N-Q 1 rq630_15559nq.txt RQ630_15559NQ.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 BOND 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: MARCH 31, 2005 ITEM 1. SCHEDULE OF INVESTMENTS. Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS March 31, 2005/Unaudited --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------------------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES--13.4% ------------------------------------------------------------------------------------------------------- Aesop Funding II LLC, Automobile Asset-Backed Certificates, Series 2005-1A, Cl. A2, 2.91%, 4/20/08 1,2 $ 640,000 $ 640,000 ------------------------------------------------------------------------------------------------------- Bank One Auto Securitization Trust, Automobile Receivable Certificates, Series 2003-1, Cl. A2, 1.29%, 8/21/06 517,193 516,623 ------------------------------------------------------------------------------------------------------- BMW Vehicle Owner Trust, Automobile Loan Certificates: Series 2004-A, Cl. A2, 1.88%, 10/25/06 1,864,156 1,859,342 Series 2005-A, Cl. A2, 3.65%, 12/26/07 2,510,000 2,506,955 ------------------------------------------------------------------------------------------------------- Capital Auto Receivables Asset Trust, Automobile Mtg.-Backed Nts., Series 2004-2, Cl. A3, 3.58%, 1/15/09 2,250,000 2,214,113 ------------------------------------------------------------------------------------------------------- Centex Home Equity Co. LLC, Home Equity Loan Asset-Backed Certificates: Series 2004-A, Cl. AF1, 2.03%, 6/25/19 302,355 301,784 Series 2004-D, Cl. AF1, 2.98%, 4/25/20 1 1,016,038 1,010,104 Series 2005-B, Cl. AF1, 4.02%, 3/26/35 1 780,000 780,000 ------------------------------------------------------------------------------------------------------- Chase Funding Mortgage Loan Asset-Backed Certificates, Home Equity Mtg. Obligations: Series 2002-4, Cl. 1A3, 3.44%, 4/25/23 135,506 135,308 Series 2003-1, Cl. 1A3, 3.14%, 7/25/23 597,951 596,946 Series 2003-3, Cl. 1A2, 1.93%, 5/25/18 325,160 324,655 Series 2003-4, Cl. 1A2, 2.138%, 7/25/18 1,505,550 1,501,105 Series 2003-5, Cl. 1A2, 2.451%, 11/25/18 450,000 447,238 ------------------------------------------------------------------------------------------------------- Chase Manhattan Auto Owner Trust, Automobile Loan Pass-Through Certificates, Series 2002-A, Cl. A4, 4.24%, 9/15/08 484,939 487,332 ------------------------------------------------------------------------------------------------------- CIT Equipment Collateral, Equipment Receivable-Backed Nts., Series 2004-DFS, Cl. A2, 2.66%, 11/20/06 1 1,840,000 1,827,186 ------------------------------------------------------------------------------------------------------- Citibank Credit Card Issuance Trust, Credit Card Receivable Nts.: Series 2001-A6, Cl. A6, 5.65%, 6/16/08 2,040,000 2,081,925 Series 2003-C4, Cl. C4, 5%, 6/10/15 310,000 304,385 ------------------------------------------------------------------------------------------------------- CitiFinancial Mortgage Securities, Inc., Home Equity Collateralized Mtg. Obligations, Series 2003-3, Cl. AF1, 2.97%, 8/25/33 2 484,159 484,474 ------------------------------------------------------------------------------------------------------- Citigroup Mortgage Loan Trust, Inc., Home Equity Mtg. Obligations, Series 2004-OPT1, Cl. A1B, 2.388%, 9/1/34 1 764,119 763,164 ------------------------------------------------------------------------------------------------------- Countrywide Asset-Backed Certificates, Inc., Home Equity Asset-Backed Certificates, Series 2002-4, Cl. A1, 3.22%, 2/25/33 2 275,957 279,184 ------------------------------------------------------------------------------------------------------- DaimlerChrysler Auto Trust, Automobile Loan Pass-Through Certificates: Series 2001-D, Cl. A4, 3.78%, 2/6/07 415,429 416,343 Series 2003-B, Cl. A2, 1.61%, 7/10/06 1,820,127 1,818,644 Series 2004-B, Cl. A2, 2.48%, 2/8/07 1 647,535 646,224 Series 2004-C, Cl. A2, 2.62%, 6/8/07 3,330,000 3,315,534 Series 2005-A, Cl. A2, 3.17%, 9/8/07 1 2,710,000 2,701,865 ------------------------------------------------------------------------------------------------------- Equity One ABS, Inc., Home Equity Mtg. Pass-Through Certificates, Series 2004-3, Cl. AF2, 3.80%, 7/25/34 410,000 405,929 ------------------------------------------------------------------------------------------------------- Ford Credit Auto Owner Trust, Automobile Loan Pass-Through Certificates: Series 2004-A, Cl. A2, 2.13%, 10/15/06 882,317 879,424 Series 2005-A, Cl. A3, 3.48%, 11/17/08 1,630,000 1,615,647 ------------------------------------------------------------------------------------------------------- Harley-Davidson Motorcycle Trust, Motorcycle Receivable Nts., Series 2003-3, Cl. A1, 1.50%, 1/15/08 1,751,320 1,746,728 ------------------------------------------------------------------------------------------------------- Honda Auto Receivables Owner Trust, Automobile Receivable Obligations: Series 2003-3, Cl. A2, 1.52%, 4/21/06 855,442 854,737
1 | OPPENHEIMER CORE BOND FUND/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS March 31, 2005/Unaudited --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------------------------------------------------------------------------------------------------- Series 2003-4, Cl. A2, 1.58%, 7/17/06 $ 1,752,105 $ 1,749,205 Series 2005-1, Cl. A2, 3.21%, 5/21/07 1 1,080,000 1,077,173 ------------------------------------------------------------------------------------------------------- Household Automotive Trust, Automobile Loan Certificates, Series 2003-2, Cl. A2, 1.56%, 12/18/06 509,761 509,310 ------------------------------------------------------------------------------------------------------- Litigation Settlement Monetized Fee Trust, Asset-Backed Certificates, Series 2001-1A, Cl. A1, 8.33%, 4/25/31 1 3,930,461 3,985,881 ------------------------------------------------------------------------------------------------------- M&I Auto Loan Trust, Automobile Loan Certificates: Series 2002-1, Cl. A3, 2.49%, 10/22/07 818,201 817,763 Series 2003-1, Cl. A2, 1.60%, 7/20/06 591,192 590,966 ------------------------------------------------------------------------------------------------------- National City Auto Receivables Trust, Automobile Receivable Obligations, Series 2004-A, Cl. A2, 1.50%, 2/15/07 798,653 796,422 ------------------------------------------------------------------------------------------------------- NC Finance Trust, Collateralized Mtg. Obligations, Series 1999-I, Cl. ECFD, 8.75%, 1/25/29 1 3,370,016 899,373 ------------------------------------------------------------------------------------------------------- Nissan Auto Lease Trust, Automobile Lease Obligations, Series 2004-A, Cl. A2, 2.55%, 1/15/07 1,590,000 1,582,478 ------------------------------------------------------------------------------------------------------- Nissan Auto Receivables Owner Trust, Automobile Receivable Nts., Series 2002-A, Cl. A4, 4.28%, 10/16/06 317,579 318,365 ------------------------------------------------------------------------------------------------------- Option One Mortgage Loan Trust, Home Equity Mtg. Obligations, Series 2004-3, Cl. A2, 3%, 11/25/34 1,2 811,437 812,073 ------------------------------------------------------------------------------------------------------- Popular ABS Mortgage Pass-Through Trust, Home Equity Pass-Through Certificates: Series 2004-5, Cl. A F2, 3.735%, 11/10/34 1 620,000 612,620 Series 2005-1, Cl. A F2, 3.914%, 5/25/35 450,000 445,097 Series 2005-2, Cl. A F2, 4.415%, 4/25/35 730,000 730,000 ------------------------------------------------------------------------------------------------------- Tobacco Settlement Authority, Asset-Backed Securities, Series 2001-A, 6.79%, 6/1/10 1,930,000 1,910,218 ------------------------------------------------------------------------------------------------------- USAA Auto Owner Trust, Automobile Loan Asset-Backed Nts.: Series 2001-2, Cl. A4, 3.91%, 4/16/07 301,195 301,555 Series 2002-1, Cl. A3, 2.41%, 10/16/06 261,847 261,835 Series 2004-2, Cl. A2, 2.41%, 2/15/07 2,270,000 2,264,089 Series 2004-3, Cl. A2, 2.79%, 6/15/07 1,540,000 1,533,465 ------------------------------------------------------------------------------------------------------- Volkswagen Auto Lease Trust, Automobile Lease Asset-Backed Securities, Series 2004-A, Cl. A2, 2.47%, 1/22/07 2,190,000 2,177,852 ------------------------------------------------------------------------------------------------------- Volkswagen Auto Loan Enhanced Trust, Automobile Loan Receivable Certificates, Series 2003-2, Cl. A2, 1.55%, 6/20/06 826,517 825,439 ------------------------------------------------------------------------------------------------------- Wachovia Auto Owner Trust, Automobile Receivable Nts., Series 2004-B, Cl. A2, 2.40%, 5/21/07 1,620,000 1,612,994 ------------------------------------------------------------------------------------------------------- Wells Fargo Home Equity Trust, Collateralized Mtg. Obligations, Series 2004-2, Cl. AI1B, 2.94%, 9/25/18 2,977,654 2,954,346 ------------------------------------------------------------------------------------------------------- Whole Auto Loan Trust, Automobile Loan Receivable Certificates: Series 2003-1, Cl. A2A, 1.40%, 4/15/06 837,999 837,388 Series 2004-1, Cl. A2A, 2.59%, 5/15/07 2,000,000 1,989,323 ----------------- Total Asset-Backed Securities (Cost $67,659,176) 65,058,128 ------------------------------------------------------------------------------------------------------- MORTGAGE-BACKED OBLIGATIONS--72.2% ------------------------------------------------------------------------------------------------------- GOVERNMENT AGENCY--61.1% ------------------------------------------------------------------------------------------------------- FHLMC/FNMA/SPONSORED--60.9% Fannie Mae Whole Loan, Collateralized Mtg. Obligations Pass-Through Certificates, Trust 2004-W9, Cl. 2A2, 7%, 2/25/44 1,168,672 1,234,044 ------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp.: 6%, 10/1/22-10/1/34 22,360,330 22,939,941 6.50%, 7/1/28-4/1/34 1,335,952 1,390,561
2 | OPPENHEIMER CORE BOND FUND/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS March 31, 2005/Unaudited --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------------------------------------------------------------------------------------------------- FHLMC/FNMA/SPONSORED CONTINUED 7%, 3/1/31-3/1/33 $ 9,616,644 $ 10,136,654 7%, 6/1/35 3 8,534,000 8,982,035 8%, 4/1/16 1,321,993 1,396,204 9%, 8/1/22-5/1/25 361,793 394,669 ------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Collateralized Mtg. Obligations, Pass-Through Participation Certificates, Series 151, Cl. F, 9%, 5/15/21 66,753 66,746 ------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Series 2500, Cl. FD, 3.31%, 3/15/32 2 740,659 743,707 Series 2526, Cl. FE, 3.21%, 6/15/29 2 1,015,931 1,021,562 Series 2550, Cl. QK, 4.50%, 4/15/22 578,612 579,796 Series 2551, Cl. FD, 3.21%, 1/15/33 2 812,769 819,359 ------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 176, Cl. IO, 5.864%, 6/1/26 4 1,157,836 244,874 Series 183, Cl. IO, 3.74%, 4/1/27 4 1,771,038 383,817 Series 184, Cl. IO, 8.26%, 12/1/26 4 1,873,666 381,933 Series 192, Cl. IO, 10.937%, 2/1/28 4 443,927 89,599 Series 200, Cl. IO, 10.725%, 1/1/29 4 544,999 113,581 Series 206, Cl. IO, (12.299)%, 12/1/29 4 1,223,481 243,010 Series 2130, Cl. SC, 14.205%, 3/15/29 4 1,229,581 98,062 Series 2796, Cl. SD, 21.136%, 7/15/26 4 1,915,616 168,826 Series 2920, Cl. S, 30.867%, 1/15/35 4 7,977,834 445,163 ------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 5.857%, 6/1/26 5 471,720 399,391 ------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn.: 5%, 6/1/18-4/1/35 3 60,845,823 60,179,242 5.50%, 3/1/33-1/1/34 13,817,531 13,867,601 5.50%, 4/1/20-4/1/35 3 61,367,000 61,738,375 6%, 10/1/22 2,844,175 2,928,576 6%, 4/1/20-4/1/35 3 12,596,000 12,913,366 6.50%, 3/1/11 55,775 58,089 6.50%, 4/1/35 3 51,031,000 52,960,584 7%, 7/1/34 1,648,360 1,737,611 7%, 4/1/35 3 12,509,000 13,181,359 7.50%, 1/1/08-1/1/26 126,444 134,949 8%, 5/1/17 15,220 16,487 8.50%, 7/1/32 169,966 184,579 ------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Collateralized Mtg. Obligations, Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Trust 131, Cl. G, 8.75%, 11/25/05 10,351 10,448 Trust 1989-17, C. E, 10.40%, 4/25/19 119,381 131,789 Trust 1993-87, Cl. Z, 6.50%, 6/25/23 2,463,575 2,560,529 Trust 2001-70, Cl. LR, 6%, 9/25/30 973,526 992,397 Trust 2001-72, Cl. NH, 6%, 4/25/30 758,495 767,271 Trust 2001-74, Cl. PD, 6%, 5/25/30 315,959 320,258 Trust 2002-77, Cl. WF, 3.234%, 12/18/32 2 1,283,182 1,291,920 Trust 2003-10, Cl. HP, 5%, 2/25/18 2,900,000 2,869,185 Trust 2003-81, Cl. PA, 5%, 2/25/12 377,324 377,542
3 | OPPENHEIMER CORE BOND FUND/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS March 31, 2005/Unaudited --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------------------------------------------------------------------------------------------------- FHLMC/FNMA/SPONSORED CONTINUED Trust 2004-101, Cl. BG, 5%, 1/25/20 $ 1,908,000 $ 1,893,968 ------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Collateralized Mtg. Obligations, Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security: Trust 319, Cl. 2, 3.929%, 2/1/32 4 826,440 185,291 Trust 2002-47, Cl. NS, 12.675%, 4/25/32 4 2,412,939 221,749 Trust 2002-51, Cl. S, 12.94%, 8/25/32 4 2,215,086 203,566 ------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Trust 222, Cl. 2, 3.92%, 6/1/23 4 3,522,283 710,328 Trust 240, Cl. 2, 4.95%, 9/1/23 4 4,095,822 844,970 Trust 252, Cl. 2, 0.567%, 11/1/23 4 2,828,742 555,389 Trust 254, Cl. 2, 3.712%, 1/1/24 4 1,369,276 268,690 Trust 273, Cl. 2, 5.74%, 7/1/26 4 838,887 174,372 Trust 303, Cl. IO, (10.701)%, 11/1/29 4 519,415 113,138 Trust 321, Cl. 2, (1.94)%, 3/1/32 4 9,028,391 2,075,743 Trust 329, Cl. 2, 7.277%, 1/1/33 4 3,368,479 804,582 Trust 331, Cl. 9, (14.483)%, 12/1/32 4 2,162,318 473,430 Trust 333, Cl. 2, 8.27%, 3/1/33 4 3,739,713 902,324 Trust 334, Cl. 17, (6.605)%, 2/1/33 4 1,481,059 326,245 Trust 338, Cl. 2, 8.343%, 6/1/33 4 1,223,919 295,064 Trust 2001-81, Cl. S, 17.217%, 1/25/32 4 960,587 88,594 Trust 2002-52, Cl. SD, 7.006%, 9/25/32 4 2,772,518 249,399 Trust 2002-77, Cl. SH, 22.769%, 12/18/32 4 1,143,304 111,995 Trust 2004-54, Cl. DS, 18.428%, 11/25/30 4 1,935,142 147,706 Trust 2005-6, Cl. SE, 27.111%, 2/25/35 4 5,312,941 323,451 Trust 2005-19, Cl. SA, 27.69%, 3/25/35 4 20,858,059 1,205,759 Trust 2005-40, Cl. SA, 0%, 5/25/35 3,4 4,510,000 262,848 ------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Trust 1993-184, Cl. M, 7.615%, 9/25/23 5 937,493 792,339 ----------------- 294,726,631 ------------------------------------------------------------------------------------------------------- GNMA/GUARANTEED--0.2% Government National Mortgage Assn.: 7%, 1/15/09-5/15/09 56,927 59,399 8.50%, 8/15/17-12/15/17 479,930 522,488 ------------------------------------------------------------------------------------------------------- Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Series 2001-21, Cl. SB, 12.767%, 1/16/27 4 1,902,923 160,025 Series 2002-15, Cl. SM, 7.742%, 2/16/32 4 2,245,563 195,633 Series 2004-11, Cl. SM, 8.358%, 1/17/30 4 1,737,418 141,656 ----------------- 1,079,201 ------------------------------------------------------------------------------------------------------- PRIVATE--11.1% ------------------------------------------------------------------------------------------------------- COMMERCIAL--10.0% Asset Securitization Corp., Commercial Mtg. Pass-Through Certificates, Series 1996-MD6, Cl. A3, 6.836%, 11/13/29 2 1,200,000 1,274,254 -------------------------------------------------------------------------------------------------------
4 | OPPENHEIMER CORE BOND FUND/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS March 31, 2005/Unaudited --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------------------------------------------------------------------------------------------------- COMMERCIAL CONTINUED Asset Securitization Corp., Interest-Only Stripped Mtg.-Backed Security Collateralized Mtg. Obligations, Series 1997-D4, Cl. PS1, 5.863%, 4/14/29 4 $ 42,675,028 $ 1,511,963 ------------------------------------------------------------------------------------------------------- Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2004-6, Cl. A3, 4.512%, 12/10/42 1,720,000 1,682,592 ------------------------------------------------------------------------------------------------------- Bank of America Mortgage Securities, Inc., Collateralized Mtg. Obligations Pass-Through Certificates: Series 2004-2, Cl. 2A1, 6.50%, 7/20/32 776,507 775,456 Series 2004-8, Cl. 5A1, 6.50%, 5/25/32 2,379,301 2,446,219 Series 2004-E, Cl. 2A9, 3.712%, 6/25/34 1,651,704 1,652,944 Series 2004-G, Cl. 2A1, 2.469%, 8/25/34 2 3,182,997 3,230,705 ------------------------------------------------------------------------------------------------------- Bear Stearns Commercial Mortgage Securities, Inc., Commercial Mtg. Obligations, Series 2005-PWR7, Cl. A2, 4.945%, 2/11/41 860,000 860,882 ------------------------------------------------------------------------------------------------------- Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed Pass-Through Certificates, Series 1997-CTL1, 7.322%, 6/22/24 4 21,168,032 838,222 ------------------------------------------------------------------------------------------------------- Countrywide Alternative Loan Trust, Collateralized Mtg. Obligations, Series 2004-J9, Cl. 1A1, 3.03%, 10/25/34 2 1,906,399 1,908,477 ------------------------------------------------------------------------------------------------------- DLJ Mortgage Acceptance Corp., Commercial Mtg. Obligations, Series 1996-CF1, Cl. A3, 7.903%, 3/13/28 2 541,518 547,370 ------------------------------------------------------------------------------------------------------- First Union National Bank/Lehman Brothers/Bank of America Commercial Mtg. Trust, Pass-Through Certificates, Series 1998-C2, Cl. A2, 6.56%, 11/18/35 1,510,000 1,591,751 ------------------------------------------------------------------------------------------------------- GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations, Series 2005-C1, Cl. A3, 4.578%, 6/10/48 730,000 717,089 ------------------------------------------------------------------------------------------------------- GMAC Commercial Mortgage Securities, Inc., Commercial Mtg. Obligations, Series 2004-C3, Cl. A4, 4.547%, 12/10/41 1,110,000 1,089,178 ------------------------------------------------------------------------------------------------------- GMAC Commercial Mortgage Securities, Inc., Commercial Mtg. Pass-Through Certificates, Series 1997-C1, Cl. A3, 6.869%, 7/15/29 1,035,650 1,084,460 ------------------------------------------------------------------------------------------------------- Greenwich Capital Commercial Funding Corp., Commercial Mtg. Pass-Through Certificates, Series 2005-G G3, Cl. A2, 4.305%, 8/10/42 1,460,000 1,438,442 ------------------------------------------------------------------------------------------------------- GS Mortgage Securities Corp. II, Commercial Mtg. Pass-Through Certificates, Series 2004-C1, Cl. A1, 3.659%, 10/10/28 1,267,636 1,233,412 ------------------------------------------------------------------------------------------------------- GSR Mortgage Loan Trust, Collateralized Mtg. Obligations, Series 04-12, Cl. 3A1, 4.513%, 12/25/34 1,2 2,737,823 2,734,519 ------------------------------------------------------------------------------------------------------- Lehman Brothers Commercial Conduit Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 1998-C1, Cl. IO, 6.35%, 2/18/30 4 17,950,028 565,911 ------------------------------------------------------------------------------------------------------- Lehman Structured Securities Corp., Collateralized Mtg. Obligations, Series 2002-GE1, Cl. A, 2.514%, 7/26/24 1 401,515 345,303 ------------------------------------------------------------------------------------------------------- Mastr Alternative Loan Trust, Pass-Through Collateralized Mtg. Obligations, Series 2004-6, Cl. 10A1, 6%, 7/25/34 3,276,352 3,352,303 ------------------------------------------------------------------------------------------------------- Mastr Asset Securitization Trust, Pass-Through Collateralized Mtg. Obligations, Series 2004-9, Cl. A3, 4.70%, 8/25/34 2 2,885,183 2,876,909 ------------------------------------------------------------------------------------------------------- Nomura Asset Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 1998-D6, Cl. A1B, 6.59%, 3/15/30 1,680,000 1,780,640 ------------------------------------------------------------------------------------------------------- Salomon Brothers Mortgage Securities VII, Inc., Interest-Only Commercial Mtg. Pass-Through Certificates, Series 1999-C1, Cl. X, 5.705%, 5/18/32 4 374,880,621 1,431,857 ------------------------------------------------------------------------------------------------------- Wachovia Bank Commercial Mortgage Trust, Commercial Mtg. Obligations: Series 2005-C16, Cl. A2, 4.38%, 10/15/41 2,210,000 2,180,385 Series 2005-C17, Cl. A2, 4.763%, 3/15/42 2,520,000 2,525,217 -------------------------------------------------------------------------------------------------------
5 | OPPENHEIMER CORE BOND FUND/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS March 31, 2005/Unaudited --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------------------------------------------------------------------------------------------------- COMMERCIAL CONTINUED Wells Fargo Mortgage-Backed Securities Trust, Collateralized Mtg. Obligations: Series 2004-DD, Cl. 2 A1, 4.545%, 1/25/35 2 $ 2,275,237 $ 2,277,464 Series 2004-N, Cl. A10, 3.803%, 8/25/34 1 2,920,397 2,926,846 Series 2004-W, Cl. A2, 4.623%, 11/25/34 2 1,435,956 1,435,364 ----------------- 48,316,134 ------------------------------------------------------------------------------------------------------- OTHER--0.0% Salomon Brothers Mortgage Securities VI, Inc., Interest-Only Stripped Mtg.-Backed Security, Series 1987-3, Cl. B, 41.03%, 10/23/17 4 23,365 5,353 ------------------------------------------------------------------------------------------------------- Salomon Brothers Mortgage Securities VI, Inc., Principal-Only Stripped Mtg.-Backed Security, Series 1987-3, Cl. A, 8.56%, 10/23/17 5 34,580 31,474 ----------------- 36,827 ------------------------------------------------------------------------------------------------------- RESIDENTIAL--1.1% Countrywide Alternative Loan Trust, Collateralized Mtg. Obligations, Series 2005-J1, Cl. 3A1, 6.50%, 8/25/32 2,843,203 2,902,664 ------------------------------------------------------------------------------------------------------- Structured Asset Securities Corp., Collateralized Mtg. Obligations Pass-Through Certificates, Series 2002-AL1, Cl. B2, 3.45%, 2/25/32 2,869,127 2,519,382 ----------------- 5,422,046 ----------------- Total Mortgage-Backed Obligations (Cost $351,057,710) 349,580,839 ------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT OBLIGATIONS--11.0% ------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp. Unsec. Nts.: 6.625%, 9/15/09 14,525,000 15,801,820 6.875%, 9/15/10 7,300,000 8,116,717 ------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn. Unsec. Nts.: 3.01%, 6/2/06 6 2,500,000 2,472,430 6.625%, 9/15/09 6,010,000 6,535,779 7.25%, 5/15/30 1,665,000 2,153,125 ------------------------------------------------------------------------------------------------------- Tennessee Valley Authority Bonds: 7.125%, 5/1/30 2,570,000 3,279,572 Series A, 6.79%, 5/23/12 5,659,000 6,382,633 ------------------------------------------------------------------------------------------------------- U.S. Treasury Nts., 4%, 3/15/10-2/15/15 8,585,000 8,334,535 ----------------- Total U.S. Government Obligations (Cost $53,499,806) 53,076,611 ------------------------------------------------------------------------------------------------------- FOREIGN GOVERNMENT OBLIGATIONS--0.6% ------------------------------------------------------------------------------------------------------- United Mexican States Nts., 7.50%, 1/14/12 (Cost $2,631,486) 2,610,000 2,887,965 ------------------------------------------------------------------------------------------------------- CORPORATE BONDS AND NOTES--41.6% ------------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY--11.1% ------------------------------------------------------------------------------------------------------- AUTO COMPONENTS--0.8% Delphi Corp., 6.55% Nts., 6/15/06 1,203,000 1,182,921 ------------------------------------------------------------------------------------------------------- Lear Corp., 8.11% Sr. Unsec. Nts., Series B, 5/15/09 2,265,000 2,453,305 ----------------- 3,636,226 ------------------------------------------------------------------------------------------------------- AUTOMOBILES--2.3% American Honda Finance Corp., 3.85% Nts., 11/6/08 7 1,555,000 1,521,258 ------------------------------------------------------------------------------------------------------- DaimlerChrysler NA Holdings Corp., 7.20% Unsec. Nts., 9/1/09 2,230,000 2,402,994 ------------------------------------------------------------------------------------------------------- Ford Holdings, Inc., 9.30% Unsec. Unsub. Debs., 3/1/30 460,000 488,095 ------------------------------------------------------------------------------------------------------- Ford Motor Credit Co., 7.375% Nts., 10/28/09 485,000 487,585 ------------------------------------------------------------------------------------------------------- General Motors Acceptance Corp.: 7.25% Nts., 3/2/11 2,130,000 1,979,899
6 | OPPENHEIMER CORE BOND FUND/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS March 31, 2005/Unaudited --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------------------------------------------------------------------------------------------------- AUTOMOBILES CONTINUED 8% Bonds, 11/1/31 $ 1,700,000 $ 1,484,144 ------------------------------------------------------------------------------------------------------- Hertz Corp. (The), 6.35% Nts., 6/15/10 2,960,000 2,847,274 ----------------- 11,211,249 ------------------------------------------------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE--1.2% Hilton Hotels Corp., 7.95% Sr. Nts., 4/15/07 1,025,000 1,094,585 ------------------------------------------------------------------------------------------------------- Starwood Hotels & Resorts Worldwide, Inc., 7.375% Nts., 5/1/07 1,580,000 1,639,250 ------------------------------------------------------------------------------------------------------- Yum! Brands, Inc., 8.50% Sr. Unsec. Nts., 4/15/06 2,785,000 2,907,431 ----------------- 5,641,266 ------------------------------------------------------------------------------------------------------- HOUSEHOLD DURABLES--1.2% Beazer Homes USA, Inc., 8.625% Sr. Unsec. Nts., 5/15/11 1,440,000 1,533,600 ------------------------------------------------------------------------------------------------------- D.R. Horton, Inc., 6.125% Nts., 1/15/14 1,415,000 1,410,005 ------------------------------------------------------------------------------------------------------- Lennar Corp., 5.95% Sr. Unsec. Nts., 3/1/13 1,250,000 1,287,936 ------------------------------------------------------------------------------------------------------- Toll Corp., 8.25% Sr. Sub. Nts., 12/1/11 1,440,000 1,551,600 ----------------- 5,783,141 ------------------------------------------------------------------------------------------------------- MEDIA--3.9% Chancellor Media CCU, 8% Sr. Unsec. Nts., 11/1/08 2,525,000 2,723,566 ------------------------------------------------------------------------------------------------------- Cox Communications, Inc., 7.875% Unsec. Nts., 8/15/09 325,000 358,969 ------------------------------------------------------------------------------------------------------- Cox Enterprises, Inc., 7.375% Unsec. Debs., 6/15/09 7 1,440,000 1,540,583 ------------------------------------------------------------------------------------------------------- Liberty Media Corp., 5.70% Sr. Unsec. Nts., 5/15/13 1,235,000 1,165,873 ------------------------------------------------------------------------------------------------------- TCI Communications, Inc., 9.80% Sr. Unsec. Debs., 2/1/12 2,500,000 3,137,678 ------------------------------------------------------------------------------------------------------- Time Warner Cos., Inc., 9.125% Debs., 1/15/13 2,840,000 3,514,247 ------------------------------------------------------------------------------------------------------- Time Warner Entertainment Co. LP, 10.15% Sr. Nts., 5/1/12 1,073,000 1,365,548 ------------------------------------------------------------------------------------------------------- Univision Communications, Inc.: 2.875% Sr. Unsec. Nts., 10/15/06 357,000 349,922 3.50% Sr. Unsec. Nts., 10/15/07 1,860,000 1,819,188 ------------------------------------------------------------------------------------------------------- Walt Disney Co. (The), 5.375% Sr. Unsec. Nts., 6/1/07 2,975,000 3,027,595 ----------------- 19,003,169 ------------------------------------------------------------------------------------------------------- MULTILINE RETAIL--1.3% Federated Department Stores, Inc., 6.625% Sr. Unsec. Nts., 9/1/08 1,785,000 1,881,269 ------------------------------------------------------------------------------------------------------- J.C. Penney Co., Inc., 8% Nts., 3/1/10 2,640,000 2,653,200 ------------------------------------------------------------------------------------------------------- May Department Stores Co.: 3.95% Nts., 7/15/07 973,000 960,199 7.90% Unsec. Debs., 10/15/07 860,000 921,426 ----------------- 6,416,094 ------------------------------------------------------------------------------------------------------- SPECIALTY RETAIL--0.4% Gap, Inc. (The): 6.90% Nts., 9/15/07 1 1,169,000 1,225,989 9.80% Unsub. Nts., 12/15/08 2 466,000 544,638 ----------------- 1,770,627 ------------------------------------------------------------------------------------------------------- CONSUMER STAPLES--2.9% ------------------------------------------------------------------------------------------------------- FOOD & STAPLES RETAILING--1.5% Albertson's, Inc.: 8% Sr. Unsec. Debs., 5/1/31 1,040,000 1,227,988 8.70% Sr. Unsec. Debs., 5/1/30 537,000 679,378 ------------------------------------------------------------------------------------------------------- Delhaize America, Inc., 9% Unsub. Debs., 4/15/31 915,000 1,116,242 ------------------------------------------------------------------------------------------------------- Kroger Co. (The), 7.80% Sr. Nts., 8/15/07 1,800,000 1,928,070 ------------------------------------------------------------------------------------------------------- Safeway, Inc., 4.80% Sr. Unsec. Nts., 7/16/07 2,440,000 2,442,267 ----------------- 7,393,945
7 | OPPENHEIMER CORE BOND FUND/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS March 31, 2005/Unaudited --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------------------------------------------------------------------------------------------------- FOOD PRODUCTS--1.4% ConAgra Foods, Inc., 6% Nts., 9/15/06 $ 1,320,000 $ 1,353,041 ------------------------------------------------------------------------------------------------------- General Mills, Inc., 3.875% Nts., 11/30/07 2,070,000 2,041,873 ------------------------------------------------------------------------------------------------------- Kraft Foods, Inc., 5.25% Nts., 6/1/07 3,275,000 3,335,820 ----------------- 6,730,734 ------------------------------------------------------------------------------------------------------- ENERGY--1.6% ------------------------------------------------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES--0.1% Ocean Rig Norway AS, 10.25% Sr. Sec. Nts., 6/1/08 400,000 411,500 ------------------------------------------------------------------------------------------------------- OIL & GAS--1.5% Chesapeake Energy Corp., 7.50% Sr. Nts., 6/15/14 1,380,000 1,466,250 ------------------------------------------------------------------------------------------------------- Kinder Morgan, Inc., 6.50% Sr. Unsec. Nts., 9/1/12 1,980,000 2,129,270 ------------------------------------------------------------------------------------------------------- Pemex Project Funding Master Trust, 7.875% Unsec. Unsub. Nts., 2/1/09 1,930,000 2,091,155 ------------------------------------------------------------------------------------------------------- PF Export Receivables Master Trust, 3.748% Sr. Nts., Series B, 6/1/13 7 1,484,945 1,406,369 ----------------- 7,093,044 ------------------------------------------------------------------------------------------------------- FINANCIALS--12.5% ------------------------------------------------------------------------------------------------------- CAPITAL MARKETS--0.5% Credit Suisse First Boston (USA), Inc., 5.50% Nts., 8/15/13 2,385,000 2,437,513 ------------------------------------------------------------------------------------------------------- COMMERCIAL BANKS--0.8% Bank of America Corp., 4.875% Sr. Unsec. Nts., 1/15/13 33,000 32,807 ------------------------------------------------------------------------------------------------------- Mellon Bank NA, 4.75% Unsec. Sub. Nts., 12/15/14 2,000,000 1,958,254 ------------------------------------------------------------------------------------------------------- National City Bank, 6.20% Sub. Nts., 12/15/11 178,000 191,786 ------------------------------------------------------------------------------------------------------- SunTrust Banks, Inc.: 4% Nts., 10/15/08 1,370,000 1,353,322 7.75% Unsec. Sub. Nts., 5/1/10 123,000 139,852 ----------------- 3,676,021 ------------------------------------------------------------------------------------------------------- CONSUMER FINANCE--0.5% HSBC Finance Corp., 4.75% Sr. Unsec. Nts., 7/15/13 2,495,000 2,433,136 ------------------------------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES--3.7% AIG SunAmerica Global Financing II, 7.60% Sr. Sec. Nts., 6/15/05 7 800,000 806,592 ------------------------------------------------------------------------------------------------------- American Express Centurion Bank, 4.375% Nts., 7/30/09 950,000 943,455 ------------------------------------------------------------------------------------------------------- CIT Group, Inc., 7.75% Sr. Unsec. Unsub. Nts., 4/2/12 1,800,000 2,084,868 ------------------------------------------------------------------------------------------------------- Citigroup, Inc., 6.625% Unsec. Sub. Nts., 6/15/32 2,170,000 2,427,683 ------------------------------------------------------------------------------------------------------- Franklin Resources, Inc., 3.70% Nts., 4/15/08 1,430,000 1,405,867 ------------------------------------------------------------------------------------------------------- Goldman Sachs Group, Inc. (The), 5.70% Sr. Unsec. Nts., 9/1/12 2,310,000 2,381,721 ------------------------------------------------------------------------------------------------------- Lehman Brothers Holdings, Inc., 7% Nts., 2/1/08 1,660,000 1,772,395 ------------------------------------------------------------------------------------------------------- Lehman Brothers, Inc., 6.625% Sr. Sub. Nts., 2/15/08 262,000 276,545 ------------------------------------------------------------------------------------------------------- MBNA Corp., 7.50% Sr. Nts., Series F, 3/15/12 1,900,000 2,145,377 ------------------------------------------------------------------------------------------------------- Merrill Lynch & Co., Inc., 5% Sr. Unsub. Nts., Series C, 2/3/14 2,470,000 2,424,075 ------------------------------------------------------------------------------------------------------- Morgan Stanley, 6.60% Nts., 4/1/12 1,130,000 1,235,219 ----------------- 17,903,797 ------------------------------------------------------------------------------------------------------- INSURANCE--4.9% Allstate Financial Global Funding LLC, 4.25% Nts., 9/10/08 7 520,000 515,394 ------------------------------------------------------------------------------------------------------- Allstate Life Global Funding II, 3.50% Nts., 7/30/07 710,000 697,558 ------------------------------------------------------------------------------------------------------- AXA, 8.60% Unsec. Sub. Nts., 12/15/30 2,520,000 3,315,393 ------------------------------------------------------------------------------------------------------- Hartford Financial Services Group, Inc. (The), 2.375% Nts., 6/1/06 1,185,000 1,158,460 ------------------------------------------------------------------------------------------------------- John Hancock Global Funding II, 7.90% Nts., 7/2/10 7 2,554,000 2,919,449 ------------------------------------------------------------------------------------------------------- Marsh & McLennan Cos., Inc., 5.375% Sr. Unsec. Nts., 3/15/07 1,460,000 1,483,648 ------------------------------------------------------------------------------------------------------- Nationwide Financial Services, Inc., 5.90% Nts., 7/1/12 3,185,000 3,348,069 ------------------------------------------------------------------------------------------------------- Prudential Holdings LLC, 8.695% Bonds, Series C, 12/18/23 7 1,885,000 2,391,543 -------------------------------------------------------------------------------------------------------
8 | OPPENHEIMER CORE BOND FUND/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS March 31, 2005/Unaudited --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------------------------------------------------------------------------------------------------- INSURANCE CONTINUED Prudential Insurance Co. of America, 8.30% Nts., 7/1/25 7 $ 4,875,000 $ 6,356,157 ------------------------------------------------------------------------------------------------------- Travelers Property Casualty Corp., 3.75% Sr. Unsec. Nts., 3/15/08 1,830,000 1,791,078 ----------------- 23,976,749 ------------------------------------------------------------------------------------------------------- REAL ESTATE--2.1% EOP Operating LP, 8.10% Unsec. Nts., 8/1/10 1,700,000 1,933,055 ------------------------------------------------------------------------------------------------------- iStar Financial, Inc.: 4.875% Sr. Unsec. Nts., Series B, 1/15/09 1,235,000 1,220,450 8.75% Sr. Unsec. Nts., 8/15/08 905,000 1,013,083 ------------------------------------------------------------------------------------------------------- Liberty Property Trust, 5.65% Sr. Nts., 8/15/14 1,330,000 1,347,867 ------------------------------------------------------------------------------------------------------- Simon Property Group LP: 5.45% Unsec. Nts., 3/15/13 965,000 967,876 5.625% Unsec. Unsub. Nts., 8/15/14 935,000 941,015 ------------------------------------------------------------------------------------------------------- Vornado Realty LP, 5.625% Sr. Unsec. Unsub. Nts., 6/15/07 2,630,000 2,696,794 ----------------- 10,120,140 ------------------------------------------------------------------------------------------------------- HEALTH CARE--2.0% ------------------------------------------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES--1.6% Aetna, Inc., 7.375% Sr. Unsec. Nts., 3/1/06 2,730,000 2,810,117 ------------------------------------------------------------------------------------------------------- CIGNA Corp., 7.40% Unsec. Nts., 5/15/07 3,195,000 3,379,121 ------------------------------------------------------------------------------------------------------- HCA Healthcare Corp., 6.91% Sr. Sub. Nts., 6/15/05 775,000 783,716 ------------------------------------------------------------------------------------------------------- UnitedHealth Group, Inc., 4.875% Bonds, 3/15/15 609,000 596,292 ----------------- 7,569,246 ------------------------------------------------------------------------------------------------------- PHARMACEUTICALS--0.4% Merck & Co., Inc., 4.726% Nts., 2/22/06 7 2,010,000 2,021,417 ------------------------------------------------------------------------------------------------------- INDUSTRIALS--3.3% ------------------------------------------------------------------------------------------------------- AEROSPACE & DEFENSE--0.7% Boeing Capital Corp., 5.75% Sr. Nts., 2/15/07 452,000 464,361 ------------------------------------------------------------------------------------------------------- Lockheed Martin Corp., 7.65% Unsec. Unsub. Debs., 5/1/16 770,000 922,256 ------------------------------------------------------------------------------------------------------- McDonnell Douglas Corp., 6.875% Unsec. Unsub. Nts., 11/1/06 366,000 380,373 ------------------------------------------------------------------------------------------------------- Northrop Grumman Corp., 7.125% Sr. Nts., 2/15/11 1,440,000 1,607,812 ----------------- 3,374,802 ------------------------------------------------------------------------------------------------------- AIR FREIGHT & LOGISTICS--0.6% FedEx Corp., 2.65% Unsec. Nts., 4/1/07 2,975,000 2,884,283 ------------------------------------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES--0.9% Allied Waste North America, Inc., 8.875% Sr. Nts., Series B, 4/1/08 1,330,000 1,381,538 ------------------------------------------------------------------------------------------------------- Protection One, Inc./Protection One Alarm Monitoring, Inc., 7.375% Sr. Unsec. Nts., 8/15/05 1 300,000 302,625 ------------------------------------------------------------------------------------------------------- Waste Management, Inc.: 7% Sr. Nts., 7/15/28 920,000 1,031,373 7.125% Sr. Unsec. Nts., 10/1/07 1,485,000 1,575,986 ----------------- 4,291,522 ------------------------------------------------------------------------------------------------------- INDUSTRIAL CONGLOMERATES--0.6% Tyco International Group SA: 6.375% Sr. Unsec. Unsub. Nts., 2/15/06 1,895,000 1,928,841 6.75% Sr. Unsub. Nts., 2/15/11 975,000 1,057,777 ----------------- 2,986,618 ------------------------------------------------------------------------------------------------------- ROAD & RAIL--0.5% Canadian National Railway Co., 4.25% Nts., 8/1/09 358,000 353,381 -------------------------------------------------------------------------------------------------------
9 | OPPENHEIMER CORE BOND FUND/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS March 31, 2005/Unaudited --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------------------------------------------------------------------------------------------------- ROAD & RAIL CONTINUED CSX Corp., 6.25% Unsec. Nts., 10/15/08 $ 2,012,000 $ 2,119,028 ---------------- 2,472,409 ------------------------------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES--2.7% ------------------------------------------------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES--2.3% British Telecommunications plc, 8.625% Bonds, 12/15/30 1,070,000 1,430,021 ------------------------------------------------------------------------------------------------------- Citizens Communications Co., 9.25% Sr. Nts., 5/15/11 989,000 1,087,900 ------------------------------------------------------------------------------------------------------- Deutsche Telekom International Finance BV, 8.50% Unsub. Nts., 6/15/10 2,630,000 3,027,937 ------------------------------------------------------------------------------------------------------- France Telecom SA: 8% Sr. Unsec. Nts., 3/1/11 2 1,120,000 1,283,076 8.75% Sr. Unsec. Nts., 3/1/31 2 370,000 488,438 ------------------------------------------------------------------------------------------------------- Sprint Capital Corp.: 6% Sr. Unsec. Nts., 1/15/07 1,075,000 1,105,540 8.75% Nts., 3/15/32 1,220,000 1,587,564 ------------------------------------------------------------------------------------------------------- Telefonos de Mexico SA de CV, 4.75% Nts., 1/27/10 7 1,260,000 1,230,871 ---------------- 11,241,347 ------------------------------------------------------------------------------------------------------- WIRELESS TELECOMMUNICATION SERVICES--0.4% AT&T Wireless Services, Inc., 8.125% Sr. Unsec. Nts., 5/1/12 1,685,000 1,971,174 ------------------------------------------------------------------------------------------------------- UTILITIES--5.5% ------------------------------------------------------------------------------------------------------- ELECTRIC UTILITIES--4.4% CenterPoint Energy, Inc.: 5.875% Sr. Nts., 6/1/08 2,425,000 2,501,320 8.125% Unsec. Nts., Series B, 7/15/05 530,000 537,142 ------------------------------------------------------------------------------------------------------- Conectiv, Inc., 5.30% Unsec. Unsub. Nts., Series B, 6/1/05 397,000 398,039 ------------------------------------------------------------------------------------------------------- Constellation Energy Group, 7% Unsec. Nts., 4/1/12 1,720,000 1,915,335 ------------------------------------------------------------------------------------------------------- Dominion Resources, Inc., 8.125% Sr. Unsub. Nts., 6/15/10 990,000 1,133,729 ------------------------------------------------------------------------------------------------------- DTE Energy Co., 6.45% Sr. Unsub. Nts., 6/1/06 725,000 744,666 ------------------------------------------------------------------------------------------------------- Duke Capital LLC, 5.668% Nts., 8/15/14 1,380,000 1,390,284 ------------------------------------------------------------------------------------------------------- FirstEnergy Corp.: 5.50% Sr. Unsub. Nts., Series A, 11/15/06 995,000 1,012,289 7.375% Sr. Unsub. Nts., Series C, 11/15/31 1,140,000 1,295,301 ------------------------------------------------------------------------------------------------------- IPALCO Enterprises, Inc., 8.375% Sr. Sec. Nts., 11/14/08 1,2 1,180,000 1,292,100 ------------------------------------------------------------------------------------------------------- MidAmerican Energy Holdings Co., 5.875% Sr. Unsec. Nts., 10/1/12 3,750,000 3,900,386 ------------------------------------------------------------------------------------------------------- PSE&G Power LLC, 6.875% Sr. Unsec. Nts., 4/15/06 355,000 365,106 ------------------------------------------------------------------------------------------------------- PSEG Energy Holdings LLC, 7.75% Unsec. Nts., 4/16/07 1 1,575,000 1,626,188 ------------------------------------------------------------------------------------------------------- TECO Energy, Inc., 10.50% Sr. Unsec. Nts., 12/1/07 1,690,000 1,905,475 ------------------------------------------------------------------------------------------------------- TXU Corp., 4.80% Nts., 11/15/09 7 1,260,000 1,221,893 ---------------- 21,239,253 ------------------------------------------------------------------------------------------------------- GAS UTILITIES--1.1% NiSource Finance Corp., 7.875% Sr. Unsec. Nts., 11/15/10 3,920,000 4,475,429 ------------------------------------------------------------------------------------------------------- Sempra Energy, 7.95% Sr. Unsec. Unsub. Nts., 3/1/10 990,000 1,115,549 ----------------- 5,590,978 ----------------- Total Corporate Bonds and Notes (Cost $199,877,869) 201,281,400 UNITS ------------------------------------------------------------------------------------------------------- RIGHTS, WARRANTS AND CERTIFICATES--0.0% ------------------------------------------------------------------------------------------------------- Pathmark Stores, Inc. Wts., Exp. 9/19/10 8 (Cost $14,872) 5,408 973
10 | OPPENHEIMER CORE BOND FUND/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS March 31, 2005/Unaudited --------------------------------------------------------------------------------
PRINCIPAL AMOUNT VALUE ------------------------------------------------------------------------------------------------------------- JOINT REPURCHASE AGREEMENTS--0.7% ------------------------------------------------------------------------------------------------------------- Undivided interest of 0.43% in joint repurchase agreement (Principal Amount/Value $838,272,000, with a maturity value of $838,336,035) with UBS Warburg LLC, 2.75%, dated 3/31/05, to be repurchased at $3,592,274 on 4/1/05, collateralized by Federal National Mortgage Assn., 4.50%--5%, 5/1/19--3/1/34, with a value of $857,182,684 (Cost $3,592,000) $ 3,592,000 $ 3,592,000 ------------------------------------------------------------------------------------------------------------- Total Investments, at Value (Excluding Investments Purchased with Cash Collateral from Securities Loaned) (Cost $678,332,919) 675,477,916 ------------------------------------------------------------------------------------------------------------- INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED --7.3% ------------------------------------------------------------------------------------------------------------- ASSET-BACKED FLOATING NOTE--0.5% Money Market Securities Trust, Series A, 2.885%, 4/15/05 9 1,000,000 1,000,000 ------------------------------------------------------------------------------------------------------------- Whitehawk CDO Funding Corp., 3.08%, 6/15/05 9 1,500,000 1,500,000 ------------------------------------------------------------------------------------------------------------- FUNDING AGREEMENT/GIC--0.2% Allstate Life Insurance Co., 2.88%, 4/1/05 9 1,000,000 1,000,000 ------------------------------------------------------------------------------------------------------------- REPURCHASE AGREEMENTS--6.1% Undivided interest of 5.84% in joint repurchase agreement (Principal Amount/Value $500,000,000, with a maturity value of $500,040,972) with Merrill Lynch Securities/MLPFS, 2.95%, dated 3/31/05, to be repurchased at $29,217,723 on 4/1/05, collateralized by AA Asset-Backed Securities, 0.00%-7.76%, 6/15/09-1/25/45, with a value of $525,002,014 9 29,215,329 29,215,329 ------------------------------------------------------------------------------------------------------------- MASTER FLOATING NOTE--0.5% Bear Stearns, 3.055%, 4/1/05 9 2,500,000 2,500,000 ---------------- Total Investments Purchased with Cash Collateral from Securities Loaned (Cost $35,215,329) 35,215,329 ------------------------------------------------------------------------------------------------------------- TOTAL INVESTMENTS, AT VALUE (COST $713,548,248) 146.8% 710,693,245 ------------------------------------------------------------------------------------------------------------- LIABILITIES IN EXCESS OF OTHER ASSETS (46.8) (226,597,337) ----------------------------------- NET ASSETS 100.0% $ 484,095,908 ===================================
FOOTNOTES TO STATEMENT OF INVESTMENTS 1. Illiquid or restricted security. The aggregate value of illiquid or restricted securities as of March 31, 2005 was $26,209,233, which represents 5.41% of the Fund's net assets. See accompanying Notes to Quarterly Statement of Investments. 2. Represents the current interest rate for a variable or increasing rate security. 3. When-issued security or forward commitment to be delivered and settled after March 31, 2005. See accompanying Notes to Quarterly Statement of Investments. 4. 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. These securities amount to $17,564,118 or 3.63% of the Fund's net assets as of March 31, 2005. 5. Principal-Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. The value of these securities generally increases as interest rates decline and prepayment rates rise. The price of these securities is typically more volatile than that of coupon-bearing bonds of the same maturity. Interest rates disclosed represent current yields based upon the current cost basis and estimated timing of future cash flows. These securities amount to $1,223,204 or 0.25% of the Fund's net assets as of March 31, 2005. 6. All or a portion of the security is held in collateralized accounts to cover initial margin requirements on open futures sales contracts with an aggregate market value of $1,977,944. See accompanying Notes to Quarterly Statement of Investments. 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 $21,931,526 or 4.53% of the Fund's net assets as of March 31, 2005. 8. Non-income producing security. 9. The security has been segregated to satisfy the forward commitment to return the cash collateral received in securities lending transactions upon the borrower's return of the securities loaned. See accompanying Notes to Quarterly Statement of Investments. 11 | OPPENHEIMER CORE BOND FUND/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS March 31, 2005/Unaudited -------------------------------------------------------------------------------- FEDERAL TAX. The approximate 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 March 31, 2005 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 $ 714,353,787 ============= Gross unrealized appreciation $ 6,307,456 Gross unrealized depreciation (9,967,998) ------------- Net unrealized depreciation $ (3,660,542) ============= NOTES TO QUARTERLY STATEMENT OF INVESTMENTS 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 sixty 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). SECURITIES ON A WHEN-ISSUED BASIS OR FORWARD COMMITMENT. Delivery and payment for securities that have been purchased by the Fund on a when-issued basis or forward commitment can take place up to ten days or more after the trade date. Normally the settlement date occurs within six months after the trade date; however, the Fund may, from time to time, purchase securities whose settlement date extends six months or more beyond trade date. During this period, such securities do not earn interest, are subject to market fluctuation and may increase or decrease in value prior to their delivery. The Fund maintains internally designated assets with a market value equal to or greater than the amount of its purchase commitments. The purchase of securities on a when-issued basis or forward commitment may increase the volatility of the Fund's net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase. As of March 31, 2005, the Fund had purchased $240,572,311 of securities on a when-issued basis or forward commitment and sold $29,437,395 of securities issued on a when-issued basis or forward commitment. In connection with its ability to purchase or sell securities on a when-issued basis, the Fund may enter into forward roll transactions with respect to mortgage-related securities. Forward roll transactions require the sale of securities for delivery in the current month, and a simultaneous agreement with the same counterparty to repurchase similar (same type, coupon and maturity) but not identical securities on a specified future date. The Fund records the incremental difference between the forward purchase and sale of each forward roll as realized gain (loss) on 12 | OPPENHEIMER CORE BOND FUND/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS March 31, 2005/Unaudited -------------------------------------------------------------------------------- investments or as fee income in the case of such transactions that have an associated fee in lieu of a difference in the forward purchase and sale price. Risks of entering into forward roll transactions include the potential inability of the counterparty to meet the terms of the agreement; the potential of the Fund to receive inferior securities at redelivery as compared to the securities sold to the counterparty; counterparty credit risk; and the potential pay down speed variance between the mortgage related pools. JOINT REPURCHASE AGREEMENTS. Pursuant to an Exemptive Order issued by the Securities and Exchange Commission, the Fund, along with other affiliated funds advised by the Manager, may transfer uninvested cash balances into joint trading accounts on a daily basis. These balances are invested in one or more repurchase agreements. Securities pledged as collateral for repurchase agreements are held by a custodian bank until the agreements mature. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. In the event of default by the other party to the agreement, retention of the collateral may be subject to legal proceedings. FUTURES CONTRACTS. A futures contract is a commitment to buy or sell a specific amount of a commodity or financial instrument at a negotiated price on a stipulated future date. Futures contracts are traded on a commodity exchange. The Fund may buy and sell futures contracts that relate to broadly based securities indices (financial futures) or debt securities (interest rate futures) in order to gain exposure to or protection from changes in market value of stocks and bonds or interest rates. The Fund may also buy or write put or call options on these futures contracts. The Fund generally sells futures contracts as a hedge against increases in interest rates and decreases in market value of portfolio securities. The Fund may also purchase futures contracts to gain exposure to market changes as it may be more efficient or cost effective than actually buying securities. Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin) in an amount equal to a certain percentage of the contract value. Subsequent payments (variation margin) are made or received by the Fund 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 Fund recognizes a realized gain or loss when the contract is closed or has expired. Cash held by the broker to cover initial margin requirements on open futures contracts is noted in the Statement of Assets and Liabilities. Securities held in collateralized accounts to cover initial margin requirements on open futures contracts are noted in the Statement of Investments. The Statement of Assets and Liabilities reflects a receivable and/or payable for the daily mark to market for variation margin. Realized gains and losses are reported in the Statement of Operations as the closing and expiration of futures contracts. The net change in unrealized appreciation and depreciation is reported in the Statement of Operations. 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. As of March 31, 2005, the Fund had outstanding futures contracts as follows: 13 | OPPENHEIMER CORE BOND FUND/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS March 31, 2005/Unaudited --------------------------------------------------------------------------------
UNREALIZED EXPIRATION NUMBER OF VALUATION AS OF APPRECIATION CONTRACT DESCRIPTION DATES CONTRACTS MARCH 31, 2005 (DEPRECIATION) ---------------------------------------------------------------------------------------------------------------- CONTRACTS TO PURCHASE U.S. Long Bonds 6/21/05 452 $ 50,341,500 $ (613,487) CONTRACTS TO SELL U.S. Treasury Nts., 2 yr. 6/30/05 758 156,823,094 447,659 U.S. Treasury Nts., 5 yr. 6/21/05 509 54,510,719 426,021 U.S. Treasury Nts., 10 yr. 6/21/05 367 40,100,484 7,438 --------------- 881,118 --------------- $ 267,631 ===============
CREDIT SWAP CONTRACTS. The Fund may enter into a credit swap transaction to maintain a total return on a particular investment or portion of its portfolio, or for other non-speculative purposes. Because the principal amount is not exchanged, it represents neither an asset nor a liability to either counterparty, and is referred to as a notional principal amount. The Fund records an increase or decrease to unrealized gain (loss), in the amount due to or owed by the Fund at termination or settlement. Credit swaps are subject to credit risks (if the counterparty fails to meet its obligations). The Fund pays an annual interest fee on the notional amount in exchange for the counterparty paying in a potential credit event. During the period ended March 31, 2005, the Fund entered into transactions to hedge credit risk. Information regarding the credit swaps is as follows:
EXPIRATION NOTIONAL VALUATION AS OF UNREALIZED CONTRACT DESCRIPTION DATES AMOUNT MARCH 31, 2005 DEPRECIATION ------------------------------------------------------------------------------------------------------ Deutsche Bank AG, Dow Jones CDX.NA.IG.3 Index Credit Bonds 3/20/10 $ 23,500,000 $ (11,361) $ 11,361 Morgan Stanley Capital Services, Inc., Dow Jones CDX.NA.IG.3 Index Credit Bonds 3/20/10 30,000,000 (32,252) 32,252 UBS AG, Dow Jones CDX.NA.IG.3 Index Credit Bonds 3/20/10 23,500,000 (3,569) 3,569 ---------------- $ 47,182 ================
TOTAL RETURN SWAP CONTRACTS. The Fund may enter into a total return swap transaction to maintain a total return on a particular investment, or portion of its portfolio, or for other non-speculative purposes. Because the principal amount is not exchanged, it represents neither an asset nor a liability to either counterparty, and is referred to as notional. The Fund records an increase or decrease to unrealized gain (loss), in the amount due to or owed by the Fund at termination or settlement. Total return swaps are subject to risks (if the counterparty fails to meet its obligations). As of March 31, 2005, the Fund had entered into the following total return swap agreements:
PAID BY RECEIVED BY SWAP NOTIONAL THE FUND AT THE FUND AT TERMINATION UNREALIZED COUNTERPARTY AMOUNT MARCH 31, 2005 MARCH 31, 2005 DATE DEPRECIATION ---------------------------------------------------------------------------------------------------------------------- Value of total return of Lehman Goldman Sachs One-Month LIBOR Brothers CMBS Capital Markets LP $ 7,500,000 BBA Index 4/4/05 $ 89,664
14 | OPPENHEIMER BOND FUND/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS March 31, 2005/Unaudited -------------------------------------------------------------------------------- Index abbreviations are as follows: CMBS Commercial Mortgage Backed Securities Markets LIBOR BBA London-Interbank Offered Rate British Bankers Association ILLIQUID SECURITIES. As of March 31, 2005, investments in securities included issues that are illiquid. 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 Fund will not invest more than 15% of its net assets (determined at the time of purchase and reviewed periodically) in illiquid securities. SECURITIES LENDING. The Fund lends portfolio securities from time to time in order to earn additional income. In return, the Fund receives collateral in the form of US Treasury obligations or cash, against the loaned securities and maintains collateral in an amount not less than 100% of the market value of the loaned securities during the period of the loan. The market value of the loaned securities is determined at the close of business of the funds and any additional required collateral is delivered to the Fund on the next business day. If the borrower defaults on its obligation to return the securities loaned because of insolvency or other reasons, the Fund could experience delays and cost in recovering the securities loaned or in gaining access to the collateral. Cash collateral is invested in cash equivalents. The Fund retains a portion of the interest earned from the collateral. The Fund also continues to receive interest or dividends paid on the securities loaned. As of March 31, 2005, the Fund had on loan securities valued at $41,125,163. Collateral of $41,893,098 was received for the loans, of which $35,215,329 was received in cash and subsequently invested in approved instruments. 15 | OPPENHEIMER BOND FUND/VA 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 March 31, 2005, 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) SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized. Oppenheimer Bond Fund/VA By: /s/ John V. Murphy ---------------------------- John V. Murphy Principal Executive Officer Date: May 13, 2005 Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated. By: /s/ John V. Murphy ---------------------------- John V. Murphy Principal Executive Officer Date: May 13, 2005 By: /s/ Brian W. Wixted ---------------------------- Brian W. Wixted Chief Financial Officer Date: May 13, 2005