N-Q 1 rq610_11956nq.txt RQ610_11956NQ.TXT UNITED STATES SECURITIES AND EXCHANGE COMMISSION WASHINGTON, D.C. 20549 FORM N-Q QUARTERLY SCHEDULE OF PORTFOLIO HOLDINGS OF REGISTERED MANAGEMENT INVESTMENT COMPANY Investment Company Act file number 811-4108 Oppenheimer Capital Appreciation Fund/VA (Exact name of registrant as specified in charter) 6803 South Tucson Way, Centennial, Colorado 80112-3924 (Address of principal executive offices) (Zip code) Robert G. Zack, Esq. OppenheimerFunds, Inc. Two World Financial Center, New York, New York 10281-1008 (Name and address of agent for service) Registrant's telephone number, including area code: (303) 768-3200 Date of fiscal year end: December 31 Date of reporting period: September 30, 2004 ITEM 1. SCHEDULE OF INVESTMENTS. STATEMENT OF INVESTMENTS September 30, 2004 (Unaudited) ================================================================================ Oppenheimer Capital Appreciation Fund/VA
Shares Value --------------------------------------------------------------------------------------------------------- COMMON STOCKS--96.5% --------------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY--16.3% --------------------------------------------------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE--1.9% Carnival Corp. 363,200 $ 17,175,728 --------------------------------------------------------------------------------------------------------- Royal Caribbean Cruises Ltd. 397,800 17,344,080 ----------------- 34,519,808 --------------------------------------------------------------------------------------------------------- MEDIA--10.3% Clear Channel Communications, Inc. 521,200 16,245,804 --------------------------------------------------------------------------------------------------------- Comcast Corp., Cl. A Special, Non-Vtg. 1 1,769,600 49,407,232 --------------------------------------------------------------------------------------------------------- Cox Communications, Inc., Cl. A 1 117,500 3,892,775 --------------------------------------------------------------------------------------------------------- News Corp. Ltd. (The), Sponsored ADR 666,200 21,897,994 --------------------------------------------------------------------------------------------------------- Omnicom Group, Inc. 103,300 7,547,098 --------------------------------------------------------------------------------------------------------- Time Warner, Inc. 1 2,280,700 36,810,498 --------------------------------------------------------------------------------------------------------- Univision Communications, Inc., Cl. A 1 444,165 14,040,056 --------------------------------------------------------------------------------------------------------- Viacom, Inc., Cl. B 1,264,300 42,429,908 ----------------- 192,271,365 --------------------------------------------------------------------------------------------------------- MULTILINE RETAIL--2.0% Federated Department Stores, Inc. 209,700 9,526,671 --------------------------------------------------------------------------------------------------------- J.C. Penney Co., Inc. (Holding Co.) 135,100 4,766,328 --------------------------------------------------------------------------------------------------------- Target Corp. 513,300 23,226,825 ----------------- 37,519,824 --------------------------------------------------------------------------------------------------------- SPECIALTY RETAIL--2.1% Best Buy Co., Inc. 86,600 4,697,184 --------------------------------------------------------------------------------------------------------- Chico's FAS, Inc. 1 66,700 2,281,140 --------------------------------------------------------------------------------------------------------- Gap, Inc. (The) 828,800 15,498,560 --------------------------------------------------------------------------------------------------------- Home Depot, Inc. 365,300 14,319,760 --------------------------------------------------------------------------------------------------------- Lowe's Cos., Inc. 51,000 2,771,850 ----------------- 39,568,494 --------------------------------------------------------------------------------------------------------- CONSUMER STAPLES--8.2% --------------------------------------------------------------------------------------------------------- BEVERAGES--3.4% Anheuser-Busch Cos., Inc. 503,300 25,139,835 --------------------------------------------------------------------------------------------------------- Coca-Cola Co. (The) 187,300 7,501,365 --------------------------------------------------------------------------------------------------------- PepsiCo, Inc. 629,200 30,610,580 ----------------- 63,251,780 --------------------------------------------------------------------------------------------------------- FOOD & STAPLES RETAILING--2.2% Costco Wholesale Corp. 256,000 10,639,360 --------------------------------------------------------------------------------------------------------- Wal-Mart Stores, Inc. 376,400 20,024,480 --------------------------------------------------------------------------------------------------------- Walgreen Co. 276,900 9,921,327 ----------------- 40,585,167 --------------------------------------------------------------------------------------------------------- HOUSEHOLD PRODUCTS--2.0% Clorox Co. (The) 116,400 6,204,120 --------------------------------------------------------------------------------------------------------- Kimberly-Clark Corp. 70,200 4,534,218 --------------------------------------------------------------------------------------------------------- Procter & Gamble Co. (The) 480,200 25,988,424 ----------------- 36,726,762 --------------------------------------------------------------------------------------------------------- PERSONAL PRODUCTS--0.6% Estee Lauder Cos., Inc. (The), Cl. A 255,800 10,692,440 --------------------------------------------------------------------------------------------------------- ENERGY--7.5% --------------------------------------------------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES--1.9% BJ Services Co. 1 221,200 11,593,092 --------------------------------------------------------------------------------------------------------- Halliburton Co. 225,600 7,600,464 --------------------------------------------------------------------------------------------------------- Schlumberger Ltd. 221,600 14,915,896 ----------------- 34,109,452 --------------------------------------------------------------------------------------------------------- OIL & GAS--5.6% Amerada Hess Corp. 81,900 7,289,100 --------------------------------------------------------------------------------------------------------- Apache Corp. 60,700 3,041,677 --------------------------------------------------------------------------------------------------------- Burlington Resources, Inc. 250,600 10,224,480 --------------------------------------------------------------------------------------------------------- Devon Energy Corp. 52,700 3,742,227 --------------------------------------------------------------------------------------------------------- Encana Corp. 219,640 10,160,135 --------------------------------------------------------------------------------------------------------- Exxon Mobil Corp. 822,600 39,756,258 --------------------------------------------------------------------------------------------------------- Kinder Morgan Management LLC 271,280 11,263,546 --------------------------------------------------------------------------------------------------------- Murphy Oil Corp. 69,600 6,039,192 --------------------------------------------------------------------------------------------------------- TotalFinaElf SA, Sponsored ADR 131,600 13,445,572 ----------------- 104,962,187 --------------------------------------------------------------------------------------------------------- FINANCIALS--10.1% --------------------------------------------------------------------------------------------------------- COMMERCIAL BANKS--0.6% Bank of America Corp. 216,200 9,367,946 --------------------------------------------------------------------------------------------------------- Commerce Bancorp, Inc. 35,500 1,959,600 ----------------- 11,327,546 --------------------------------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES--7.1% American Express Co. 435,500 22,410,830 --------------------------------------------------------------------------------------------------------- Bear Stearns Cos., Inc. (The) 112,900 10,857,593 --------------------------------------------------------------------------------------------------------- Citigroup, Inc. 977,500 43,127,300 --------------------------------------------------------------------------------------------------------- JPMorgan Chase & Co. 659,428 26,199,074 --------------------------------------------------------------------------------------------------------- Morgan Stanley 584,600 28,820,780 --------------------------------------------------------------------------------------------------------- Providian Financial Corp. 1 61,500 955,710 ----------------- 132,371,287 --------------------------------------------------------------------------------------------------------- INSURANCE--2.4% American International Group, Inc. 367,850 25,010,122 --------------------------------------------------------------------------------------------------------- Prudential Financial, Inc. 319,300 15,019,872 --------------------------------------------------------------------------------------------------------- XL Capital Ltd., Cl. A 66,400 4,912,936 ----------------- 44,942,930 --------------------------------------------------------------------------------------------------------- HEALTH CARE--16.7% --------------------------------------------------------------------------------------------------------- BIOTECHNOLOGY--3.5% Amgen, Inc. 1 423,800 24,020,984 --------------------------------------------------------------------------------------------------------- Applera Corp./Applied Biosystems Group 204,800 3,864,576 --------------------------------------------------------------------------------------------------------- Biogen Idec, Inc. 1 150,400 9,199,968 --------------------------------------------------------------------------------------------------------- Digene Corp. 1 178,600 4,636,456 --------------------------------------------------------------------------------------------------------- Gilead Sciences, Inc. 1 469,400 17,546,172 --------------------------------------------------------------------------------------------------------- ImClone Systems, Inc. 41,000 2,166,850 --------------------------------------------------------------------------------------------------------- Martek Biosciences Corp. 1 17,600 856,064 --------------------------------------------------------------------------------------------------------- MedImmune, Inc. 1 124,600 2,953,020 ----------------- 65,244,090 --------------------------------------------------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES--4.4% Medtronic, Inc. 814,200 42,256,980 --------------------------------------------------------------------------------------------------------- Millipore Corp. 1 364,700 17,450,895 --------------------------------------------------------------------------------------------------------- PerkinElmer, Inc. 378,300 6,514,326 --------------------------------------------------------------------------------------------------------- Stryker Corp. 241,400 11,606,512 --------------------------------------------------------------------------------------------------------- Waters Corp. 1 83,500 3,682,350 ----------------- 81,511,063 --------------------------------------------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES--0.5% Laboratory Corp. of America Holdings 1 55,300 2,417,716 --------------------------------------------------------------------------------------------------------- Pharmaceutical Product Development, Inc. 1 147,700 5,317,200 --------------------------------------------------------------------------------------------------------- Quest Diagnostics, Inc. 21,200 1,870,264 ----------------- 9,605,180 --------------------------------------------------------------------------------------------------------- PHARMACEUTICALS--8.3% Eli Lilly & Co. 339,400 20,380,970 --------------------------------------------------------------------------------------------------------- Johnson & Johnson 592,700 33,386,791 --------------------------------------------------------------------------------------------------------- Merck & Co., Inc. 403,867 13,327,611 --------------------------------------------------------------------------------------------------------- Novartis AG 497,588 23,258,872 --------------------------------------------------------------------------------------------------------- Pfizer, Inc. 1,510,400 46,218,240 --------------------------------------------------------------------------------------------------------- Roche Holdings AG 56,082 5,810,439 --------------------------------------------------------------------------------------------------------- Teva Pharmaceutical Industries Ltd., Sponsored ADR 482,896 12,531,151 ----------------- 154,914,074 --------------------------------------------------------------------------------------------------------- INDUSTRIALS--13.3% --------------------------------------------------------------------------------------------------------- AEROSPACE & DEFENSE--3.8% Boeing Co. 136,100 7,025,482 --------------------------------------------------------------------------------------------------------- Empresa Brasileira de Aeronautica SA, ADR 256,000 6,758,400 --------------------------------------------------------------------------------------------------------- Honeywell International, Inc. 249,900 8,961,414 --------------------------------------------------------------------------------------------------------- L-3 Communications Holdings, Inc. 139,400 9,339,800 --------------------------------------------------------------------------------------------------------- Lockheed Martin Corp. 284,300 15,858,254 --------------------------------------------------------------------------------------------------------- Northrop Grumman Corp. 123,900 6,607,587 --------------------------------------------------------------------------------------------------------- Rockwell Collins, Inc. 37,700 1,400,178 --------------------------------------------------------------------------------------------------------- United Technologies Corp. 162,900 15,211,602 ----------------- 71,162,717 --------------------------------------------------------------------------------------------------------- AIR FREIGHT & LOGISTICS--2.0% Expeditors International of Washington, Inc. 180,500 9,331,850 --------------------------------------------------------------------------------------------------------- FedEx Corp. 122,600 10,505,594 --------------------------------------------------------------------------------------------------------- United Parcel Service, Inc., Cl. B 213,100 16,178,552 ----------------- 36,015,996 --------------------------------------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES--0.9% Manpower, Inc. 96,300 4,284,387 --------------------------------------------------------------------------------------------------------- Waste Management, Inc. 464,900 12,710,366 ----------------- 16,994,753 --------------------------------------------------------------------------------------------------------- ELECTRICAL EQUIPMENT--0.1% Rockwell Automation, Inc. 47,300 1,830,510 --------------------------------------------------------------------------------------------------------- INDUSTRIAL CONGLOMERATES--5.8% General Electric Co. 2,802,900 94,121,382 --------------------------------------------------------------------------------------------------------- Tyco International Ltd. 467,600 14,336,616 ----------------- 108,457,998 --------------------------------------------------------------------------------------------------------- MACHINERY--0.7% Ingersoll-Rand Co., Cl. A 186,300 12,662,811 --------------------------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY--21.6% --------------------------------------------------------------------------------------------------------- COMMUNICATIONS EQUIPMENT--4.4% Cisco Systems, Inc. 1 1,998,000 36,163,800 --------------------------------------------------------------------------------------------------------- Lucent Technologies, Inc. 1 1,338,500 4,243,045 --------------------------------------------------------------------------------------------------------- Motorola, Inc. 624,800 11,271,392 --------------------------------------------------------------------------------------------------------- Nokia Corp., Sponsored ADR 932,700 12,796,644 --------------------------------------------------------------------------------------------------------- QUALCOMM, Inc. 106,000 4,138,240 --------------------------------------------------------------------------------------------------------- Telefonaktiebolaget LM Ericsson, Sponsored ADR 1 392,000 12,246,080 ----------------- 80,859,201 --------------------------------------------------------------------------------------------------------- COMPUTERS & PERIPHERALS--3.3% Dell, Inc. 1 522,300 18,593,880 --------------------------------------------------------------------------------------------------------- EMC Corp. 1 249,300 2,876,922 --------------------------------------------------------------------------------------------------------- International Business Machines Corp. 465,500 39,911,970 ----------------- 61,382,772 --------------------------------------------------------------------------------------------------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--1.5% Agilent Technologies, Inc. 1 496,200 10,703,034 --------------------------------------------------------------------------------------------------------- Tektronix, Inc. 357,800 11,896,850 --------------------------------------------------------------------------------------------------------- Vishay Intertechnology, Inc. 1 425,900 5,494,110 ----------------- 28,093,994 --------------------------------------------------------------------------------------------------------- INTERNET SOFTWARE & SERVICES--1.6% Yahoo!, Inc. 895,900 30,379,969 --------------------------------------------------------------------------------------------------------- IT SERVICES--0.6% Accenture Ltd., Cl. A 1 419,500 11,347,475 --------------------------------------------------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--3.0% Analog Devices, Inc. 243,000 9,423,540 --------------------------------------------------------------------------------------------------------- Cypress Semiconductor Corp. 1 233,000 2,059,720 --------------------------------------------------------------------------------------------------------- Intel Corp. 1,578,100 31,656,686 --------------------------------------------------------------------------------------------------------- Texas Instruments, Inc. 601,500 12,799,920 ----------------- 55,939,866 --------------------------------------------------------------------------------------------------------- SOFTWARE--7.2% Adobe Systems, Inc. 467,800 23,142,066 --------------------------------------------------------------------------------------------------------- Autodesk, Inc. 19,700 958,011 --------------------------------------------------------------------------------------------------------- Cadence Design Systems, Inc. 1 517,200 6,744,288 --------------------------------------------------------------------------------------------------------- Citrix Systems, Inc. 1 448,000 7,848,960 --------------------------------------------------------------------------------------------------------- Mercury Interactive Corp. 1 106,600 3,718,208 --------------------------------------------------------------------------------------------------------- Microsoft Corp. 2,444,400 67,587,660 --------------------------------------------------------------------------------------------------------- Novell, Inc. 1 277,200 1,749,132 --------------------------------------------------------------------------------------------------------- SAP AG, Sponsored ADR 499,000 19,436,050 --------------------------------------------------------------------------------------------------------- Symantec Corp. 1 59,600 3,270,848 ----------------- 134,455,223 --------------------------------------------------------------------------------------------------------- MATERIALS--2.3% --------------------------------------------------------------------------------------------------------- CHEMICALS--2.3% Air Products & Chemicals, Inc. 208,000 11,311,040 --------------------------------------------------------------------------------------------------------- Dow Chemical Co. 137,400 6,207,732 --------------------------------------------------------------------------------------------------------- E.I. DuPont de Nemours & Co. 150,500 6,441,400 --------------------------------------------------------------------------------------------------------- Praxair, Inc. 454,700 19,433,878 ----------------- 43,394,050 --------------------------------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES--0.5% --------------------------------------------------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES--0.5% Telefonos de Mexico SA de CV, Sponsored ADR 294,600 9,506,741 ----------------- Total Common Stocks (Cost $1,757,983,882) 1,796,607,525 Principal Amount --------------------------------------------------------------------------------------------------------- JOINT REPURCHASE AGREEMENTS--3.8% Undivided interest of 4.93% in joint repurchase agreement (Principal Amount/Value $1,446,038,000, with a maturity value of $1,446,110,302) with UBS Warburg LLC, 1.80%, dated 9/30/04, to be repurchased at $71,337,567 on 10/1/04, collateralized by Federal National Mortgage Assn., 5%, 3/1/34, with a value of $1,477,979,332 (Cost $71,334,000) $ 71,334,000 71,334,000 --------------------------------------------------------------------------------------------------------- Total Investments, at Value (Cost $1,829,317,882) 100.3% 1,867,941,525 --------------------------------------------------------------------------------------------------------- Liabilities in Excess of Other Assets (0.3) (5,614,000) ------------------------------------ Net Assets 100.0% $ 1,862,327,525 ==================================== 1. Non-income producing security.
SECURITIES VALUATION. The Fund calculates the net asset value of its shares as of the close of The New York Stock Exchange (the Exchange), normally 4:00 P.M. Eastern time, on each day the Exchange is open for business. Securities listed or traded on National Stock Exchanges or other domestic or foreign exchanges are valued based on the last sale price of the security traded on that exchange prior to the time when the Fund's assets are valued. Securities traded on NASDAQ are valued based on the closing price provided by NASDAQ prior to the time when the Fund's assets are valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the closing bid and asked prices, and if not, at the closing bid price. Corporate, government and municipal debt instruments having a remaining maturity in excess of 60 days and all mortgage-backed securities will be valued at the mean between the "bid" and "asked" prices. Securities may be valued primarily using dealer-supplied valuations or a portfolio pricing service authorized by the Board of Trustees. Securities (including restricted securities) for which market quotations are not readily available are valued at their fair value. Foreign and domestic securities whose values have been materially affected by what the Manager identifies as a significant event occurring before the Fund's assets are valued but after the close of their respective exchanges will be fair valued. Fair value is determined in good faith using consistently applied procedures under the supervision of the Board of Trustees. Short-term "money market type" debt securities with remaining maturities of sixty days or less are valued at amortized cost (which approximates market value). FEDERAL TAX. The aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of September 30, 2004 are noted below. The primary difference between book and tax appreciation or depreciation of securities and other investments, if applicable, is attributable to the tax deferral of losses. Federal tax cost of securities $ 1,838,745,336 ================== Gross unrealized appreciation $ 205,521,146 Gross unrealized depreciation (176,324,957) ------------------ Net unrealized appreciation $ 29,196,189 ================== ITEM 2. CONTROLS AND PROCEDURES. (a) Based on their evaluation of registrant's disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c)) as of September 30, 2004, registrant's principal executive officer and principal financial officer found registrant's disclosure controls and procedures to provide reasonable assurances that information required to be disclosed by registrant in the reports that it files under the Securities Exchange Act of 1934 (a) is accumulated and communicated to registrant's management, including its principal executive officer and principal financial officer, to allow timely decisions regarding required disclosure, and (b) is recorded, processed, summarized and reported, within the time periods specified in the rules and forms adopted by the U.S. Securities and Exchange Commission. (b) There have been no significant changes in registrant's internal controls over financial reporting that occurred during the registrant's last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting. ITEM 3. EXHIBITS. (a) Exhibits attached hereto. (Attach certifications as exhibits)