/04 150,000 162,375 - --------------------------------------------------------------------- Calpine Corp., 10.50% Sr. Nts., 5/15/06 100,000 109,000 - --------------------------------------------------------------------- El Paso Electric Co., 9.40% First Mtg. Bonds, Series E, 5/1/11 250,000 273,125 - --------------------------------------------------------------------- First PV Funding Corp.: 10.30% Lease Obligation Bonds, Series 1986A, 1/15/14 144,000 153,540 10.30% Lease Obligation Bonds, Series 1986A, 1/15/14 5,000 5,000 - --------------------------------------------------------------------- New Zealand Electric Corp., 10% Debs., 10/15/01 NZD 535,000 398,430 - --------------------------------------------------------------------- Panda Global Energy Co., 12.50% Sr. Nts., 4/15/04(5) 400,000 392,000 ------------ 1,707,970 - --------------------------------------------------------------------- GAS UTILITIES - 0.1% Beaver Valley II Funding Corp., 9% Second Lease Obligation Bonds, 6/1/17 199,000 209,945 ------------ Total Corporate Bonds and Notes (Cost $44,186,949) 45,293,685 SHARES - --------------------------------------------------------------------- COMMON STOCKS - 0.3% - --------------------------------------------------------------------- Celcaribe SA(3)(14) 24,390 73,170 - --------------------------------------------------------------------- Vail Resorts, Inc.(14) 15,500 392,344 ------------ Total Common Stocks (Cost $193,712) 465,514
90 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER STRATEGIC BOND FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
MARKET VALUE SHARES NOTE 1 - --------------------------------------------------------------------- PREFERRED STOCKS - 2.0% - --------------------------------------------------------------------- American Radio Systems Corp., 11.375% Cum. Exchangeable Preferred(5)(9) 731 $ 77,669 - --------------------------------------------------------------------- California Federal Bank, 10.625% Non-Cum., Series B 2,500 275,625 - --------------------------------------------------------------------- California Federal Bank, 11.50% Non-Cum., Non-Vtg. 1,500 166,500 - --------------------------------------------------------------------- CGA Group Ltd., Preferred(3)(14) 16,000 400,000 - --------------------------------------------------------------------- CRIIMI MAE, Inc., 10.875% Cum. Cv. Preferred Stock, Series B 7,000 252,875 - --------------------------------------------------------------------- Earthwatch, Inc., 12% Cv. Sr. Preferred Stock, Series C(3)(14) 10,000 104,000 - --------------------------------------------------------------------- El Paso Electric Co., 11.40% Series A Preferred Stock(9) 1,719 193,817 - --------------------------------------------------------------------- Fidelity Federal Bank, 12% Non-Cum. Exchangeable Perpetual Preferred Stock, Series A(3) 300 8,400 - --------------------------------------------------------------------- Fresenius Medical Care Trust, 9% Preferred Securities 450,000 468,000 - --------------------------------------------------------------------- Glendale Federal Bank, F.S.B., 8.75% Non-Cum. Cv., Series E 1,000 65,000 - --------------------------------------------------------------------- Kelley Oil & Gas Corp., $2.625 Cv. 1,800 43,650 - --------------------------------------------------------------------- NEXTLINK Communications, Inc., 14% Sr. Exchangeable Preferred(9)(14) 4,209 222,025 - --------------------------------------------------------------------- Panamsat Corp., 12.75% Sr. Preferred Exchangeable(9) 372 456,165 - --------------------------------------------------------------------- Prime Retail, Inc., $19.00 Cv., Series B 6,000 142,500 - --------------------------------------------------------------------- Time Warner, Inc., 10.25% Exchangeable Preferred, Series M(9)(14) 1 1,139 - --------------------------------------------------------------------- Walden Residential Properties, Inc. Preferred Stock 1,000 26,000 - --------------------------------------------------------------------- Walden Residential Properties, Inc., 9.16% Cv. Preferred Stock, Series B 10,000 290,000 ------------ Total Preferred Stocks (Cost $2,958,670) 3,193,365 - --------------------------------------------------------------------- OTHER SECURITIES - 0.4% - --------------------------------------------------------------------- BankUnited Capital Trust, 10.25% Redeemable Trust Preferred Securities 100,000 99,250 - --------------------------------------------------------------------- SD Warren Co., 14% Cum. Exchangeable, Series B(14) 5,000 216,250 - --------------------------------------------------------------------- SDW Holdings Corp., 15% Cum. Sr. Exchangeable Preferred(5)(14) 3,750 135,000 - --------------------------------------------------------------------- WorldCom, Inc., 8% Depositary Cv. Shares each Representing 1/100 Share of Dividend Enhanced Convertible Stock 2,000 225,500 ------------ Total Other Securities (Cost $556,617) 676,000 UNITS - --------------------------------------------------------------------- RIGHTS, WARRANTS AND CERTIFICATES - 0.1% - --------------------------------------------------------------------- American Telecasting, Inc. Wts., Exp. 6/99(3) 1,500 757 - --------------------------------------------------------------------- CGA Group Ltd. Wts., Exp. 12/49(3) 16,000 8,000 - --------------------------------------------------------------------- Cellular Communications International, Inc. Wts., Exp. 8/03(3) 300 4,500 - --------------------------------------------------------------------- Coinstar, Inc. Wts., Exp. 11/03(3) 100 7,000 - --------------------------------------------------------------------- Comunicacion Celular SA Wts., Exp. 11/03(3) 200 11,000 - --------------------------------------------------------------------- Eye Care Centers of America, Inc. Wts., Exp. 10/03(3) 70 350 - --------------------------------------------------------------------- Geotek Communications, Inc. Wts., Exp. 7/05(3) 7,500 15,000 - --------------------------------------------------------------------- Hyperion Telecommunications, Inc. Wts., Exp. 4/01(3) 60 1,800 - --------------------------------------------------------------------- ICG Communications, Inc. Wts., Exp. 9/05(3) 825 6,600 - --------------------------------------------------------------------- IHF Capital, Inc., Series I Wts., Exp. 11/99(3) 200 11,000
91 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER STRATEGIC BOND FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
MARKET VALUE UNITS NOTE 1 - --------------------------------------------------------------------- RIGHTS, WARRANTS AND CERTIFICATES (CONTINUED) - --------------------------------------------------------------------- In-Flight Phone Corp. Wts., Exp. 8/02 200 $ -- - --------------------------------------------------------------------- NEXTLINK Communications, Inc. Wts., Exp. 2/09(3) 4,100 41 - --------------------------------------------------------------------- Occidente y Caribe Celular SA Wts., Exp. 3/04(3) 800 8,000 - --------------------------------------------------------------------- SDW Holdings Corp., Cl. B Wts., Exp. 12/06(3) 375 4,875 - --------------------------------------------------------------------- United International Holdings, Inc. Wts., Exp. 11/99(3) 200 1,000 ------------ Total Rights, Warrants and Certificates (Cost $10,175) 79,923 PRINCIPAL AMOUNT(1) - --------------------------------------------------------------------- STRUCTURED INSTRUMENTS - 6.5% - --------------------------------------------------------------------- Bayerische Landesbank (New York Branch) CD, 13.75%, 8/18/97 (indexed to the cross currency rates of Greek Drachma & Swiss Franc) $ 150,000 143,235 - --------------------------------------------------------------------- Bayerische Landesbank Girozentrale (New York Branch) Nikkei 225 Equity-Linked Nts., 6.03%, 4/23/98 300,000 330,630 - --------------------------------------------------------------------- Bayerische Landesbank Girozentrale (New York Branch) Canada Banker's Acceptance Indexed Yield Nts., 8.405%, 5/22/98 400,000 397,120 - --------------------------------------------------------------------- Bayerische Landesbank Girozentrale (New York Branch) Lehman Brothers High Yield Bond Index Nts., 12.50%, 7/8/97 250,000 256,900 - --------------------------------------------------------------------- Canadian Imperial Bank of Commerce (New York Branch) Three Month British Pound LIBOR Forward Linked Nts., 5.79%, 5/22/98 400,000 400,400 - --------------------------------------------------------------------- Canadian Imperial Bank of Commerce, U.S. Dollar/Japanese Yen Basis Arbitrage Nts., 10.24%, 4/14/98(3) 190,000 189,050 - --------------------------------------------------------------------- Credit Suisse First Boston (Cayman) Ltd., City of Moscow, Credit & Convertibility Linked Nts., Series EM 215, Zero Coupon, 11.11%, 12/30/97(2)(10) 250,000 236,885 - --------------------------------------------------------------------- Daiwa Finance Corp. (New York), Daiwa Physical Commodity Excess Return Index Linked Nts., 4.719%, 8/21/97(4) 500,000 437,450 - --------------------------------------------------------------------- First Boston Corp. (The), Russian GKO Linked Nts., Zero Coupon, 13.949%, 1/20/98(10) 100,000 92,984 - --------------------------------------------------------------------- Goldman, Sachs & Co. Argentina Local Market Securities Trust, 11.30%, 4/1/00 [representing debt of Argentina (Republic of) Bonos del Tesoro Bonds, Series 10, 11.30%, 4/1/00 and an interest rate swap between Goldman Sachs and the Trust](3) 156,521 161,374 - --------------------------------------------------------------------- ING (U.S.) Financial Holdings Corp. South African Rand/U.S. Dollar Linked Nts., Zero Coupon, 15.41%, 3/18/98(10) 365,000 321,627 - --------------------------------------------------------------------- ING (U.S.) Financial Holdings Corp. U.S. Dollar Denominated Pass- Through Nts. Linked to Malaysian Ringgit, Zero Coupon, 7.119%, 10/14/97(10) 500,000 486,095 - --------------------------------------------------------------------- ING (U.S.) Financial Holdings Corp. Zero Coupon Czech Koruna Linked Promissory Nts., 10.979%, 11/17/97(10) CZK 15,775,948 451,583 - --------------------------------------------------------------------- ING (U.S.) Financial Holdings Corp. Zero Coupon Czech Koruna/U.S. Dollar Linked Nts., 11.098%, 3/4/98(10) 180,000 142,405 - --------------------------------------------------------------------- ING (U.S.) Financial Holdings Corp. Zero Coupon Slovakia Koruna Linked Nts., 12.522%, 9/4/97(10) 100,000 94,785
92 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER STRATEGIC BOND FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
PRINCIPAL MARKET VALUE AMOUNT(1) NOTE 1 - --------------------------------------------------------------------- STRUCTURED INSTRUMENTS (CONTINUED) - --------------------------------------------------------------------- Lehman Brothers Holdings, Inc. Greek Drachma/Swiss Franc Linked Nts., Zero Coupon, 14.709%, 1/15/98(10) $ 100,000 $ 99,930 - --------------------------------------------------------------------- Lehman Brothers Holdings, Inc. U.S. Dollar Nts. Linked to the Greek Drachma/Swiss Franc Exchange Rate, Zero Coupon, 25.635%, 12/23/97(10) 300,000 315,870 - --------------------------------------------------------------------- Lehman Brothers Holdings, Inc. U.S. Dollar Nts. Linked to the Greek Drachma/Swiss Franc Exchange Rate, Zero Coupon, 22.869%, 12/26/97(10) 350,000 367,955 - --------------------------------------------------------------------- Lehman Brothers Holdings, Inc. U.S. Dollar Nts. Linked to the Greek Drachma/Swiss Franc Exchange Rate, Zero Coupon, 26.092%, 12/30/97(10) 700,000 732,550 - --------------------------------------------------------------------- Morgan Guaranty Trust Co. of New York, Japanese Government Bond 193 Currency Protected Bank Nts., 8.14%, 4/29/98 160,000 166,128 - --------------------------------------------------------------------- Morgan Guaranty Trust Co. of New York, Nassau Branch, Leveraged Nts. on Emerging Markets Bond Index Yield, 12%, 11/14/97 1,000,000 997,400 - --------------------------------------------------------------------- Salomon, Inc. Chilean Peso Indexed Enhanced Access Nts., Zero Coupon, 9.177%, 6/18/98(10) 200,000 181,520 - --------------------------------------------------------------------- Salomon, Inc. Chilean Peso-Indexed Enhanced Access Nts., Zero Coupon, 10.636%, 9/9/97(10) 100,000 97,470 - --------------------------------------------------------------------- Salomon, Inc. Russian S-Account Credit Linked Nts., Zero Coupon, 13.714%, 4/3/98(10) 400,000 358,912 - --------------------------------------------------------------------- Salomon, Inc. Russian S-Account Credit Linked Nts., Zero Coupon, 14.166%, 5/22/98(10) 225,000 197,476 - --------------------------------------------------------------------- Salomon, Inc. Russian S-Account Credit Linked Nts., Zero Coupon, 14.096%, 5/7/98(10) 700,000 617,883 - --------------------------------------------------------------------- Salomon, Inc. Russian S-Account Credit Linked Nts., Zero Coupon, 12.071%, 8/15/97(10) 300,000 295,302 - --------------------------------------------------------------------- Salomon, Inc. Russian S-Account Credit Linked Nts., Zero Coupon, 11.862%, 8/28/97(10) 550,000 538,840 - --------------------------------------------------------------------- Salomon, Inc. Russian S-Account Credit Linked Nts., Zero Coupon, 12.097%, 8/7/97(10) 365,000 360,204 - --------------------------------------------------------------------- Salomon, Inc. Russian S-Account Credit Linked Nts., Zero Coupon, 12.068%, 8/8/97(10) 200,000 197,372 - --------------------------------------------------------------------- SPARC EM Ltd., Russian GKO Linked/U.S. Dollar Nts., Zero Coupon, 12.238%, 10/15/97(10) 90,000 86,635 - --------------------------------------------------------------------- Standard Chartered Bank, Korean Wong Principal & Interest Linked Deposit, 8.04%, 12/17/97 400,000 397,800 - --------------------------------------------------------------------- Standard Chartered Bank, Korean Wong Principal & Interest Linked Deposit, 8.63%, 6/30/98 200,000 198,220 ------------ Total Structured Instruments (Cost $10,503,189) 10,349,990
DATE STRIKE CONTRACTS - ---------------------------------------------------------------------------- CALL OPTIONS PURCHASED - 0.1% U.S. Treasury Bonds, 6.625%, 2/15/27 Call Opt. (Cost $133,822) 8/97 95.938% 7,480 179,987 - ---------------------------------------------------------------------------- PUT OPTIONS PURCHASED - 0.0% Italy (Republic of) Treasury Bonds, Buoni del Tesoro Poliennali, 9.50%, 5/1/01 Put Opt.(3) (Cost $8,391) 7/97 102.30% 395 --
93 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER STRATEGIC BOND FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
MARKET VALUE NOTE 1 - ----------------------------------------------------------------------------- TOTAL INVESTMENTS, AT VALUE (COST $164,503,401) 104.7% $ 166,327,280 - ----------------------------------------------------------------------------- LIABILITIES IN EXCESS OF OTHER ASSETS (4.7) (7,396,584) ---------------- ---------------- NET ASSETS 100.0% $ 158,930,696 ---------------- ---------------- ---------------- ----------------
1. Principal amount is reported in U.S. Dollars, except for those denoted in the following currencies: ARP - Argentine Peso AUD - Australian Dollar CAD - Canadian Dollar CZK - Czech Koruna DEM - German Deutsche Mark ESP - Spanish Peseta FIM - Finnish Markka GBP - British Pound Sterling IDR - Indonesian Rupiah ITL - Italian Lira JPY - Japanese Yen MXP - Mexican Peso MYR - Malaysian Ringgit NOK - Norwegian Krone NZD - New Zealand Dollar PLZ - Polish Zloty SKK - Slovakia Koruna ZAR - South African Rand 2. When-issued security to be delivered and settled after June 30, 1997. 3. Identifies issues considered to be illiquid or restricted - See Note 8 of Notes to Financial Statements. 4. Represents the current interest rate for a variable rate security. 5. 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 $12,041,175 or 7.58% of the Fund's net assets, at June 30, 1997. 6. A sufficient amount of securities has been designated to cover outstanding written call and put options, as follows:
FACE/ CONTRACTS SUBJECT TO EXPIRATION EXERCISE PREMIUM MARKET VALUE CALL DATE PRICE RECEIVED NOTE 1 - ------------------------------------------------------------------------------------------------------ Banco Hipotecario Nacional (Argentina) Medium-Term Nts., 10.625%, 8/7/06 Call Option $ 400,000 8/7/00 100% $ 3,680 $ 36,000 Germany (Republic of) Bonds, Series 118, 5.25%, 2/21/01 Put Option $ 374,662 7/16/97 99.57% DEM 8,992 -- Japanese Yen Put Option 100,000,000 7/10/97 115.00 JPY 4,635 4,300 Japanese Yen Put Option 100,000,000 7/15/97 116.50 JPY 4,635 1,600 New Zealand Dollar Call Option 190,000 8/25/97 1.449 NZD 1,368 460 New Zealand Dollar Call Option 260,000 8/27/97 1.449 NZD 1,872 634 New Zealand Dollar Call Option 565,000 8/29/97 1.449 NZD 4,191 1,525 ----------- ------------- $ 29,373 $ 44,519 ----------- ------------- ----------- -------------
7. A sufficient amount of securities has been designated to cover outstanding forward foreign currency exchange contracts. See Note 5 of Notes to Financial Statements. 8. Securities with an aggregate market value of $1,289,704 are held in collateralized accounts to cover initial margin requirements on open futures sales contracts. See Note 6 of Notes to Financial Statements. 9. Interest or dividend is paid in kind. 10. For zero coupon bonds, the interest rate shown is the effective yield on the date of purchase. 94 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER STRATEGIC BOND FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED) 11. Denotes a step bond: a zero coupon bond that converts to a fixed or variable interest rate at a designated future date. 12. Units may be comprised of several components, such as debt and equity and/or warrants to purchase equity at some point in the future. For units which represent debt securities, principal amount disclosed represents total underlying principal. 13. Represents the current interest rate for an increasing rate security. 14. Non-income producing security. See accompanying Notes to Financial Statements. 95 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER GROWTH & INCOME FUND STATEMENT OF INVESTMENTS JUNE 30, 1997 (UNAUDITED)
PRINCIPAL MARKET VALUE AMOUNT NOTE 1 - --------------------------------------------------------------------- U.S. GOVERNMENT OBLIGATIONS - 3.1% - --------------------------------------------------------------------- U.S. Treasury Bonds, 6.50%, 11/15/26 (Cost $2,772,706) $ 2,915,000 $ 2,794,759 - --------------------------------------------------------------------- CONVERTIBLE CORPORATE BONDS AND NOTES - 5.9% - --------------------------------------------------------------------- Adaptec, Inc., 4.75% Cv. Sub. Nts., 2/1/04(1) 1,000,000 993,750 - --------------------------------------------------------------------- ALZA Corp., 5% Cv. Sub. Debs., 5/1/06 350,000 353,062 - --------------------------------------------------------------------- Continental Airlines, Inc., 6.75% Cv. Sub. Nts., 4/15/06(2) 500,000 653,125 - --------------------------------------------------------------------- Corporate Express, Inc., 4.50% Cv. Sub. Nts., 7/1/00 750,000 669,375 - --------------------------------------------------------------------- Einstein/Noah Bagel Corp., 7.25% Cv. Sub. Debs., 6/1/04(2) 500,000 431,875 - --------------------------------------------------------------------- Omnicom Group, Inc., 4.25% Cv. Sub. Debs., 1/3/07(2) 500,000 592,500 - --------------------------------------------------------------------- Platinum Technology, Inc., 6.75% Cv. Sub. Nts., 11/15/01 500,000 607,500 - --------------------------------------------------------------------- Saks Holdings, Inc., 5.50% Cv. Sub. Nts., 9/15/06 400,000 345,500 - --------------------------------------------------------------------- Time Warner, Inc., Zero Coupon Cv. Sr. Sub. Nts., 5.125%, 6/22/13(3) 500,000 230,625 - --------------------------------------------------------------------- U.S. Office Products Co., 5.50% Cv. Sub. Nts., 5/15/03(2) 500,000 445,000 ------------- Total Convertible Corporate Bonds and Notes (Cost $5,073,001) 5,322,312 SHARES - --------------------------------------------------------------------- COMMON STOCKS - 78.6% - --------------------------------------------------------------------- BASIC MATERIALS - 3.4% - --------------------------------------------------------------------- CHEMICALS - 3.4% Du Pont (E.I.) De Nemours & Co. 6,000 377,250 - --------------------------------------------------------------------- IMC Global, Inc. 40,000 1,400,000 - --------------------------------------------------------------------- Monsanto Co. 5,000 215,312 - --------------------------------------------------------------------- Morton International, Inc. 2,500 75,469 - --------------------------------------------------------------------- Olin Corp. 22,500 878,906 - --------------------------------------------------------------------- Sigma-Aldrich Corp. 4,500 157,781 ------------- 3,104,718 - --------------------------------------------------------------------- CONSUMER CYCLICALS - 16.2% - --------------------------------------------------------------------- AUTOS & HOUSING - 1.6% General Motors Corp. 7,500 417,656 - --------------------------------------------------------------------- Lear Seating Corp.(4) 15,200 674,500 - --------------------------------------------------------------------- Republic Industries, Inc.(4) 10,000 248,750 - --------------------------------------------------------------------- Stanley Works (The) 3,500 140,000 ------------- 1,480,906 - --------------------------------------------------------------------- LEISURE & ENTERTAINMENT - 6.9% AMR Corp.(4) 2,500 231,250 - --------------------------------------------------------------------- Brinker International, Inc.(4) 26,500 377,625 - --------------------------------------------------------------------- Delta Air Lines, Inc. 7,500 615,000 - --------------------------------------------------------------------- Eastman Kodak Co. 7,500 575,625 - --------------------------------------------------------------------- Gaylord Entertainment Co., Cl. A 6,000 138,375
96 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER GROWTH & INCOME FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
MARKET VALUE SHARES NOTE 1 - --------------------------------------------------------------------- LEISURE & ENTERTAINMENT (CONTINUED) Hilton Hotels Corp. 2,500 $ 66,406 - --------------------------------------------------------------------- ITT Corp. (New)(4) 12,500 763,281 - --------------------------------------------------------------------- Marriott International, Inc. 5,000 306,875 - --------------------------------------------------------------------- McDonald's Corp. 6,000 289,875 - --------------------------------------------------------------------- Mirage Resorts, Inc.(4) 12,500 315,625 - --------------------------------------------------------------------- Time Warner, Inc. 30,000 1,447,500 - --------------------------------------------------------------------- Viacom, Inc., Cl. B(4) 37,500 1,125,000 ------------- 6,252,437 - --------------------------------------------------------------------- MEDIA - 2.4% Cox Communications, Inc., Cl. A(4) 30,000 720,000 - --------------------------------------------------------------------- Evergreen Media Corp., Cl. A(4) 10,000 446,250 - --------------------------------------------------------------------- Jacor Communications, Inc.(4) 13,000 497,250 - --------------------------------------------------------------------- SFX Broadcasting, Inc., Cl. A(4) 12,500 527,344 ------------- 2,190,844 - --------------------------------------------------------------------- RETAIL: GENERAL - 2.5% Dillard's, Inc. 10,000 346,250 - --------------------------------------------------------------------- Federated Department Stores, Inc.(4) 55,000 1,911,250 ------------- 2,257,500 - --------------------------------------------------------------------- RETAIL: SPECIALTY - 2.8% Abercrombie & Fitch Co., Cl. A(4) 27,500 508,750 - --------------------------------------------------------------------- Gap, Inc. (The)(4) 27,500 1,069,062 - --------------------------------------------------------------------- Nine West Group, Inc.(4) 25,000 954,687 ------------- 2,532,499 - --------------------------------------------------------------------- CONSUMER NON-CYCLICALS - 9.9% - --------------------------------------------------------------------- BEVERAGES - 1.3% Anheuser-Busch Cos., Inc. 22,500 943,594 - --------------------------------------------------------------------- PepsiCo, Inc. 5,500 206,594 ------------- 1,150,188 - --------------------------------------------------------------------- FOOD - 1.5% H.J. Heinz Co. 7,500 345,937 - --------------------------------------------------------------------- Nabisco Holdings Corp., Cl. A 2,500 99,687 - --------------------------------------------------------------------- Unilever NV, NY Shares 4,000 872,000 ------------- 1,317,624 - --------------------------------------------------------------------- HEALTHCARE/DRUGS - 2.4% American Home Products Corp. 8,000 612,000 - --------------------------------------------------------------------- Amgen, Inc.(4) 13,500 784,687 - --------------------------------------------------------------------- Johnson & Johnson 2,500 160,937 - --------------------------------------------------------------------- Schering-Plough Corp. 13,000 622,375 ------------- 2,179,999
97 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER GROWTH & INCOME FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
MARKET VALUE SHARES NOTE 1 - --------------------------------------------------------------------- HEALTHCARE/SUPPLIES & SERVICES - 1.4% Bard (C.R.), Inc. 2,500 $ 90,781 - --------------------------------------------------------------------- Boston Scientific Corp.(4) 2,500 153,594 - --------------------------------------------------------------------- Cardinal Health, Inc. 1,500 85,875 - --------------------------------------------------------------------- Guidant Corp. 7,500 637,500 - --------------------------------------------------------------------- HEALTHSOUTH Corp.(4) 4,000 99,750 - --------------------------------------------------------------------- Horizon/CMS Healthcare Corp.(4) 10,000 200,625 ------------- 1,268,125 - --------------------------------------------------------------------- HOUSEHOLD GOODS - 0.8% Kimberly-Clark Corp. 15,000 746,250 - --------------------------------------------------------------------- TOBACCO - 2.5% Philip Morris Cos., Inc. 35,000 1,553,125 - --------------------------------------------------------------------- RJR Nabisco Holdings Corp. 22,500 742,500 ------------- 2,295,625 - --------------------------------------------------------------------- ENERGY - 3.0% - --------------------------------------------------------------------- ENERGY SERVICES & PRODUCERS - 1.6% Apache Corp. 7,500 243,750 - --------------------------------------------------------------------- BJ Services Co.(4) 2,000 107,250 - --------------------------------------------------------------------- Santa Fe International Corp.(4) 10,000 340,000 - --------------------------------------------------------------------- Schlumberger Ltd. 1,200 150,000 - --------------------------------------------------------------------- Weatherford Enterra, Inc.(4) 7,000 269,500 - --------------------------------------------------------------------- Western Atlas, Inc.(4) 5,000 366,250 ------------- 1,476,750 - --------------------------------------------------------------------- OIL-INTEGRATED - 1.4% Atlantic Richfield Co. 4,200 296,100 - --------------------------------------------------------------------- Chevron Corp. 2,000 147,875 - --------------------------------------------------------------------- Exxon Corp. 3,400 209,100 - --------------------------------------------------------------------- Mobil Corp. 2,600 181,675 - --------------------------------------------------------------------- Royal Dutch Petroleum Co., NY Shares 3,200 171,800 - --------------------------------------------------------------------- Texaco, Inc. 1,350 146,812 - --------------------------------------------------------------------- Unocal Corp. 3,000 116,437 ------------- 1,269,799 - --------------------------------------------------------------------- FINANCIAL - 16.3% - --------------------------------------------------------------------- BANKS - 7.9% BankAmerica Corp. 2,500 161,406 - --------------------------------------------------------------------- Chase Manhattan Corp. (New) 27,500 2,669,219 - --------------------------------------------------------------------- Citicorp 2,750 331,547 - --------------------------------------------------------------------- Collective Bancorp, Inc. 10,000 448,750 - --------------------------------------------------------------------- Commercial Federal Corp. 7,500 278,437 - --------------------------------------------------------------------- First Commerce Corp. 7,500 330,000 - --------------------------------------------------------------------- First Union Corp. 6,500 601,250
98 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER GROWTH & INCOME FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
MARKET VALUE SHARES NOTE 1 - --------------------------------------------------------------------- BANKS (CONTINUED) Fleet Financial Group, Inc. 8,500 $ 537,625 - --------------------------------------------------------------------- J.P. Morgan & Co., Inc. 3,500 365,312 - --------------------------------------------------------------------- Life Financial Corp.(4) 12,500 168,750 - --------------------------------------------------------------------- Societe Generale 4,250 474,882 - --------------------------------------------------------------------- Summit Bancorp 1,000 50,125 - --------------------------------------------------------------------- Union Planters Corp. 13,500 700,312 ------------- 7,117,615 - --------------------------------------------------------------------- DIVERSIFIED FINANCIAL - 5.2% Advanta Corp., Cl. B 10,000 356,875 - --------------------------------------------------------------------- American Express Co. 15,000 1,117,500 - --------------------------------------------------------------------- Associates First Capital Corp., Cl. A 5,000 277,500 - --------------------------------------------------------------------- Fannie Mae 3,750 163,594 - --------------------------------------------------------------------- Federal Home Loan Mortgage Corp. 5,000 171,875 - --------------------------------------------------------------------- MBNA Corp. 5,000 183,125 - --------------------------------------------------------------------- Morgan Stanley, Dean Witter, Discover & Co. 17,500 753,594 - --------------------------------------------------------------------- Student Loan Corp. 5,200 220,675 - --------------------------------------------------------------------- Student Loan Marketing Assn. 2,250 285,750 - --------------------------------------------------------------------- Travelers Group, Inc. 17,750 1,119,359 ------------- 4,649,847 - --------------------------------------------------------------------- INSURANCE - 3.2% Allstate Corp. 15,250 1,113,250 - --------------------------------------------------------------------- Everest Reinsurance Holdings, Inc. 45,000 1,783,125 ------------- 2,896,375 - --------------------------------------------------------------------- INDUSTRIAL - 8.2% - --------------------------------------------------------------------- ELECTRICAL EQUIPMENT - 2.7% Raychem Corp. 15,000 1,115,625 - --------------------------------------------------------------------- Westinghouse Electric Corp. 55,400 1,281,125 ------------- 2,396,750 - --------------------------------------------------------------------- INDUSTRIAL MATERIALS - 1.3% Crown Cork & Seal Co., Inc. 22,500 1,202,344 - --------------------------------------------------------------------- INDUSTRIAL SERVICES - 1.6% Cognizant Corp. 32,500 1,316,250 - --------------------------------------------------------------------- Intelligroup, Inc.(4) 15,000 144,375 ------------- 1,460,625 - --------------------------------------------------------------------- MANUFACTURING - 2.6% American Standard Cos., Inc.(4)(5) 50,000 2,237,500 - --------------------------------------------------------------------- Avery-Dennison Corp. 1,700 68,213 ------------- 2,305,713
99 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER GROWTH & INCOME FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
MARKET VALUE SHARES NOTE 1 - --------------------------------------------------------------------- TECHNOLOGY - 19.9% - --------------------------------------------------------------------- AEROSPACE/DEFENSE - 1.0% Lockheed Martin Corp. 5,000 $ 517,813 - --------------------------------------------------------------------- McDonnell Douglas Corp. 5,000 342,500 ------------- 860,313 - --------------------------------------------------------------------- COMPUTER HARDWARE - 8.5% Adaptec, Inc.(4) 9,000 312,750 - --------------------------------------------------------------------- Cabletron Systems, Inc.(4) 27,500 778,594 - --------------------------------------------------------------------- Gateway 2000, Inc.(4) 3,000 97,313 - --------------------------------------------------------------------- Ikon Office Solutions, Inc. 77,500 1,932,656 - --------------------------------------------------------------------- Ingram Micro, Inc., Cl. A(4) 20,000 482,500 - --------------------------------------------------------------------- International Business Machines Corp. 13,000 1,172,438 - --------------------------------------------------------------------- Seagate Technology(4) 17,500 615,781 - --------------------------------------------------------------------- Sun Microsystems, Inc.(4) 30,000 1,116,563 - --------------------------------------------------------------------- Xerox Corp. 15,000 1,183,125 ------------- 7,691,720 - --------------------------------------------------------------------- COMPUTER SOFTWARE - 4.5% First Data Corp. 65,000 2,855,938 - --------------------------------------------------------------------- Structural Dynamics Research Corp.(4) 42,500 1,115,625 - --------------------------------------------------------------------- Sungard Data Systems, Inc.(4) 2,500 116,250 ------------- 4,087,813 - --------------------------------------------------------------------- ELECTRONICS - 3.4% Intel Corp. 2,000 283,625 - --------------------------------------------------------------------- LSI Logic Corp.(4) 2,500 80,000 - --------------------------------------------------------------------- Thermo Electron Corp. 5,250 180,469 - --------------------------------------------------------------------- Waters Corp.(4) 70,000 2,511,250 ------------- 3,055,344 - --------------------------------------------------------------------- TELECOMMUNICATIONS-TECHNOLOGY - 2.5% ADC Telecommunications, Inc.(4) 2,500 83,438 - --------------------------------------------------------------------- Brooks Fiber Properties, Inc.(4) 2,500 84,375 - --------------------------------------------------------------------- Cisco Systems, Inc.(4) 11,500 771,938 - --------------------------------------------------------------------- LCI International, Inc.(4) 40,000 875,000 - --------------------------------------------------------------------- QUALCOMM, Inc.(4) 3,000 152,625 - --------------------------------------------------------------------- WorldCom, Inc. 10,000 320,000 ------------- 2,287,376 - --------------------------------------------------------------------- UTILITIES - 1.7% - --------------------------------------------------------------------- GAS UTILITIES - 0.4% Sonat, Inc. 6,750 345,938 - --------------------------------------------------------------------- TELEPHONE UTILITIES - 1.3% GTE Corp. 11,500 504,563
100 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER GROWTH & INCOME FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED)
MARKET VALUE SHARES NOTE 1 - --------------------------------------------------------------------- TELEPHONE UTILITIES (CONTINUED) Teleport Communications Group, Inc., Cl. A(4) 20,000 $ 682,500 ------------- 1,187,063 ------------- Total Common Stocks (Cost $61,694,226) 71,068,100 - --------------------------------------------------------------------- PREFERRED STOCKS - 4.9% - --------------------------------------------------------------------- Automatic Commission Exchange Security, 6.50% Cv. Preferred (exchangeable to common stock of Republic Industries, Inc. 'TRACES' effective 5/15/00)(4) 30,000 735,000 - --------------------------------------------------------------------- Cablevision Systems Corp., 8.50% Cum. Cv., Series I 7,500 203,438 - --------------------------------------------------------------------- Evergreen Media Corp., 6% Cv. Preferred(2)(4) 20,000 1,102,500 - --------------------------------------------------------------------- Host Marriott Financial Trust, 6.75% Cv. Preferred Stock(2) 10,000 585,000 - --------------------------------------------------------------------- IXC Communications, Inc., 7.25% Cv. Cum., Non-Vtg.(2)(4)(6) 5,000 592,500 - --------------------------------------------------------------------- Microsoft Corp., $2.196 Cv., Series A 2,500 217,500 - --------------------------------------------------------------------- QUALCOMM Financial Trust I, 5.75% Cum. Cv. Preferred Securities, Non-Vtg.(2)(4) 20,000 965,000 ------------- Total Preferred Stocks (Cost $4,066,062) 4,400,938 - --------------------------------------------------------------------- OTHER SECURITIES - 2.7% - --------------------------------------------------------------------- Continental Air Finance Trust, 8.50% Cv. Trust Originated Preferred Securities(4) 5,000 400,000 - --------------------------------------------------------------------- Continental Airlines Finance Trust, 8.50% Cv. Trust Originated Preferred Securities(2) 5,000 400,000 - --------------------------------------------------------------------- Merrill Lynch & Co., Inc., 6% Cv. Structured Yield Product Exchangeable for Common Stock of Cox Communications, Inc., 6/1/99 17,500 417,813 - --------------------------------------------------------------------- Merrill Lynch & Co., Inc., 6.25% Structured Yield Product Exchangeable for Stock of IMC Global, Inc. 10,000 375,000 - --------------------------------------------------------------------- SFX Broadcasting, Inc., 6.50% Cum. Cv., Series D 7,500 420,000 - --------------------------------------------------------------------- SFX Broadcasting, Inc., 6.50% Cv. Preferred, Series D(2) 7,500 420,000 ------------- Total Other Securities (Cost $2,161,479) 2,432,813 PRINCIPAL AMOUNT - --------------------------------------------------------------------- REPURCHASE AGREEMENTS - 4.8% - --------------------------------------------------------------------- Repurchase agreement with J.P. Morgan Securities, Inc., 5.95%, dated 6/30/97, to be repurchased at $4,400,727 on 7/1/97, collateralized by U.S. Treasury Bonds, 8.875% - 12%, 8/15/13 - 2/15/19, with a value of $4,128,740 and U.S. Treasury Nts., 7.875%, 11/15/04, with a value of $376,486 (Cost $4,400,000) $ 4,400,000 4,400,000 - --------------------------------------------------------------------- TOTAL INVESTMENTS, AT VALUE (COST $80,167,474) 100.0% 90,418,922 - --------------------------------------------------------------------- OTHER ASSETS NET OF LIABILITIES 0.0 35,090 ------------ ------------- NET ASSETS 100.0% $ 90,454,012 ------------ ------------- ------------ -------------
1. Identifies issues considered to be illiquid or restricted - See Note 6 of Notes to Financial Statements. 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 $6,187,500 or 6.84% of the Fund's net assets, at June 30, 1997. 3. For zero coupon bonds, the interest rate shown is the effective yield on the date of purchase. 4. Non-income producing security. 101 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER GROWTH & INCOME FUND STATEMENT OF INVESTMENTS (UNAUDITED) (CONTINUED) 5. A sufficient amount of securities has been designated to cover outstanding written call options, as follows:
SHARES SUBJECT EXPIRATION EXERCISE PREMIUM MARKET VALUE TO CALL DATE PRICE RECEIVED NOTE 1 - ------------------------------------------------------------------------------- American Standard Cos. 25 7/97 $45 $3,437 $2,656
6. Interest or dividend is paid in kind. See accompanying Notes to Financial Statements. 102 OPPENHEIMER VARIABLE ACCOUNT FUNDS STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 1997 (UNAUDITED)
OPPENHEIMER OPPENHEIMER OPPENHEIMER MONEY HIGH INCOME BOND FUND FUND FUND - ------------------------------------------------------------------------------------- ASSETS Investments, at value (cost *) (including repurchase agreements **) - see accompanying statements $132,749,718 $227,330,762 $562,612,583 - ------------------------------------------------------------------------------------- Unrealized appreciation on forward foreign currency exchange contracts - -see applicable note -- -- 62,331 - ------------------------------------------------------------------------------------- Cash 5,072 -- 1,684,129 - ------------------------------------------------------------------------------------- Receivables: Dividends, interest and principal paydowns 538,315 3,044,370 6,716,257 Closed forward foreign currency exchange contracts -- 99,402 265,284 Daily variation on futures contracts - see applicable note -- 32,604 37,342 Shares of beneficial interest sold 345,145 207,037 513,129 Investments sold -- 10,411,731 40,052,794 - ------------------------------------------------------------------------------------- Other 3,070 3,545 7,028 -------------- -------------- -------------- Total assets 133,641,320 241,129,451 611,950,877 - ------------------------------------------------------------------------------------- LIABILITIES Bank overdraft -- 3,909,188 -- - ------------------------------------------------------------------------------------- Options written, at value (premiums received ***) - see accompanying statements and notes -- 30,360 177,342 - ------------------------------------------------------------------------------------- Unrealized depreciation on forward foreign exchange contracts - see applicable note -- -- 298 - ------------------------------------------------------------------------------------- Payables and other liabilities: Closed forward foreign currency exchange contracts -- 56,273 152,491 Daily variation on futures contracts - see applicable note -- 84,729 63,750 Dividends 206,860 -- -- Trustees' fees -- -- 548 Custodian fees -- -- -- Investments purchased (including those purchased on a when-issued basis****) - see applicable note -- 15,063,769 168,265,099 Shares of beneficial interest redeemed 437,650 4,947,967 231,554 Other 23,875 56,492 49,998 -------------- -------------- -------------- Total liabilities 668,385 24,148,778 168,941,080 - ------------------------------------------------------------------------------------- NET ASSETS $132,972,935 $216,980,673 $443,009,797 -------------- -------------- -------------- -------------- -------------- -------------- - ------------------------------------------------------------------------------------- COMPOSITION OF NET ASSETS Paid-in capital $132,990,008 $205,521,946 $437,396,507 - ------------------------------------------------------------------------------------- Undistributed net investment income -- 1,045,478 3,111,181 - ------------------------------------------------------------------------------------- Accumulated net realized gain (loss) from investments and foreign currency transactions (17,073) 1,042,447 (253,627) - ------------------------------------------------------------------------------------- Net unrealized appreciation (depreciation) on investments and translation of assets and liabilities denominated in foreign currencies -- 9,370,802 2,755,736 -------------- -------------- -------------- Net assets $132,972,935 $216,980,673 $443,009,797 -------------- -------------- -------------- -------------- -------------- -------------- - ------------------------------------------------------------------------------------- SHARES OF BENEFICIAL INTEREST OUTSTANDING 132,990,014 19,478,456 38,350,750 - ------------------------------------------------------------------------------------- NET ASSET VALUE, REDEMPTION PRICE AND OFFERING PRICE PER SHARE $ 1.00 $ 11.14 $ 11.55 * Cost $132,749,718 $217,955,147 $559,878,159 ** Repurchase agreements $ -- $ -- $ -- *** Premiums received $ -- $ 21,670 $ 176,562 **** When-issued basis $ -- $ -- $160,372,702
()See accompanying Notes to Financial Statements. 103 OPPENHEIMER VARIABLE ACCOUNT FUNDS STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 1997 (UNAUDITED) (CONTINUED)
OPPENHEIMER OPPENHEIMER CAPITAL OPPENHEIMER MULTIPLE APPRECIATION GROWTH STRATEGIES FUND FUND FUND - -------------------------------------------------------------------------------- ASSETS Investments, at value (cost *) (including repurchase agreements **) - see accompanying statements $765,111,244 $378,988,513 $568,986,904 - -------------------------------------------------------------------------------- Unrealized appreciation on forward foreign currency exchange contracts - -see applicable note -- -- -- - -------------------------------------------------------------------------------- Cash -- 3,027,358 365,118 - -------------------------------------------------------------------------------- Receivables: Dividends, interest and principal paydowns 145,401 157,457 3,476,566 Closed forward foreign currency exchange contracts -- -- -- Daily variation on futures contracts - see applicable note -- -- 18,886 Shares of beneficial interest sold 944,305 725,698 576,635 Investments sold 4,587,960 471,424 723,936 - -------------------------------------------------------------------------------- Other 4,490 3,275 5,331 ------------- ------------- ------------- Total assets 770,793,400 383,373,725 574,153,376 - -------------------------------------------------------------------------------- LIABILITIES Bank overdraft 34,926 -- -- - -------------------------------------------------------------------------------- Options written, at value (premiums received ***) - see accompanying statements and notes -- -- 2,431,438 - -------------------------------------------------------------------------------- Unrealized depreciation on forward foreign exchange contracts - see applicable note -- -- -- - -------------------------------------------------------------------------------- Payables and other liabilities: Closed forward foreign currency exchange contracts -- -- -- Daily variation on futures contracts - see applicable note -- -- -- Dividends -- -- -- Trustees' fees 606 -- -- Custodian fees -- -- -- Investments purchased (including those purchased on a when-issued basis****) - see applicable note 8,156,945 871,983 7,110,874 Shares of beneficial interest redeemed 30,966 65,389 37,941 Other 63,324 53,460 60,791 ------------- ------------- ------------- Total liabilities 8,286,767 990,832 9,641,044 - -------------------------------------------------------------------------------- NET ASSETS $762,506,633 $382,382,893 $564,512,332 ------------- ------------- ------------- ------------- ------------- ------------- - -------------------------------------------------------------------------------- COMPOSITION OF NET ASSETS Paid-in capital $609,378,841 $279,568,162 $463,045,313 - -------------------------------------------------------------------------------- Undistributed net investment income 1,437,528 2,100,161 1,707,326 - -------------------------------------------------------------------------------- Accumulated net realized gain (loss) from investments and foreign currency transactions 5,193,183 17,403,437 9,848,272 - -------------------------------------------------------------------------------- Net unrealized appreciation (depreciation) on investments and translation of assets and liabilities denominated in foreign currencies 146,497,081 83,311,133 89,911,421 ------------- ------------- ------------- Net assets $762,506,633 $382,382,893 $564,512,332 ------------- ------------- ------------- ------------- ------------- ------------- - -------------------------------------------------------------------------------- SHARES OF BENEFICIAL INTEREST OUTSTANDING 19,529,859 13,006,593 34,999,157 - -------------------------------------------------------------------------------- NET ASSET VALUE, REDEMPTION PRICE AND OFFERING PRICE PER SHARE $ 39.04 $ 29.40 $ 16.13 * Cost $618,614,163 $295,677,380 $478,318,980 ** Repurchase agreements $119,600,000 $ 74,400,000 $114,400,000 *** Premiums received $ -- $ -- $ 1,664,690 **** When-issued basis $ -- $ -- $ --
()See accompanying Notes to Financial Statements. 104 OPPENHEIMER VARIABLE ACCOUNT FUNDS STATEMENTS OF ASSETS AND LIABILITIES JUNE 30, 1997 (UNAUDITED) (CONTINUED)
OPPENHEIMER OPPENHEIMER OPPENHEIMER GLOBAL STRATEGIC GROWTH & SECURITIES BOND INCOME FUND FUND FUND - -------------------------------------------------------------------------------- ASSETS Investments, at value (cost *) (including repurchase agreements **) - see accompanying statements $818,969,257 $166,327,280 $ 90,418,922 - -------------------------------------------------------------------------------- Unrealized appreciation on forward foreign currency exchange contracts - -see applicable note 978,284 198,466 -- - -------------------------------------------------------------------------------- Cash 82,302 909,051 461,228 - -------------------------------------------------------------------------------- Receivables: Dividends, interest and principal paydowns 2,526,496 2,395,088 128,338 Closed forward foreign currency exchange contracts -- 39,378 -- Daily variation on futures contracts - see applicable note -- 35,747 -- Shares of beneficial interest sold 687,715 770,734 510,772 Investments sold 2,055,143 3,593,768 552,250 - -------------------------------------------------------------------------------- Other 4,524 2,392 2,478 ------------- ------------- ------------- Total assets 825,303,721 174,271,904 92,073,988 - -------------------------------------------------------------------------------- LIABILITIES Bank overdraft -- -- -- - -------------------------------------------------------------------------------- Options written, at value (premiums received ***) - see accompanying statements and notes -- 44,519 2,656 - -------------------------------------------------------------------------------- Unrealized depreciation on forward foreign exchange contracts - see applicable note -- 43,339 -- - -------------------------------------------------------------------------------- Payables and other liabilities: Closed forward foreign currency exchange contracts -- 132,584 -- Daily variation on futures contracts - see applicable note -- 2,813 -- Dividends -- -- -- Trustees' fees -- -- 46 Custodian fees 165,104 -- -- Investments purchased (including those purchased on a when-issued basis****) - see applicable note 1,795,942 15,058,099 1,588,668 Shares of beneficial interest redeemed 957,877 19,814 86 Other 44,648 40,040 28,520 ------------- ------------- ------------- Total liabilities 2,963,571 15,341,208 1,619,976 - -------------------------------------------------------------------------------- NET ASSETS $822,340,150 $158,930,696 $ 90,454,012 ------------- ------------- ------------- ------------- ------------- ------------- - -------------------------------------------------------------------------------- COMPOSITION OF NET ASSETS Paid-in capital $652,162,618 $155,291,475 $ 78,572,326 - -------------------------------------------------------------------------------- Undistributed net investment income 6,335,664 853,732 43,982 - -------------------------------------------------------------------------------- Accumulated net realized gain (loss) from investments and foreign currency transactions 20,324,605 905,315 1,585,272 - -------------------------------------------------------------------------------- Net unrealized appreciation (depreciation) on investments and translation of assets and liabilities denominated in foreign currencies 143,517,263 1,880,174 10,252,432 ------------- ------------- ------------- Net assets $822,340,150 $158,930,696 $ 90,454,012 ------------- ------------- ------------- ------------- ------------- ------------- - -------------------------------------------------------------------------------- SHARES OF BENEFICIAL INTEREST OUTSTANDING 40,567,208 31,284,422 5,090,942 - -------------------------------------------------------------------------------- NET ASSET VALUE, REDEMPTION PRICE AND OFFERING PRICE PER SHARE $ 20.27 $ 5.08 $ 17.77 * Cost $676,424,366 $164,503,401 $ 80,167,474 ** Repurchase agreements $ -- $ -- $ -- *** Premiums received $ -- $ 29,373 $ 3,437 **** When-issued basis $ -- $ 12,596,675 $ --
()See accompanying Notes to Financial Statements. 105 OPPENHEIMER VARIABLE ACCOUNT FUNDS STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1997 (UNAUDITED)
OPPENHEIMER OPPENHEIMER OPPENHEIMER MONEY HIGH INCOME BOND FUND FUND FUND - ------------------------------------------------------------------------------------- INVESTMENT INCOME Interest (net of withholding taxes of *) $ 3,770,243 $ 9,581,688 $ 16,401,807 - ------------------------------------------------------------------------------------- Dividends (net of withholding taxes of **) -- 594,489 139,316 -------------- -------------- -------------- Total income 3,770,243 10,176,177 16,541,123 - ------------------------------------------------------------------------------------- EXPENSES Management fees - see applicable note 303,738 748,188 1,552,002 - ------------------------------------------------------------------------------------- Custodian fees and expenses 9,028 44,780 40,858 - ------------------------------------------------------------------------------------- Legal and auditing fees 7,700 10,885 10,829 - ------------------------------------------------------------------------------------- Insurance expenses 1,683 2,083 3,020 - ------------------------------------------------------------------------------------- Trustees' fees and expenses 1,338 2,737 904 - ------------------------------------------------------------------------------------- Registration and filing fees 3,299 7,483 5,837 - ------------------------------------------------------------------------------------- Other 513 82 -- -------------- -------------- -------------- Total expenses 327,299 816,238 1,613,450 - ------------------------------------------------------------------------------------- NET INVESTMENT INCOME 3,442,944 9,359,939 14,927,673 - ------------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) from: Investments (including premiums on written options exercised) 1,294 2,512,431 1,765,172 Closing of futures contracts -- (25,342) -- Closing and expiration of options written -- (76,008) (34,811) Foreign currency transactions -- (862,542) (1,867,789) - ------------------------------------------------------------------------------------- Net change in unrealized appreciation or depreciation: Investments -- (1,139,533) (1,711,953) Translation of assets and liabilities denominated in foreign currencies -- (55,328) (633,814) -------------- -------------- -------------- Net realized and unrealized gain (loss) 1,294 353,678 (2,483,195) - ------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 3,444,238 $ 9,713,617 $ 12,444,478 -------------- -------------- -------------- -------------- -------------- -------------- * Interest $ -- $ -- $ 11,106 ** Dividends $ -- $ -- $ --
()See accompanying Notes to Financial Statements. 106 OPPENHEIMER VARIABLE ACCOUNT FUNDS STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1997 (UNAUDITED) (CONTINUED)
OPPENHEIMER OPPENHEIMER CAPITAL OPPENHEIMER MULTIPLE APPRECIATION GROWTH STRATEGIES FUND FUND FUND - ------------------------------------------------------------------------------------- INVESTMENT INCOME Interest (net of withholding taxes of *) $ 3,619,597 $ 2,268,514 $ 10,835,102 - ------------------------------------------------------------------------------------- Dividends (net of withholding taxes of **) 277,197 1,059,555 1,786,920 -------------- -------------- -------------- Total income 3,896,794 3,328,069 12,622,022 - ------------------------------------------------------------------------------------- EXPENSES Management fees - see applicable note 2,319,145 1,195,315 1,854,352 - ------------------------------------------------------------------------------------- Custodian fees and expenses 27,402 230 39,928 - ------------------------------------------------------------------------------------- Legal and auditing fees 9,419 4,456 12,282 - ------------------------------------------------------------------------------------- Insurance expenses 2,493 1,978 2,983 - ------------------------------------------------------------------------------------- Trustees' fees and expenses 2,125 1,246 4,233 - ------------------------------------------------------------------------------------- Registration and filing fees 28,320 16,313 10,234 - ------------------------------------------------------------------------------------- Other 2,265 320 1,626 -------------- -------------- -------------- Total expenses 2,391,169 1,219,858 1,925,638 - ------------------------------------------------------------------------------------- NET INVESTMENT INCOME 1,505,625 2,108,211 10,696,384 - ------------------------------------------------------------------------------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) from: Investments (including premiums on written options exercised) 4,599,386 17,697,263 10,492,807 Closing of futures contracts 1,812,411 -- (492,615) Closing and expiration of options written -- -- 545,731 Foreign currency transactions -- (17,211) (99,835) - ------------------------------------------------------------------------------------- Net change in unrealized appreciation or depreciation: Investments 41,274,621 26,205,799 27,829,357 Translation of assets and liabilities denominated in foreign currencies -- 49,835 (2,869,501) -------------- -------------- -------------- Net realized and unrealized gain (loss) 47,686,418 43,935,686 35,405,944 - ------------------------------------------------------------------------------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $ 49,192,043 $ 46,043,897 $ 46,102,328 -------------- -------------- -------------- -------------- -------------- -------------- * Interest $ -- $ -- $ -- ** Dividends $ -- $ 8,365 $ 23,399
()See accompanying Notes to Financial Statements. 107 OPPENHEIMER VARIABLE ACCOUNT FUNDS STATEMENTS OF OPERATIONS FOR THE SIX MONTHS ENDED JUNE 30, 1997 (UNAUDITED) (CONTINUED)
OPPENHEIMER OPPENHEIMER OPPENHEIMER GLOBAL STRATEGIC GROWTH & SECURITIES BOND INCOME FUND FUND FUND - -------------------------------------------------------------------------- INVESTMENT INCOME Interest (net of withholding taxes of *) $ 3,202,434 $6,125,519 $ 368,951 - -------------------------------------------------------------------------- Dividends (net of withholding taxes of **) 6,247,266 153,440 311,958 ------------ ----------- ---------- Total income 9,449,700 6,278,959 680,909 - -------------------------------------------------------------------------- EXPENSES Management fees - see applicable note 2,444,526 506,799 245,848 - -------------------------------------------------------------------------- Custodian fees and expenses 153,755 30,711 16,908 - -------------------------------------------------------------------------- Legal and auditing fees 10,170 4,070 5,999 - -------------------------------------------------------------------------- Insurance expenses 2,547 1,461 1,403 - -------------------------------------------------------------------------- Trustees' fees and expenses 2,554 444 1,136 - -------------------------------------------------------------------------- Registration and filing fees 41,796 10,086 11,161 - -------------------------------------------------------------------------- Other 973 1,462 334 ------------ ----------- ---------- Total expenses 2,656,321 555,033 282,789 - -------------------------------------------------------------------------- NET INVESTMENT INCOME 6,793,379 5,723,926 398,120 - -------------------------------------------------------------------------- REALIZED AND UNREALIZED GAIN (LOSS): Net realized gain (loss) from: Investments (including premiums on written options exercised) 35,302,885 1,058,600 1,676,993 Closing of futures contracts -- 159,921 -- Closing and expiration of options written -- 136,882 -- Foreign currency transactions 2,069,519 (276,229 ) (74,010 ) - -------------------------------------------------------------------------- Net change in appreciation or depreciation: Investments 76,037,237 (96,096 ) 7,054,814 Translation of assets and liabilities denominated in foreign currencies (15,473,959 ) (1,029,133 ) (5,486 ) ------------ ----------- ---------- Net realized and unrealized gain (loss) 97,935,682 (46,055 ) 8,652,311 - -------------------------------------------------------------------------- NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS $104,729,061 $5,677,871 $9,050,431 ------------ ----------- ---------- ------------ ----------- ---------- * Interest $ -- $ 27,107 $ -- ** Dividends $ 93,208 $ -- $ 2,104
()See accompanying Notes to Financial Statements. 108 OPPENHEIMER VARIABLE ACCOUNT FUNDS STATEMENTS OF CHANGES IN NET ASSETS FOR THE SIX MONTHS ENDED JUNE 30, 1997 (UNAUDITED) AND THE YEAR ENDED DECEMBER 31, 1996
OPPENHEIMER OPPENHEIMER MONEY HIGH INCOME FUND FUND 1997 1996 1997 1996 - ---------------------------------------------------------------------------------------------------------------------- OPERATIONS Net investment income $ 3,442,944 $ 4,976,254 $ 9,359,939 $ 14,430,943 - ---------------------------------------------------------------------------------------------------------------------- Net realized gain (loss) 1,294 2,966 1,548,539 3,333,591 - ---------------------------------------------------------------------------------------------------------------------- Net change in unrealized appreciation or depreciation -- -- (1,194,861) 4,840,420 ------------ ------------ ------------ ------------ Net increase in net assets resulting from operations 3,444,238 4,979,220 9,713,617 22,604,954 - ---------------------------------------------------------------------------------------------------------------------- DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS Dividends from net investment income (3,445,930) (4,976,254) (9,228,407) (15,283,448) - ---------------------------------------------------------------------------------------------------------------------- Distributions from net realized gain -- -- (138,778) -- - ---------------------------------------------------------------------------------------------------------------------- BENEFICIAL INTEREST TRANSACTIONS Net increase in net assets resulting from beneficial interest transactions - see applicable note 3,256,107 64,329,094 25,340,868 50,521,087 - ---------------------------------------------------------------------------------------------------------------------- NET ASSETS Total increase 3,254,415 64,332,060 25,687,300 57,842,593 - ---------------------------------------------------------------------------------------------------------------------- Beginning of period 129,718,520 65,386,460 191,293,373 133,450,780 ------------ ------------ ------------ ------------ End of period $132,972,935 $129,718,520 $216,980,673 $191,293,373 ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------ Undistributed net investment income $ -- $ -- $ 1,045,478 $ 913,946
OPPENHEIMER OPPENHEIMER CAPITAL BOND APPRECIATION FUND FUND 1997 1996 1997 1996 - ---------------------------------------------------------------------------------------------------------------------- OPERATIONS Net investment income $ 14,927,673 $ 19,901,086 $ 1,505,625 $ 1,496,337 - ---------------------------------------------------------------------------------------------------------------------- Net realized gain (loss) (137,428) 2,269,644 6,411,797 29,569,670 - ---------------------------------------------------------------------------------------------------------------------- Net change in unrealized appreciation or depreciation (2,345,767) (4,742,040) 41,274,621 42,247,113 ------------ ------------ ------------ ------------ Net increase in net assets resulting from operations 12,444,478 17,428,690 49,192,043 73,313,120 - ---------------------------------------------------------------------------------------------------------------------- DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS Dividends from net investment income (13,689,894) (20,181,337) (1,547,409) (1,132,964) - ---------------------------------------------------------------------------------------------------------------------- Distributions from net realized gain (1,447,022) (133,010) (30,466,763) (21,289,429) - ---------------------------------------------------------------------------------------------------------------------- BENEFICIAL INTEREST TRANSACTIONS Net increase in net assets resulting from beneficial interest transactions - see applicable note 19,263,290 218,092,832 127,936,490 241,097,454 - ---------------------------------------------------------------------------------------------------------------------- NET ASSETS Total increase 16,570,852 215,207,175 145,114,361 291,988,181 - ---------------------------------------------------------------------------------------------------------------------- Beginning of period 426,438,945 211,231,770 617,392,272 325,404,091 ------------ ------------ ------------ ------------ End of period $443,009,797 $426,438,945 $762,506,633 $617,392,272 ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------ Undistributed net investment income $ 3,111,181 $ 1,873,402 $ 1,437,528 $ 1,479,312
See accompanying Notes to Financial Statements. 109 OPPENHEIMER VARIABLE ACCOUNT FUNDS STATEMENTS OF CHANGES IN NET ASSETS FOR THE SIX MONTHS ENDED JUNE 30, 1997 (UNAUDITED) AND THE YEAR ENDED DECEMBER 31, 1996 (CONTINUED)
OPPENHEIMER OPPENHEIMER MULTIPLE GROWTH STRATEGIES FUND FUND 1997 1996 1997 1996 - ---------------------------------------------------------------------------------------------------------------------- OPERATIONS Net investment income $ 2,108,211 $ 1,650,969 $ 10,696,384 $ 20,927,009 - ---------------------------------------------------------------------------------------------------------------------- Net realized gain (loss) 17,680,052 17,101,200 10,446,088 18,594,692 - ---------------------------------------------------------------------------------------------------------------------- Net change in unrealized appreciation or depreciation 26,255,634 14,349,688 24,959,856 22,792,094 ------------ ------------ ------------ ------------ Net increase in net assets resulting from operations 46,043,897 33,101,857 46,102,328 62,313,795 - ---------------------------------------------------------------------------------------------------------------------- DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS Dividends from net investment income (1,639,463) (1,310,185) (9,950,251) (21,290,805) - ---------------------------------------------------------------------------------------------------------------------- Distributions from net realized gain (17,220,011) (8,706,724) (18,354,350) (9,273,309) - ---------------------------------------------------------------------------------------------------------------------- BENEFICIAL INTEREST TRANSACTIONS Net increase in net assets resulting from beneficial interest transactions - see applicable note 69,278,320 145,125,312 62,429,125 71,272,635 - ---------------------------------------------------------------------------------------------------------------------- NET ASSETS Total increase 96,462,743 168,210,260 80,226,852 103,022,316 - ---------------------------------------------------------------------------------------------------------------------- Beginning of period 285,920,150 117,709,890 484,285,480 381,263,164 ------------ ------------ ------------ ------------ End of period $382,382,893 $285,920,150 $564,512,332 $484,285,480 ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------ Undistributed net investment income $ 2,100,161 $ 1,631,413 $ 1,707,326 $ 961,193
OPPENHEIMER OPPENHEIMER GLOBAL STRATEGIC SECURITIES BOND FUND FUND 1997 1996 1997 1996 - ---------------------------------------------------------------------------------------------------------------------- OPERATIONS Net investment income $ 6,793,379 $ 5,075,730 $ 5,723,926 $ 7,004,776 - ---------------------------------------------------------------------------------------------------------------------- Net realized gain (loss) 37,372,404 11,775,734 1,079,174 1,835,670 - ---------------------------------------------------------------------------------------------------------------------- Net change in unrealized appreciation or depreciation 60,563,278 59,143,734 (1,125,229) 1,164,352 ------------ ------------ ------------ ------------ Net increase in net assets resulting from operations 104,729,061 75,995,198 5,677,871 10,004,798 - ---------------------------------------------------------------------------------------------------------------------- DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS Dividends from net investment income (8,181,958) -- (5,621,283) (6,891,899) - ---------------------------------------------------------------------------------------------------------------------- Distributions from net realized gain -- -- (207,080) -- - ---------------------------------------------------------------------------------------------------------------------- BENEFICIAL INTEREST TRANSACTIONS Net increase in net assets resulting from beneficial interest transactions - see applicable note 143,712,858 145,106,158 40,364,778 55,505,898 - ---------------------------------------------------------------------------------------------------------------------- NET ASSETS Total increase 240,259,961 221,101,356 40,214,286 58,618,797 - ---------------------------------------------------------------------------------------------------------------------- Beginning of period 582,080,189 360,978,833 118,716,410 60,097,613 ------------ ------------ ------------ ------------ End of period $822,340,150 $582,080,189 $158,930,696 $118,716,410 ------------ ------------ ------------ ------------ ------------ ------------ ------------ ------------ Undistributed net investment income $ 6,335,664 $ 7,724,243 $ 853,732 $ 751,089
See accompanying Notes to Financial Statements. 110 OPPENHEIMER VARIABLE ACCOUNT FUNDS STATEMENTS OF CHANGES IN NET ASSETS FOR THE SIX MONTHS ENDED JUNE 30, 1997 (UNAUDITED) AND THE YEAR ENDED DECEMBER 31, 1996 (CONTINUED)
OPPENHEIMER GROWTH & INCOME FUND 1997 1996 - ----------------------------------------------------------------------------------------------------------------------------- OPERATIONS Net investment income $ 398,120 $ 303,556 - ----------------------------------------------------------------------------------------------------------------------------- Net realized gain (loss) 1,602,983 2,657,756 - ----------------------------------------------------------------------------------------------------------------------------- Net change in unrealized appreciation or depreciation 7,049,328 2,697,929 ------------ ------------ Net increase in net assets resulting from operations 9,050,431 5,659,241 - ----------------------------------------------------------------------------------------------------------------------------- DIVIDENDS AND DISTRIBUTIONS TO SHAREHOLDERS Dividends from net investment income (366,781) (291,690) - ----------------------------------------------------------------------------------------------------------------------------- Distributions from net realized gain (2,670,354) (31,219) - ----------------------------------------------------------------------------------------------------------------------------- BENEFICIAL INTEREST TRANSACTIONS Net increase in net assets resulting from beneficial interest transactions - see applicable note 37,431,472 37,384,461 - ----------------------------------------------------------------------------------------------------------------------------- NET ASSETS Total increase 43,444,768 42,720,793 - ----------------------------------------------------------------------------------------------------------------------------- Beginning of period 47,009,244 4,288,451 ------------ ------------ End of period $ 90,454,012 $ 47,009,244 ------------ ------------ ------------ ------------ Undistributed net investment income $ 43,982 $ 12,643
See accompanying Notes to Financial Statements. 111 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER MONEY FUND FINANCIAL HIGHLIGHTS
SIX MONTHS ENDED YEAR ENDED DECEMBER 31, JUNE 30, --------------------------------------------------------- 1997 (UNAUDITED) 1996 1995 1994 1993 1992 - ------------------------------------------------------------------------------------------------------ PER SHARE OPERATING DATA: Net asset value, beginning of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 - ------------------------------------------------------------------------------------------------------ Income from investment operations - net investment income and net realized gain .03 .05 .06 .04 .03 .04 Dividends and distributions to shareholders (.03) (.05) (.06) (.04) (.03) (.04) - ------------------------------------------------------------------------------------------------------ Net asset value, end of period $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 $ 1.00 --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- - ------------------------------------------------------------------------------------------------------ TOTAL RETURN, AT NET ASSET VALUE(1) 2.55% 5.13% 5.62% 4.25% 3.09% 3.93% - ------------------------------------------------------------------------------------------------------ RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in thousands) $132,973 $ 129,719 $ 65,386 $ 89,671 $ 61,221 $ 58,266 - ------------------------------------------------------------------------------------------------------ Average net assets (in thousands) $136,148 $ 99,263 $ 75,136 $ 90,264 $ 57,654 $ 61,317 - ------------------------------------------------------------------------------------------------------ Ratios to average net assets: Net investment income 5.10%(2) 5.01% 5.52% 4.18% 3.12% 3.76% Expenses 0.48%(2) 0.49% 0.51% 0.43% 0.43% 0.50%
1. Assumes a hypothetical initial investment on the business day before the first day of the fiscal period, with all dividends 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 of less than one full year. Total returns reflect changes in net investment income only. 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. 2. Annualized. See accompanying Notes to Financial Statements. 112 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER HIGH INCOME FUND FINANCIAL HIGHLIGHTS
SIX MONTHS ENDED YEAR ENDED DECEMBER 31, JUNE 30, --------------------------------------------------------- 1997 (UNAUDITED) 1996 1995 1994 1993 1992 - ------------------------------------------------------------------------------------------------------ PER SHARE OPERATING DATA: Net asset value, beginning of period $ 11.13 $ 10.63 $ 9.79 $ 11.02 $ 9.74 $ 9.40 - ------------------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment income .50 .97 .98 .94 .82 1.19 Net realized and unrealized gain (loss) .02 .58 .94 (1.27) 1.65 .43 - ------------------------------------------------------------------------------------------------------ Total income (loss) from investment operations .52 1.55 1.92 (.33) 2.47 1.62 - ------------------------------------------------------------------------------------------------------ Dividends and distributions to shareholders: Dividends from net investment income (.50) (1.05) (1.08) (.66) (1.19) (1.28) Distributions from net realized gain (.01) -- -- (.24) -- -- - ------------------------------------------------------------------------------------------------------ Total dividends and distributions to shareholders (.51) (1.05) (1.08) (.90) (1.19) (1.28) - ------------------------------------------------------------------------------------------------------ Net asset value, end of period $ 11.14 $ 11.13 $ 10.63 $ 9.79 $ 11.02 $ 9.74 --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- - ------------------------------------------------------------------------------------------------------ TOTAL RETURN, AT NET ASSET VALUE(1) 4.73% 15.26% 20.37% (3.18)% 26.34% 17.92% - ------------------------------------------------------------------------------------------------------ RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in thousands) $216,981 $ 191,293 $ 133,451 $ 95,698 $ 93,011 $ 40,817 - ------------------------------------------------------------------------------------------------------ Average net assets (in thousands) $201,563 $ 157,203 $ 115,600 $ 101,096 $ 67,000 $ 36,861 - ------------------------------------------------------------------------------------------------------ Ratios to average net assets: Net investment income 9.36%(2) 9.18% 9.81% 9.15% 10.50% 12.08% Expenses 0.82%(2) 0.81% 0.81% 0.67% 0.68% 0.73% - ------------------------------------------------------------------------------------------------------ Portfolio turnover rate(3) 56.7% 125.0% 107.1% 110.1% 135.7% 144.2%
1. Assumes a hypothetical 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 of 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. 2. Annualized. 3. The lesser of purchases or sales of portfolio securities for a period, divided by the monthly average of the market value of portfolio securities owned during the period. Securities with a maturity or expiration date at the time of acquisition of one year or less are excluded from the calculation. Purchases and sales of investment securities (excluding short-term securities) for the period ended June 30, 1997 were $161,345,854 and $120,496,034, respectively. See accompanying Notes to Financial Statements. 113 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER BOND FUND FINANCIAL HIGHLIGHTS
SIX MONTHS ENDED YEAR ENDED DECEMBER 31, JUNE 30, --------------------------------------------------------- 1997 (UNAUDITED) 1996 1995 1994 1993 1992 - ------------------------------------------------------------------------------------------------------ PER SHARE OPERATING DATA: Net asset value, beginning of period $ 11.63 $ 11.84 $ 10.78 $ 11.65 $ 10.99 $ 11.15 - ------------------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment income .42 .69 .72 .76 .65 .87 Net realized and unrealized gain (loss) (.09) (.15) 1.07 (.98) .76 (.17) - ------------------------------------------------------------------------------------------------------ Total income (loss) from investment operations .33 .54 1.79 (.22) 1.41 .70 - ------------------------------------------------------------------------------------------------------ Dividends and distributions to shareholders: Dividends from net investment income (.37) (.74) (.73) (.62) (.75) (.86) Distributions from net realized gain (.04) (.01) -- (.03) -- -- - ------------------------------------------------------------------------------------------------------ Total dividends and distributions to shareholders (.41) (.75) (.73) (.65) (.75) (.86) - ------------------------------------------------------------------------------------------------------ Net asset value, end of period $ 11.55 $ 11.63 $ 11.84 $ 10.78 $ 11.65 $ 10.99 --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- - ------------------------------------------------------------------------------------------------------ TOTAL RETURN, AT NET ASSET VALUE(1) 2.89% 4.80% 17.00% (1.94)% 13.04% 6.50% - ------------------------------------------------------------------------------------------------------ RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in thousands) $442,995 $ 426,439 $ 211,232 $ 135,067 $ 111,846 $ 63,354 - ------------------------------------------------------------------------------------------------------ Average net assets (in thousands) $427,622 $ 296,253 $ 170,929 $ 121,884 $ 87,215 $ 45,687 - ------------------------------------------------------------------------------------------------------ Ratios to average net assets: Net investment income 7.04%(2) 6.72% 6.91% 7.30% 7.20% 7.81% Expenses 0.76%(2) 0.78% 0.80% 0.57% 0.46% 0.56% - ------------------------------------------------------------------------------------------------------ Portfolio turnover rate(3) 65.0% 82.3% 79.4% 35.1% 36.3% 41.3%
1. Assumes a hypothetical 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 of 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. 2. Annualized. 3. The lesser of purchases or sales of portfolio securities for a period, divided by the monthly average of the market value of portfolio securities owned during the period. Securities with a maturity or expiration date at the time of acquisition of one year or less are excluded from the calculation. Purchases and sales of investment securities (excluding short-term securities) for the period ended June 30, 1997 were $223,536,381 and $234,054,009, respectively. See accompanying Notes to Financial Statements. 114 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER CAPITAL APPRECIATION FUND FINANCIAL HIGHLIGHTS
SIX MONTHS ENDED YEAR ENDED DECEMBER 31, JUNE 30, --------------------------------------------------------- 1997 (UNAUDITED) 1996 1995 1994 1993 1992 - ------------------------------------------------------------------------------------------------------ PER SHARE OPERATING DATA: Net asset value, beginning of period $ 38.71 $ 34.21 $ 25.95 $ 31.64 $ 26.04 $ 23.24 - ------------------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment income .07 .09 .11 .10 .05 .06 Net realized and unrealized gain (loss) 2.12 6.59 8.29 (2.22) 6.71 3.43 - ------------------------------------------------------------------------------------------------------ Total income (loss) from investment operations 2.19 6.68 8.40 (2.12) 6.76 3.49 - ------------------------------------------------------------------------------------------------------ Dividends and distributions to shareholders: Dividends from net investment income (.09) (.11) (.09) (.04) (.06) (.14) Distributions from net realized gain (1.77) (2.07) (.05) (3.53) (1.10) (.55) - ------------------------------------------------------------------------------------------------------ Total dividends and distributions to shareholders (1.86) (2.18) (.14) (3.57) (1.16) (.69) - ------------------------------------------------------------------------------------------------------ Net asset value, end of period $ 39.04 $ 38.71 $ 34.21 $ 25.95 $ 31.64 $ 26.04 --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- - ------------------------------------------------------------------------------------------------------ TOTAL RETURN, AT NET ASSET VALUE(1) 6.44% 20.22% 32.52% (7.59)% 27.32% 15.42% - ------------------------------------------------------------------------------------------------------ RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in thousands) $762,507 $ 617,392 $ 325,404 $ 185,774 $ 136,885 $ 83,335 - ------------------------------------------------------------------------------------------------------ Average net assets (in thousands) $651,675 $ 467,080 $ 240,730 $ 153,832 $ 98,228 $ 56,371 - ------------------------------------------------------------------------------------------------------ Ratios to average net assets: Net investment income 0.47%(2) 0.32% 0.47% 0.50% 0.23% 0.30% Expenses 0.74%(2) 0.75% 0.78% 0.57% 0.47% 0.54% - ------------------------------------------------------------------------------------------------------ Portfolio turnover rate(3) 45.4% 100.1% 125.5% 96.5% 122.8% 78.9% Average brokerage commission rate(4) $ 0.0598 $ 0.0583 $ 0.0577 -- -- --
1. Assumes a hypothetical 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 of 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. 2. Annualized. 3. The lesser of purchases or sales of portfolio securities for a period, divided by the monthly average of the market value of portfolio securities owned during the period. Securities with a maturity or expiration date at the time of acquisition of one year or less are excluded from the calculation. Purchases and sales of investment securities (excluding short-term securities) for the period ended June 30, 1997 were $356,882,852 and $239,693,270, respectively. 4. Total brokerage commissions paid on applicable purchases and sales of portfolio securities for the period, divided by the total of related shares purchased and sold. See accompanying Notes to Financial Statements. 115 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER GROWTH FUND FINANCIAL HIGHLIGHTS
SIX MONTHS ENDED YEAR ENDED DECEMBER 31, JUNE 30, --------------------------------------------------------- 1997 (UNAUDITED) 1996 1995 1994 1993 1992 - ------------------------------------------------------------------------------------------------------ PER SHARE OPERATING DATA: Net asset value, beginning of period $ 27.24 $ 23.55 $ 17.68 $ 17.70 $ 16.96 $ 15.17 - ------------------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment income .15 .15 .25 .22 .46 .16 Net realized and unrealized gain (loss) 3.68 5.46 6.10 (.05) .74 1.99 - ------------------------------------------------------------------------------------------------------ Total income from investment operations 3.83 5.61 6.35 .17 1.20 2.15 - ------------------------------------------------------------------------------------------------------ Dividends and distributions to shareholders: Dividends from net investment income (.15) (.25) (.22) (.15) (.14) (.36) Distributions from net realized gain (1.52) (1.67) (.26) (.04) (.32) -- - ------------------------------------------------------------------------------------------------------ Total dividends and distributions to shareholders (1.67) (1.92) (.48) (.19) (.46) (.36) - ------------------------------------------------------------------------------------------------------ Net asset value, end of period $ 29.40 $ 27.24 $ 23.55 $ 17.68 $ 17.70 $ 16.96 --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- - ------------------------------------------------------------------------------------------------------ TOTAL RETURN, AT NET ASSET VALUE(1) 14.81% 25.20% 36.65% 0.97% 7.25% 14.53% - ------------------------------------------------------------------------------------------------------ RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in thousands) $382,383 $ 285,920 $ 117,710 $ 63,283 $ 56,701 $ 36,494 - ------------------------------------------------------------------------------------------------------ Average net assets (in thousands) $326,963 $ 152,466 $ 88,803 $ 59,953 $ 46,389 $ 25,750 - ------------------------------------------------------------------------------------------------------ Ratios to average net assets: Net investment income 1.30%(2) 1.08% 1.46% 1.38% 1.13% 1.36% Expenses, before voluntary reimbursement by the Manager 0.75%(2) 0.81% 0.79% 0.58% 0.50% 0.61% Expenses, net of voluntary reimbursement by the Manager N/A 0.79% N/A N/A N/A N/A - ------------------------------------------------------------------------------------------------------ Portfolio turnover rate(3) 34.4% 65.4% 58.2% 53.8% 12.6% 48.7% Average brokerage commission rate(4) $ 0.0620 $ 0.0589 $ 0.0590 -- -- --
1. Assumes a hypothetical 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 of 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. 2. Annualized. 3. The lesser of purchases or sales of portfolio securities for a period, divided by the monthly average of the market value of portfolio securities owned during the period. Securities with a maturity or expiration date at the time of acquisition of one year or less are excluded from the calculation. Purchases and sales of investment securities (excluding short-term securities) for the period ended June 30, 1997 were $144,261,074 and $83,250,403, respectively. 4. Total brokerage commissions paid on applicable purchases and sales of portfolio securities for the period, divided by the total number of related shares purchased and sold. See accompanying Notes to Financial Statements. 116 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER MULTIPLE STRATEGIES FUND FINANCIAL HIGHLIGHTS
SIX MONTHS ENDED YEAR ENDED DECEMBER 31, JUNE 30, --------------------------------------------------------- 1997 (UNAUDITED) 1996 1995 1994 1993 1992 - ------------------------------------------------------------------------------------------------------ PER SHARE OPERATING DATA: Net asset value, beginning of period $ 15.63 $ 14.55 $ 12.91 $ 13.88 $ 12.47 $ 11.96 - ------------------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment income .32 .72 .66 .63 .55 .55 Net realized and unrealized gain (loss) 1.06 1.45 2.00 (.90) 1.41 .50 - ------------------------------------------------------------------------------------------------------ Total income (loss) from investment operations 1.38 2.17 2.66 (.27) 1.96 1.05 - ------------------------------------------------------------------------------------------------------ Dividends and distributions to shareholders: Dividends from net investment income (.30) (.74) (.65) (.60) (.55) (.54) Distributions from net realized gain (.58) (.35) (.37) (.10) -- -- - ------------------------------------------------------------------------------------------------------ Total dividends and distributions to shareholders (.88) (1.09) (1.02) (.70) (.55) (.54) - ------------------------------------------------------------------------------------------------------ Net asset value, end of period $ 16.13 $ 15.63 $ 14.55 $ 12.91 $ 13.88 $ 12.47 --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- - ------------------------------------------------------------------------------------------------------ TOTAL RETURN, AT NET ASSET VALUE(1) 9.15% 15.50% 21.36% (1.95)% 15.95% 8.99% - ------------------------------------------------------------------------------------------------------ RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in thousands) $564,512 $ 484,285 $ 381,263 $ 292,067 $ 250,290 $ 159,464 - ------------------------------------------------------------------------------------------------------ Average net assets (in thousands) $516,320 $ 428,277 $ 344,745 $ 279,949 $ 199,954 $ 139,011 - ------------------------------------------------------------------------------------------------------ Ratios to average net assets: Net investment income 4.18%(2) 4.89% 4.81% 4.90% 4.44% 4.63% Expenses 0.75%(2) 0.77% 0.77% 0.56% 0.48% 0.55% - ------------------------------------------------------------------------------------------------------ Portfolio turnover rate(3) 21.8% 40.3% 39.0% 31.4% 32.4% 57.8% Average brokerage commission rate(4) $ 0.0295 $ 0.0361 $ 0.0329 -- -- --
1. Assumes a hypothetical 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 of 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. 2. Annualized. 3. The lesser of purchases or sales of portfolio securities for a period, divided by the monthly average of the market value of portfolio securities owned during the period. Securities with a maturity or expiration date at the time of acquisition of one year or less are excluded from the calculation. Purchases and sales of investment securities (excluding short-term securities) for the period ended June 30, 1997 were $99,216,419 and $93,601,183, respectively. 4. Total brokerage commissions paid on applicable purchases and sales of portfolio securities for the period, divided by the total number of related shares purchased and sold. See accompanying Notes to Financial Statements. 117 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER GLOBAL SECURITIES FUND FINANCIAL HIGHLIGHTS
SIX MONTHS ENDED YEAR ENDED DECEMBER 31, JUNE 30, --------------------------------------------------------- 1997 (UNAUDITED) 1996 1995 1994 1993 1992 - ------------------------------------------------------------------------------------------------------ PER SHARE OPERATING DATA: Net asset value, beginning of period $ 17.67 $ 15.00 $ 15.09 $ 16.30 $ 9.57 $ 10.38 - ------------------------------------------------------------------------------------------------------ Income (loss) from investment operations: Net investment income (loss) .15 .15 .12 .04 (.02) .07 Net realized and unrealized gain (loss) 2.68 2.52 .19 (.96) 6.75 (.80) - ------------------------------------------------------------------------------------------------------ Total income (loss) from investment operations 2.83 2.67 .31 (.92) 6.73 (.73) - ------------------------------------------------------------------------------------------------------ Dividends and distributions to shareholders: Dividends from net investment income (.23) -- -- (.04) -- (.04) Distributions from net realized gain -- -- (.40) (.25) -- (.04) - ------------------------------------------------------------------------------------------------------ Total dividends and distributions to shareholders (.23) -- (.40) (.29) -- (.08) - ------------------------------------------------------------------------------------------------------ Net asset value, end of period $ 20.27 $ 17.67 $ 15.00 $ 15.09 $ 16.30 $ 9.57 --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- - ------------------------------------------------------------------------------------------------------ TOTAL RETURN, AT NET ASSET VALUE(1) 16.12% 17.80% 2.24% (5.72)% 70.32% (7.11)% - ------------------------------------------------------------------------------------------------------ RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in thousands) $822,340 $ 580,998 $ 360,979 $ 297,842 $ 96,425 $ 13,537 - ------------------------------------------------------------------------------------------------------ Average net assets (in thousands) $693,851 $ 466,750 $ 332,336 $ 214,545 $ 31,696 $ 11,181 - ------------------------------------------------------------------------------------------------------ Ratios to average net assets: Net investment income 1.97%(2) 1.09% 0.86% 0.54% 0.72% 1.04% Expenses 0.77%(2) 0.81% 0.89% 0.91% 0.92% 1.06% - ------------------------------------------------------------------------------------------------------ Portfolio turnover rate(3) 26.4% 89.9% 131.3% 70.4% 65.1% 34.1% Average brokerage commission rate(4) $ 0.0045 $ 0.0045 $ 0.0092 -- -- --
1. Assumes a hypothetical 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 of 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. 2. Annualized. 3. The lesser of purchases or sales of portfolio securities for a period, divided by the monthly average of the market value of portfolio securities owned during the period. Securities with a maturity or expiration date at the time of acquisition of one year or less are excluded from the calculation. Purchases and sales of investment securities (excluding short-term securities) for the period ended June 30, 1997 were $288,452,356 and $159,007,190, respectively. 4. Total brokerage commissions paid on applicable purchases and sales of portfolio securities for the period, divided by the total number of related shares purchased and sold. See accompanying Notes to Financial Statements. 118 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER STRATEGIC BOND FUND FINANCIAL HIGHLIGHTS
SIX MONTHS ENDED YEAR ENDED DECEMBER 31, JUNE 30, --------------------------------------------- 1997 (UNAUDITED) 1996 1995 1994 1993(1) - ---------------------------------------------------------------------------------------------- PER SHARE OPERATING DATA: Net asset value, beginning of period $ 5.09 $ 4.91 $ 4.60 $ 5.12 $ 5.00 - ---------------------------------------------------------------------------------------------- Income (loss) from investment operations: Net investment income .20 .38 .38 .35 .10 Net realized and unrealized gain (loss) -- .19 .30 (.54) .11 - ---------------------------------------------------------------------------------------------- Total income (loss) from investment operations .20 .57 .68 (.19) .21 - ---------------------------------------------------------------------------------------------- Dividends and distributions to shareholders: Dividends from net investment income (.20) (.39) (.37) (.32) (.09) Distributions in excess of net realized gain (.01) -- -- (.01) -- - ---------------------------------------------------------------------------------------------- Total dividends and distributions to shareholders (.21) (.39) (.37) (.33) (.09) - ---------------------------------------------------------------------------------------------- Net asset value, end of period $ 5.08 $ 5.09 $ 4.91 $ 4.60 $ 5.12 --------- --------- --------- --------- --------- --------- --------- --------- --------- --------- - ---------------------------------------------------------------------------------------------- TOTAL RETURN, AT NET ASSET VALUE(2) 3.96% 12.07% 15.33% (3.78)% 4.25% - ---------------------------------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in thousands) $158,931 $ 118,716 $ 60,098 $ 20,320 $ 9,887 - ---------------------------------------------------------------------------------------------- Average net assets (in thousands) $136,493 $ 82,604 $ 37,698 $ 15,389 $ 4,259 - ---------------------------------------------------------------------------------------------- Ratios to average net assets: Net investment income 8.46%(3) 8.48% 9.32% 8.36% 5.67%(3) Expenses 0.82%(3) 0.85% 0.85% 0.87% 0.96%(3) - ---------------------------------------------------------------------------------------------- Portfolio turnover rate(4) 83.4% 144.3% 87.0% 136.6% 10.9%
1. For the period from May 3, 1993 (commencement of operations) to December 31, 1993. 2. Assumes a hypothetical 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 of 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. 3. Annualized. 4. The lesser of purchases or sales of portfolio securities for a period, divided by the monthly average of the market value of portfolio securities owned during the period. Securities with a maturity or expiration date at the time of acquisition of one year or less are excluded from the calculation. Purchases and sales of investment securities (excluding short-term securities) for the period ended June 30, 1997 were $112,807,856 and $106,427,990, respectively. See accompanying Notes to Financial Statements. 119 OPPENHEIMER VARIABLE ACCOUNT FUNDS - OPPENHEIMER GROWTH & INCOME FUND FINANCIAL HIGHLIGHTS
SIX MONTHS YEAR ENDED DECEMBER ENDED 31, JUNE 30, --------------------- 1997 (UNAUDITED) 1996 1995(1) - ---------------------------------------------------------------------- PER SHARE OPERATING DATA: Net asset value, beginning of period $ 16.37 $ 12.51 $ 10.00 - ---------------------------------------------------------------------- Income from investment operations: Net investment income .09 .14 .01 Net realized and unrealized gain 2.12 3.91 2.52 - ---------------------------------------------------------------------- Total income from investment operations 2.21 4.05 2.53 - ---------------------------------------------------------------------- Dividends and distributions to shareholders: Dividends from net investment income (.09) (.14) (.02) Distributions from net realized gain (.72) (.05) -- - ---------------------------------------------------------------------- Total dividends and distributions to shareholders (.81) (.19) (.02) - ---------------------------------------------------------------------- Net asset value, end of period $ 17.77 $ 16.37 $ 12.51 --------- --------- --------- --------- --------- --------- - ---------------------------------------------------------------------- TOTAL RETURN, AT NET ASSET VALUE(2) 13.87% 32.51% 25.25% - ---------------------------------------------------------------------- RATIOS/SUPPLEMENTAL DATA: Net assets, end of period (in thousands) $ 90,454 $ 47,009 $ 4,288 - ---------------------------------------------------------------------- Average net assets (in thousands) $ 66,341 $ 21,562 $ 1,809 - ---------------------------------------------------------------------- Ratios to average net assets: Net investment income 1.21%(3) 1.41% 0.50%(3) Expenses 0.86%(3) 1.00% 2.07%(3) - ---------------------------------------------------------------------- Portfolio turnover rate(4) 39.6% 112.6% 23.7% Average brokerage commission rate(5) $ 0.0618 $ 0.0618 $ 0.0598
1. For the period from July 5, 1995 (commencement of operations) to December 31, 1995. 2. Assumes a hypothetical 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 of 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. 3. Annualized. 4. The lesser of purchases or sales of portfolio securities for a period, divided by the monthly average of the market value of portfolio securities owned during the period. Securities with a maturity or expiration date at the time of acquisition of one year or less are excluded from the calculation. Purchases and sales of investment securities (excluding short-term securities) for the period ended June 30, 1997 were $10,024,416 and $1,868,625, respectively. 5. Total brokerage commissions paid on applicable purchases and sales of portfolio securities for the period, divided by the total number of related shares purchased and sold. See accompanying Notes to Financial Statements. 120 OPPENHEIMER VARIABLE ACCOUNT FUNDS NOTES TO FINANCIAL STATEMENTS (UNAUDITED) - -------------------------------------------------------------------------------- 1. SIGNIFICANT ACCOUNTING POLICIES Oppenheimer Money Fund (OMF), Oppenheimer High Income Fund (OHIF), Oppenheimer Bond Fund (OBF), Oppenheimer Capital Appreciation Fund (OCAP), Oppenheimer Growth Fund (OGF), Oppenheimer Multiple Strategies Fund (OMSF), Oppenheimer Global Securities Fund (OGSF), Oppenheimer Strategic Bond Fund (OSBF) and Oppenheimer Growth & Income Fund (OGIF) (collectively, the Funds) are separate series of Oppenheimer Variable Account Funds (the Trust), a diversified, open-end management investment company registered under the Investment Company Act of 1940, as amended. The Trust's investment adviser is OppenheimerFunds, Inc. (the Manager). Shares of the Oppenheimer Variable Account Funds are sold only to separate accounts of insurance companies, principally MassMutual Life Insurance Company, an affiliate of the Manager, Aetna Life Insurance & Annuity Company, Merrill Lynch Insurance Group, Bankers Security Life Insurance Society, Life Insurance Company of Virginia, Nationwide Life Insurance Company, Acacia National Life Insurance Company, Jefferson-Pilot Life Insurance Company, CUNA Mutual Life Insurance Company, and Protective Life Insurance Company. The following is a summary of significant accounting policies consistently followed by the Funds. The Funds' objectives are as follows: OPPENHEIMER MONEY FUND seeks the maximum current income from investments in "money market" securities consistent with low capital risk and the maintenance of liquidity. OPPENHEIMER HIGH INCOME FUND seeks to earn a high level of current income by investing primarily in a diversified portfolio of high yield, fixed-income securities (including long-term debt and preferred stock issues, including convertible securities) believed by the manager not to involve undue risk. OPPENHEIMER BOND FUND seeks a high level of current income by investing primarily in a diversified portfolio of high yield fixed-income securities. OPPENHEIMER CAPITAL APPRECIATION FUND seeks to achieve capital appreciation by investing in "growth-type" companies. OPPENHEIMER GROWTH FUND seeks to achieve capital appreciation by investing in securities of well-known established companies. OPPENHEIMER MULTIPLE STRATEGIES FUND seeks a high total investment return (which includes current income as well as capital appreciation in the value of its shares) from investments in common stocks and other equity securities, bonds and other debt securities, and "money market" securities. OPPENHEIMER GLOBAL SECURITIES FUND seeks long-term capital appreciation. Current income is not an objective. In seeking this objective, the Fund will invest a substantial portion of assets in securities of foreign issuers, "growth-type" companies, cyclical industries and special institutions which are considered to have appreciation possibilities. OPPENHEIMER STRATEGIC BOND FUND seeks a high level of current income principally derived from interest on debt securities and to enhance such income by writing covered call options on debt securities. OPPENHEIMER GROWTH & INCOME FUND seeks a high total return, which includes growth in the value of its shares as well as current income from equity and debt securities. From time to time this Fund may focus on small to medium capitalization common stocks, bonds and convertible securities. 121 OPPENHEIMER VARIABLE ACCOUNT FUNDS NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- 1. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) INVESTMENT VALUATION. Portfolio securities of OMF are valued on the basis of amortized cost, which approximates market value. Portfolio securities of OHIF, OBF, OCAP, OGF, OMSF, OGSF, OSBF and OGIF are valued at the close of the New York Stock Exchange on each trading day. Listed and unlisted securities for which such information is regularly reported are valued at the last sale price of the day or, in the absence of sales, at values based on the closing bid or the last sale price on the prior trading day. Long-term and short-term "non-money market" debt securities are valued by a portfolio pricing service approved by the Board of Trustees. Such securities which cannot be valued by an approved portfolio pricing service are valued using dealer-supplied valuations provided the Manager is satisfied that the firm rendering the quotes is reliable and that the quotes reflect current market value, or are valued under consistently applied procedures established by the Board of Trustees to determine fair value in good faith. Short-term "money market type" debt securities having a remaining maturity of 60 days or less are valued at cost (or last determined market value) adjusted for amortization to maturity of any premium or discount. Forward foreign currency exchange contracts are valued based on the closing prices of the forward currency contract rates in the London foreign exchange markets on a daily basis as provided by a reliable bank or dealer. Options are valued based upon the last sale price on the principal exchange on which the option is traded or, in the absence of any transactions that day, the value is based upon the last sale on the prior trading date if it is within the spread between the closing bid and asked prices. If the last sale price is outside the spread, the closing bid is used. - -------------------------------------------------------------------------------- SECURITIES PURCHASED ON A WHEN-ISSUED BASIS. Delivery and payment for securities that have been purchased by OHIF, OBF, OMSF, OSBF and OGIF on a forward commitment or when-issued basis can take place a month or more after the transaction date. During the period, such securities do not earn interest, are subject to market fluctuation and may increase or decrease in value prior to their delivery. The Funds maintain, in segregated accounts with the custodian, assets with a market value equal to the amount of their purchase commitments. The purchase of securities on a when-issued or forward commitment basis may increase the volatility of the Funds' net asset values to the extent the Funds make such purchases while remaining substantially fully invested. In connection with their ability to purchase securities on a when-issued or forward commitment basis, OHIF, OBF and OSBF may enter into mortgage "dollar-rolls" in which the Funds sell securities for delivery in the current month and simultaneously contract with the same counterparty to repurchase similar (same type, coupon and maturity) but not identical securities on a specified future date. The Funds record each dollar-roll as a sale and a new purchase transaction. As of June 30, 1997, OBF had entered into outstanding when-issued or forward commitments for mortgage "dollar-rolls" of $160,372,702. - -------------------------------------------------------------------------------- SECURITY CREDIT RISK. OHIF, OMSF and OSBF invest in high yield securities, which may be subject to a greater degree of credit risk, greater market fluctuations and risk of loss of income and principal, and may be more sensitive to economic conditions than lower yielding, higher rated fixed income securities. The Funds may acquire securities in default, and are not obligated to dispose of securities whose issuers subsequently default. - -------------------------------------------------------------------------------- FOREIGN CURRENCY TRANSLATION. The accounting records of the Funds are maintained in U.S. dollars. Prices of securities purchased by OHIF, OBF, OMSF, OGSF, OSBF and OGIF that are denominated in foreign currencies are translated into U.S. dollars at the closing rates of exchange. Amounts related to the purchase and sale of foreign securities and investment income are translated at the rates of exchange prevailing on the respective dates of such transactions. For OHIF, OBF, OMSF, OGSF, OSBF and OGIF, the effect of changes in foreign currency exchange rates on investments is separately identified from the fluctuations arising from changes in market values of securities held and reported with all other foreign currency gains and losses in the Funds' Statements of Operations. - -------------------------------------------------------------------------------- REPURCHASE AGREEMENTS. The Funds require the custodian to take possession, to have legally segregated in the Federal Reserve Book Entry System or to have segregated within the custodian's vault, all securities held as collateral for repurchase agreements. The market value of the underlying securities is required to be at least 102% of the resale price at the time of purchase. If the seller of the agreement defaults and the value of the collateral declines, or if the seller enters an insolvency proceeding, realization of the value of the collateral by the Funds may be delayed or limited. 122 OPPENHEIMER VARIABLE ACCOUNT FUNDS NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- 1. SIGNIFICANT ACCOUNTING POLICIES (CONTINUED) FEDERAL TAXES. The Trust intends for each Fund to continue to comply with provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute all of its taxable income, including any net realized gain on investments not offset by loss carryovers, to shareholders. Therefore, no federal income or excise tax provision is required. - -------------------------------------------------------------------------------- DISTRIBUTIONS TO SHAREHOLDERS. Dividends and distributions to shareholders of OHIF, OBF, OCAP, OGF, OMSF, OGSF, OSBF and OGIF are recorded on the ex-dividend date. OMF intends to declare dividends from net investment income each day the New York Stock Exchange is open for business and pay such dividends monthly. To effect its policy of maintaining a net asset value of $1.00 per share, OMF may withhold dividends or make distributions of net realized gains. - -------------------------------------------------------------------------------- CLASSIFICATION OF DISTRIBUTIONS TO SHAREHOLDERS. Net investment income (loss) and net realized gain (loss) may differ for financial statement and tax purposes primarily because of premium amortization, paydown gains and losses and the recognition of certain foreign currency gains (losses) as ordinary income (loss) for tax purposes. The character of the distributions made during the year from net investment income or net realized gains may differ from its ultimate characterization for federal income tax purposes. Also, due to timing of dividend distributions, the fiscal year in which amounts are distributed may differ from the fiscal year in which the income or realized gain was recorded by the Funds. - -------------------------------------------------------------------------------- OTHER. Investment transactions are accounted for on the date the investments are purchased or sold (trade date) and dividend income is recorded on the ex-dividend date. Discount on securities purchased by OHIF, OBF, OMSF, OGSF, OSBF and OGIF is amortized over the life of the respective securities, in accordance with federal income tax requirements. Realized gains and losses on investments and unrealized appreciation and depreciation are determined on an identified cost basis, which is the same basis used for federal income tax purposes. Dividends-in-kind are recognized as income on the ex-dividend date, at the current market value of the underlying security. Interest on payment-in-kind debt instruments is accrued as income at the coupon rate, and a market adjustment is made on the ex-date. The preparation of financial statements in conformity with generally accepted accounting principles requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of income and expenses during the reporting period. Actual results could differ from those estimates. - -------------------------------------------------------------------------------- 2. SHARES OF BENEFICIAL INTEREST The Funds have authorized an unlimited number of no par value shares of beneficial interest. Transactions in shares of beneficial interest were as follows: OPPENHEIMER MONEY FUND
SIX MONTHS ENDED YEAR ENDED JUNE 30, 1997 DECEMBER 31, 1996 --------------------------- --------------------------- SHARES AMOUNT SHARES AMOUNT - --------------------------------------------------------------------------------------------- Sold 177,388,085 $ 177,388,085 304,073,729 $ 304,073,729 Dividends and distributions reinvested 3,446,642 3,446,642 4,923,661 4,923,661 Issued in connection with the acquisition of: Panorama Series Fund, Inc. - Money Market Portfolio - Note 9 -- -- 63,968,818 63,968,791 Redeemed (177,578,620) (177,578,620) (308,637,087) (308,637,087) ------------ ------------- ------------ ------------- Net increase 3,256,107 $ 3,256,107 64,329,121 $ 64,329,094 ------------ ------------- ------------ ------------- ------------ ------------- ------------ -------------
123 OPPENHEIMER VARIABLE ACCOUNT FUNDS NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- 2. SHARES OF BENEFICIAL INTEREST (CONTINUED) OPPENHEIMER HIGH INCOME FUND
SIX MONTHS ENDED YEAR ENDED JUNE 30, 1997 DECEMBER 31, 1996 ------------------------ ------------------------ SHARES AMOUNT SHARES AMOUNT - --------------------------------------------------------------------------------------- Sold 5,832,186 $ 65,092,014 9,857,582 $107,788,590 Dividends and distributions reinvested 844,500 9,367,185 1,412,713 15,283,448 Redeemed (4,384,245) (49,118,331) (6,635,862) (72,550,951) ---------- ------------ ---------- ------------ Net increase 2,292,441 $ 25,340,868 4,634,433 $ 50,521,087 ---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
OPPENHEIMER BOND FUND
SIX MONTHS ENDED YEAR ENDED JUNE 30, 1997 DECEMBER 31, 1996 ------------------------ ------------------------ SHARES AMOUNT SHARES AMOUNT - --------------------------------------------------------------------------------------- Sold 3,449,601 $ 39,906,129 10,037,878 $116,328,846 Dividends and distributions reinvested 1,309,034 15,045,553 1,774,316 20,314,347 Issued in connection with the acquisition of: Panorama Series Fund, Inc. - Income Portfolio - Note 9 -- -- 9,249,653 107,187,159 Panorama Series Fund, Inc. - Government Securities Portfolio - Note 9 -- -- 4,237 48,557 JP Investment Grade Bond Fund, Inc. - Note 9 -- -- 2,594,896 30,151,368 Redeemed (3,083,324) (35,688,392) (4,827,959) (55,937,445) ---------- ------------ ---------- ------------ Net increase 1,675,311 $ 19,263,290 18,833,021 $218,092,832 ---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
OPPENHEIMER CAPITAL APPRECIATION FUND
SIX MONTHS ENDED YEAR ENDED JUNE 30, 1997 DECEMBER 31, 1996 ------------------------ ------------------------ SHARES AMOUNT SHARES AMOUNT - --------------------------------------------------------------------------------------- Sold 4,851,700 $176,153,127 12,247,492 $455,862,164 Dividends and distributions reinvested 952,236 32,014,173 643,582 22,422,394 Redeemed (2,224,053) (80,230,810) (6,453,749) (237,187,104) ---------- ------------ ---------- ------------ Net increase 3,579,883 $127,936,490 6,437,325 $241,097,454 ---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
OPPENHEIMER GROWTH FUND
SIX MONTHS ENDED YEAR ENDED JUNE 30, 1997 DECEMBER 31, 1996 ------------------------ ------------------------ SHARES AMOUNT SHARES AMOUNT - --------------------------------------------------------------------------------------- Sold 4,973,284 $138,533,065 5,738,355 $144,756,556 Dividends and distributions reinvested 720,274 18,842,365 430,280 10,016,909 Issued in connection with the acquisition of JP Capital Appreciation Fund, Inc. - Note 9 -- -- 3,293,050 90,009,399 Redeemed (3,182,009) (88,097,110) (3,964,366) (99,657,552) ---------- ------------ ---------- ------------ Net increase 2,511,549 $ 69,278,320 5,497,319 $145,125,312 ---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
124 OPPENHEIMER VARIABLE ACCOUNT FUNDS NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- 2. SHARES OF BENEFICIAL INTEREST (CONTINUED) OPPENHEIMER MULTIPLE STRATEGIES FUND
SIX MONTHS ENDED YEAR ENDED JUNE 30, 1997 DECEMBER 31, 1996 ------------------------ ------------------------ SHARES AMOUNT SHARES AMOUNT - --------------------------------------------------------------------------------------- Sold 3,075,888 $ 48,421,871 5,556,735 $ 83,206,142 Dividends and distributions reinvested 1,850,934 28,304,601 2,062,453 30,564,114 Redeemed (920,459) (14,297,347) (2,838,629) (42,497,621) ---------- ------------ ---------- ------------ Net increase 4,006,363 $ 62,429,125 4,780,559 $ 71,272,635 ---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
OPPENHEIMER GLOBAL SECURITIES FUND
SIX MONTHS ENDED YEAR ENDED JUNE 30, 1997 DECEMBER 31, 1996 ------------------------ ------------------------ SHARES AMOUNT SHARES AMOUNT - --------------------------------------------------------------------------------------- Sold 9,979,046 $187,162,311 14,595,634 $237,535,239 Dividends and distributions reinvested 446,370 8,181,957 -- -- Redeemed (2,804,345) (51,631,410) (5,717,318) (92,429,081) ---------- ------------ ---------- ------------ Net increase 7,621,071 $143,712,858 8,878,316 $145,106,158 ---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
OPPENHEIMER STRATEGIC BOND FUND
SIX MONTHS ENDED YEAR ENDED JUNE 30, 1997 DECEMBER 31, 1996 ------------------------ ------------------------ SHARES AMOUNT SHARES AMOUNT - --------------------------------------------------------------------------------------- Sold 8,589,506 $ 43,543,333 12,624,581 $ 63,274,177 Dividends and distributions reinvested 1,154,948 5,828,363 1,387,256 6,891,899 Redeemed (1,776,354) (9,006,918) (2,946,444) (14,660,178) ---------- ------------ ---------- ------------ Net increase 7,968,100 $ 40,364,778 11,065,393 $ 55,505,898 ---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
OPPENHEIMER GROWTH & INCOME FUND
SIX MONTHS ENDED YEAR ENDED JUNE 30, 1997 DECEMBER 31, 1996 ------------------------ ------------------------ SHARES AMOUNT SHARES AMOUNT - --------------------------------------------------------------------------------------- Sold 2,354,819 $ 39,714,921 2,942,183 $ 43,552,642 Dividends and distributions reinvested 185,419 3,037,134 21,023 322,909 Redeemed (320,116) (5,320,583) (435,180) (6,491,090) ---------- ------------ ---------- ------------ Net increase 2,220,122 $ 37,431,472 2,528,026 $ 37,384,461 ---------- ------------ ---------- ------------ ---------- ------------ ---------- ------------
125 OPPENHEIMER VARIABLE ACCOUNT FUNDS NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- 3. UNREALIZED GAINS AND LOSSES ON INVESTMENTS At June 30, 1997, net unrealized appreciation or depreciation on investments and options written consisted of the following:
OPPENHEIMER OPPENHEIMER CAPITAL HIGH INCOME OPPENHEIMER APPRECIATION OPPENHEIMER FUND BOND FUND FUND GROWTH FUND - ------------------------------------------------------------------------------------------------- Gross appreciation $ 11,560,165 $ 5,961,635 $ 159,939,886 $89,826,432 Gross depreciation 2,193,240 3,227,991 13,442,805 6,515,299 -------------- -------------- -------------- ------------ Net unrealized appreciation $ 9,366,925 $ 2,733,644 $ 146,497,081 $83,311,133 -------------- -------------- -------------- ------------ -------------- -------------- -------------- ------------
OPPENHEIMER OPPENHEIMER MULTIPLE GLOBAL OPPENHEIMER OPPENHEIMER STRATEGIES SECURITIES STRATEGIC GROWTH & FUND FUND BOND FUND INCOME FUND - ----------------------------------------------------------------------------------------------- Gross appreciation $100,348,980 $155,318,577 $ 4,095,591 $ 11,798,429 Gross depreciation 10,447,804 12,773,686 2,286,858 1,546,200 ------------- ------------- ------------- ------------- Net unrealized appreciation $ 89,901,176 $142,544,891 $ 1,808,733 $ 10,252,229 ------------- ------------- ------------- ------------- ------------- ------------- ------------- -------------
- -------------------------------------------------------------------------------- 4. MANAGEMENT FEES AND OTHER TRANSACTIONS WITH AFFILIATES Management fees paid to the Manager were in accordance with the investment advisory agreement with the Trust. For OHIF, OBF, OCAP, OGF, OMSF, OGSF, OSBF and OGIF, the annual fees are 0.75% of the first $200 million of average annual net assets, 0.72% of the next $200 million, 0.69% of the next $200 million, 0.66% of the next $200 million and 0.60% of average annual net assets over of $800 million. In addition, management fees for OHIF, OBF and OSBF are 0.50% of average annual net assets in excess of $1 billion. Management fees for OMF are 0.45% of the first $500 million of average annual net assets, 0.425% of the next $500 million, 0.40% of the next $500 million and 0.375% of net assets in excess of $1.5 billion. For OSBF, the Manager has agreed to limit the management fee charged so that the ordinary operating expenses of the Fund will not exceed 1.0% of its average net assets in any fiscal year. The Manager has agreed to reimburse OGF for SEC fees incurred in connection with the acquisition of JP Capital Appreciation Fund, Inc. - -------------------------------------------------------------------------------- 5. FORWARD CONTRACTS A forward foreign currency exchange contract (forward contract) is a commitment to purchase or sell a foreign currency at a future date, at a negotiated rate. The Funds (except OMF) use forward contracts to seek to manage foreign currency risks. They may also be used to tactically shift portfolio currency risk. The Funds generally enter into forward contracts as a hedge upon the purchase or sale of a security denominated in a foreign currency. In addition, the Funds may enter into such contracts as a hedge against changes in foreign currency exchange rates on portfolio positions. Forward contracts are valued based on the closing prices of the forward currency contract rates in the London foreign exchange markets on a daily basis as provided by a reliable bank or dealer. The Funds will realize a gain or loss upon the closing or settlement of the forward transaction. Securities held in segregated accounts to cover net exposure on outstanding forward contracts are noted in the Statements of Investments where applicable. Unrealized appreciation or depreciation on forward contracts is reported in the Statements of Assets and Liabilities. Realized gains and losses are reported with all other foreign currency gains and losses in the Funds' Statements of Operations. Risks include the potential inability of the counterparty to meet the terms of the contract and unanticipated movements in the value of a foreign currency relative to the U.S. dollar. 126 OPPENHEIMER VARIABLE ACCOUNT FUNDS NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- 5. FORWARD CONTRACTS (CONTINUED) At June 30, 1997, outstanding forward contracts to purchase and sell foreign currencies were as follows: OPPENHEIMER BOND FUND
CONTRACT VALUATION EXPIRATION AMOUNT AS OF UNREALIZED UNREALIZED CONTRACTS TO PURCHASE DATES (000'S) JUNE 30, 1997 APPRECIATION DEPRECIATION - ------------------------------------------------------------------------------------------------------ Portugese Escudo (PTE) 6/2/98 164,816 PTE $ 942,050 $ 874 $ -- --------------- ------------ ------------ --------------- CONTRACTS TO SELL - ------------------------------------------------------------------------------------------------------ Canadian Dollar (CAD) 7/28/97 415 CAD $ 301,200 $ -- $ 120 Deutsche Mark (DEM) 7/16/97-6/2/98 2,768 DEM 1,611,433 16,314 -- Norwegian Krone (NOK) 7/7/97 1,423 NOK 194,380 -- 178 New Zealand Dollar (NZD) 9/22/97 725 NZD 491,550 6,380 -- Polish Zloty (PLZ) 7/1/97 10,577 PLZ 3,218,562 38,763 -- --------------- ------------ ------------ $ 5,817,125 61,457 298 --------------- ------------ ------------ --------------- Total Unrealized Appreciation and Depreciation $ 62,331 $ 298 ------------ ------------ ------------ ------------
OPPENHEIMER GLOBAL SECURITIES FUND
CONTRACT VALUATION EXPIRATION AMOUNT AS OF UNREALIZED CONTRACTS TO SELL DATES (000'S) JUNE 30, 1997 APPRECIATION - ----------------------------------------------------------------------------------------- Austrian Schilling (ATS) 7/7/97 172 ATS $ 14,058 $ 152 French Franc (FRF) 9/22/97 228,832 FRF 39,021,868 978,132 --------------- ------------ Total Unrealized Appreciation $39,035,926 $978,284 --------------- ------------ --------------- ------------
OPPENHEIMER STRATEGIC BOND FUND
CONTRACT VALUATION EXPIRATION AMOUNT AS OF UNREALIZED UNREALIZED CONTRACTS TO PURCHASE DATES (000'S) JUNE 30, 1997 APPRECIATION DEPRECIATION - ------------------------------------------------------------------------------------------------------ Deutsche Mark (DEM) 7/16/97-7/18/97 3,465 DEM $ 1,989,735 $ 10,842 $ -- South African Rand (ZAR) 7/10/97 1,036 ZAR 227,744 -- 1,210 Spanish Peseta (ESP) 7/1/97 143,224 ESP 973,851 -- 9,697 --------------- ------------ ------------ $ 3,191,330 10,842 10,907 --------------- ------------ ------------ --------------- CONTRACTS TO SELL - ------------------------------------------------------------------------------------------------------ French Franc (FRF) 7/29/97 1,960 FRF $ 333,658 $ 6,213 $ -- Deutsche Mark (DEM) 7/17/97 3,478 DEM 1,997,201 7,029 -- Irish Punt (IEP) 7/7/97-11/28/97 2,560 IEP 3,871,778 12,920 7,106 Japanese Yen (JPY) 9/11/97 160,000 JPY 1,412,091 26,305 -- New Zealand Dollar (NZD) 7/15/97 3,645 NZD 2,472,640 31,160 -- Swiss Franc (CHF) 7/7/97-9/29/97 9,642 CHF 6,630,537 103,997 25,326 --------------- ------------ ------------ $16,717,905 187,624 32,432 --------------- ------------ ------------ --------------- Total Unrealized Appreciation and Depreciation $198,466 $43,339 ------------ ------------ ------------ ------------
127 OPPENHEIMER VARIABLE ACCOUNT FUNDS NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- 6. FUTURES CONTRACTS The Funds (except OMF) may buy and sell interest rate futures contracts in order to gain exposure to or protect against changes in interest rates. The Funds may also buy or write put or call options on these futures contracts. The Funds generally sell futures contracts to hedge against increases in interest rates and the resulting negative effect on the value of fixed rate portfolio securities. The Funds may also purchase futures contracts to gain exposure to changes in interest rates as it may be more efficient or cost effective than actually buying fixed income securities. Upon entering into a futures contract, the Funds are required to deposit either cash or securities in an amount (initial margin) equal to a certain percentage of the contract value. Subsequent payments (variation margin) are made or received by the Funds each day. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealized gains and losses. The Funds recognize a realized gain or loss when the contract is closed or expires. Securities held in collateralized accounts to cover initial margin requirements on open futures contracts are noted in the Statements of Investments. The Statements of Assets and Liabilities reflect a receivable or payable for the daily mark to market for variation margin. Risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market and that a change in the value of the contract or option may not correlate with changes in the value of the underlying securities. At June 30, 1997, outstanding futures contracts were as follows: OPPENHEIMER HIGH INCOME FUND
VALUATION AS UNREALIZED EXPIRATION NUMBER OF FUTURES OF JUNE 30, APPRECIATION CONTRACTS TO PURCHASE DATE CONTRACTS 1997 (DEPRECIATION) - ------------------------------------------------------------------------------------------------------ U.S. Treasury Nts., 10 yr. 9/97 20 $ 2,157,500 $ 1,563 U.S. Treasury Bonds, 30 yr. 9/97 110 12,216,875 (7,813) ------------- ------------- $14,374,375 (6,250) ------------- ------------- ------------- CONTRACTS TO SELL - ------------------------------------------------------------------------------------------------------ Standard & Poor's 9/97 5 $ 2,225,625 $ 18,800 ------------- ------------- ------------- $ 12,550 ------------- -------------
OPPENHEIMER BOND FUND
UNREALIZED EXPIRATION NUMBER OF FUTURES VALUATION AS OF APPRECIATION CONTRACTS TO PURCHASE DATE CONTRACTS JUNE 30, 1997 (DEPRECIATION) - ------------------------------------------------------------------------------------------------ U.S. Treasury Nts., 5 yr. 9/97 144 $15,248,250 $ 42,000 U.S. Treasury Bonds, 10 yr. 9/97 58 6,256,750 (1,438) U.S. Treasury Bonds, 30 yr. 9/97 180 19,991,250 (17,500) --------------- -------------- $41,496,250 $ 23,062 --------------- -------------- --------------- --------------
128 OPPENHEIMER VARIABLE ACCOUNT FUNDS NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- 6. FUTURES CONTRACTS (CONTINUED) OPPENHEIMER MULTIPLE STRATEGIES FUND
EXPIRATION NUMBER OF FUTURES VALUATION AS OF UNREALIZED CONTRACTS TO PURCHASE DATE CONTRACTS JUNE 30, 1997 APPRECIATION - ------------------------------------------------------------------------------------------------ Russell 2000 9/97 19 $ 3,789,550 $ 18,050 --------------- -------------- --------------- --------------
OPPENHEIMER STRATEGIC BOND FUND
UNREALIZED EXPIRATION NUMBER OF FUTURES VALUATION AS OF APPRECIATION CONTRACTS TO PURCHASE DATE CONTRACTS JUNE 30, 1997 (DEPRECIATION) - ------------------------------------------------------------------------------------------------ U.S. Treasury Bonds, 30 yr. 9/97 5 $ 555,313 $ 6,406 --------------- -------------- --------------- CONTRACTS TO SELL - ------------------------------------------------------------------------------------------------ U.S. Treasury Nts., 10 yr. 9/97 75 $ 8,090,625 $(65,625) U.S. Treasury Nts., 5 yr. 9/97 6 635,344 (3,469) French Government Bonds, 10 yr. 9/97 16 1,760,810 (11,174) German Government Bonds, 10 yr. 9/97 5 728,035 (15,136) Standard & Poor's 500 9/97 1 445,125 5,025 --------------- -------------- $11,659,939 (90,379) --------------- -------------- --------------- $(83,973) -------------- --------------
- -------------------------------------------------------------------------------- 7. OPTION ACTIVITY The Funds (except OMF) may buy and sell put and call options, or write put and covered call options on portfolio securities in order to produce incremental earnings or protect against changes in the value of portfolio securities. The Funds generally purchase put options or write covered call options to hedge against adverse movements in the value of portfolio holdings. When an option is written, the Funds receive a premium and become obligated to sell or purchase the underlying security at a fixed price, upon exercise of the option. Options are valued daily based upon the last sale price on the principal exchange on which the option is traded and unrealized appreciation or depreciation is recorded. The Funds will realize a gain or loss upon the expiration or closing of the option transaction. When an option is exercised, the proceeds on sales for a written call option, the purchase cost for a written put option, or the cost of the security for a purchased put or call option is adjusted by the amount of premium received or paid. Securities designated to cover outstanding call options are noted in the Statements of Investments where applicable. Shares subject to call, expiration date, exercise price, premium received and market value are detailed in a footnote to the Statements of Investments. Options written are reported as a liability in the Statements of Assets and Liabilities. Gains and losses are reported in the Statements of Operations. The risk in writing a call option is that the Funds give up the opportunity for profit if the market price of the security increases and the option is exercised. The risk in writing a put option is that the Funds may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying an option is that the Funds pay a premium whether or not the option is exercised. The Funds also have the additional risk of not being able to enter into a closing transaction if a liquid secondary market does not exist. The Funds may also write over-the-counter options where the completion of the obligation is dependent upon the credit standing of the counterparty. 129 OPPENHEIMER VARIABLE ACCOUNT FUNDS NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- 7. OPTION ACTIVITY (CONTINUED) OHIF option activity for the six months ended June 30, 1997 was as follows:
CALL OPTIONS PUT OPTIONS ------------------------ ----------------------- NUMBER OF AMOUNT OF NUMBER OF AMOUNT OF OPTIONS PREMIUMS OPTIONS PREMIUMS - --------------------------------------------------------------------------------- Options outstanding at December 31, 1996 2,460,530 $ 42,285 -- $ -- Options written 129,562,612 391,657 4,341,125 35,421 Options closed or expired (129,568,582) (409,417) (4,341,125) (35,421) Options exercised (382,000) (2,855) -- -- ------------ ---------- ------------ --------- Options outstanding at June 30, 1997 2,072,560 $ 21,670 -- $ -- ------------ ---------- ------------ --------- ------------ ---------- ------------ ---------
OBF option activity for the six months ended June 30, 1997 was as follows:
CALL OPTIONS PUT OPTIONS ------------------------ ----------------------- NUMBER OF AMOUNT OF NUMBER OF AMOUNT OF OPTIONS PREMIUMS OPTIONS PREMIUMS - --------------------------------------------------------------------------------- Options outstanding at December 31, 1996 6,199,750 $ 80,185 -- $ -- Options written 112,223,092 826,879 8,341,000 51,353 Options closed or expired (116,764,862) (730,928) (690,170) (4,144) Options exercised (660,000) (4,932) (7,650,000) (41,851) ------------ ---------- ------------ --------- Options outstanding at June 30, 1997 997,980 $ 171,204 830 $ 5,358 ------------ ---------- ------------ --------- ------------ ---------- ------------ ---------
OMSF option activity for the six months ended June 30, 1997 was as follows:
CALL OPTIONS ------------------------ NUMBER OF AMOUNT OF OPTIONS PREMIUMS - --------------------------------------------------------------------------------- Options outstanding at December 31, 1996 4,569 $1,235,136 Options written 6,703 1,601,570 Options closed or expired (3,449) (762,605) Options exercised (1,266) (409,411) ------------ ---------- Options outstanding at June 30, 1997 6,557 $1,664,690 ------------ ---------- ------------ ----------
OSBF option activity for the six months ended June 30, 1997 was as follows:
CALL OPTIONS PUT OPTIONS ------------------------ ----------------------- NUMBER OF AMOUNT OF NUMBER OF AMOUNT OF OPTIONS PREMIUMS OPTIONS PREMIUMS - --------------------------------------------------------------------------------- Options outstanding at December 31, 1996 9,375,291 $ 111,246 375 $ 8,992 Options written 4,841,825 59,857 428,005,000 38,914 Options closed or expired (12,046,716) (147,411) (228,005,000) (29,643) Options exercised (1,155,000) (12,582) -- -- ------------ ---------- ------------ --------- Options outstanding at June 30, 1997 1,015,400 $ 11,110 200,000,375 $ 18,263 ------------ ---------- ------------ --------- ------------ ---------- ------------ ---------
130 OPPENHEIMER VARIABLE ACCOUNT FUNDS NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- 7. OPTION ACTIVITY (CONTINUED) OGIF option activity for the six months ended June 30, 1997 was as follows:
CALL OPTIONS ------------------------ NUMBER OF AMOUNT OF OPTIONS PREMIUMS - --------------------------------------------------------------------------------- Options outstanding at December 31, 1996 -- $ -- Options written 25 3,437 ------------ ---------- Options outstanding at June 30, 1997 25 $ 3,437 ------------ ---------- ------------ ----------
- -------------------------------------------------------------------------------- 8. ILLIQUID AND RESTRICTED SECURITIES At June 30, 1997, investments in securities included issues that are illiquid or restricted. Restricted securities are often purchased in private placement transactions, are not registered under the Securities Act of 1933, may have contractual restrictions on resale, and are valued under methods approved by the Board of Trustees as reflecting fair value. A security may be considered illiquid if it lacks a readily-available market or if its valuation has not changed for a certain period of time. The Funds intend to invest no more than 10% of its net assets (determined at the time of purchase and reviewed periodically) in illiquid and restricted securities. Certain restricted securities, eligible for resale to qualified institutional investors, are not subject to that limit. The aggregate value of illiquid and restricted securities subject to this 10% limitation at June 30, 1997 are shown below:
PERCENTAGE TO AMOUNT NET ASSETS - ------------------------------------------------------------------------------------------------------ Oppenheimer High Income Fund $22,097,832 10.18% - ------------------------------------------------------------------------------------------------------ Oppenheimer Bond Fund 19,332,509 4.36 - ------------------------------------------------------------------------------------------------------ Oppenheimer Capital Appreciation Fund 1,188,000 0.16 - ------------------------------------------------------------------------------------------------------ Oppenheimer Multiple Strategies Fund 5,268,730 0.93 - ------------------------------------------------------------------------------------------------------ Oppenheimer Global Securities Fund 6,831,794 0.83 - ------------------------------------------------------------------------------------------------------ Oppenheimer Strategic Bond Fund 5,567,717 3.50 - ------------------------------------------------------------------------------------------------------ Oppenheimer Growth & Income Fund 993,750 1.10
Information concerning restricted securities is as follows: OPPENHEIMER HIGH INCOME FUND The aggregate value of restricted securities is $2,741,669.
VALUATION PER UNIT AS ACQUISITION COST PER OF SECURITY DATE UNIT JUNE 30, 1997 - ------------------------------------------------------------------------------------------------------ BONDS ECM Fund, L.P.I., 14% Sub. Nts., 6/10/02 4/14/92 100.00% 110.38% STOCKS AND WARRANTS CGA Group Ltd., Preferred 6/17/97 $ 25.00 $ 15.79 - ------------------------------------------------------------------------------------------------------ CGA Group Ltd. Wts., Exp. 12/49 6/17/97 .00 .50 - ------------------------------------------------------------------------------------------------------ ECM Fund, L.P.I. 4/14/92 1,000.00 1,003.75 - ------------------------------------------------------------------------------------------------------ Omnipoint Corp. 1/26/96 16.00 15.79 - ------------------------------------------------------------------------------------------------------ Omnipoint Corp. Wts., Exp. 12/49 11/29/95 .00 15.79 - ------------------------------------------------------------------------------------------------------ Triangle Wire & Cable, Inc. 5/2/94 9.50 1.00
131 OPPENHEIMER VARIABLE ACCOUNT FUNDS NOTES TO FINANCIAL STATEMENTS (UNAUDITED) (CONTINUED) - -------------------------------------------------------------------------------- 8. ILLIQUID AND RESTRICTED SECURITIES (CONTINUED) OPPENHEIMER BOND FUND The aggregate value of restricted securities is $1,177,600.
VALUATION PER UNIT AS ACQUISITION COST PER OF SECURITY DATE UNIT JUNE 30, 1997 - ------------------------------------------------------------------------------------------------------ BONDS: Merrill Lynch & Co., Inc., Units, 9.75%, 6/15/99 5/15/95 110.05% 117.76%
OPPENHEIMER STRATEGIC BOND FUND The aggregate value of restricted securities is $495,255.
VALUATION PER UNIT AS ACQUISITION COST PER OF SECURITY DATE UNIT JUNE 30, 1997 - ------------------------------------------------------------------------------------------------------ BONDS Transpower Finance Ltd. Gtd. Unsec. Unsub. Bonds, 8%, 2/15/01 5/17/96 66.49% 69.80% STOCKS AND WARRANTS CGA Group Ltd. Preferred 6/17/97 $ 25.00 $ 25.00 - ------------------------------------------------------------------------------------------------------ CGA Group Ltd. Wts., Exp. 12/49 6/17/97 .00 .50
- -------------------------------------------------------------------------------- 9. ACQUISITIONS On June 3, 1996, OMF acquired a portion of the net assets of Panorama Series Fund, Inc. - Money Market Portfolio. The Fund issued 49,302,270 shares of beneficial interest, valued at $49,302,270, in exchange for the net assets, resulting in combined net assets of $113,051,628 on June 3, 1996. On December 2, 1996, OMF acquired the remaining net assets of Panorama Series Fund, Inc. - Money Market Portfolio. The Fund issued 14,666,548 shares of beneficial interest, valued at $14,666,521, in exchange for the net assets, resulting in combined net assets of $124,845,270 on December 2, 1996. On May 1, June 3 and December 2, 1996, OBF acquired all of the net assets of Panorama Series Fund, Inc. - Income Portfolio. The Fund issued 12,999, 6,743,062 and 2,493,592 shares of beneficial interest, respectively, valued at $148,965, $77,208,064 and $29,830,130, respectively, in exchange for the net assets, resulting in combined net assets of $227,552,225, $308,666,225 and $396,656,585. On May 1, 1996, OBF acquired a portion of the net assets of Panorama Series Fund, Inc. - Government Securities Portfolio. The Fund issued 4,237 shares of beneficial interest valued at $48,557, in exchange for the net assets, resulting in combined net assets of $227,552,225 on May 1, 1996. On December 20, 1996, OBF acquired all of the net assets of JP Investment Grade Bond Fund, Inc., pursuant to an agreement and plan of reorganization approved by the JP Investment Grade Bond Fund, Inc. shareholders on December 3, 1996. The Fund issued 2,594,896 shares of beneficial interest valued at $30,151,368, in exchange for the net assets, resulting in combined net assets of $426,447,902 on December 20, 1996. The net assets acquired included net unrealized appreciation of $1,017,069. The exchange qualifies as a tax-free reorganization for federal income tax purposes. On December 20, 1996, OGF acquired all of the net assets of JP Capital Appreciation Fund, Inc., pursuant to an agreement and plan of reorganization approved by the JP Capital Appreciation Fund, Inc. shareholders on December 3, 1996. The Fund issued 3,293,050 shares of beneficial interest, valued at $90,009,399, in exchange for the net assets, resulting in combined net assets of $289,484,969 on December 20, 1996. The net assets acquired included net unrealized appreciation of $19,087,888. The exchange qualifies as a tax-free reorganization for federal income tax purposes. 132 OPPENHEIMER VARIABLE ACCOUNT FUNDS - ------------------------------------------------------------------------------------------------------ OFFICERS AND TRUSTEES James C. Swain, Chairman and Chief Executive Officer Bridget A. Macaskill, President Robert G. Avis, Trustee William A. Baker, Trustee Charles Conrad, Jr., Trustee Sam Freedman, Trustee Raymond J. Kalinowski, Trustee C. Howard Kast, Trustee Robert M. Kirchner, Trustee Ned M. Steel, Trustee George C. Bowen, Vice President, Treasurer and Assistant Secretary Andrew J. Donohue, Vice President and Secretary Paul LaRocco, Vice President Robert J. Milnamow, Vice President David P. Negri, Vice President Jane Putnam, Vice President Richard H. Rubinstein, Vice President Arthur P. Steinmetz, Vice President Dorothy G. Warmack, Vice President William Wilby, Vice President Robert J. Bishop, Assistant Treasurer Scott T. Farrar, Assistant Treasurer Robert G. Zack, Assistant Secretary - ------------------------------------------------------------------------------------------------------ INVESTMENT ADVISER OppenheimerFunds, Inc. - ------------------------------------------------------------------------------------------------------ TRANSFER AGENT OppenheimerFunds Services - ------------------------------------------------------------------------------------------------------ CUSTODIAN OF PORTFOLIO The Bank of New York SECURITIES - ------------------------------------------------------------------------------------------------------ INDEPENDENT AUDITORS Deloitte & Touche LLP - ------------------------------------------------------------------------------------------------------ LEGAL COUNSEL Myer, Swanson, Adams & Wolf, P.C. The financial statements included herein have been taken from the records of the Funds without examination by the independent auditors. This is a copy of a report to shareholders of Oppenheimer Variable Account Funds. This report must be preceded or accompanied by a Prospectus of Oppenheimer Variable Account Funds. For material information concerning the Funds, see the Prospectus. Shares of Oppenheimer funds are not deposits or obligations of any bank, are not guaranteed by any bank, and are not insured by the FDIC or any other agency, and involve investment risks, including possible loss of the principal amount invested.
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