N-Q 1 p15575nvq.txt N-Q 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 Variable Account Funds (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: 09/30/2009 ITEM 1. SCHEDULE OF INVESTMENTS. Oppenheimer MidCap Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
SHARES VALUE ---------- ------------ COMMON STOCKS--98.1% CONSUMER DISCRETIONARY--17.3% DIVERSIFIED CONSUMER SERVICES--0.7% Strayer Education, Inc. 18,100 $ 3,940,008 ------------ HOTELS, RESTAURANTS & LEISURE--3.9% Chipotle Mexican Grill, Inc., Cl. A(1) 57,630 5,592,992 Darden Restaurants, Inc. 125,670 4,289,117 Panera Bread Co., Cl. A(1) 73,500 4,042,500 WMS Industries, Inc.(1) 178,100 7,936,136 ------------ 21,860,745 ------------ MEDIA--1.2% Cablevision Systems Corp. New York Group, Cl. A 270,880 6,433,400 ------------ MULTILINE RETAIL--1.5% Dollar Tree, Inc.(1) 169,150 8,234,222 ------------ SPECIALTY RETAIL--7.9% Aeropostale, Inc.(1) 137,500 5,977,125 Chico's FAS, Inc.(1) 209,200 2,719,600 GameStop Corp., Cl. A(1) 227,100 6,011,337 Guess?, Inc. 151,100 5,596,744 J. Crew Group, Inc.(1) 167,600 6,003,432 O'Reilly Automotive, Inc.(1) 115,280 4,166,219 Tiffany & Co. 109,700 4,226,741 Urban Outfitters, Inc.(1) 289,280 8,727,578 ------------ 43,428,776 ------------ TEXTILES, APPAREL & LUXURY GOODS--2.1% Polo Ralph Lauren Corp., Cl. A 118,240 9,059,549 Warnaco Group, Inc. (The)(1) 63,600 2,789,496 ------------ 11,849,045 ------------ CONSUMER STAPLES--2.3% FOOD PRODUCTS--1.6% J.M. Smucker Co. (The) 95,100 5,041,251 TreeHouse Foods, Inc.(1) 115,200 4,109,184 ------------ 9,150,435 ------------ HOUSEHOLD PRODUCTS--0.7% Church & Dwight Co., Inc. 65,300 3,705,122 ------------ ENERGY--6.9% ENERGY EQUIPMENT & SERVICES--2.3% Cameron International Corp.(1) 206,150 7,796,593 Oceaneering International, Inc.(1) 83,100 4,715,925 ------------ 12,512,518 ------------ OIL, GAS & CONSUMABLE FUELS--4.6% Concho Resources, Inc.(1) 238,850 8,675,032 EXCO Resources, Inc.(1) 32,200 601,818 Petrohawk Energy Corp.(1) 412,200 9,979,362 Range Resources Corp. 125,246 6,182,143 ------------ 25,438,355 ------------
1 | OPPENHEIMER MIDCAP FUND/VA Oppenheimer MidCap Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
SHARES VALUE ---------- ------------ FINANCIALS--9.1% CAPITAL MARKETS--5.4% Affiliated Managers Group, Inc.(1) 80,860 $ 5,256,709 Greenhill & Co., Inc. 47,600 4,264,008 Jefferies Group, Inc.(1) 282,000 7,678,860 Stifel Financial Corp.(1) 99,100 5,440,590 Waddell & Reed Financial, Inc., Cl. A 258,900 7,365,705 ------------ 30,005,872 ------------ DIVERSIFIED FINANCIAL SERVICES--1.0% MSCI, Inc., Cl. A(1) 194,610 5,764,348 ------------ INSURANCE--0.8% RenaissanceRe Holdings Ltd. 81,960 4,488,130 ------------ REAL ESTATE INVESTMENT TRUSTS--1.1% Digital Realty Trust, Inc. 132,800 6,070,288 ------------ REAL ESTATE MANAGEMENT & DEVELOPMENT--0.8% Jones Lang LaSalle, Inc. 87,400 4,140,138 ------------ HEALTH CARE--16.5% BIOTECHNOLOGY--3.1% Alexion Pharmaceuticals, Inc.(1) 247,300 11,014,742 Human Genome Sciences, Inc.(1) 94,800 1,784,136 Myriad Genetics, Inc.(1) 147,650 4,045,610 United Therapeutics Corp.(1) 11,300 553,587 ------------ 17,398,075 ------------ HEALTH CARE EQUIPMENT & SUPPLIES--6.0% Edwards Lifesciences Corp.(1) 144,270 10,085,916 Haemonetics Corp.(1) 83,510 4,686,581 IDEXX Laboratories, Inc.(1) 131,140 6,557,000 NuVasive, Inc.(1) 174,500 7,287,120 Thoratec Corp.(1) 141,700 4,289,259 ------------ 32,905,876 ------------ HEALTH CARE PROVIDERS & SERVICES--2.6% MEDNAX, Inc.(1) 107,300 5,892,916 Schein (Henry), Inc.(1) 155,370 8,531,367 ------------ 14,424,283 ------------ HEALTH CARE TECHNOLOGY--1.1% Cerner Corp.(1) 82,600 6,178,480 ------------ LIFE SCIENCES TOOLS & SERVICES--2.1% Covance, Inc.(1) 100,320 5,432,328 Illumina, Inc.(1) 140,301 5,962,793 ------------ 11,395,121 ------------ PHARMACEUTICALS--1.6% Perrigo Co. 130,110 4,422,439 Shire Ltd., ADR 85,500 4,470,795 ------------ 8,893,234 ------------
2 | OPPENHEIMER MIDCAP FUND/VA Oppenheimer MidCap Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
SHARES VALUE ---------- ------------ INDUSTRIALS--14.5% AEROSPACE & DEFENSE--1.8% Curtiss-Wright Corp. 101,940 $ 3,479,212 Rockwell Collins, Inc. 98,600 5,008,880 TransDigm Group, Inc.(1) 28,000 1,394,680 ------------ 9,882,772 ------------ AIR FREIGHT & LOGISTICS--2.0% C.H. Robinson Worldwide, Inc. 187,480 10,826,970 ------------ COMMERCIAL SERVICES & SUPPLIES--2.6% Copart, Inc.(1) 82,280 2,732,519 Stericycle, Inc.(1) 118,122 5,723,011 Waste Connections, Inc.(1) 198,100 5,717,166 ------------ 14,172,696 ------------ CONSTRUCTION & ENGINEERING--1.9% Aecom Technology Corp.(1) 154,200 4,184,988 Quanta Services, Inc.(1) 281,310 6,225,390 ------------ 10,410,378 ------------ ELECTRICAL EQUIPMENT--0.7% Regal-Beloit Corp. 88,800 4,059,048 ------------ MACHINERY--2.4% Bucyrus International, Inc. 135,700 4,833,634 Flowserve Corp. 47,600 4,690,504 Nordson Corp. 72,300 4,055,307 ------------ 13,579,445 ------------ PROFESSIONAL SERVICES--2.7% FTI Consulting, Inc.(1) 58,740 2,502,911 IHS, Inc., Cl. A(1) 105,380 5,388,079 Manpower, Inc. 76,500 4,338,315 Monster Worldwide, Inc.(1) 150,000 2,622,000 ------------ 14,851,305 ------------ ROAD & RAIL--0.4% Con-way, Inc. 61,500 2,356,680 ------------ INFORMATION TECHNOLOGY--24.5% COMMUNICATIONS EQUIPMENT--1.6% F5 Networks, Inc.(1) 137,700 5,457,051 Palm, Inc.(1) 204,400 3,562,692 ------------ 9,019,743 ------------ COMPUTERS & PERIPHERALS--1.5% NetApp, Inc.(1) 317,170 8,462,096 ------------ ELECTRONIC EQUIPMENT & INSTRUMENTS--2.0% Amphenol Corp., Cl. A 196,210 7,393,193 Trimble Navigation Ltd.(1) 139,300 3,330,663 ------------ 10,723,856 ------------ INTERNET SOFTWARE & SERVICES--4.5% Baidu, Inc., ADR(1) 19,700 7,703,685 Equinix, Inc.(1) 142,483 13,108,436
3 | OPPENHEIMER MIDCAP FUND/VA Oppenheimer MidCap Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
SHARES VALUE ---------- ------------ INTERNET SOFTWARE & SERVICES CONTINUED VistaPrint NV(1) 81,100 $ 4,115,825 ------------ 24,927,946 ------------ IT SERVICES--2.3% Cognizant Technology Solutions Corp.(1) 322,410 12,464,371 ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--4.0% Broadcom Corp., Cl. A(1) 189,700 5,821,893 Lam Research Corp.(1) 209,220 7,146,955 Silicon Laboratories, Inc.(1) 118,400 5,489,024 Varian Semiconductor Equipment Associates, Inc.(1) 109,800 3,605,832 ------------ 22,063,704 ------------ SOFTWARE--8.6% Ansys, Inc.(1) 157,130 5,887,661 FactSet Research Systems, Inc. 92,780 6,145,747 Nuance Communications, Inc.(1) 189,500 2,834,920 Red Hat, Inc.(1) 106,400 2,940,896 Rovi Corp.(1) 430,659 14,470,142 Salesforce.com, Inc.(1) 192,180 10,940,807 Sybase, Inc.(1) 108,500 4,220,650 ------------ 47,440,823 ------------ MATERIALS--4.9% CHEMICALS--2.3% Airgas, Inc. 85,000 4,111,450 Lubrizol Corp. (The) 118,520 8,469,439 ------------ 12,580,889 ------------ CONTAINERS & PACKAGING--1.0% Rock-Tenn Co., Cl. A 117,300 5,526,003 ------------ METALS & MINING--1.6% Steel Dynamics, Inc. 292,400 4,485,415 Thompson Creek Metals Co., Inc.(1) 345,400 4,168,978 ------------ 8,654,393 ------------ TELECOMMUNICATION SERVICES--2.1% WIRELESS TELECOMMUNICATION SERVICES--2.1% American Tower Corp.(1) 179,780 6,543,992 SBA Communications Corp.(1) 187,070 5,056,502 ------------ 11,600,494 ------------ Total Common Stocks (Cost $454,150,590) 541,820,083 ------------ INVESTMENT COMPANIES--2.3% JPMorgan U.S. Treasury Plus Money Market Fund, Agency Shares, 0.00%(2, 3) 74,942 74,942 Oppenheimer Institutional Money Market Fund, Cl. E, 0.27%(2, 4) 12,460,695 12,460,695 ------------ Total Investment Companies (Cost $12,535,637) 12,535,637 ------------
4 | OPPENHEIMER MIDCAP FUND/VA Oppenheimer MidCap Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
VALUE ------------ TOTAL INVESTMENTS, AT VALUE (COST $466,686,227) 100.4% $554,355,720 LIABILITIES IN EXCESS OF OTHER ASSETS (0.4) (2,248,984) ---------- ------------ NET ASSETS 100.0% $552,106,736 ========== ============
FOOTNOTES TO STATEMENT OF INVESTMENTS (1.) Non-income producing security. (2.) Rate shown is the 7-day yield as of September 30, 2009. (3.) Interest rate is less than 0.0005%. (4.) Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 30, 2009, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows:
SHARES SHARES DECEMBER 31, GROSS GROSS SEPTEMBER 30, 2008 ADDITIONS REDUCTIONS 2009 ------------ ----------- ----------- ------------- Oppenheimer Institutional Money Market Fund, Cl. E 28,742,391 180,905,979 197,187,675 12,460,695
VALUE INCOME ----------- -------- Oppenheimer Institutional Money Market Fund, Cl. E $12,460,695 $115,512
VALUATION INPUTS Various data inputs are used in determining the value of each of the Fund's investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards: 1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) 2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) 3) Level 3-significant unobservable inputs (including the Manager's own judgments about assumptions that market participants would use in pricing the asset). The table below categorizes amounts that are included in the Fund's Statement of Assets and Liabilities as of September 30, 2009 based on valuation input level:
LEVEL 1-- LEVEL 2-- LEVEL 3-- UNADJUSTED OTHER SIGNIFICANT SIGNIFICANT QUOTED PRICES OBSERVABLE INPUTS UNOBSERVABLE INPUTS VALUE ------------- ----------------- ------------------- ------------ ASSETS TABLE INVESTMENTS, AT VALUE: Common Stocks Consumer Discretionary $ 95,746,196 $-- $-- $ 95,746,196 Consumer Staples 12,855,557 -- -- 12,855,557 Energy 37,950,873 -- -- 37,950,873 Financials 50,468,776 -- -- 50,468,776 Health Care 91,195,069 -- -- 91,195,069 Industrials 80,139,294 -- -- 80,139,294 Information Technology 135,102,539 -- -- 135,102,539 Materials 26,761,285 -- -- 26,761,285 Telecommunication Services 11,600,494 -- -- 11,600,494 Investment Companies 12,535,637 -- -- 12,535,637 ------------ --- --- ------------ Total Assets $554,355,720 $-- $-- $554,355,720 ============ === === ============
5 | OPPENHEIMER MIDCAP FUND/VA Oppenheimer MidCap Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED Currency contracts and forwards, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract's value from trade date. Futures, if any, are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. All additional assets and liabilities included in the above table are reported at their market value at measurement date. SEE THE ACCOMPANYING NOTES FOR FURTHER DISCUSSION OF THE METHODS USED IN DETERMINING VALUE OF THE FUND'S INVESTMENTS, AND A SUMMARY OF CHANGES TO THE VALUATION TECHNIQUES, IF ANY, DURING THE REPORTING PERIOD. NOTES TO 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 trading. Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Unadjusted quoted prices in active markets for identical securities are classified as "Level 1," inputs other than unadjusted quoted prices for an asset that are observable are classified as "Level 2" and significant unobservable inputs, including the Manager's judgment about the assumptions that a market participant would use in pricing an asset or liability are classified as "Level 3." The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. A table summarizing the Fund's investments under these levels of classification is included following the Statement of Investments. Securities are valued using unadjusted quoted market prices, when available, as supplied primarily either by portfolio pricing services approved by the Board of Trustees or dealers. Securities traded on a registered U.S. securities exchange are valued based on the last sale price of the security reported on the principal exchange on which traded, prior to the time when the Fund's assets are valued. Securities whose principal exchange is NASDAQ(R) are valued based on the official closing prices reported 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 current day's closing "bid" and "asked" prices, and if not, at the current day's closing bid price. A foreign security traded on a foreign exchange is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the portfolio pricing service used by the Manager, prior to the time when the Fund's assets are valued. In the absence of a sale, the security is valued at the most recent official closing price on the principal exchange on which it is traded. Shares of a registered investment company that are not traded on an exchange are valued at that investment company's net asset value per share. Corporate, government and municipal debt instruments having a remaining maturity in excess of sixty days and all mortgage-backed securities, collateralized mortgage obligations and other asset-backed securities are valued at the mean between the "bid" and "asked" prices. "Money market-type" debt instruments with remaining maturities of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. In the absence of a readily available unadjusted quoted market price, including for 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 the securities' respective exchanges, the Manager, acting through its internal valuation committee, in good faith determines the fair valuation of that asset using consistently applied procedures under the supervision of the Board of Trustees (which reviews those fair valuations by the Manager). Those procedures include certain standardized methodologies to fair value securities. Such methodologies include, but are not limited to, pricing securities initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities 6 | OPPENHEIMER MIDCAP FUND/VA Oppenheimer MidCap Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED which may be adjusted for any discounts related to resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. There have been no significant changes to the fair valuation methodologies during the period. INVESTMENT IN OPPENHEIMER INSTITUTIONAL MONEY MARKET FUND. The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund ("IMMF") to seek current income while preserving liquidity. IMMF is a registered open-end management investment company, regulated as a money market fund under the Investment Company Act of 1940, as amended. The Manager is also the investment adviser of IMMF. When applicable, the Fund's investment in IMMF is included in the Statement of Investments. Shares of IMMF are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of IMMF's Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund's investment in IMMF. 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 September 30, 2009 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 $477,904,751 ============ Gross unrealized appreciation $ 83,213,131 Gross unrealized depreciation (6,762,162) ------------ Net unrealized appreciation $ 76,450,969 ============
7 | OPPENHEIMER MIDCAP FUND/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
SHARES VALUE ------------ ------------- COMMON STOCKS--52.6% CONSUMER DISCRETIONARY--3.2% MEDIA--3.2% Jupiter Telecommunications Co. Ltd. 4,706 $ 4,550,558 Liberty Global, Inc., Series A(1) 80,238 1,810,972 Liberty Global, Inc., Series C(1) 77,960 1,750,982 ------------- 8,112,512 ------------- CONSUMER STAPLES--5.2% BEVERAGES--0.4% Molson Coors Brewing Co., Cl. B, Non-Vtg. 22,100 1,075,828 ------------- FOOD & STAPLES RETAILING--1.2% Kroger Co. (The) 89,600 1,849,344 Walgreen Co. 31,000 1,161,570 ------------- 3,010,914 ------------- FOOD PRODUCTS--1.5% Nestle SA 87,780 3,740,582 ------------- TOBACCO--2.1% Altria Group, Inc. 83,010 1,478,408 Lorillard, Inc. 50,660 3,764,038 ------------- 5,242,446 ------------- ENERGY--4.4% OIL, GAS & CONSUMABLE FUELS--4.4% Chevron Corp. 64,600 4,549,778 Exxon Mobil Corp. 96,370 6,611,946 ------------- 11,161,724 ------------- FINANCIALS--6.2% COMMERCIAL BANKS--0.9% Wells Fargo & Co. 77,600 2,186,768 ------------- DIVERSIFIED FINANCIAL SERVICES--2.3% JPMorgan Chase & Co. 132,900 5,823,678 ------------- INSURANCE--3.0% Assurant, Inc. 51,500 1,651,090 Everest Re Group Ltd. 68,430 6,001,311 ------------- 7,652,401 ------------- HEALTH CARE--6.8% BIOTECHNOLOGY--0.7% Amicus Therapeutics, Inc.(1) 94,049 822,929 Genzyme Corp. (General Division)(1) 18,900 1,072,197 ------------- 1,895,126 ------------- HEALTH CARE EQUIPMENT & SUPPLIES--1.7% Beckman Coulter, Inc. 32,120 2,214,353 Covidien plc 46,700 2,020,242 ------------- 4,234,595 ------------- HEALTH CARE PROVIDERS & SERVICES--2.1% Aetna, Inc. 87,140 2,425,106 Medco Health Solutions, Inc.(1) 53,320 2,949,129 ------------- 5,374,235 -------------
1 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
SHARES VALUE ------------ ------------- PHARMACEUTICALS--2.3% Abbott Laboratories 48,410 $ 2,394,843 Wyeth 69,000 3,352,020 ------------- 5,746,863 ------------- INDUSTRIALS--3.4% AEROSPACE & DEFENSE--0.4% Orbital Sciences Corp.(1) 65,404 979,098 ------------- INDUSTRIAL CONGLOMERATES--0.6% Tyco International Ltd. 41,300 1,424,024 ------------- MACHINERY--1.8% Joy Global, Inc. 57,780 2,827,753 Navistar International Corp.(1) 46,350 1,734,417 ------------- 4,562,170 ------------- TRADING COMPANIES & DISTRIBUTORS--0.6% Aircastle Ltd. 168,100 1,625,527 ------------- INFORMATION TECHNOLOGY--20.7% COMMUNICATIONS EQUIPMENT--3.8% Orbcomm, Inc.(1) 375 1,020 QUALCOMM, Inc. 113,360 5,098,933 Research in Motion Ltd.(1) 65,680 4,436,684 ------------- 9,536,637 ------------- COMPUTERS & PERIPHERALS--0.7% Apple, Inc.(1) 9,700 1,798,089 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--0.0% CalAmp Corp.(1) 19 53 ------------- INTERNET SOFTWARE & SERVICES--4.1% eBay, Inc.(1) 150,600 3,555,666 Google, Inc., Cl. A(1) 13,810 6,847,689 ------------- 10,403,355 ------------- SOFTWARE--12.1% Microsoft Corp. 338,700 8,768,943 Novell, Inc.(1) 337,980 1,524,290 Synopsys, Inc.(1) 114,640 2,570,229 Take-Two Interactive Software, Inc.(1, 12) 1,048,576 11,754,537 THQ, Inc.(1) 853,300 5,836,572 ------------- 30,454,571 ------------- MATERIALS--2.1% CHEMICALS--2.1% Celanese Corp., Series A 28,200 705,000 Lubrizol Corp. (The) 45,040 3,218,558 Potash Corp. of Saskatchewan, Inc. 15,100 1,364,134 ------------- 5,287,692 ------------- TELECOMMUNICATION SERVICES--0.0% DIVERSIFIED TELECOMMUNICATION SERVICES--0.0% XO Holdings, Inc.(1) 85 58 -------------
2 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
SHARES VALUE ------------ ------------- UTILITIES--0.6% ELECTRIC UTILITIES--0.6% Edison International, Inc. 40,500 $ 1,359,990 ------------- Total Common Stocks (Cost $122,972,782) 132,688,936 ------------- PREFERRED STOCKS--3.8% Mylan, Inc., 6.50% Cv., Non-Vtg. 4,800 4,970,832 Schering-Plough Corp., 6% Cv. 18,800 4,562,760 ------------- Total Preferred Stocks (Cost $5,743,030) 9,533,592 -------------
UNITS ------------ RIGHTS, WARRANTS AND CERTIFICATES--0.0% XO Communications, Inc.: Series A Wts., Strike Price $6.25, Exp. 1/16/10(1, 2) 171 2 Series B Wts., Strike Price $7.50, Exp. 1/16/10(1, 2) 128 -- Series C Wts., Strike Price $10, Exp. 1/16/10(1, 2) 128 -- ------------- Total Rights, Warrants and Certificates (Cost $0) 2 -------------
PRINCIPAL AMOUNT ------------ ASSET-BACKED SECURITIES--3.5% Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl. A2, 0.726%, 5/25/34(3) $ 830,484 568,573 Bank of America Auto Trust, Automobile Asset-Backed Certificates, Series 2009-2A, Cl. A4, 3.03%, 10/15/16(4) 1,025,000 1,029,513 Bank of America Credit Card Trust, Credit Card Asset-Backed Certificates, Series 2006-A16, Cl. A16, 4.72%, 5/15/13 265,000 276,404 Chase Issuance Trust, Credit Card Asset-Backed Certificates, Series 2007-A15, Cl. A, 4.96%, 9/17/12 665,000 691,613 Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15 180,000 176,588 CNH Equipment Trust, Asset-Backed Certificates, Series 2009-B, Cl. A3, 2.97%, 3/15/13 465,000 472,799 Countrywide Home Loans, Asset-Backed Certificates: Series 2002-4, Cl. A1, 0.986%, 2/25/33(3) 18,836 11,752 Series 2005-16, Cl. 2AF2, 5.382%, 5/25/36(3) 336,263 263,169 Series 2005-17, Cl. 1AF2, 5.363%, 5/25/36(3) 193,624 152,142 CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 0.366%, 6/25/47(3) 480,000 316,534 Ford Credit Auto Owner Trust, Automobile Receivables Nts., Series 2009-B, Cl. A2, 2.10%, 11/15/11 120,000 121,047 Harley-Davidson Motorcycle Trust 2009-2, Motorcycle Contract-Backed Nts., Series 2009-2, Cl. A2, 2%, 7/15/12 810,000 816,563 Honda Auto Receivables 2009-3 Owner Trust, Automobile Asset-Backed Nts., Series 2009-3, Cl. A2, 1.50%, 8/15/11(2) 350,000 351,435 HSBC Home Equity Loan Trust 2005-3, Closed-End Home Equity Loan Asset-Backed Certificates, Series 2005-3, Cl. A1, 0.533%, 1/20/35(3) 272,334 235,730
3 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE ------------ ------------- HSBC Home Equity Loan Trust 2006-4, Closed-End Home Equity Loan Asset-Backed Certificates, Series 2006-4, Cl. A2V, 0.383%, 3/20/36(3) $ 180,000 $ 168,169 MBNA Credit Card Master Note Trust, Credit Card Receivables: Series 2003-C7, Cl. C7, 1.593%, 3/15/16(3) 1,710,000 1,560,053 Series 2005-A6, Cl. A6, 4.50%, 1/15/13 660,000 679,348 Option One Mortgage Loan Trust 2006-2, Asset-Backed Certificates, Series 2006-2, Cl. 2A2, 0.346%, 7/1/36(3) 729,824 592,684 RASC Series 2006-KS7 Trust, Home Equity Mtg. Asset-Backed Pass-Through Certificates, Series 2006-KS7, Cl. A2, 0.346%, 9/25/36(3) 381,033 362,803 Structured Asset Investment Loan Trust, Mtg. Pass-Through Certificates, Series 2006-BNC3, Cl. A2, 0.286%, 9/25/36(3) 73,642 72,666 ------------- Total Asset-Backed Securities (Cost $9,864,786) 8,919,585 ------------- MORTGAGE-BACKED OBLIGATIONS--33.0% GOVERNMENT AGENCY--28.6% Federal Home Loan Bank, Mtg.-Backed Obligations, Series 5G-2012, Cl. 1, 4.97%, 2/24/12 607,221 639,669 Federal Home Loan Mortgage Corp.: 5.50%, 9/1/39(5) 1,520,000 1,593,229 7%, 10/1/37 2,256,057 2,447,035 Federal Home Loan Mortgage Corp., Gtd. Collateralized Mtg. Obligations Multiclass Pass-Through Certificates, Series 2676, Cl. KB, 5%, 2/1/20 308,541 320,231 Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Series 2006-11, Cl. PS, 23.664%, 3/25/36(3) 288,305 388,259 Series 2426, Cl. BG, 6%, 3/15/17 620,470 670,168 Series 2427, Cl. ZM, 6.50%, 3/15/32 648,944 695,365 Series 2626, Cl. TB, 5%, 6/1/33 805,000 866,533 Series 2638, Cl. KG, 4%, 11/1/27 1,000,000 1,031,384 Series 2648, Cl. JE, 3%, 2/1/30 833,843 842,168 Series 2663, Cl. BA, 4%, 8/1/16 866,138 893,654 Series 2686, Cl. CD, 4.50%, 2/1/17 553,510 573,001 Series 3019, Cl. MD, 4.75%, 1/1/31 520,495 543,304 Series 3025, Cl. SJ, 23.858%, 8/15/35(3) 90,864 120,731 Series 3094, Cl. HS, 23.491%, 6/15/34(3) 175,720 221,513 Series 3157, Cl. MC, 5.50%, 2/1/26 828,569 851,972 Series 3279, Cl. PH, 6%, 2/1/27 675,000 703,881 Series 3306, Cl. PA, 5.50%, 10/1/27(6) 234,104 242,421 Series R001, Cl. AE, 4.375%, 4/1/15 172,537 177,782 Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 176, Cl. IO, 14.401%, 6/1/26(7) 151,691 27,916 Series 183, Cl. IO, 10.99%, 4/1/27(7) 237,148 44,401 Series 184, Cl. IO, 18.57%, 12/1/26(7) 261,809 48,048 Series 192, Cl. IO, 8.502%, 2/1/28(7) 69,239 16,830
4 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE ------------ ------------- Series 2130, Cl. SC, 51.964%, 3/15/29(7) $ 189,616 $ 31,168 Series 224, Cl. IO, 0.084%, 3/1/33(7) 400,511 72,933 Series 243, Cl. 6, 0.00%, 12/15/32(7, 13) 243,551 43,785 Series 2527, Cl. SG, 35.893%, 2/15/32(7) 133,921 7,218 Series 2531, Cl. ST, 54.027%, 2/15/30(7) 1,652,601 96,527 Series 2796, Cl. SD, 66.964%, 7/15/26(7) 269,580 46,346 Series 2802, Cl. AS, 99.999%, 4/15/33(7) 336,506 33,906 Series 2920, Cl. S, 78.214%, 1/15/35(7) 1,512,681 180,720 Series 3000, Cl. SE, 99.999%, 7/15/25(7) 1,428,794 137,490 Series 3045, Cl. DI, 41.097%, 10/15/35(7) 1,261,921 162,345 Series 3110, Cl. SL, 99.999%, 2/15/26(7) 220,239 20,492 Series 3146, Cl. SA, 54.05%, 4/15/36(7) 1,469,729 192,527 Series 3399, Cl. SC, 19.915%, 12/15/37(7) 1,094,876 117,951 Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security: Series 176, Cl. PO, 4.466%, 6/1/26(8) 66,758 56,641 Series 192, Cl. PO, 7.383%, 2/1/28(8) 69,239 61,523 Federal National Mortgage Assn.: 4.50%, 10/1/24-10/1/39(5) 5,337,000 5,440,393 5%, 10/1/24-11/1/39(5) 8,168,000 8,437,293 5.50%, 9/25/20 15,890 16,904 5.50%, 10/1/24-10/1/39(5) 8,843,000 9,254,483 6%, 3/1/37 1,504,745 1,592,538 6%, 10/1/24-10/1/39(5) 11,403,000 12,069,983 6.50%, 10/1/39(5) 5,005,000 5,349,875 7%, 11/1/17(6) 322,885 343,621 7.50%, 1/1/33 269,968 302,409 8.50%, 7/1/32 12,771 14,190 Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Trust 1998-61, Cl. PL, 6%, 11/25/28 218,926 237,622 Trust 2004-101, Cl. BG, 5%, 1/25/20 1,000,000 1,066,497 Trust 2004-81, Cl. KC, 4.50%, 4/1/17 826,228 855,882 Trust 2005-104, Cl. MC, 5.50%, 12/25/25 700,000 745,360 Trust 2005-57, Cl. PA, 5.50%, 5/1/27 497,628 507,045 Trust 2005-69, Cl. LE, 5.50%, 11/1/33 593,777 623,399 Trust 2006-46, Cl. SW, 23.296%, 6/25/36(3) 215,366 282,800 Trust 2006-57, Cl. PA, 5.50%, 8/25/27 558,683 579,574 Trust 2009-37, Cl. HA, 4%, 4/1/19 880,509 915,339 Trust 2009-70, Cl. PA, 5%, 8/1/35 911,037 962,703 Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Trust 2001-65, Cl. S, 48.887%, 11/25/31(7) 637,397 81,732 Trust 2001-81, Cl. S, 35.96%, 1/25/32(7) 142,826 18,900 Trust 2002-47, Cl. NS, 34.854%, 4/25/32(7) 322,582 44,654 Trust 2002-51, Cl. S, 35.17%, 8/25/32(7) 296,207 40,617 Trust 2002-52, Cl. SD, 40.436%, 9/25/32(7) 347,116 46,490 Trust 2002-77, Cl. SH, 44.148%, 12/18/32(7) 197,811 32,137 Trust 2002-84, Cl. SA, 50.347%, 12/25/32(7) 568,733 71,037
5 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE ------------ ------------- Trust 2002-9, Cl. MS, 35.07%, 3/25/32(7) $ 216,462 $ 31,419 Trust 2003-33, Cl. SP, 55.437%, 5/25/33(7) 654,143 90,034 Trust 2003-4, Cl. S, 47.714%, 2/25/33(7) 375,062 52,059 Trust 2003-46, Cl. IH, 0.00%, 6/1/33(7, 13) 2,155,384 244,135 Trust 2003-89, Cl. XS, 64.692%, 11/25/32(7) 312,729 21,940 Trust 2004-54, Cl. DS, 51.173%, 11/25/30(7) 292,377 38,751 Trust 2005-14, Cl. SE, 42.454%, 3/25/35(7) 228,731 20,136 Trust 2005-40, Cl. SA, 75.003%, 5/25/35(7) 849,104 107,996 Trust 2005-6, Cl. SE, 86.043%, 2/25/35(7) 1,127,635 133,723 Trust 2005-71, Cl. SA, 73.39%, 8/25/25(7) 921,838 106,942 Trust 2005-87, Cl. SE, 46.767%, 10/25/35(7) 1,072,300 92,056 Trust 2005-87, Cl. SG, 37.618%, 10/25/35(7) 48,741 4,693 Trust 2006-60, Cl. DI, 40.498%, 4/25/35(7) 148,025 21,588 Trust 2007-88, Cl. XI, 13.776%, 6/25/37(7) 4,293,101 425,171 Trust 2008-10, Cl. GI, 15.532%, 3/25/38(7) 3,198,933 329,104 Trust 222, Cl. 2, 16.113%, 6/1/23(7) 520,418 93,790 Trust 233, Cl. 2, 21.983%, 8/1/23(7) 453,579 85,772 Trust 240, Cl. 2, 22.457%, 9/1/23(7) 858,232 153,722 Trust 252, Cl. 2, 22.417%, 11/1/23(7) 411,830 75,838 Trust 273, Cl. 2, 13.959%, 8/1/26(7) 115,075 21,275 Trust 319, Cl. 2, 5.387%, 2/1/32(7) 144,594 28,886 Trust 331, Cl. 9, 9.454%, 2/1/33(7) 424,979 73,076 Trust 334, Cl. 17, 16.735%, 2/1/33(7) 243,452 37,285 Trust 339, Cl. 12, 0.00%, 7/1/33(7, 13) 424,355 70,800 Trust 339, Cl. 7, 0.00%, 7/1/33(7, 13) 1,518,919 206,132 Trust 343, Cl. 13, 6.891%, 9/1/33(7) 363,725 63,321 Trust 345, Cl. 9, 0.00%, 1/1/34(7, 13) 611,979 89,299 Trust 351, Cl. 10, 0.00%, 4/1/34(7, 13) 59,526 8,001 Trust 351, Cl. 8, 0.643%, 4/1/34(7) 184,366 24,517 Trust 356, Cl. 10, 0.00%, 6/1/35(7, 13) 153,146 21,912 Trust 356, Cl. 12, 0.00%, 2/1/35(7, 13) 82,128 10,934 Trust 362, Cl. 12, 0.00%, 8/1/35(7, 13) 995,428 172,063 Trust 362, Cl. 13, 0.00%, 8/1/35(7, 13) 547,116 91,715 Trust 364, Cl. 16, 0.00%, 9/1/35(7, 13) 431,789 59,968 Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Trust 1993-184, Cl. M, 5.318%, 9/25/23(8) 188,861 154,309 Government National Mortgage Assn.: 4.50%, 10/1/39(5) 3,340,000 3,390,100 8%, 4/15/23 105,207 118,998 Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Series 2001-21, Cl. SB, 79.504%, 1/16/27(7) 306,943 43,505 Series 2002-15, Cl. SM, 68.868%, 2/16/32(7) 358,425 59,081 Series 2002-76, Cl. SY, 76.758%, 12/16/26(7) 809,221 121,847 Series 2004-11, Cl. SM, 57.14%, 1/17/30(7) 261,254 39,922
6 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE ------------ ------------- NON-AGENCY--4.4% Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2006-1, Cl. AM, 5.421%, 9/1/45 $ 1,800,000 $ 1,483,852 Banc of America Mortgage Securities, Inc., Mtg. Pass-Through Certificates, Series 2004-E, Cl. 2A6, 4.168%, 6/1/34(3) 175,000 136,638 ChaseFlex Trust 2006-2, Multiclass Mtg. Pass-Through Certificates, Series 2006-2, Cl. A1B, 0.366%, 9/25/36(3) 2,772 2,763 Citigroup Commercial Mortgage Trust 2008-C7, Commercial Mtg. Pass-Through Certificates: Series 2008-C7, Cl. A4, 6.299%, 12/1/49(3) 300,000 270,893 Series 2008-C7, Cl. AM, 6.299%, 12/1/49(3) 780,000 543,082 Countrywide Alternative Loan Trust 2005-29CB, Mortgage Pass-Through Certificates, Series 2005-29CB, Cl. A4, 5%, 7/1/35 954,387 815,939 Deutsche Alt-A Securities Mortgage Loan Trust, Mtg. Pass-Through Certificates, Series 2006-AB4, Cl. A1A, 6.005%, 10/25/36 418,493 278,630 First Horizon Alternative Mortgage Securities Trust 2004-FA2, Mtg. Pass-Through Certificates, Series 2004-FA2, Cl. 3A1, 6%, 1/25/35 325,782 288,970 First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 339,006 235,594 GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations, Series 2005-C4, Cl. AM, 5.513%, 11/1/45(3) 355,000 301,537 GS Mortgage Securities Corp. II, Commercial Mtg. Obligations, Series 2001-LIBA, Cl. B, 6.733%, 2/10/16 290,000 310,675 JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: Series 2005-LDP4, Cl. AM, 4.999%, 10/1/42 485,000 413,235 Series 2007-LDPX, Cl. A2S, 5.305%, 1/15/49 235,000 225,006 Series 2007-LD11, Cl. A2, 5.992%, 6/15/49(3) 270,000 271,006 LB-UBS Commercial Mortgage Trust 2006-C1, Commercial Mtg. Pass-Through Certificates: Series 2006-C1, Cl. A2, 5.084%, 2/11/31 345,000 346,391 Series 2006-C1, Cl. AM, 5.217%, 2/11/31(3) 1,010,000 817,002 LB-UBS Commercial Mortgage Trust 2007-C1, Commercial Mtg. Pass-Through Certificates, Series 2007-C1, Cl. A2, 5.318%, 1/15/12 950,000 950,766 LB-UBS Commercial Mortgage Trust 2007-C7, Commercial Mtg. Pass-Through Certificates, Series 2007-C7, Cl. AM, 6.374%, 9/11/45(3) 550,000 399,101 Mastr Adjustable Rate Mortgages Trust 2004-13, Mtg. Pass-Through Certificates, Series 2004-13, Cl. 2 A2, 4.21%, 4/1/34(3) 296,038 284,681 Mastr Alternative Loan Trust 2004-6, Mtg. Pass-Through Certificates, Series 2004-6, Cl. 10A1, 6%, 7/25/34 642,591 550,086 RALI Series 2003-QS1 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 222,381 220,631 RALI Series 2006-QS13 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 184,869 174,528
7 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE ------------ ------------- WaMu Mortgage Pass-Through Certificates 2003-AR9 Trust, Mtg. Pass-Through Certificates, Series 2003-AR9, Cl. 2A, 2.881%, 9/25/33(3) $ 425,556 $ 395,998 Wells Fargo Mortgage-Backed Securities 2004-AA Trust, Mtg. Pass-Through Certificates, Series 2004-AA, Cl. 2A, 4.979%, 12/25/34(3) 311,538 295,883 Wells Fargo Mortgage-Backed Securities 2004-R Trust, Mtg. Pass-Through Certificates, Series 2004-R, Cl. 2A1, 3.003%, 9/1/34(3) 131,081 124,888 Wells Fargo Mortgage-Backed Securities 2004-S Trust, Mtg. Pass-Through Certificates, Series 2004-S, Cl. A1, 3.295%, 9/25/34(3) 268,685 261,220 Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg. Pass-Through Certificates, Series 2006-AR6, Cl. 3A1, 5.094%, 3/25/36(3) 757,090 626,542 ------------- Total Mortgage-Backed Obligations (Cost $82,966,587) 83,215,896 ------------- U.S. GOVERNMENT OBLIGATIONS--0.5% Federal Home Loan Mortgage Corp. Nts., 2.50%, 4/23/14 765,000 767,453 Federal National Mortgage Assn. Nts., 3%, 9/16/14 595,000 605,794 ------------- Total U.S. Government Obligations (Cost $1,362,354) 1,373,247 ------------- NON-CONVERTIBLE CORPORATE BONDS AND NOTES--10.5% CONSUMER DISCRETIONARY--1.3% AUTOMOBILES--0.4% Daimler Finance North America LLC, 6.50% Sr. Unsec. Unsub. Nts., 11/15/13 235,000 253,499 DaimlerChrysler NA Holdings Corp., 8.50% Nts., 1/18/31 153,000 181,524 Ford Motor Credit Co. LLC, 9.75% Sr. Unsec. Nts., 9/15/10 465,000 475,284 ------------- 910,307 ------------- HOTELS, RESTAURANTS & LEISURE--0.1% Hyatt Hotels Corp., 5.75% Sr. Unsec. Unsub. Nts., 8/15/15(4) 242,000 247,064 ------------- MEDIA--0.6% CBS Corp., 8.875% Sr. Unsec. Nts., 5/15/19 222,000 245,255 Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22 115,000 148,126 Comcast Cable Communications, Inc., 8.875% Unsub. Nts., 5/1/17 200,000 247,065 DirecTV Holdings LLC/DirecTV Financing Co., Inc., 5.875% Sr. Unsec. Unsub. Nts., 10/1/19(4) 84,000 83,895 DISH DBS Corp., 7.875% Sr. Nts., 9/1/19(4) 205,000 208,075 Time Warner Cos., Inc., 9.125% Debs., 1/15/13 165,000 191,766 Time Warner Entertainment Co. LP, 8.375% Sr. Nts., 7/15/33 130,000 156,724 Time Warner, Inc., 6.50% Sr. Unsec. Debs., 11/15/36 190,000 195,093 Viacom, Inc., 6.25% Sr. Unsec. Nts., 4/30/16 75,000 81,019 ------------- 1,557,018 ------------- SPECIALTY RETAIL--0.2% Home Depot, Inc. (The), 5.875% Sr. Unsec. Unsub. Nts., 12/16/36 212,000 206,369
8 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE ------------ ------------- SPECIALTY RETAIL CONTINUED Staples, Inc., 7.75% Sr. Unsec. Unsub. Nts., 4/1/11 $ 350,000 $ 378,109 ------------- 584,478 ------------- CONSUMER STAPLES--0.8% BEVERAGES--0.1% Anheuser-Busch InBev Worldwide, Inc.: 7.75% Sr. Unsec. Unsub. Nts., 1/15/19(4) 168,000 199,128 8% Sr. Nts., 11/15/39(4) 65,000 84,392 ------------- 283,520 ------------- FOOD & STAPLES RETAILING--0.2% Delhaize America, Inc., 9% Unsub. Debs., 4/15/31 95,000 125,342 Safeway, Inc., 6.50% Sr. Unsec. Nts., 3/1/11 115,000 122,278 Supervalu, Inc., 7.50% Sr. Nts., 11/15/14 225,000 227,250 ------------- 474,870 ------------- FOOD PRODUCTS--0.3% Bunge Ltd. Finance Corp.: 5.35% Sr. Unsec. Unsub. Nts., 4/15/14 190,000 197,324 8.50% Sr. Unsec. Nts., 6/15/19 175,000 202,089 Heinz (H.J.) Finance Co., 7.125% Sr. Unsec. Nts., 8/1/39(4) 175,000 207,832 Sara Lee Corp., 6.25% Sr. Unsec. Unsub. Nts., 9/15/11 165,000 178,289 ------------- 785,534 ------------- TOBACCO--0.2% Altria Group, Inc., 9.70% Sr. Unsec. Nts., 11/10/18 405,000 503,835 ------------- ENERGY--1.6% ENERGY EQUIPMENT & SERVICES--0.1% Pride International, Inc., 8.50% Sr. Nts., 6/15/19 275,000 303,875 ------------- OIL, GAS & CONSUMABLE FUELS--1.5% Anadarko Petroleum Corp., 6.45% Sr. Unsec. Nts., 9/15/36 203,000 210,275 Chesapeake Energy Corp., 6.875% Sr. Unsec. Nts., 1/15/16 220,000 209,550 Duke Energy Field Services LLC, 7.875% Unsec. Nts., 8/16/10 220,000 230,667 El Paso Corp., 8.25% Sr. Unsec. Nts., 2/15/16 250,000 257,500 Enterprise Products Operating LLP, 7.50% Sr. Unsec. Unsub. Nts., 2/1/11 195,000 208,233 Hess Corp., 6.65% Sr. Unsec. Unsub. Nts., 8/15/11 134,000 143,878 Kaneb Pipe Line Operating Partnership LP, 5.875% Sr. Unsec. Nts., 6/1/13 350,000 362,833 Kerr-McGee Corp., 6.875% Sr. Unsec. Unsub. Nts., 9/15/11 173,000 185,854 Kinder Morgan Energy Partners LP, 9% Sr. Unsec. Nts., 2/1/19 207,000 251,225 Nexen, Inc.: 6.40% Sr. Unsec. Unsub. Bonds, 5/15/37 235,000 229,568 7.50% Nts., 7/30/39 94,000 102,705 Peabody Energy Corp., 6.875% Sr. Unsec. Nts., Series B, 3/15/13 235,000 238,525 Petro-Canada, 5.95% Sr. Unsec. Unsub. Bonds, 5/15/35 100,000 98,801 PF Export Receivables Master Trust, 3.748% Sr. Nts., Series B, 6/1/13(2) 207,125 211,527 Plains All American Pipeline LP, 6.50% Sr. Unsec. Unsub. Nts., 5/1/18 272,000 291,819 Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.50% Sr. Sec. Nts., 9/30/14(4) 140,000 149,360 Shell International Finance BV, 4.30% Nts., 9/22/19 85,000 85,616
9 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE ------------ ------------- OIL, GAS & CONSUMABLE FUELS CONTINUED Williams Cos., Inc. (The), 8.75% Unsec. Nts., 3/15/32 $ 140,000 $ 161,004 XTO Energy, Inc., 6.50% Sr. Unsec. Unsub. Nts., 12/15/18 65,000 71,883 ------------- 3,700,823 ------------- FINANCIALS--3.3% CAPITAL MARKETS--0.5% Blackstone Holdings Finance Co. LLC, 6.625% Sr. Unsec. Nts., 8/15/19(4) 210,000 213,322 Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 440,000 405,283 Morgan Stanley: 5.55% Sr. Unsec. Unsub. Nts., Series F, 4/27/17 100,000 99,799 7.30% Sr. Unsec. Nts., 5/13/19 608,000 670,138 ------------- 1,388,542 ------------- COMMERCIAL BANKS--0.6% Barclays Bank plc, 6.278% Perpetual Bonds(9) 520,000 390,008 HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/35(3) 390,000 296,400 PNC Funding Corp., 5.25% Gtd. Unsec. Sub. Nts., 11/15/15 270,000 277,167 Wachovia Corp., 5.625% Sub. Nts., 10/15/16 90,000 94,151 Wells Fargo Capital X, 5.95% Unsec. Sub. Bonds, 12/15/36 392,000 342,020 ------------- 1,399,746 ------------- CONSUMER FINANCE--0.2% American Express Bank FSB, 5.50% Sr. Unsec. Nts., 4/16/13 155,000 163,773 Capital One Bank USA NA, 8.80% Sub. Nts., 7/15/19 130,000 150,529 Capital One Financial Corp., 5.70% Sr. Unsec. Unsub. Nts., 9/15/11 253,000 264,477 ------------- 578,779 ------------- DIVERSIFIED FINANCIAL SERVICES--1.2% Citigroup, Inc.: 6.125% Sub. Nts., 8/25/36 250,000 215,199 8.125% Sr. Unsec. Nts., 7/15/39 620,000 696,111 JPMorgan Chase & Co., 7.90% Perpetual Bonds, Series 1(9) 1,085,000 1,044,960 Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Bonds, 5/14/38 900,000 1,017,356 ------------- 2,973,626 ------------- INSURANCE--0.6% Axa SA, 6.379% Sub. Perpetual Bonds(4, 9) 260,000 210,600 Hartford Financial Services Group, Inc. (The): 5.375% Sr. Unsec. Nts., 3/15/17 220,000 201,786 6% Sr. Unsec. Nts., 1/15/19 275,000 261,246 Marsh & McLennan Cos., Inc., 5.15% Sr. Unsec. Nts., 9/15/10 235,000 239,876 MetLife, Inc., 6.40% Jr. Unsec. Sub. Bonds, 12/15/36(3) 215,000 184,900 Principal Life Global Funding I, 4.40% Sr. Sec. Nts., 10/1/10(4) 232,000 234,502 Prudential Holdings LLC, 8.695% Bonds, Series C, 12/18/23(4) 185,000 193,541 ------------- 1,526,451 ------------- REAL ESTATE INVESTMENT TRUSTS--0.2% Simon Property Group LP, 5.375% Sr. Unsec. Unsub. Nts., 6/1/11 230,000 237,121
10 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE ------------ ------------- REAL ESTATE INVESTMENT TRUSTS CONTINUED WEA Finance LLC/WT Finance Aust Pty Ltd., 5.75% Nts., 9/2/15(4) $ 250,000 $ 251,975 ------------- 489,096 ------------- HEALTH CARE--0.4% HEALTH CARE PROVIDERS & SERVICES--0.1% WellPoint, Inc., 5% Sr. Unsec. Unsub. Nts., 1/15/11 220,000 226,812 ------------- LIFE SCIENCES TOOLS & SERVICES--0.1% Fisher Scientific International, Inc., 6.125% Sr. Unsec. Sub. Nts., 7/1/15 367,000 381,290 ------------- PHARMACEUTICALS--0.2% Genentech, Inc., 5.25% Sr. Unsec. Unsub. Nts., 7/15/35 160,000 159,426 Watson Pharmaceuticals, Inc., 6.125% Sr. Unsec. Nts., 8/15/19 240,000 252,875 ------------- 412,301 ------------- INDUSTRIALS--0.9% AEROSPACE & DEFENSE--0.3% BAE Systems Holdings, Inc., 6.375% Nts., 6/1/19(4) 230,000 254,248 L-3 Communications Corp., 5.875% Sr. Sub. Nts., 1/15/15 250,000 250,000 Meccanica Holdings USA: 6.25% Sr. Unsec. Unsub. Nts., 7/15/19(4) 130,000 140,554 7.375% Sr. Unsec. Unsub. Nts., 7/15/39(4) 220,000 260,261 ------------- 905,063 ------------- COMMERCIAL SERVICES & SUPPLIES--0.1% Browning-Ferris Industries, Inc., 7.40% Sr. Unsec. Debs., 9/15/35 150,000 172,598 ------------- ELECTRICAL EQUIPMENT--0.1% Roper Industries, Inc., 6.25% Sr. Nts., 9/1/19 248,000 257,915 ------------- INDUSTRIAL CONGLOMERATES--0.2% General Electric Capital Corp., 5.875% Unsec. Unsub. Nts., 1/14/38 180,000 165,616 Tyco International Ltd./Tyco International Finance SA, 6.875% Sr. Unsec. Unsub. Nts., 1/15/21 355,000 399,400 ------------- 565,016 ------------- ROAD & RAIL--0.2% CSX Corp., 7.375% Sr. Unsec. Nts., 2/1/19 355,000 418,484 ------------- INFORMATION TECHNOLOGY--0.1% ELECTRONIC EQUIPMENT & INSTRUMENTS--0.1% Agilent Technologies, Inc., 5.50% Sr. Unsec. Unsub. Nts., 9/14/15 250,000 257,489 ------------- MATERIALS--0.6% CHEMICALS--0.1% Airgas, Inc., 4.50% Sr. Unsec. Unsub. Nts., 9/15/14 126,000 128,429 Yara International ASA, 7.875% Nts., 6/11/19(4) 209,000 235,310 ------------- 363,739 ------------- CONTAINERS & PACKAGING--0.1% Ball Corp., 7.125% Sr. Unsec. Nts., 9/1/16 250,000 256,250 ------------- METALS & MINING--0.3% Freeport-McMoRan Copper & Gold, Inc., 8.25% Sr. Unsec. Nts., 4/1/15 225,000 239,608
11 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE ------------ ------------- METALS & MINING CONTINUED Xstrata Canada Corp.: 5.375% Sr. Unsec. Unsub. Nts., 6/1/15 $ 75,000 $ 74,940 6% Sr. Unsec. Unsub. Nts., 10/15/15 132,000 134,397 Xstrata Finance Canada Ltd., 6.90% Nts., 11/15/37(4) 233,000 220,006 ------------- 668,951 ------------- PAPER & FOREST PRODUCTS--0.1% MeadWestvaco Corp., 7.375% Sr. Unsec. Unsub. Nts., 9/1/19 250,000 262,349 ------------- TELECOMMUNICATION SERVICES--0.8% DIVERSIFIED TELECOMMUNICATION SERVICES--0.8% AT&T, Inc., 6.30% Sr. Unsec. Bonds, 1/15/38 280,000 294,409 British Telecommunications plc, 9.625% Bonds, 12/15/30 151,000 193,981 CenturyTel, Inc., 8.375% Sr. Unsec. Nts., Series H, 10/15/10 125,000 132,505 Citizens Communications Co., 6.25% Sr. Nts., 1/15/13 235,000 231,475 Deutsche Telekom International Finance BV, 8.50% Unsub. Nts., 6/15/10(3) 167,000 175,092 Telecom Italia Capital SA, 4.875% Sr. Unsec. Unsub. Nts., 10/1/10 345,000 354,753 Telefonica Europe BV, 7.75% Unsec. Nts., 9/15/10 165,000 174,594 Telus Corp., 8% Nts., 6/1/11 265,000 288,507 Verizon Communications, Inc., 6.40% Sr. Unsec. Nts., 2/15/38 180,000 193,033 ------------- 2,038,349 ------------- WIRELESS TELECOMMUNICATION SERVICES--0.0% Rogers Wireless, Inc., 9.625% Sr. Sec. Nts., 5/1/11 33,000 36,730 ------------- UTILITIES--0.7% ELECTRIC UTILITIES--0.2% Exelon Corp., 5.625% Sr. Unsec. Bonds, 6/15/35 170,000 164,449 Exelon Generation Co. LLC: 6.20% Sr. Nts., 10/1/17 102,000 111,522 6.25% Sr. Unsec. Nts., 10/1/39 83,000 85,028 ------------- 360,999 ------------- ENERGY TRADERS--0.2% NRG Energy, Inc., 7.375% Sr. Nts., 2/1/16 235,000 227,950 Oncor Electric Delivery Co., 6.375% Sr. Sec. Nts., 1/15/15 125,000 138,739 ------------- 366,689 ------------- GAS UTILITIES--0.0% Atmos Energy Corp., 8.50% Sr. Unsec. Nts., 3/15/19 82,000 101,434 ------------- MULTI-UTILITIES--0.3% Dominion Resources, Inc., 5.20% Sr. Unsub. Nts., 8/15/09 250,000 260,160 NiSource Finance Corp., 7.875% Sr. Unsec. Nts., 11/15/10 225,000 236,767 Sempra Energy: 6.50% Sr. Unsec. Nts., 6/1/16 100,000 110,719 9.80% Sr. Unsec. Nts., 2/15/19 200,000 256,635 ------------- 864,281 ------------- Total Non-Convertible Corporate Bonds and Notes (Cost $24,991,597) 26,624,303 -------------
12 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
SHARES VALUE ------------ ------------- INVESTMENT COMPANY--13.7% Oppenheimer Institutional Money Market Fund, Cl. E, 0.27%(10, 11) (Cost $34,640,307) 34,640,307 $ 34,640,307 TOTAL INVESTMENTS, AT VALUE (COST $282,541,443) 117.6% 296,995,868 Liabilities in Excess of Other Assets (17.6) (44,548,297) ------------ ------------- Net Assets 100.0% $ 252,447,571 ============ =============
Footnotes to Statement of Investments (1.) Non-income producing security. (2.) Illiquid security. The aggregate value of illiquid securities as of September 30, 2009 was $562,964, which represents 0.22% of the Fund's net assets. See accompanying Notes. (3.) Represents the current interest rate for a variable or increasing rate security. (4.) 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 $4,423,578 or 1.75% of the Fund's net assets as of September 30, 2009. (5.) When-issued security or delayed delivery to be delivered and settled after September 30, 2009. See accompanying Notes. (6.) All or a portion of the security is held in collateralized accounts to cover initial margin requirements on open futures contracts. The aggregate market value of such securities is $586,042. See accompanying Notes. (7.) 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 $4,988,578 or 1.98% of the Fund's net assets as of September 30, 2009. (8.) 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 $272,473 or 0.11% of the Fund's net assets as of September 30, 2009. (9.) This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. Rate reported represents the current interest rate for this variable rate security. (10.) Rate shown is the 7-day yield as of September 30, 2009. (11.) Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 30, 2009, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows:
SHARES SHARES DECEMBER 31, GROSS GROSS SEPTEMBER 30, 2008 ADDITIONS REDUCTIONS 2009 ------------ ----------- ----------- ------------- Oppenheimer Institutional Money Market Fund, Cl. E 8,646,429 189,272,171 163,278,293 34,640,307
VALUE INCOME ----------- -------- Oppenheimer Institutional Money Market Fund, Cl. E $34,640,307 $176,895
(12.) A sufficient amount of liquid assets has been designated to cover outstanding written call options. See Note 5 of accompanying Notes. (13.) The current amortization rate of the security's cost basis exceeds the future interest payments currently estimated to be received. Both the amortization rate and interest payments are contingent on future mortgage pre-payment speeds and are therefore subject to change. 13 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED VALUATION INPUTS Various data inputs are used in determining the value of each of the Fund's investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards: 1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) 2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) 3) Level 3-significant unobservable inputs (including the Manager's own judgments about assumptions that market participants would use in pricing the asset). The table below categorizes amounts that are included in the Fund's Statement of Assets and Liabilities as of September 30, 2009 based on valuation input level:
LEVEL 3-- LEVEL 1-- LEVEL 2-- SIGNIFICANT UNADJUSTED OTHER SIGNIFICANT UNOBSERVABLE QUOTED PRICES OBSERVABLE INPUTS INPUTS VALUE ------------- ----------------- ------------ --------------- ASSETS TABLE INVESTMENTS, AT VALUE: Common Stocks Consumer Discretionary $ 8,112,512 $ -- $-- $ 8,112,512 Consumer Staples 13,069,770 -- -- 13,069,770 Energy 11,161,724 -- -- 11,161,724 Financials 15,662,847 -- -- 15,662,847 Health Care 17,250,819 -- -- 17,250,819 Industrials 8,590,819 -- -- 8,590,819 Information Technology 52,192,705 -- -- 52,192,705 Materials 5,287,692 -- -- 5,287,692 Telecommunication Services 58 -- -- 58 Utilities 1,359,990 -- -- 1,359,990 Preferred Stocks 4,970,832 4,562,760 -- 9,533,592 Rights, Warrants and Certificates 2 -- -- 2 Asset-Backed Securities -- 8,919,585 -- 8,919,585 Mortgage-Backed Obligations Government Agency -- 72,190,359 -- 72,190,359 Non-Agency -- 11,025,537 -- 11,025,537 U.S. Government Obligations -- 1,373,247 -- 1,373,247 Non-Convertible Corporate Bonds and Notes -- 26,624,303 -- 26,624,303 Investment Company 34,640,307 -- -- 34,640,307 ------------ ------------ --- ------------ Total Investments, at Value 172,300,077 124,695,791 -- 296,995,868 OTHER FINANCIAL INSTRUMENTS: Futures margins 3,121 -- -- 3,121 Foreign Currency Exchange Contracts -- 369 -- 369 ------------ ------------ --- ------------ Total Assets $172,303,198 $124,696,160 $-- $296,999,358 ------------ ------------ --- ------------ LIABILITIES TABLE OTHER FINANCIAL INSTRUMENTS: Appreciated options written, at value $ (68,640) $ -- $-- $ (68,640) Depreciated swaps, at value -- (51,649) -- (51,649) Futures margins (28,011) (224,202) -- (252,213) Foreign Currency Exchange Contracts -- (151) -- (151) ------------ ------------ --- ------------ Total Liabilities $ (96,651) $ (276,002) $-- $ (372,653) ------------ ------------ --- ------------
14 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED Currency contracts and forwards, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract's value from trade date. Futures, if any, are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. All additional assets and liabilities included in the above table are reported at their market value at measurement date. SEE THE ACCOMPANYING NOTES FOR FURTHER DISCUSSION OF THE METHODS USED IN DETERMINING VALUE OF THE FUND'S INVESTMENTS, AND A SUMMARY OF CHANGES TO THE VALUATION TECHNIQUES, IF ANY, DURING THE REPORTING PERIOD. FOREIGN CURRENCY EXCHANGE CONTRACTS AS OF SEPTEMBER 30, 2009 ARE AS FOLLOWS:
COUNTERPARTY/ CONTRACT AMOUNT EXPIRATION UNREALIZED UNREALIZED CONTRACT DESCRIPTION BUY/SELL (000S) DATES VALUE APPRECIATION DEPRECIATION -------------------- -------- --------------- --------------- --------- ------------ ------------ UBS INVESTMENT BANK Japanese Yen (JPY) Buy 20,145 JPY 10/1/09-10/2/09 $224,421 $369 $151
FUTURES CONTRACTS AS OF SEPTEMBER 30, 2009 ARE AS FOLLOWS:
UNREALIZED NUMBER OF EXPIRATION APPRECIATION CONTRACT DESCRIPTION BUY/SELL CONTRACTS DATE VALUE (DEPRECIATION) -------------------- -------- --------- ---------- ----------- -------------- U.S. Treasury Long Bonds Buy 70 12/21/09 $ 8,496,250 $170,248 U.S. Treasury Nts., 2 yr. Sell 60 12/31/09 13,018,125 (23,683) U.S. Treasury Nts., 5 yr. Sell 24 12/31/09 2,786,250 (32,334) U.S. Treasury Nts., 10 yr. Buy 89 12/21/09 10,531,203 149,376 -------- $263,607 ========
WRITTEN OPTIONS AS OF SEPTEMBER 30, 2009 ARE AS FOLLOWS:
NUMBER OF EXERCISE EXPIRATION PREMIUMS UNREALIZED DESCRIPTION TYPE CONTRACTS PRICE DATE RECEIVED VALUE APPRECIATION ----------- ---- --------- -------- ---------- -------- -------- ------------- Take-Two Interactive Software, Inc. Call 1,056 $12.50 12/21/09 $102,429 $(68,640) $33,789
CREDIT DEFAULT SWAP CONTRACTS AS OF SEPTEMBER 30, 2009 ARE AS FOLLOWS:
PAY/ BUY/SELL NOTIONAL RECEIVE REFERENCE ENTITY/ CREDIT AMOUNT FIXED TERMINATION SWAP COUNTERPARTY PROTECTION (000S) RATE DATE VALUE ----------------- ---------- -------- ------- ----------- --------- INCO LTD.: Morgan Stanley Capital Services, Inc. Buy $ 545 0.70% 3/20/17 $(14,798) Morgan Stanley Capital Services, Inc. Buy 550 0.63 3/20/17 (12,328) ------ -------- Total 1,095 (27,126) -------- VALE OVERSEAS: Morgan Stanley Capital Services, Inc. Sell 545 1.17 3/20/17 (11,002) Morgan Stanley Capital Services, Inc. Sell 550 1.10 3/20/17 (13,521) ------ -------- Total 1,095 (24,523) -------- Grand Total Buys (27,126) Grand Total Sells (24,523) -------- Total Credit Default Swaps $(51,649) ========
15 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED The table that follows shows the undiscounted maximum potential payment by the Fund related to selling credit protection in credit default swaps:
TOTAL MAXIMUM POTENTIAL PAYMENTS FOR SELLING REFERENCE TYPE OF REFERENCE ASSET ON WHICH THE FUND SOLD CREDIT PROTECTION ASSET RATING PROTECTION (UNDISCOUNTED) AMOUNT RECOVERABLE* RANGE** ---------------------------------------------- ----------------------- ------------------- ------------ Investment Grade Single Name Corporate Debt $1,095,000 $- BBB+
* The Fund has no amounts recoverable from related purchased protection. In addition, the Fund has no recourse provisions under the credit derivatives and holds no collateral which can offset or reduce potential payments under a triggering event. ** The period end reference asset security ratings, as rated by any rating organization, are included in the equivalent Standard & Poor's rating category. The reference asset rating represents the likelihood of a potential credit event on the reference asset which would result in a related payment by the Fund. SWAP SUMMARY AS OF SEPTEMBER 30, 2009 IS AS FOLLOWS: The following table aggregates, as of period end, the amount receivable from/(payable to) each counterparty with whom the Fund has entered into a swap agreement. Swaps are individually disclosed in the preceding tables.
NOTIONAL SWAP TYPE FROM AMOUNT SWAP COUNTERPARTY FUND PERSPECTIVE (000'S) VALUE ----------------- ------------------------------ -------- -------- Morgan Stanley Capital Services, Inc.: Credit Default Buy Protection $1,095 $(27,126) Credit Default Sell Protection 1,095 (24,523) -------- $(51,649) ========
NOTES TO 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 trading. Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Unadjusted quoted prices in active markets for identical securities are classified as "Level 1," inputs other than unadjusted quoted prices for an asset that are observable are classified as "Level 2" and significant unobservable inputs, including the Manager's judgment about the assumptions that a market participant would use in pricing an asset or liability are classified as "Level 3." The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. A table summarizing the Fund's investments under these levels of classification is included following the Statement of Investments. Securities are valued using unadjusted quoted market prices, when available, as supplied primarily either by portfolio pricing services approved by the Board of Trustees or dealers. Securities traded on a registered U.S. securities exchange are valued based on the last sale price of the security reported on the principal exchange on which traded, prior to the time when the Fund's assets are valued. Securities whose principal exchange is NASDAQ(R) are valued based on the official closing prices reported 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 current day's 16 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED closing "bid" and "asked" prices, and if not, at the current day's closing bid price. A foreign security traded on a foreign exchange is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the portfolio pricing service used by the Manager, prior to the time when the Fund's assets are valued. In the absence of a sale, the security is valued at the most recent official closing price on the principal exchange on which it is traded. Shares of a registered investment company that are not traded on an exchange are valued at that investment company's net asset value per share. Corporate, government and municipal debt instruments having a remaining maturity in excess of sixty days and all mortgage-backed securities, collateralized mortgage obligations and other asset-backed securities are valued at the mean between the "bid" and "asked" prices. "Money market-type" debt instruments with remaining maturities of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. In the absence of a readily available unadjusted quoted market price, including for 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 the securities' respective exchanges, the Manager, acting through its internal valuation committee, in good faith determines the fair valuation of that asset using consistently applied procedures under the supervision of the Board of Trustees (which reviews those fair valuations by the Manager). Those procedures include certain standardized methodologies to fair value securities. Such methodologies include, but are not limited to, pricing securities initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be adjusted for any discounts related to resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. There have been no significant changes to the fair valuation methodologies during the period. SECURITIES ON A WHEN-ISSUED OR DELAYED DELIVERY BASIS. The Fund may purchase securities on a "when-issued" basis, and may purchase or sell securities on a "delayed delivery" basis. "When-issued" or "delayed delivery" refers to securities whose terms and indenture are available and for which a market exists, but which are not available for immediate delivery. Delivery and payment for securities that have been purchased by the Fund on a when-issued basis normally takes place within six months and possibly as long as two years or more after the 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 purchase of securities on a when-issued basis may increase the volatility of the Fund's net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. When the Fund engages in when-issued or delayed delivery transactions, it relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do so may cause the Fund to lose the opportunity to obtain or dispose of the security at a price and yield it considers advantageous. The Fund maintains internally designated assets with a market value equal to or greater than the amount of its purchase commitments. 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 September 30, 2009, the Fund had purchased securities issued on a when-issued or delayed delivery basis and sold securities issued on a delayed delivery basis as follows:
WHEN-ISSUED OR DELAYED DELIVERY BASIS TRANSACTIONS ------------------------------- Purchased securities $53,187,321 Sold securities 8,487,243
The Fund may enter into "forward roll" transactions with respect to mortgage-related securities. In this type of transaction, the Fund sells a mortgage-related security to a buyer and simultaneously agrees to repurchase a similar security (same type, coupon and maturity) at a later date at a set price. During the period between the sale and the repurchase, the Fund will not be entitled to receive 17 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED interest and principal payments on the securities that have been sold. The Fund records the incremental difference between the forward purchase and sale of each forward roll as realized gain (loss) on 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. Forward roll transactions may be deemed to entail embedded leverage since the Fund purchases mortgage-related securities with extended settlement dates rather than paying for the securities under a normal settlement cycle. This embedded leverage increases the Fund's market value of investments relative to its net assets which can incrementally increase the volatility of the Fund's performance. Forward roll transactions can be replicated over multiple settlement periods. 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; and counterparty credit risk. To assure its future payment of the purchase price, the Fund maintains internally designated assets with a market value equal to or greater than the payment obligation under the roll. FOREIGN CURRENCY TRANSLATION. The Fund's accounting records are maintained in U.S. dollars. The values of securities denominated in foreign currencies and amounts related to the purchase and sale of foreign securities and foreign investment income are translated into U.S. dollars as of the close of the Exchange, normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading. Foreign exchange rates may be valued primarily using a reliable bank, dealer or service authorized by the Board of Trustees. Reported net realized gains and losses from foreign currency transactions arise from sales of portfolio securities, sales and maturities of short-term securities, sales of foreign currencies, exchange rate fluctuations between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized appreciation and depreciation on the translation of assets and liabilities denominated in foreign currencies arise from changes in the values of assets and liabilities, including investments in securities at fiscal period end, resulting from changes in exchange rates. The effect of changes in foreign currency exchange rates on investments is separately identified from the fluctuations arising from changes in market values of securities held and reported with all other foreign currency gains and losses in the Fund's Statement of Operations in the annual and semiannual reports. INVESTMENT IN OPPENHEIMER INSTITUTIONAL MONEY MARKET FUND. The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund ("IMMF") to seek current income while preserving liquidity. IMMF is a registered open-end management investment company, regulated as a money market fund under the Investment Company Act of 1940, as amended. The Manager is also the investment adviser of IMMF. When applicable, the Fund's investment in IMMF is included in the Statement of Investments. Shares of IMMF are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of IMMF's Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund's investment in IMMF. RISK EXPOSURES AND THE USE OF DERIVATIVE INSTRUMENTS The Fund's investment objectives not only permit the Fund to purchase investment securities, they also allow the Fund to enter into various types of derivatives contracts, including, but not limited to, futures contracts, forward foreign currency exchange contracts, credit default swaps, interest rate swaps, total return swaps, and purchased and written options. In doing so, the Fund will employ strategies in differing combinations to permit it to increase, decrease, or change the level or types of exposure to market risk factors. Central to those strategies are features inherent to derivatives that make them more attractive for this purpose than equity and debt securities: they require little or no initial cash investment, they can focus exposure on only certain selected risk factors, and they may not require the ultimate receipt or delivery of the underlying security (or securities) to the contract. This may allow the Fund to pursue its objectives more quickly and efficiently than if it were to make direct purchases or sales of securities capable of effecting a similar response to market factors. MARKET RISK FACTORS. In pursuit of its investment objectives, the Fund may seek to use derivatives to increase or decrease its exposure to the following market risk factors: 18 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED INTEREST RATE RISK. Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities. CREDIT RISK. Credit risk relates to the ability of the issuer to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield bonds are subject to credit risk to a greater extent than lower-yield, higher-quality bonds. FOREIGN EXCHANGE RATE RISK. Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency. EQUITY RISK. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market. RISKS OF INVESTING IN DERIVATIVES. The Fund's use of derivatives can result in losses due to unanticipated changes in the market risk factors and the overall market. In instances where the Fund is using derivatives to decrease, or hedge, exposures to market risk factors for securities held by the Fund, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions. Derivatives may have little or no initial cash investment relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost. This use of embedded leverage allows the Fund to increase its market value exposure relative to its net assets and can substantially increase the volatility of the Fund's performance. Additional associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative and the Fund. Typically, the associated risks are not the risks that the Fund is attempting to increase or decrease exposure to, per its investment objectives, but are the additional risks from investing in derivatives. Examples of these associated risks are liquidity risk, which is the risk that the Fund will not be able to sell the derivative in the open market in a timely manner, and counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund. Associated risks can be different for each type of derivative and are discussed by each derivative type in the notes that follow. COUNTERPARTY CREDIT RISK. Certain derivative positions are subject to counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund. The Fund's derivative counterparties are financial institutions who are subject to market conditions that may weaken their financial position. The Fund intends to enter into financial transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction. To reduce this risk the Fund has entered into master netting arrangements, established within the Fund's International Swap and Derivatives Association, Inc. ("ISDA") master agreements, which allow the Fund to net unrealized appreciation and depreciation for positions in swaps, over-the-counter options, and forward currency exchange contracts for each individual counterparty. CREDIT RELATED CONTINGENT FEATURES. The Fund has several credit related contingent features that if triggered would allow its derivatives counterparties to close out and demand payment or additional collateral to cover their exposure from the Fund. Credit related contingent features are established between the Fund and its derivatives counterparties to reduce the risk that the Fund will not fulfill its payment obligations to its counterparties. These triggering features include, but are not limited to, a percentage decrease in the Fund's net assets and or a percentage decrease in the Fund's Net Asset Value or NAV. The contingent features are established within the Fund's ISDA master agreements which govern positions in swaps, over-the-counter options, and forward currency exchange contracts for each individual counterparty. As of September 30, 2009, the total value of derivative positions with credit related contingent features in a net liability position was $120,289. If a contingent feature would have been triggered as of September 30, 2009, the Fund could have 19 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED been required to pay this amount in cash to its counterparties. The Fund did not hold or post collateral for its derivative transactions. FOREIGN CURRENCY EXCHANGE CONTRACTS The Fund may enter into current and forward foreign currency exchange contracts for the purchase or sale of a foreign currency at a negotiated rate at a future date. Foreign currency exchange contracts are reported on a schedule following the Statement of Investments. These contracts will be valued daily based upon the closing prices of the currency rates determined at the close of the Exchange as provided by a bank, dealer or pricing service. The resulting unrealized appreciation (depreciation) is reported in the Statement of Assets and Liabilities in the annual and semiannual reports as a receivable or payable and in the Statement of Operations in the annual and semiannual reports within the change in unrealized appreciation (depreciation). At contract close, the difference between the original cost of the contract and the value at the close date is recorded as a realized gain (loss) in the Statement of Operations in the annual and semiannual reports. The Fund has purchased and sold foreign currency exchange contracts of different currencies in order to acquire currencies to pay for related foreign securities purchase transactions, or to convert foreign currencies to U.S. dollars from related foreign securities sale transactions. These foreign currency exchange contracts are negotiated at the current spot exchange rate with settlement typically within two business days thereafter. Additional associated risk to the Fund includes counterparty credit risk. Counterparty credit risk arises from the possibility that the counterparty will default. If the counterparty defaults, the Fund's loss will consist of the net amount of contractual payments that the Fund has not yet received. FUTURES A futures contract is a commitment to buy or sell a specific amount of a financial instrument at a negotiated price on a stipulated future date. The Fund may buy and sell futures contracts and may also buy or write put or call options on these futures contracts. Futures contracts traded on a commodities or futures exchange will be valued at the final settlement price or official closing price on the principal exchange as reported by such principal exchange at its trading session ending at, or most recently prior to, the time when the Fund's assets are valued. 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. Futures contracts are reported on a schedule following the Statement of Investments. Securities held in collateralized accounts to cover initial margin requirements on open futures contracts are noted in the Statement of Investments. Cash held by the broker to cover initial margin requirements on open futures contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted in the Statement of Assets and Liabilities in the annual and semiannual reports. The net change in unrealized appreciation and depreciation is reported in the Statement of Operations in the annual and semiannual reports. Realized gains (losses) are reported in the Statement of Operations in the annual and semiannual reports at the closing or expiration of futures contracts. The Fund has purchased futures contracts on various bonds and notes to increase exposure to interest rate risk. The Fund has sold futures contracts on various bonds and notes to decrease exposure to interest rate risk. Additional associated risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market where the Fund is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Fund's securities. 20 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED OPTION ACTIVITY The Fund may buy and sell put and call options, or write put and covered call options. When an option is written, the Fund receives a premium and becomes obligated to sell or purchase the underlying security at a fixed price, upon exercise of the option. Options are valued daily based upon the last sale price on the principal exchange on which the option is traded. The difference between the premium received or paid, and market value of the option, is recorded as unrealized appreciation or depreciation. The net change in unrealized appreciation or depreciation is reported in the Statement of Operations in the annual and semiannual reports. When an option is exercised, the cost of the security purchased or the proceeds of the security sale are adjusted by the amount of premium received or paid. Upon the expiration or closing of the option transaction, a gain or loss is reported in the Statement of Operations in the annual and semiannual reports. Securities designated to cover outstanding call or put options are noted in the Statement of Investments where applicable. Options written are reported in a schedule following the Statement of Investments and as a liability in the Statement of Assets and Liabilities in the annual and semiannual reports. The Fund has written put options on individual equity securities and, or, equity indexes to increase exposure to equity risk. A written put option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price. The Fund has written covered call options on individual equity securities and, or, equity indexes to decrease exposure to equity risk. A written covered call option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price. The risk in writing a call option is that the Fund gives up the opportunity for profit if the market price of the security increases and the option is exercised. The risk in writing a put option is that the Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying an option is that the Fund pays a premium whether or not the option is exercised. The Fund also has the additional risk that there may be an illiquid market where the Fund is unable to close the contract. Additional associated risks to the Fund include counterparty credit risk for over-the-counter options and liquidity risk. Written option activity for the year ended September 30, 2009 was as follows:
CALL OPTIONS PUT OPTIONS --------------------- --------------------- NUMBER OF AMOUNT OF NUMBER OF AMOUNT OF CONTRACTS PREMIUMS CONTRACTS PREMIUMS --------- --------- --------- --------- Options outstanding as of December 31, 2008 -- $ -- -- $ -- Options written 1,056 102,429 988 177,386 Options closed or expired -- -- (988) (177,386) ----- -------- ---- --------- Options outstanding as of September 30, 2009 1,056 $102,429 -- $ -- ===== ======== ==== =========
SWAP CONTRACTS The Fund may enter into swap contract agreements with a counterparty to exchange a series of cash flows based on either specified reference rates, or the occurrence of a credit event, over a specified period. Such contracts may include interest rate, equity, debt, index, total return, credit and currency swaps. Swaps are marked to market daily using primarily quotations from pricing services, counterparties and brokers. Swap contracts are reported on a schedule following the Statement of Investments. Any upfront payment paid or received as well as any unrealized appreciation (depreciation) on swap contracts are separately disclosed on the Statement of Assets and Liabilities in the annual and semiannual reports. The unrealized appreciation (depreciation) related to the change in the valuation of the notional amount of the swap is combined with the accrued interest due to (owed by) the Fund at termination or settlement. The net change in this amount 21 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED during the period is included on the Statement of Operations in the annual and semiannual reports. The Fund also records any periodic payments received from (paid to) the counterparty, including at termination, under such contracts as realized gain (loss) on the Statement of Operations in the annual and semiannual reports. Swap contract agreements are exposed to the market risk factor of the specific underlying reference asset. Swap contracts are typically more attractively priced compared to similar investments in related cash securities because they isolate the risk to one market risk factor and eliminate the other market risk factors. Investments in cash securities (for instance bonds) have exposure to multiple risk factors (credit and interest rate risk). Because swaps require little or no initial cash investment, they can expose the Fund to substantial risk in the isolated market risk factor. CREDIT DEFAULT SWAP CONTRACTS. A credit default swap is a bilateral contract that enables an investor to buy or sell protection on a debt security against a defined-issuer credit event, such as the issuer's failure to make timely payments of interest or principal on the debt security, bankruptcy or restructuring. The Fund may enter into credit default swaps either by buying or selling protection on a single security, or a basket of securities (the "reference asset"). The buyer of protection pays a periodic fee to the seller of protection based on the notional amount of debt securities underlying the swap contract. The seller of protection agrees to compensate the buyer of protection for future potential losses as a result of a credit event on the reference asset. The contract effectively transfers the credit event risk of the reference asset from the buyer of protection to the seller of protection. The ongoing value of the contract will fluctuate throughout the term of the contract based primarily on the credit risk of the reference asset. If the credit quality of the reference asset improves relative to the credit quality at contract initiation, the buyer of protection may have an unrealized loss greater than the anticipated periodic fee owed. This unrealized loss would be the result of current credit protection being cheaper than the cost of credit protection at contract initiation. If the buyer elects to terminate the contract prior to its maturity, and there has been no credit event, this unrealized loss will become realized. If the contract is held to maturity, and there has been no credit event, the realized loss will be equal to the periodic fee paid over the life of the contract. If there is a credit event, the buyer of protection can exercise its rights under the contract and receive a payment from the seller of protection equal to the notional amount of the reference asset less the market value of the reference asset. Upon exercise of the contract the difference between the value of the underlying reference asset and the notional amount is recorded as realized gain (loss) and is included on the Statement of Operations in the annual and semiannual reports. The Fund has sold credit protection through credit default swaps to increase exposure to the credit risk of individual securities and, or, indexes that are either unavailable or considered to be less attractive in the bond market. The Fund has purchased credit protection through credit default swaps to decrease exposure to the credit risk of individual securities and, or, indexes. The Fund has also engaged in pairs trades by purchasing protection through a credit default swap referenced to the debt of an issuer, and simultaneously selling protection through a credit default swap referenced to the debt of a different issuer with the intent to realize gains from the pricing differences of the two issuers who are expected to have similar market risks. Pairs trades attempt to gain exposure to credit risk while hedging or offsetting the effects of overall market movements. The Fund has engaged in spread curve trades by simultaneously purchasing and selling protection through credit default swaps referenced to the same issuer but with different maturities. Spread curve trades attempt to gain exposure to credit risk on a forward basis by realizing gains on the expected differences in spreads. Additional associated risks to the Fund include counterparty credit risk and liquidity risk. 22 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED INTEREST RATE SWAP CONTRACTS. An interest rate swap is an agreement between counterparties to exchange periodic payments based on interest rates. One cash flow stream will typically be a floating rate payment based upon a specified interest rate while the other is typically a fixed interest rate. The Fund has entered into interest rate swaps in which it pays a floating interest rate and receives a fixed interest rate in order to increase exposure to interest rate risk. Typically, if relative interest rates rise, payments made by the Fund under a swap agreement will be greater than the payments received by the Fund. Additional associated risks to the Fund include counterparty credit risk and liquidity risk. As of September 30, 2009, the Fund had no such interest rate swap agreements outstanding. TOTAL RETURN SWAP CONTRACTS. A total return swap is an agreement between counterparties to exchange periodic payments based on asset or non-asset references. One cash flow is typically based on a non-asset reference (such as an interest rate or index) and the other on the total return of a reference asset (such as a security or a basket of securities). The total return of the reference asset typically includes appreciation or depreciation on the reference asset, plus any interest or dividend payments. Total return swap contracts are exposed to the market risk factor of the specific underlying financial instrument or index. Total return swaps are less standard in structure than other types of swaps and can isolate and, or, include multiple types of market risk factors including equity risk, credit risk, and interest rate risk. The Fund has entered into total return swaps to increase exposure to the credit risk of various indexes or basket of securities. These credit risk related total return swaps require the Fund to pay, or receive payments, to, or from, the counterparty based on the movement of credit spreads of the related indexes. The Fund has entered into total return swaps to decrease exposure to the credit risk of various indexes or basket of securities. These credit risk related total return swaps require the fund to pay, or receive payments, to, or from, the counterparty based on the movement of credit spreads of the related indexes. Additional associated risks to the Fund include counterparty credit risk and liquidity risk. As of September 30, 2009, the Fund had no such total return swap agreements outstanding. ILLIQUID SECURITIES As of September 30, 2009, investments in securities included issues that are illiquid. Investments may be illiquid because they do not have an active trading market, making it difficult to value them or dispose of them promptly at an acceptable price. 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 that are illiquid are marked with an applicable footnote on the Statement of Investments. 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 September 30, 2009 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 $284,528,899 Federal tax cost of other investments 2,857,042 ------------ Total federal tax cost $287,385,941 ============ Gross unrealized appreciation $ 29,725,641 Gross unrealized depreciation (17,012,925) ------------ Net unrealized appreciation $ 12,712,716 ============
23 | Oppenheimer Balanced Fund/VA Oppenheimer Capital Appreciation Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
SHARES VALUE ------------ ---------------- COMMON STOCKS--98.8% CONSUMER DISCRETIONARY--7.7% DIVERSIFIED CONSUMER SERVICES--1.2% Apollo Group, Inc., Cl. A (1) 237,350 $ 17,485,575 ---------------- HOTELS, RESTAURANTS & LEISURE--0.6% McDonald's Corp. 140,510 8,018,906 ---------------- MEDIA--2.2% Cablevision Systems Corp. New York Group, Cl. A 659,985 15,674,644 McGraw-Hill Cos., Inc. (The) 313,890 7,891,195 Walt Disney Co. (The) 315,850 8,673,241 ---------------- 32,239,080 ---------------- SPECIALTY RETAIL--1.1% Bed Bath & Beyond, Inc. (1) 123,710 4,644,073 Staples, Inc. 518,850 12,047,697 ---------------- 16,691,770 ---------------- TEXTILES, APPAREL & LUXURY GOODS--2.6% Coach, Inc. 590,610 19,442,881 Nike, Inc., Cl. B 134,040 8,672,388 Polo Ralph Lauren Corp., Cl. A 121,730 9,326,953 ---------------- 37,442,222 ---------------- CONSUMER STAPLES--8.4% BEVERAGES--1.9% PepsiCo, Inc. 471,720 27,671,095 ---------------- FOOD & STAPLES RETAILING--1.7% Wal-Mart Stores, Inc. 489,700 24,039,373 ---------------- FOOD PRODUCTS--2.9% Cadbury plc 975,490 12,518,674 Nestle SA 676,631 28,833,374 ---------------- 41,352,048 ---------------- HOUSEHOLD PRODUCTS--1.0% Colgate-Palmolive Co. 188,040 14,343,691 ---------------- TOBACCO--0.9% Philip Morris International, Inc. 276,470 13,475,148 ---------------- ENERGY--9.0% ENERGY EQUIPMENT & SERVICES--3.0% Cameron International Corp. (1) 301,670 11,409,159 Halliburton Co. 437,940 11,876,933 Schlumberger Ltd. 344,260 20,517,896 ---------------- 43,803,988 ---------------- OIL, GAS & CONSUMABLE FUELS--6.0% Apache Corp. 142,480 13,083,938 Occidental Petroleum Corp. 349,410 27,393,744 Range Resources Corp. 271,210 13,386,926 Southwestern Energy Co. (1) 203,450 8,683,246 XTO Energy, Inc. 570,260 23,563,143 ---------------- 86,110,997 ----------------
1 | OPPENHEIMER CAPITAL APPRECIATION FUND/VA Oppenheimer Capital Appreciation Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
SHARES VALUE ------------ ---------------- FINANCIALS--9.2% CAPITAL MARKETS--4.3% Charles Schwab Corp. (The) 586,090 $ 11,223,624 Credit Suisse Group AG 322,905 17,972,975 Gam Holding Ltd. 143,168 7,149,420 Goldman Sachs Group, Inc. (The) 106,120 19,563,222 T. Rowe Price Group, Inc. 128,260 5,861,482 ---------------- 61,770,723 ---------------- COMMERCIAL BANKS--0.7% Wells Fargo & Co. 335,030 9,441,145 ---------------- DIVERSIFIED FINANCIAL SERVICES--3.7% BM&F BOVESPA SA 1,866,820 13,793,562 IntercontinentalExchange, Inc. (1) 204,730 19,897,709 JPMorgan Chase & Co. 183,300 8,032,206 MSCI, Inc., Cl. A (1) 420,123 12,444,043 ---------------- 54,167,520 ---------------- REAL ESTATE MANAGEMENT & DEVELOPMENT--0.5% Jones Lang LaSalle, Inc. 149,430 7,078,499 ---------------- HEALTH CARE--17.4% BIOTECHNOLOGY--4.3% Amgen, Inc. (1) 204,900 12,341,127 Celgene Corp. (1) 390,270 21,816,093 Gilead Sciences, Inc. (1) 445,350 20,744,403 Vertex Pharmaceuticals, Inc. (1) 178,800 6,776,520 ---------------- 61,678,143 ---------------- HEALTH CARE EQUIPMENT & SUPPLIES--3.6% Bard (C.R.), Inc. 82,790 6,508,122 Baxter International, Inc. 492,060 28,052,341 Dentsply International, Inc. 346,820 11,979,163 Stryker Corp. 135,960 6,176,663 ---------------- 52,716,289 ---------------- HEALTH CARE PROVIDERS & SERVICES--3.6% Express Scripts, Inc. (1) 331,980 25,755,008 Medco Health Solutions, Inc. (1) 211,950 11,722,955 Schein (Henry), Inc. (1) 206,210 11,322,991 UnitedHealth Group, Inc. 150,270 3,762,761 ---------------- 52,563,715 ---------------- LIFE SCIENCES TOOLS & SERVICES--2.0% Illumina, Inc. (1) 238,670 10,143,475 Thermo Fisher Scientific, Inc. (1) 427,930 18,687,703 ---------------- 28,831,178 ---------------- PHARMACEUTICALS--3.9% Abbott Laboratories 191,520 9,474,494 Allergan, Inc. 245,320 13,924,363 Novo Nordisk AS, Cl. B 125,690 7,894,487 Roche Holding AG 89,655 14,491,183
2 | OPPENHEIMER CAPITAL APPRECIATION FUND/VA Oppenheimer Capital Appreciation Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
SHARES VALUE ------------ ---------------- PHARMACEUTICALS CONTINUED Shire plc 583,220 $ 10,103,728 ---------------- 55,888,255 ---------------- INDUSTRIALS--6.5% AEROSPACE & DEFENSE--2.8% General Dynamics Corp. 134,580 8,693,868 Goodrich Corp. 115,592 6,281,269 Lockheed Martin Corp. 236,570 18,471,386 United Technologies Corp. 125,290 7,633,920 ---------------- 41,080,443 ---------------- CONSTRUCTION & ENGINEERING--0.6% Quanta Services, Inc. (1) 363,090 8,035,182 ---------------- ELECTRICAL EQUIPMENT--2.0% ABB Ltd. 1,097,990 22,038,205 First Solar, Inc. (1) 42,900 6,557,694 ---------------- 28,595,899 ---------------- MACHINERY--0.6% Joy Global, Inc. 188,807 9,240,215 ---------------- ROAD & RAIL--0.5% Burlington Northern Santa Fe Corp. 85,470 6,823,070 ---------------- INFORMATION TECHNOLOGY--33.5% COMMUNICATIONS EQUIPMENT--6.0% F5 Networks, Inc. (1) 175,350 6,949,121 Juniper Networks, Inc. (1) 393,260 10,625,885 QUALCOMM, Inc. 1,028,290 46,252,484 Research in Motion Ltd. (1) 344,600 23,277,730 ---------------- 87,105,220 ---------------- COMPUTERS & PERIPHERALS--6.8% Apple, Inc. (1) 229,250 42,496,073 Dell, Inc. (1) 563,200 8,594,432 Hewlett-Packard Co. 653,900 30,870,619 NetApp, Inc. (1) 613,960 16,380,453 ---------------- 98,341,577 ---------------- INTERNET SOFTWARE & SERVICES--4.7% eBay, Inc. (1) 636,630 15,030,834 Google, Inc., Cl. A (1) 106,000 52,560,100 ---------------- 67,590,934 ---------------- IT SERVICES--4.6% Accenture plc, Cl. A 375,080 13,979,232 MasterCard, Inc., Cl. A 127,360 25,745,824 SAIC, Inc. (1) 66,160 1,160,446 Visa, Inc., Cl. A 375,097 25,922,954 ---------------- 66,808,456 ---------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--5.4% Applied Materials, Inc. 813,630 10,902,642 Broadcom Corp., Cl. A (1) 597,330 18,332,058 MEMC Electronic Materials, Inc. (1) 516,700 8,592,721
3 | OPPENHEIMER CAPITAL APPRECIATION FUND/VA Oppenheimer Capital Appreciation Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
SHARES VALUE ------------ ---------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT CONTINUED NVIDIA Corp. (1) 1,524,700 $ 22,916,241 Texas Instruments, Inc. 751,110 17,793,796 ---------------- 78,537,458 ---------------- SOFTWARE--6.0% Adobe Systems, Inc. (1) 636,410 21,026,986 Electronic Arts, Inc. (1) 269,650 5,136,833 Microsoft Corp. 717,840 18,584,878 Nintendo Co. Ltd. 50,290 12,885,534 Oracle Corp. 808,340 16,845,806 Salesforce.com, Inc. (1) 135,605 7,719,993 Symantec Corp. (1) 256,500 4,224,555 ---------------- 86,424,585 ---------------- MATERIALS--4.6% CHEMICALS--4.6% Monsanto Co. 413,110 31,974,714 Potash Corp. of Saskatchewan, Inc. 132,080 11,932,107 Praxair, Inc. 275,022 22,466,542 ---------------- 66,373,363 ---------------- TELECOMMUNICATION SERVICES--2.5% WIRELESS TELECOMMUNICATION SERVICES--2.5% Crown Castle International Corp. (1) 663,140 20,796,070 NII Holdings, Inc. (1) 510,580 15,307,188 ---------------- 36,103,258 ---------------- Total Common Stocks (Cost $1,137,844,216) 1,427,869,020 ---------------- INVESTMENT COMPANIES--1.1% JPMorgan U.S. Treasury Plus Money Market Fund, Agency Shares, 0.00% (2, 3) 355,729 355,729 Oppenheimer Institutional Money Market Fund, Cl. E, 0.27% (2, 4) 15,660,076 15,660,076 ---------------- Total Investment Companies (Cost $16,015,805) 16,015,805 ---------------- TOTAL INVESTMENTS, AT VALUE (COST $1,153,860,021) 99.9% 1,443,884,825 OTHER ASSETS NET OF LIABILITIES 0.1 1,508,708 ------------ ---------------- NET ASSETS 100.0% $ 1,445,393,533 ============ ================
Footnotes to Statement of Investments (1.) Non-income producing security. (2.) Rate shown is the 7-day yield as of September 30, 2009. (3.) Interest rate is less than 0.0005%. 4 | OPPENHEIMER CAPITAL APPRECIATION FUND/VA Oppenheimer Capital Appreciation Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED (4.) Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 30, 2009, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows:
SHARES GROSS GROSS SHARES DECEMBER 31, 2008 ADDITIONS REDUCTIONS SEPTEMBER 30, 2009 ----------------- ----------- ----------- ------------------ Oppenheimer Institutional Money Market Fund, Cl. E 22,383,442 196,669,154 203,392,520 15,660,076
VALUE INCOME ----------- -------- Oppenheimer Institutional Money Market Fund, Cl. E $15,660,076 $123,720
VALUATION INPUTS Various data inputs are used in determining the value of each of the Fund's investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards: 1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) 2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) 3) Level 3-significant unobservable inputs (including the Manager's own judgments about assumptions that market participants would use in pricing the asset). The table below categorizes amounts that are included in the Fund's Statement of Assets and Liabilities as of September 30, 2009 based on valuation input level:
LEVEL 3-- LEVEL 1-- LEVEL 2-- SIGNIFICANT UNADJUSTED OTHER SIGNIFICANT UNOBSERVABLE QUOTED PRICES OBSERVABLE INPUTS INPUTS VALUE -------------- ----------------- ------------ -------------- ASSETS TABLE INVESTMENTS, AT VALUE: Common Stocks Consumer Discretionary $ 111,877,553 $ -- $-- $ 111,877,553 Consumer Staples 120,881,355 -- -- 120,881,355 Energy 129,914,985 -- -- 129,914,985 Financials 114,484,912 17,972,975 -- 132,457,887 Health Care 243,783,093 7,894,487 -- 251,677,580 Industrials 93,774,809 -- -- 93,774,809 Information Technology 484,808,230 -- -- 484,808,230 Materials 66,373,363 -- -- 66,373,363 Telecommunication Services 36,103,258 -- -- 36,103,258 Investment Companies 16,015,805 -- -- 16,015,805 -------------- ----------- --- -------------- Total Assets $1,418,017,363 $25,867,462 $-- $1,443,884,825 -------------- ----------- --- --------------
Currency contracts and forwards, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract's value from trade date. Futures, if any, are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. All additional assets and liabilities included in the above table are reported at their market value at measurement date. SEE THE ACCOMPANYING NOTES FOR FURTHER DISCUSSION OF THE METHODS USED IN DETERMINING VALUE OF THE FUND'S INVESTMENTS, AND A SUMMARY OF CHANGES TO THE VALUATION TECHNIQUES, IF ANY, DURING THE REPORTING PERIOD. 5 | OPPENHEIMER CAPITAL APPRECIATION FUND/VA Oppenheimer Capital Appreciation Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED NOTES TO 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 trading. Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Unadjusted quoted prices in active markets for identical securities are classified as "Level 1," inputs other than unadjusted quoted prices for an asset that are observable are classified as "Level 2" and significant unobservable inputs, including the Manager's judgment about the assumptions that a market participant would use in pricing an asset or liability are classified as "Level 3." The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. A table summarizing the Fund's investments under these levels of classification is included following the Statement of Investments. Securities are valued using unadjusted quoted market prices, when available, as supplied primarily either by portfolio pricing services approved by the Board of Trustees or dealers. Securities traded on a registered U.S. securities exchange are valued based on the last sale price of the security reported on the principal exchange on which traded, prior to the time when the Fund's assets are valued. Securities whose principal exchange is NASDAQ(R) are valued based on the official closing prices reported 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 current day's closing "bid" and "asked" prices, and if not, at the current day's closing bid price. A foreign security traded on a foreign exchange is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the portfolio pricing service used by the Manager, prior to the time when the Fund's assets are valued. In the absence of a sale, the security is valued at the most recent official closing price on the principal exchange on which it is traded. Shares of a registered investment company that are not traded on an exchange are valued at that investment company's net asset value per share. Corporate, government and municipal debt instruments having a remaining maturity in excess of sixty days and all mortgage-backed securities, collateralized mortgage obligations and other asset-backed securities are valued at the mean between the "bid" and "asked" prices. "Money market-type" debt instruments with remaining maturities of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. In the absence of a readily available unadjusted quoted market price, including for 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 the securities' respective exchanges, the Manager, acting through its internal valuation committee, in good faith determines the fair valuation of that asset using consistently applied procedures under the supervision of the Board of Trustees (which reviews those fair valuations by the Manager). Those procedures include certain standardized methodologies to fair value securities. Such methodologies include, but are not limited to, pricing securities initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be adjusted for any discounts related to resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. There have been no significant changes to the fair valuation methodologies during the period. FOREIGN CURRENCY TRANSLATION. The Fund's accounting records are maintained in U.S. dollars. The values of securities denominated in foreign currencies and amounts related to the purchase and sale of foreign securities and foreign investment income are translated into U.S. dollars as of the close of the Exchange, normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading. Foreign exchange rates may be valued primarily using a reliable bank, dealer or service authorized by the Board of Trustees. 6 | OPPENHEIMER CAPITAL APPRECIATION FUND/VA Oppenheimer Capital Appreciation Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED Reported net realized gains and losses from foreign currency transactions arise from sales of portfolio securities, sales and maturities of short-term securities, sales of foreign currencies, exchange rate fluctuations between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized appreciation and depreciation on the translation of assets and liabilities denominated in foreign currencies arise from changes in the values of assets and liabilities, including investments in securities at fiscal period end, resulting from changes in exchange rates. The effect of changes in foreign currency exchange rates on investments is separately identified from the fluctuations arising from changes in market values of securities held and reported with all other foreign currency gains and losses in the Fund's Statement of Operations in the annual and semiannual reports. INVESTMENT IN OPPENHEIMER INSTITUTIONAL MONEY MARKET FUND. The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund ("IMMF") to seek current income while preserving liquidity. IMMF is a registered open-end management investment company, regulated as a money market fund under the Investment Company Act of 1940, as amended. The Manager is also the investment adviser of IMMF. When applicable, the Fund's investment in IMMF is included in the Statement of Investments. Shares of IMMF are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of IMMF's Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund's investment in IMMF. FOREIGN CURRENCY EXCHANGE CONTRACTS The Fund may enter into current and forward foreign currency exchange contracts for the purchase or sale of a foreign currency at a negotiated rate at a future date. Foreign currency exchange contracts are reported on a schedule following the Statement of Investments. These contracts will be valued daily based upon the closing prices of the currency rates determined at the close of the Exchange as provided by a bank, dealer or pricing service. The resulting unrealized appreciation (depreciation) is reported in the Statement of Assets and Liabilities in the annual and semiannual reports as a receivable or payable and in the Statement of Operations in the annual and semiannual reports within the change in unrealized appreciation (depreciation). At contract close, the difference between the original cost of the contract and the value at the close date is recorded as a realized gain (loss) in the Statement of Operations in the annual and semiannual reports. The Fund has purchased and sold foreign currency exchange contracts of different currencies in order to acquire currencies to pay for related foreign securities purchase transactions, or to convert foreign currencies to U.S. dollars from related foreign securities sale transactions. These foreign currency exchange contracts are negotiated at the current spot exchange rate with settlement typically within two business days thereafter. Additional associated risk to the Fund includes counterparty credit risk. Counterparty credit risk arises from the possibility that the counterparty will default. If the counterparty defaults, the Fund's loss will consist of the net amount of contractual payments that the Fund has not yet received. As of September 30, 2009, the Fund held no outstanding forward contracts. 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 September 30, 2009 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 $1,180,179,424 ============== Gross unrealized appreciation $ 296,273,439
7 | OPPENHEIMER CAPITAL APPRECIATION FUND/VA Oppenheimer Capital Appreciation Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED Gross unrealized depreciation (32,568,038) -------------- Net unrealized appreciation $ 263,705,401 ==============
8 | OPPENHEIMER CAPITAL APPRECIATION FUND/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE ------------ ------------- ASSET-BACKED SECURITIES--8.1% Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl. A2, 0.726%, 5/25/34(1) $ 1,538,283 $ 1,053,152 Argent Securities Trust 2006-M3, Asset-Backed Pass-Through Certificates, Series 2006-M3, Cl. A2B, 0.346%, 9/25/36(1) 26,638 15,327 Bank of America Auto Trust, Automobile Asset-Backed Certificates, Series 2009-2A, Cl. A4, 3.03%, 10/15/16(2) 2,025,000 2,033,916 Bank of America Credit Card Trust, Credit Card Asset-Backed Certificates, Series 2006-A16, Cl. A16, 4.72%, 5/15/13 730,000 761,416 Centex Home Equity Loan Trust 2006-A, Asset-Backed Certificates, Series 2006-A, Cl. AV2, 0.346%, 5/16/36(1) 4,548 4,467 Chase Issuance Trust, Credit Card Asset-Backed Certificates, Series 2007-A15, Cl. A, 4.96%, 9/17/12 1,730,000 1,799,235 Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15 310,000 304,124 CNH Equipment Trust, Asset-Backed Certificates, Series 2009-B, Cl. A3, 2.97%, 3/15/13 900,000 915,095 Countrywide Home Loans, Asset-Backed Certificates: Series 2002-4, Cl. A1, 0.986%, 2/25/33(1) 35,747 22,303 Series 2005-16, Cl. 2AF2, 5.382%, 5/25/36(1) 653,845 511,718 Series 2005-17, Cl. 1AF2, 5.363%, 5/25/36(1) 371,113 291,605 CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 0.366%, 6/25/47(1) 40,000 26,378 First Franklin Mortgage Loan Trust 2006-FF10, Mtg. Pass-Through Certificates, Series 2006-FF10, Cl. A3, 0.336%, 7/25/36(1) 39,589 37,379 First Franklin Mortgage Loan Trust 2006-FF9, Mtg. Pass-Through Certificates, Series 2006-FF9, Cl. 2A2, 0.356%, 7/7/36(1) 22,229 16,845 Ford Credit Auto Owner Trust, Automobile Receivables Nts., Series 2009-B, Cl. A2, 2.10%, 11/15/11 545,000 549,757 Harley-Davidson Motorcycle Trust 2009-2, Motorcycle Contract-Backed Nts., Series 2009-2, Cl. A2, 2%, 7/15/12 1,495,000 1,507,113 Honda Auto Receivables 2009-3 Owner Trust, Automobile Asset-Backed Nts., Series 2009-3, Cl. A2, 1.50%, 8/15/11(3) 650,000 652,665 HSBC Home Equity Loan Trust 2005-3, Closed-End Home Equity Loan Asset-Backed Certificates, Series 2005-3, Cl. A1, 0.533%, 1/20/35(1) 541,307 468,550 HSBC Home Equity Loan Trust 2006-4, Closed-End Home Equity Loan Asset-Backed Certificates, Series 2006-4, Cl. A2V, 0.383%, 3/20/36(1) 25,000 23,357 Lehman XS Trust, Mtg. Pass-Through Certificates, Series 2005-4, Cl. 2A1B, 5.17%, 10/25/35 139,191 137,651 Litigation Settlement Monetized Fee Trust, Asset-Backed Certificates, Series 2001-1A, Cl. A1, 8.33%, 4/25/31(3) 846,343 847,629 Mastr Asset-Backed Securities Trust 2006-WMC3, Mtg. Pass-Through Certificates, Series 2006-WMC3, Cl. A3, 0.346%, 8/25/36(1) 70,000 22,966 MBNA Credit Card Master Note Trust, Credit Card Receivables, Series 2005-A6, Cl. A6, 4.50%, 1/15/13 1,740,000 1,791,008
1 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE ------------ ------------- NC Finance Trust, CMO Pass-Through Certificates, Series 1999-I, Cl. ECFD, 2.55%, 1/25/29(1, 3) $ 3,370,016 $ 505,502 Option One Mortgage Loan Trust 2006-2, Asset-Backed Certificates, Series 2006-2, Cl. 2A2, 0.346%, 7/1/36(1) 829,345 673,505 Popular ABS Mortgage Pass-Through Trust 2005-6, Mtg. Pass-Through Certificates, Series 2005-6, Cl. A3, 5.68%, 1/25/36(1) 533,197 471,843 RASC Series 2006-KS7 Trust, Home Equity Mtg. Asset-Backed Pass-Through Certificates, Series 2006-KS7, Cl. A2, 0.346%, 9/25/36(1) 28,577 27,210 Structured Asset Investment Loan Trust, Mtg. Pass-Through Certificates, Series 2006-BNC3, Cl. A2, 0.286%, 9/25/36(1) 149,471 147,491 Wells Fargo Home Equity Asset-Backed Securities 2006-2 Trust, Home Equity Asset-Backed Certificates, Series 2006-2, Cl. A2, 0.346%, 7/25/36(1) 14,621 14,390 ------------- Total Asset-Backed Securities (Cost $19,432,254) 15,633,597 ------------- MORTGAGE-BACKED OBLIGATIONS--86.2% GOVERNMENT AGENCY--74.1% FHLMC/FNMA/FHLB/SPONSORED--69.9% Federal Home Loan Bank, Mtg.-Backed Obligations, Series 5G-2012, Cl. 1, 4.97%, 2/24/12 452,705 476,896 Federal Home Loan Mortgage Corp.: 5%, 8/15/33-12/15/34 3,496,357 3,631,440 5.50%, 9/1/39(4) 1,920,000 2,012,500 6%, 5/15/18-10/15/29 4,918,180 5,265,975 6.50%, 4/15/18-4/1/34 1,015,605 1,090,987 7%, 8/15/16-10/1/37 900,253 975,693 7%, 10/1/31(5) 580,469 638,510 8%, 4/1/16 355,066 385,151 9%, 8/1/22-5/1/25 103,874 115,030 10.50%, 11/14/20 4,546 5,175 Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Series 151, Cl. F, 9%, 5/15/21 22,001 23,957 Series 1674, Cl. Z, 6.75%, 2/15/24 74,412 80,598 Series 2006-11, Cl. PS, 23.664%, 3/25/36(1) 554,331 746,517 Series 2034, Cl. Z, 6.50%, 2/15/28 9,831 10,608 Series 2042, Cl. N, 6.50%, 3/15/28 27,236 28,728 Series 2043, Cl. ZP, 6.50%, 4/15/28 871,159 932,870 Series 2046, Cl. G, 6.50%, 4/15/28 78,878 84,973 Series 2053, Cl. Z, 6.50%, 4/15/28 11,384 12,222 Series 2066, Cl. Z, 6.50%, 6/15/28 1,494,418 1,593,068 Series 2195, Cl. LH, 6.50%, 10/15/29 925,212 986,339 Series 2220, Cl. PD, 8%, 3/15/30 4,154 4,549 Series 2326, Cl. ZP, 6.50%, 6/15/31 280,135 300,129 Series 2435, Cl. EQ, 6%, 5/15/31 14,829 15,068 Series 2461, Cl. PZ, 6.50%, 6/15/32 1,345,997 1,467,989 Series 2470, Cl. LF, 1.243%, 2/15/32(1) 13,010 13,050 Series 2500, Cl. FD, 0.743%, 3/15/32(1) 239,805 235,995 Series 2526, Cl. FE, 0.643%, 6/15/29(1) 366,015 357,843 Series 2538, Cl. F, 0.843%, 12/15/32(1) 1,956,239 1,936,560
2 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE ------------ ------------- FHLMC/FNMA/FHLB/SPONSORED CONTINUED Series 2551, Cl. FD, 0.643%, 1/15/33(1) $ 265,965 $ 262,144 Series 2638, Cl. KG, 4%, 11/1/27 1,900,000 1,959,630 Series 2641, Cl. CE, 3.50%, 9/15/25 5,210 5,231 Series 2648, Cl. JE, 3%, 2/1/30 1,617,212 1,633,357 Series 2663, Cl. BA, 4%, 8/1/16 805,990 831,594 Series 2686, Cl. CD, 4.50%, 2/1/17 824,885 853,932 Series 2750, Cl. XG, 5%, 2/1/34 130,000 134,026 Series 2890, Cl. PE, 5%, 11/1/34 130,000 132,587 Series 2936, Cl. PE, 5%, 2/1/35 69,000 70,254 Series 2939, Cl. PE, 5%, 2/15/35 247,000 251,848 Series 3019, Cl. MD, 4.75%, 1/1/31 790,036 824,657 Series 3025, Cl. SJ, 23.858%, 8/15/35(1) 115,094 152,926 Series 3035, Cl. DM, 5.50%, 11/15/25 25,901 26,342 Series 3094, Cl. HS, 23.491%, 6/15/34(1) 324,406 408,946 Series 3157, Cl. MC, 5.50%, 2/1/26 1,657,137 1,703,944 Series 3279, Cl. PH, 6%, 2/1/27 1,030,000 1,074,070 Series 3306, Cl. PA, 5.50%, 10/1/27 828,853 858,301 Series R001, Cl. AE, 4.375%, 4/1/15 534,408 550,652 Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 176, Cl. IO, 14.49%, 6/1/26(6) 59,009 10,860 Series 202, Cl. IO, 0.00%, 4/1/29(6, 14) 439,439 101,772 Series 205, Cl. IO, 9.447%, 9/1/29(6) 31,348 6,213 Series 206, Cl. IO, 0.00%, 12/1/29(6, 14) 385,572 69,575 Series 2074, Cl. S, 51.102%, 7/17/28(6) 6,308 927 Series 2079, Cl. S, 62.987%, 7/17/28(6) 10,606 1,581 Series 2130, Cl. SC, 52.189%, 3/15/29(6) 444,242 73,021 Series 224, Cl. IO, 0.063%, 3/1/33(6) 783,608 142,695 Series 243, Cl. 6, 0.00%, 12/15/32(6, 14) 475,775 85,533 Series 2526, Cl. SE, 39.904%, 6/15/29(6) 16,530 2,707 Series 2527, Cl. SG, 41.209%, 2/15/32(6) 1,557,754 83,962 Series 2531, Cl. ST, 49.039%, 2/15/30(6) 499,210 29,158 Series 2796, Cl. SD, 66.895%, 7/15/26(6) 702,376 120,753 Series 2802, Cl. AS, 99.999%, 4/15/33(6) 660,432 66,544 Series 2819, Cl. S, 54.08%, 6/15/34(6) 141,399 17,997 Series 2920, Cl. S, 78.287%, 1/15/35(6) 2,700,250 322,599 Series 3000, Cl. SE, 99.999%, 7/15/25(6) 2,953,677 284,227 Series 3004, Cl. SB, 99.999%, 7/15/35(6) 154,212 17,895 Series 3045, Cl. DI, 41.30%, 10/15/35(6) 1,812,959 233,236 Series 3110, Cl. SL, 99.999%, 2/15/26(6) 440,478 40,984 Series 3399, Cl. SC, 19.915%, 12/15/37(6) 1,736,956 187,123 Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security: Series 176, Cl. PO, 4.457%, 6/1/26(7) 166,895 141,603 Series 192, Cl. PO, 7.382%, 2/1/28(7) 165,329 146,904 Federal National Mortgage Assn.: 4.50%, 10/1/24-10/1/39(4) 9,980,000 10,172,863 5%, 2/25/22-7/25/22 36,652 38,516
3 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE ------------ ------------- FHLMC/FNMA/FHLB/SPONSORED CONTINUED 5%, 10/1/24-11/1/39(4) $ 8,889,000 $ 9,161,535 5.303%, 10/1/36 403,716 422,093 5.50%, 10/1/24-10/1/39(4) 17,320,000 18,124,152 6%, 10/1/24-10/1/39(4) 18,534,000 19,610,012 6.50%, 3/25/11-1/1/34 1,856,075 2,002,760 6.50%, 10/1/39(4) 11,466,000 12,256,076 6.50%, 8/25/17(5) 309,392 334,034 7%, 11/1/17-7/25/35 1,123,394 1,208,535 7.50%, 1/1/33 17,252 19,325 8.50%, 7/1/32 46,826 52,032 Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Trust 1989-17, Cl. E, 10.40%, 4/25/19 27,913 30,813 Trust 1993-87, Cl. Z, 6.50%, 6/25/23 919,191 1,009,456 Trust 1998-58, Cl. PC, 6.50%, 10/25/28 784,270 850,878 Trust 1998-61, Cl. PL, 6%, 11/25/28 412,097 447,288 Trust 1999-54, Cl. LH, 6.50%, 11/25/29 620,660 670,984 Trust 2001-44, Cl. QC, 6%, 9/25/16 44,081 47,485 Trust 2001-51, Cl. OD, 6.50%, 10/25/31 45,674 48,945 Trust 2001-74, Cl. QE, 6%, 12/25/311 1,214,508 1,312,104 Trust 2002-12, Cl. PG, 6%, 3/25/17 21,834 23,557 Trust 2003-28, Cl. KG, 5.50%, 4/25/23 3,964,000 4,179,060 Trust 2004-101, Cl. BG, 5%, 1/25/20 1,975,000 2,106,332 Trust 2004-81, Cl. KC, 4.50%, 4/1/17 631,323 653,982 Trust 2005-100, Cl. BQ, 5.50%, 11/25/25 1,160,000 1,216,195 Trust 2005-117, Cl. LA, 5.50%, 12/25/27 81,232 83,357 Trust 2005-57, Cl. PA, 5.50%, 5/1/27 773,200 787,832 Trust 2006-110, Cl. PW, 5.50%, 5/25/28 122,678 127,924 Trust 2006-46, Cl. SW, 23.296%, 6/25/36(1) 419,723 551,144 Trust 2006-50, Cl. KS, 23.297%, 6/25/36(1) 840,560 1,064,641 Trust 2006-57, Cl. PA, 5.50%, 8/25/27 1,184,343 1,228,629 Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Trust 2001-61, Cl. SH, 52.128%, 11/18/31(6) 49,498 6,338 Trust 2001-63, Cl. SD, 40.886%, 12/18/31(6) 15,100 2,194 Trust 2001-65, Cl. S, 48.991%, 11/25/31(6) 1,241,894 159,245 Trust 2001-68, Cl. SC, 32.556%, 11/25/31(6) 10,405 1,345 Trust 2001-81, Cl. S, 36.26%, 1/25/32(6) 323,158 42,764 Trust 2002-28, Cl. SA, 39.899%, 4/25/32(6) 8,438 1,104 Trust 2002-38, Cl. SO, 59.276%, 4/25/32(6) 19,493 2,242 Trust 2002-39, Cl. SD, 43.59%, 3/18/32(6) 12,890 1,716 Trust 2002-47, Cl. NS, 34.916%, 4/25/32(6) 839,665 116,233 Trust 2002-48, Cl. S, 36.248%, 7/25/32(6) 13,996 1,911 Trust 2002-51, Cl. S, 35.232%, 8/25/32(6) 770,815 105,698 Trust 2002-52, Cl. SD, 40.045%, 9/25/32(6) 907,198 121,502 Trust 2002-52, Cl. SL, 37.588%, 9/25/32(6) 8,721 1,191 Trust 2002-53, Cl. SK, 40.988%, 4/25/32(6) 44,911 6,694 Trust 2002-56, Cl. SN, 39.026%, 7/25/32(6) 19,083 2,621 Trust 2002-60, Cl. SM, 51.256%, 8/25/32(6) 171,864 19,422
4 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE ------------ ------------- FHLMC/FNMA/FHLB/SPONSORED CONTINUED Trust 2002-7, Cl. SK, 51.66%, 1/25/32(6) $ 80,458 $ 10,012 Trust 2002-77, Cl. BS, 42.203%, 12/18/32(6) 102,977 12,800 Trust 2002-77, Cl. IS, 51.671%, 12/18/32(6) 33,211 4,838 Trust 2002-77, Cl. JS, 40.501%, 12/18/32(6) 173,630 21,512 Trust 2002-77, Cl. SA, 42.037%, 12/18/32(6) 164,348 20,444 Trust 2002-77, Cl. SH, 44.185%, 12/18/32(6) 412,901 67,081 Trust 2002-84, Cl. SA, 50.50%, 12/25/32(6) 1,110,455 138,700 Trust 2002-9, Cl. MS, 35.446%, 3/25/32(6) 16,083 2,334 Trust 2002-90, Cl. SN, 53.481%, 8/25/32(6) 88,415 10,397 Trust 2002-90, Cl. SY, 54.722%, 9/25/32(6) 55,576 6,247 Trust 2003-26, Cl. DI, 11.701%, 4/25/33(6) 34,361 5,812 Trust 2003-33, Cl. SP, 55.605%, 5/25/33(6) 1,202,039 165,445 Trust 2003-4, Cl. S, 47.843%, 2/25/33(6) 789,837 109,631 Trust 2003-89, Cl. XS, 65.165%, 11/25/32(6) 917,596 64,375 Trust 2004-54, Cl. DS, 51.233%, 11/25/30(6) 650,099 86,163 Trust 2005-14, Cl. SE, 42.486%, 3/25/35(6) 545,567 48,028 Trust 2005-40, Cl. SA, 75.158%, 5/25/35(6) 1,530,569 194,670 Trust 2005-40, Cl. SB, 88.082%, 5/25/35(6) 68,762 11,038 Trust 2005-6, Cl. SE, 86.496%, 2/25/35(6) 1,969,792 233,593 Trust 2005-71, Cl. SA, 73.639%, 8/25/25(6) 1,902,607 220,720 Trust 2005-87, Cl. SE, 79.992%, 10/25/35(6) 5,961,712 511,809 Trust 2005-87, Cl. SG, 94.175%, 10/25/35(6) 4,122,090 396,935 Trust 2006-60, Cl. DI, 40.563%, 4/25/35(6) 396,494 57,825 Trust 221, Cl. 2, 22.573%, 5/1/23(6) 10,981 1,970 Trust 222, Cl. 2, 16.853%, 6/1/23(6) 1,314,208 236,847 Trust 240, Cl. 2, 21.236%, 9/1/23(6) 1,661,217 297,549 Trust 252, Cl. 2, 22.486%, 11/1/23(6) 1,077,394 198,401 Trust 273, Cl. 2, 14.072%, 8/1/26(6) 310,780 57,457 Trust 294, Cl. 2, 7.211%, 2/1/28(6) 121,068 22,342 Trust 301, Cl. 2, 0.257%, 4/1/29(6) 14,665 3,412 Trust 303, Cl. IO, 0.00%, 11/1/29(6, 14) 184,124 33,994 Trust 320, Cl. 2, 7.828%, 4/1/32(6) 878,096 174,486 Trust 321, Cl. 2, 0.752%, 4/1/32(6) 2,898,136 601,277 Trust 324, Cl. 2, 0.353%, 7/1/32(6) 30,508 6,178 Trust 331, Cl. 5, 0.00%, 2/1/33(6, 14) 43,419 7,565 Trust 331, Cl. 9, 9.529%, 2/1/33(6) 749,503 128,879 Trust 334, Cl. 12, 0.00%, 2/1/33(6, 14) 75,452 12,702 Trust 334, Cl. 17, 16.854%, 2/1/33(6) 513,944 78,711 Trust 338, Cl. 2, 2.278%, 7/1/33(6) 1,513,120 259,338 Trust 339, Cl. 12, 0.00%, 7/1/33(6, 14) 1,017,716 169,797 Trust 339, Cl. 7, 0.00%, 7/1/33(6, 14) 2,555,656 346,827 Trust 343, Cl. 13, 6.891%, 9/1/33(6) 867,836 151,081 Trust 343, Cl. 18, 0.184%, 5/1/34(6) 258,697 37,214 Trust 345, Cl. 9, 0.00%, 1/1/34(6, 14) 1,163,570 169,786 Trust 351, Cl. 10, 0.00%, 4/1/34(6, 14) 360,466 48,448
5 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE ------------ ------------- FHLMC/FNMA/FHLB/SPONSORED CONTINUED Trust 351, Cl. 8, 0.643%, 4/1/34(6) $ 561,256 $ 74,636 Trust 356, Cl. 10, 0.00%, 6/1/35(6, 14) 483,503 69,180 Trust 356, Cl. 12, 0.00%, 2/1/35(6, 14) 246,384 32,803 Trust 362, Cl. 12, 0.00%, 8/1/35(6, 14) 1,471,309 254,320 Trust 362, Cl. 13, 0.00%, 8/1/35(6, 14) 808,674 135,561 Trust 364, Cl. 15, 0.00%, 9/1/35(6, 14) 53,931 8,328 Trust 364, Cl. 16, 0.00%, 9/1/35(6, 14) 1,036,795 143,994 Trust 365, Cl. 16, 12.389%, 3/1/36(6) 1,734,304 230,256 Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security: Trust 1993-184, Cl. M, 5.279%, 9/25/23(7) 399,609 326,500 Trust 324, Cl. 1, 7.918%, 7/1/32(7) 13,555 11,899 ------------- 134,517,636 ------------- GNMA/GUARANTEED--4.2% Government National Mortgage Assn.: 4.50%, 10/1/39(4) 6,430,000 6,526,450 7%, 12/29/23-3/15/26 35,522 39,124 8.50%, 8/1/17-12/15/17 164,696 179,029 Government National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Series 1999-32, Cl. ZB, 8%, 9/16/29 101,510 110,821 Government National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates, Series 2000-7, Cl. Z, 8%, 1/16/30 44,083 47,686 Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Series 1998-19, Cl. SB, 49.023%, 7/16/28(6) 21,590 3,232 Series 2001-21, Cl. SB, 79.911%, 1/16/27(6) 792,086 112,266 Series 2002-15, Cl. SM, 68.868%, 2/16/32(6) 830,942 136,969 Series 2004-11, Cl. SM, 57.151%, 1/17/30(6) 596,572 91,163 Series 2006-47, Cl. SA, 82.856%, 8/16/36(6) 7,503,140 842,182 ------------- 8,088,922 ------------- NON-AGENCY--12.1% COMMERCIAL--8.7% Asset Securitization Corp., Commercial Interest-Only Stripped Mtg.-Backed Security, Series 1997-D4, Cl. PS1, 0.661%, 4/14/29(6) 8,830,986 368,870 Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2006-1, Cl. AM, 5.421%, 9/1/45 4,070,000 3,355,155 Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed Pass-Through Certificates, Series 1997-CTL1, 0.00%, 6/22/24(6, 14) 7,520,037 310,596 ChaseFlex Trust 2006-2, Multiclass Mtg. Pass-Through Certificates, Series 2006-2, Cl. A1B, 0.366%, 9/25/36(1) 201 200 CHL Mortgage Pass-Through Trust 2005-17, Mtg. Pass-Through Certificates, Series 2005-17, Cl. 1A8, 5.50%, 9/1/35 80,000 60,664
6 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE ------------ ------------- COMMERCIAL CONTINUED Citigroup Commercial Mortgage Trust 2008-C7, Commercial Mtg. Pass-Through Certificates, Series 2008-C7, Cl. AM, 6.299%, 12/1/49(1) 1,920,000 1,336,817 Citigroup, Inc., Deutsche Bank 2007-CD4 Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2007-CD4, Cl. A2B, 5.205%, 12/11/49 $ 380,000 $ 378,578 CWALT Alternative Loan Trust 2007-8CB, Mtg. Pass-Through Certificates, Series 2007-8CB, Cl. A1, 5.50%, 5/25/37 122,390 89,939 First Horizon Alternative Mortgage Securities Trust 2004-FA2, Mtg. Pass-Through Certificates, Series 2004-FA2, Cl. 3A1, 6%, 1/25/35 673,282 597,206 First Horizon Mortgage Pass-Through Trust 2007-AR3, Mtg. Pass-Through Certificates, Series 2007-AR3, Cl. 1A1, 6.115%, 11/1/37(1) 566,165 387,138 GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations, Series 2004-C3, Cl. A2, 4.433%, 7/10/39 25,460 25,765 GS Mortgage Securities Corp. II, Commercial Mtg. Obligations, Series 2001-LIBA, Cl. B, 6.733%, 2/10/16 605,000 648,132 JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: Series 2005-LDP4, Cl. AM, 4.999%, 10/1/42 1,110,000 945,753 Series 2007-LDPX, Cl. A2S, 5.305%, 1/15/49 3,950,000 3,782,020 LB-UBS Commercial Mortgage Trust 2006-C1, Commercial Mtg. Pass-Through Certificates, Series 2006-C1, Cl. AM, 5.217%, 2/11/31(1) 2,300,000 1,860,499 Lehman Brothers Commercial Conduit Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 1998-C1, Cl. IO, 0.34%, 2/18/30(6) 4,246,163 135,330 Lehman Structured Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 2002-GE1, Cl. A, 2.514%, 7/1/24 205,427 153,753 Mastr Alternative Loan Trust 2004-6, Mtg. Pass-Through Certificates, Series 2004-6, Cl. 10A1, 6%, 7/25/34 1,236,638 1,058,616 Salomon Brothers Mortgage Securities VII, Inc., Interest-Only Commercial Mtg. Pass-Through Certificates, Series 1999-C1, Cl. X, 0.00%, 5/18/32(6, 14) 59,098,875 279,821 Structured Asset Securities Corp., Mtg. Pass-Through Certificates, Series 2002-AL1, Cl. B2, 3.45%, 2/25/32 2,002,064 855,415 ------------- 16,630,267 ------------- MANUFACTURED HOUSING--1.3% Wells Fargo Mortgage-Backed Securities 2006-AR2 Trust, Mtg. Pass-Through Certificates, Series 2006-AR2, Cl. 2A5, 5.031%, 3/25/36(1) 3,135,183 2,567,731 ------------- MULTIFAMILY--0.9% Wells Fargo Mortgage-Backed Securities 2004-AA Trust, Mtg. Pass-Through Certificates, Series 2004-AA, Cl. 2A, 4.979%, 12/25/34(1) 641,402 609,172 Wells Fargo Mortgage-Backed Securities 2004-S Trust, Mtg. Pass-Through Certificates, Series 2004-S, Cl. A1, 3.295%, 9/25/34(1) 547,704 532,488
7 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE ------------ ------------- MULTIFAMILY CONTINUED Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg. Pass-Through Certificates, Series 2006-AR6, Cl. 3A1, 5.094%, 3/25/36(1) $ 738,624 $ 611,261 ------------- 1,752,921 ------------- OTHER--0.0% Salomon Brothers Mortgage Securities VI, Inc., Interest-Only Stripped Mtg.-Backed Security, Series 1987-3, Cl. B, 52.455%, 10/23/17(6) 2,265 250 Salomon Brothers Mortgage Securities VI, Inc., Principal-Only Stripped Mtg.-Backed Security, Series 1987-3, Cl. A, 3.905%, 10/23/17(7) 3,353 3,248 ------------- 3,498 ------------- RESIDENTIAL--1.2% CHL Mortgage Pass-Through Trust 2005-J4, Mtg. Pass-Through Certificates, Series 2005-J4, Cl. A7, 5.50%, 11/1/35 40,000 28,868 JP Morgan Mortgage Trust 2006-A2, Mtg. Pass-Through Certificates, Series 2006-A2, Cl. 5A3, 4.439%, 11/1/33(1) 1,056,348 1,014,019 Merrill Lynch Mortgage Investors Trust 2006-3, Mtg. Pass-Through Certificates, Series 2006-3, Cl. 2A1, 6.08%, 10/25/36(1) 79,168 68,093 RALI Series 2003-QS1 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 443,318 439,829 RALI Series 2006-QS13 Trust: Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A5, 6%, 9/25/36 86,331 67,702 Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 14,630 13,812 RALI Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-QS6, Cl. A28, 5.75%, 4/25/37 32,923 20,305 Structured Adjustable Rate Mortgage Loan Trust, Mtg. Pass-Through Certificates, Series 2004-5, Cl. 3 A1, 3.734%, 5/1/34(1) 290,925 245,477 WaMu Mortgage Pass-Through Certificates 2007-HY1 Trust, Mtg. Pass-Through Certificates, Series 2007-HY1, Cl. 4A1, 5.392%, 2/1/37(1) 75,958 48,939 Wells Fargo Mortgage-Backed Securities 2004-R Trust, Mtg. Pass-Through Certificates, Series 2004-R, Cl. 2A1, 3.003%, 9/1/34(1) 354,274 337,534 ------------- 2,284,578 ------------- Total Mortgage-Backed Obligations (Cost $165,750,795) 165,845,553 ------------- U.S. GOVERNMENT OBLIGATIONS--1.9% Federal Home Loan Mortgage Corp. Nts., 2.50%, 4/23/14 2,020,000 2,026,478 Federal National Mortgage Assn. Nts., 3%, 9/16/14 1,555,000 1,583,209 Resolution Funding Corp. Bonds, Residual Funding STRIPS, 4.994%, 1/15/21(8) 180,000 111,718 ------------- Total U.S. Government Obligations (Cost $3,684,211) 3,721,405
8 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE ------------ ------------- CORPORATE BONDS AND NOTES--28.7% CONSUMER DISCRETIONARY--3.5% AUTOMOBILES--0.9% Daimler Finance North America LLC, 6.50% Sr. Unsec. Unsub. Nts., 11/15/13 $ 455,000 $ 490,816 DaimlerChrysler NA Holdings Corp., 8.50% Nts., 1/18/31 290,000 344,064 Ford Motor Credit Co. LLC, 9.75% Sr. Unsec. Nts., 9/15/10 880,000 899,463 ------------- 1,734,343 ------------- HOTELS, RESTAURANTS & LEISURE--0.3% Hyatt Hotels Corp., 5.75% Sr. Unsec. Unsub. Nts., 8/15/15(2) 468,000 477,792 ------------- MEDIA--1.7% CBS Corp., 8.875% Sr. Unsec. Nts., 5/15/19 425,000 469,519 Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22 290,000 373,535 Comcast Cable Communications, Inc., 8.875% Unsub. Nts., 5/1/17 525,000 648,545 DirecTV Holdings LLC/DirecTV Financing Co., Inc., 5.875% Sr. Unsec. Unsub. Nts., 10/1/19(2) 161,000 160,799 DISH DBS Corp., 7.875% Sr. Nts., 9/1/19(2) 405,000 411,075 Time Warner Cos., Inc., 9.125% Debs., 1/15/13 320,000 371,911 Time Warner Entertainment Co. LP, 8.375% Sr. Nts., 7/15/33 255,000 307,420 Time Warner, Inc., 6.50% Sr. Unsec. Debs., 11/15/36 372,000 381,972 Viacom, Inc., 6.25% Sr. Unsec. Nts., 4/30/16 190,000 205,247 ------------- 3,330,023 ------------- SPECIALTY RETAIL--0.6% Home Depot, Inc. (The), 5.875% Sr. Unsec. Unsub. Nts., 12/16/36 413,000 402,030 Staples, Inc., 7.75% Sr. Unsec. Unsub. Nts., 4/1/11 680,000 734,612 ------------- 1,136,642 ------------- CONSUMER STAPLES--2.2% BEVERAGES--0.3% Anheuser-Busch InBev Worldwide, Inc.: 7.75% Sr. Unsec. Unsub. Nts., 1/15/19(2) 320,000 379,291 8% Sr. Nts., 11/15/39(2) 170,000 220,718 ------------- 600,009 ------------- FOOD & STAPLES RETAILING--0.6% Delhaize America, Inc., 9% Unsub. Debs., 4/15/31 250,000 329,847 Safeway, Inc., 6.50% Sr. Unsec. Nts., 3/1/11 300,000 318,986 Supervalu, Inc., 7.50% Sr. Nts., 11/15/14 435,000 439,350 ------------- 1,088,183 ------------- FOOD PRODUCTS--0.8% Bunge Ltd. Finance Corp.: 5.35% Sr. Unsec. Unsub. Nts., 4/15/14 506,000 525,505 8.50% Sr. Unsec. Nts., 6/15/19 200,000 230,958 Heinz (H.J.) Finance Co., 7.125% Sr. Unsec. Nts., 8/1/39(2) 345,000 409,725 Sara Lee Corp., 6.25% Sr. Unsec. Unsub. Nts., 9/15/11 420,000 453,826 ------------- 1,620,014 ------------- TOBACCO--0.5% Altria Group, Inc., 9.70% Sr. Unsec. Nts., 11/10/18 785,000 976,569
9 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE ------------ ------------- ENERGY--4.5% ENERGY EQUIPMENT & SERVICES--0.3% Pride International, Inc., 8.50% Sr. Nts., 6/15/19 $ 530,000 $ 585,650 ------------- OIL, GAS & CONSUMABLE FUELS--4.2% Anadarko Petroleum Corp., 6.45% Sr. Unsec. Nts., 9/15/36 385,000 398,797 Chesapeake Energy Corp., 6.875% Sr. Unsec. Nts., 1/15/16 430,000 409,575 Duke Energy Field Services LLC, 7.875% Unsec. Nts., 8/16/10 425,000 445,607 El Paso Corp., 8.25% Sr. Unsec. Nts., 2/15/16 490,000 504,700 Enterprise Products Operating LLP, 7.50% Sr. Unsec. Unsub. Nts., 2/1/11 515,000 549,950 Hess Corp., 6.65% Sr. Unsec. Unsub. Nts., 8/15/11 259,000 278,093 Kaneb Pipe Line Operating Partnership LP, 5.875% Sr. Unsec. Nts., 6/1/13 930,000 964,098 Kerr-McGee Corp., 6.875% Sr. Unsec. Unsub. Nts., 9/15/11 343,000 368,486 Kinder Morgan Energy Partners LP, 9% Sr. Unsec. Nts., 2/1/19 400,000 485,458 Nexen, Inc.: 6.40% Sr. Unsec. Unsub. Bonds, 5/15/37 450,000 439,598 7.50% Nts., 7/30/39 180,000 196,669 Peabody Energy Corp., 6.875% Sr. Unsec. Nts., Series B, 3/15/13 450,000 456,750 Petro-Canada, 5.95% Sr. Unsec. Unsub. Bonds, 5/15/35 255,000 251,943 PF Export Receivables Master Trust, 3.748% Sr. Nts., Series B, 6/1/13(3) 742,393 758,169 Plains All American Pipeline LP, 6.50% Sr. Unsec. Unsub. Nts., 5/1/18 550,000 590,076 Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.50% Sr. Sec. Nts., 9/30/14(2) 270,000 288,051 Shell International Finance BV, 4.30% Nts., 9/22/19 160,000 161,160 Williams Cos., Inc. (The), 8.75% Unsec. Nts., 3/15/32 360,000 414,012 XTO Energy, Inc., 6.50% Sr. Unsec. Unsub. Nts., 12/15/18 170,000 188,003 ------------- 8,149,195 ------------- FINANCIALS--8.7% CAPITAL MARKETS--1.4% Blackstone Holdings Finance Co. LLC, 6.625% Sr. Unsec. Nts., 8/15/19(2) 405,000 411,406 Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 890,000 819,777 Morgan Stanley: 5.55% Sr. Unsec. Unsub. Nts., Series F, 4/27/17 215,000 214,568 7.30% Sr. Unsec. Nts., 5/13/19 1,180,000 1,300,597 ------------- 2,746,348 ------------- COMMERCIAL BANKS--1.5% Barclays Bank plc, 6.278% Perpetual Bonds(9) 1,000,000 750,015 HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/35(1) 890,000 676,400 PNC Funding Corp., 5.25% Gtd. Unsec. Sub. Nts., 11/15/15 535,000 549,201 Wachovia Corp., 5.625% Sub. Nts., 10/15/16 240,000 251,070 Wells Fargo Capital X, 5.95% Unsec. Sub. Bonds, 12/15/36 755,000 658,738 ------------- 2,885,424 ------------- CONSUMER FINANCE--0.6% American Express Bank FSB, 5.50% Sr. Unsec. Nts., 4/16/13 410,000 433,205 Capital One Bank USA NA, 8.80% Sub. Nts., 7/15/19 250,000 289,479
10 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE ------------ ------------- CONSUMER FINANCE CONTINUED Capital One Financial Corp., 5.70% Sr. Unsec. Unsub. Nts., 9/15/11 $ 490,000 $ 512,229 ------------- 1,234,913 ------------- DIVERSIFIED FINANCIAL SERVICES--3.0% Citigroup, Inc.: 6.125% Sub. Nts., 8/25/36 475,000 408,878 8.125% Sr. Unsec. Nts., 7/15/39 1,215,000 1,364,152 JPMorgan Chase & Co., 7.90% Perpetual Bonds, Series 1(9) 2,080,000 2,003,242 Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Bonds, 5/14/38 1,730,000 1,955,585 ------------- 5,731,857 ------------- INSURANCE--1.7% Axa SA, 6.379% Sub. Perpetual Bonds(2, 9) 665,000 538,650 Hartford Financial Services Group, Inc. (The): 5.375% Sr. Unsec. Nts., 3/15/17 400,000 366,883 6% Sr. Unsec. Nts., 1/15/19 545,000 517,742 Marsh & McLennan Cos., Inc., 5.15% Sr. Unsec. Nts., 9/15/10 455,000 464,441 MetLife, Inc., 6.40% Jr. Unsec. Sub. Bonds, 12/15/36(1) 415,000 356,900 Principal Life Global Funding I, 4.40% Sr. Sec. Nts., 10/1/10(2) 455,000 459,908 Prudential Holdings LLC, 8.695% Bonds, Series C, 12/18/23(2) 470,000 491,698 ------------- 3,196,222 ------------- REAL ESTATE INVESTMENT TRUSTS--0.5% Simon Property Group LP, 5.375% Sr. Unsec. Unsub. Nts., 6/1/11 447,000 460,840 WEA Finance LLC/WT Finance Aust Pty Ltd., 5.75% Nts., 9/2/15(2) 485,000 488,831 ------------- 949,671 ------------- HEALTH CARE--1.0% HEALTH CARE PROVIDERS & SERVICES--0.2% WellPoint, Inc., 5% Sr. Unsec. Unsub. Nts., 1/15/11 435,000 448,469 ------------- LIFE SCIENCES TOOLS & SERVICES--0.4% Fisher Scientific International, Inc., 6.125% Sr. Unsec. Sub. Nts., 7/1/15 705,000 732,451 ------------- PHARMACEUTICALS--0.4% Genentech, Inc., 5.25% Sr. Unsec. Unsub. Nts., 7/15/35 311,000 309,885 Watson Pharmaceuticals, Inc., 6.125% Sr. Unsec. Nts., 8/15/19 460,000 484,678 ------------- 794,563 ------------- INDUSTRIALS--2.5% AEROSPACE & DEFENSE--0.9% BAE Systems Holdings, Inc., 6.375% Nts., 6/1/19(2) 450,000 497,442 L-3 Communications Corp., 5.875% Sr. Sub. Nts., 1/15/15 485,000 485,000 Meccanica Holdings USA: 6.25% Sr. Unsec. Unsub. Nts., 7/15/19(2) 265,000 286,514 7.375% Sr. Unsec. Unsub. Nts., 7/15/39(2) 440,000 520,521 ------------- 1,789,477 ------------- COMMERCIAL SERVICES & SUPPLIES--0.2% Browning-Ferris Industries, Inc., 7.40% Sr. Unsec. Debs., 9/15/35 375,000 431,494
11 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE ------------ ------------- ELECTRICAL EQUIPMENT--0.3% Roper Industries, Inc., 6.25% Sr. Nts., 9/1/19 $ 475,000 $ 493,990 ------------- INDUSTRIAL CONGLOMERATES--0.7% General Electric Capital Corp., 5.875% Unsec. Unsub. Nts., 1/14/38 350,000 322,032 Tyco International Ltd./Tyco International Finance SA, 6.875% Sr. Unsec. Unsub. Nts., 1/15/21 920,000 1,035,064 ------------- 1,357,096 ------------- ROAD & RAIL--0.4% CSX Corp., 7.375% Sr. Unsec. Nts., 2/1/19 685,000 807,498 INFORMATION TECHNOLOGY--0.3% ELECTRONIC EQUIPMENT & INSTRUMENTS--0.3% Agilent Technologies, Inc., 5.50% Sr. Unsec. Unsub. Nts., 9/14/15 485,000 499,529 ------------- MATERIALS--1.6% CHEMICALS--0.4% Airgas, Inc., 4.50% Sr. Unsec. Unsub. Nts., 9/15/14 242,000 246,665 Yara International ASA, 7.875% Nts., 6/11/19(2) 402,000 452,607 ------------- 699,272 ------------- CONTAINERS & PACKAGING--0.2% Ball Corp., 7.125% Sr. Unsec. Nts., 9/1/16 480,000 492,000 ------------- METALS & MINING--0.7% Freeport-McMoRan Copper & Gold, Inc., 8.25% Sr. Unsec. Nts., 4/1/15 435,000 463,242 Xstrata Canada Corp.: 5.375% Sr. Unsec. Unsub. Nts., 6/1/15 245,000 244,804 6% Sr. Unsec. Unsub. Nts., 10/15/15 347,000 353,302 Xstrata Finance Canada Ltd., 6.90% Nts., 11/15/37(2) 231,000 218,118 ------------- 1,279,466 ------------- PAPER & FOREST PRODUCTS--0.3% MeadWestvaco Corp., 7.375% Sr. Unsec. Unsub. Nts., 9/1/19 485,000 508,957 ------------- TELECOMMUNICATION SERVICES--2.5% DIVERSIFIED TELECOMMUNICATION SERVICES--2.4% AT&T, Inc., 6.30% Sr. Unsec. Bonds, 1/15/38 540,000 567,789 British Telecommunications plc, 9.625% Bonds, 12/15/30 290,000 372,546 CenturyTel, Inc., 8.375% Sr. Unsec. Nts., Series H, 10/15/10 335,000 355,112 Citizens Communications Co., 6.25% Sr. Nts., 1/15/13 455,000 448,175 Deutsche Telekom International Finance BV, 8.50% Unsub. Nts., 6/15/10(1) 427,000 447,689 Telecom Italia Capital SA, 4.875% Sr. Unsec. Unsub. Nts., 10/1/10 880,000 904,877 Telefonica Europe BV, 7.75% Unsec. Nts., 9/15/10 420,000 444,421 Telus Corp., 8% Nts., 6/1/11 690,000 751,206 Verizon Communications, Inc., 6.40% Sr. Unsec. Nts., 2/15/38 350,000 375,342 ------------- 4,667,157 ------------- WIRELESS TELECOMMUNICATION SERVICES--0.1% Rogers Wireless, Inc., 9.625% Sr. Sec. Nts., 5/1/11 86,000 95,721 ------------- UTILITIES--1.9% ELECTRIC UTILITIES--0.4% Exelon Corp., 5.625% Sr. Unsec. Bonds, 6/15/35 325,000 314,388 -------------
12 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE ------------ ------------- ELECTRIC UTILITIES CONTINUED Exelon Generation Co. LLC: 6.20% Sr. Nts., 10/1/17 $ 267,000 $ 291,931 6.25% Sr. Unsec. Nts., 10/1/39 160,000 163,909 ------------- 770,228 ------------- ENERGY TRADERS--0.4% NRG Energy, Inc., 7.375% Sr. Nts., 2/1/16 455,000 441,350 Oncor Electric Delivery Co., 6.375% Sr. Sec. Nts., 1/15/15 330,000 366,271 ------------- 807,621 ------------- GAS UTILITIES--0.2% Atmos Energy Corp., 8.50% Sr. Unsec. Nts., 3/15/19 205,000 253,586 ------------- MULTI-UTILITIES--0.9% Dominion Resources, Inc., 5.20% Sr. Unsub. Nts., 8/15/09 485,000 504,710 NiSource Finance Corp., 7.875% Sr. Unsec. Nts., 11/15/10 432,000 454,592 Sempra Energy: 6.50% Sr. Unsec. Nts., 6/1/16 250,000 276,798 9.80% Sr. Unsec. Nts., 2/15/19 390,000 500,435 ------------- 1,736,535 ------------- Total Corporate Bonds and Notes (Cost $51,667,332) 55,107,965
UNITS ------------ RIGHTS, WARRANTS AND CERTIFICATES--0.0% Pathmark Stores, Inc. Wts., Strike Price $22.31, Exp. 9/19/10 (3, 10) (Cost $14,872) 5,408 1
SHARES ------------ INVESTMENT COMPANIES--14.1% JPMorgan U.S. Treasury Plus Money Market Fund, Agency Shares, 0.00%(11, 12) 8,803 8,803 Oppenheimer Institutional Money Market Fund, Cl. E, 0.27%(11, 13) 27,062,227 27,062,227 ------------- Total Investment Companies (Cost $27,071,030) 27,071,030 ------------- TOTAL INVESTMENTS, AT VALUE (COST $267,620,494) 139.0% 267,379,551 Liabilities in Excess of Other Assets (39.0) (74,953,391) ------------ ------------- Net Assets 100.0% $ 192,426,160 ============ =============
Footnotes to Statement of Investments (1.) Represents the current interest rate for a variable or increasing rate security. (2.) Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $8,747,062 or 4.55% of the Fund's net assets as of September 30, 2009. (3.) Illiquid security. The aggregate value of illiquid securities as of September 30, 2009 was $2,763,966, which represents 1.44% of the Fund's net assets. See accompanying Notes. (4.) When-issued security or delayed delivery to be delivered and settled after September 30, 2009. See accompanying Notes. (5.) All or a portion of the security is held in collateralized accounts to cover initial margin requirements on open futures contracts. The aggregate market value of such securities is $739,511. See accompanying Notes. 13 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED (6.) 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 $11,166,009 or 5.80% of the Fund's net assets as of September 30, 2009. (7.) Principal-Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. The value of these securities generally increases as interest rates decline and prepayment rates rise. The price of these securities is typically more volatile than that of coupon-bearing bonds of the same maturity. Interest rates disclosed represent current yields based upon the current cost basis and estimated timing of future cash flows. These securities amount to $630,154 or 0.33% of the Fund's net assets as of September 30, 2009. (8.) Zero coupon bond reflects effective yield on the date of purchase. (9.) This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. Rate reported represents the current interest rate for this variable rate security. (10.) Non-income producing security. (11.) Rate shown is the 7-day yield as of September 30, 2009. (12.) Interest rate is less than 0.0005%. (13.) Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 30, 2009, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows:
SHARES SHARES DECEMBER 31, GROSS GROSS SEPTEMBER 30, 2008 ADDITIONS REDUCTIONS 2009 ------------ ----------- ----------- ------------- OFI Liquid Assets Fund, LLC -- 810,000 810,000 -- Oppenheimer Institutional Money Market Fund, Cl. E 13,605,218 199,788,312 186,331,303 27,062,227
VALUE INCOME ----------- -------- OFI Liquid Assets Fund, LLC $ -- $ 1,106(a) Oppenheimer Institutional Money Market Fund, Cl. E 27,062,227 111,779 ----------- -------- $27,062,227 $112,885 =========== ========
(a.) Net of compensation to the securities lending agent and rebates paid to the borrowing counterparties. (14.) The current amortization rate of the security's cost basis exceeds the future interest payments currently estimated to be received. Both the amortization rate and interest payments are contingent on future mortgage pre-payment speeds and are therefore subject to change. VALUATION INPUTS Various data inputs are used in determining the value of each of the Fund's investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards: 1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) 2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) 3) Level 3-significant unobservable inputs (including the Manager's own judgments about assumptions that market participants would use in pricing the asset). The table below categorizes amounts that are included in the Fund's Statement of Assets and Liabilities as of September 30, 2009 based on valuation input level:
LEVEL 3-- LEVEL 1-- LEVEL 2-- SIGNIFICANT UNADJUSTED OTHER SIGNIFICANT UNOBSERVABLE QUOTED PRICES OBSERVABLE INPUTS INPUTS VALUE ------------- ----------------- ------------ ------------ ASSETS TABLE INVESTMENTS, AT VALUE: Asset-Backed Securities $ -- $ 15,633,597 $-- $ 15,633,597 Mortgage-Backed Obligations -- 165,845,553 -- 165,845,553 U.S. Government Obligations -- 3,721,405 -- 3,721,405 Corporate Bonds and Notes -- 55,107,965 -- 55,107,965
14 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED Rights, Warrants and Certificates -- 1 -- 1 Investment Companies 27,071,030 -- -- 27,071,030 ----------- ------------ --- ------------ Total Investments, at Value 27,071,030 240,308,521 -- 267,379,551 OTHER FINANCIAL INSTRUMENTS: Futures margins 16,599 -- -- 16,599 ----------- ------------ --- ------------ Total Assets $27,087,629 $240,308,521 $-- $267,396,150 ----------- ------------ --- ------------ LIABILITIES TABLE OTHER FINANCIAL INSTRUMENTS: Depreciated swaps, at value $ -- (96,465) $-- $ (96,465) Futures margins (70,795) -- -- (70,795) ----------- ------------ --- ------------ Total Liabilities $ (70,795) $ (96,465) $-- $ (167,260) ----------- ------------ --- ------------
Currency contracts and forwards, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract's value from trade date. Futures, if any, are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. All additional assets and liabilities included in the above table are reported at their market value at measurement date. SEE THE ACCOMPANYING NOTES FOR FURTHER DISCUSSION OF THE METHODS USED IN DETERMINING VALUE OF THE FUND'S INVESTMENTS, AND A SUMMARY OF CHANGES TO THE VALUATION TECHNIQUES, IF ANY, DURING THE REPORTING PERIOD. FUTURES CONTRACTS AS OF SEPTEMBER 30, 2009 ARE AS FOLLOWS:
UNREALIZED NUMBER OF EXPIRATION APPRECIATION CONTRACT DESCRIPTION BUY/SELL CONTRACTS DATE VALUE (DEPRECIATION) -------------------- -------- --------- ---------- ----------- -------------- U.S. Treasury Long Bonds Buy 141 12/21/09 $17,113,875 $232,380 U.S. Treasury Nts., 2 yr. Sell 142 12/31/09 30,809,563 (61,327) U.S. Treasury Nts., 5 yr. Sell 53 12/31/09 6,152,969 (71,276) U.S. Treasury Nts., 10 yr. Buy 135 12/21/09 15,974,297 88,334 -------- $188,111 ========
CREDIT DEFAULT SWAP CONTRACTS AS OF SEPTEMBER 30, 2009 ARE AS FOLLOWS:
PAY/ BUY/SELL NOTIONAL RECEIVE REFERENCE ENTITY/ CREDIT AMOUNT FIXED TERMINATION SWAP COUNTERPARTY PROTECTION (000'S) RATE DATE VALUE ----------------- ---------- -------- ------- ----------- -------- INCO LTD.: Morgan Stanley Capital Services, Inc. Buy $1,015 0.63% 3/20/17 $(22,751) Morgan Stanley Capital Services, Inc. Buy 1,030 0.70 3/20/17 (27,967) ------ -------- Total 2,045 (50,718) -------- VALE OVERSEAS: Morgan Stanley Capital Services, Inc. Sell 1,015 1.10 3/20/17 (24,953) Morgan Stanley Capital Services, Inc. Sell 1,030 1.17 3/20/17 (20,794) ------ -------- Total 2,045 (45,747) -------- Grand Total Buys (50,718) Grand Total Sells (45,747) -------- Total Credit Default Swaps $(96,465) ========
15 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED The table that follows shows the undiscounted maximum potential payment by the Fund related to selling credit protection in credit default swaps:
TOTAL MAXIMUM POTENTIAL PAYMENTS FOR SELLING TYPE OF REFERENCE ASSET ON WHICH THE FUND SOLD CREDIT PROTECTION REFERENCE ASSET PROTECTION (UNDISCOUNTED) AMOUNT RECOVERABLE* RATING RANGE** ---------------------------------------------- ----------------------- ------------------- --------------- Investment Grade Single Name Corporate Debt $2,045,000 $-- BBB+
* The Fund has no amounts recoverable from related purchased protection. In addition, the Fund has no recourse provisions under the credit derivatives and holds no collateral which can offset or reduce potential payments under a triggering event. ** The period end reference asset security ratings, as rated by any rating organization, are included in the equivalent Standard & Poor's rating category. The reference asset rating represents the likelihood of a potential credit event on the reference asset which would result in a related payment by the Fund. SWAP SUMMARY AS OF SEPTEMBER 30, 2009 IS AS FOLLOWS: The following table aggregates, as of period end, the amount receivable from/(payable to) each counterparty with whom the Fund has entered into a swap agreement. Swaps are individually disclosed in the preceding tables.
NOTIONAL SWAP TYPE FROM AMOUNT SWAP COUNTERPARTY FUND PERSPECTIVE (000'S) VALUE ----------------- ------------------------------ -------- -------- Morgan Stanley Capital Services, Inc.: Credit Default Buy Protection $2,045 $(50,718) Credit Default Sell Protection 2,045 (45,747) -------- $(96,465) ========
NOTES TO 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 trading. Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Unadjusted quoted prices in active markets for identical securities are classified as "Level 1," inputs other than unadjusted quoted prices for an asset that are observable are classified as "Level 2" and significant unobservable inputs, including the Manager's judgment about the assumptions that a market participant would use in pricing an asset or liability are classified as "Level 3." The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. A table summarizing the Fund's investments under these levels of classification is included following the Statement of Investments. Securities are valued using unadjusted quoted market prices, when available, as supplied primarily either by portfolio pricing services approved by the Board of Trustees or dealers. Securities traded on a registered U.S. securities exchange are valued based on the last sale price of the security reported on the principal exchange on which traded, prior to the time when the Fund's assets are valued. Securities whose principal exchange is NASDAQ(R) are valued based on the official closing prices reported 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 current day's closing "bid" and "asked" prices, and if not, at the current day's closing bid price. A foreign security traded on a foreign exchange is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the portfolio pricing 16 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED service used by the Manager, prior to the time when the Fund's assets are valued. In the absence of a sale, the security is valued at the most recent official closing price on the principal exchange on which it is traded. Shares of a registered investment company that are not traded on an exchange are valued at that investment company's net asset value per share. Corporate, government and municipal debt instruments having a remaining maturity in excess of sixty days and all mortgage-backed securities, collateralized mortgage obligations and other asset-backed securities are valued at the mean between the "bid" and "asked" prices. "Money market-type" debt instruments with remaining maturities of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. In the absence of a readily available unadjusted quoted market price, including for 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 the securities' respective exchanges, the Manager, acting through its internal valuation committee, in good faith determines the fair valuation of that asset using consistently applied procedures under the supervision of the Board of Trustees (which reviews those fair valuations by the Manager). Those procedures include certain standardized methodologies to fair value securities. Such methodologies include, but are not limited to, pricing securities initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be adjusted for any discounts related to resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. There have been no significant changes to the fair valuation methodologies during the period. SECURITIES ON A WHEN-ISSUED OR DELAYED DELIVERY BASIS. The Fund may purchase securities on a "when-issued" basis, and may purchase or sell securities on a "delayed delivery" basis. "When-issued" or "delayed delivery" refers to securities whose terms and indenture are available and for which a market exists, but which are not available for immediate delivery. Delivery and payment for securities that have been purchased by the Fund on a when-issued basis normally takes place within six months and possibly as long as two years or more after the 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 purchase of securities on a when-issued basis may increase the volatility of the Fund's net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. When the Fund engages in when-issued or delayed delivery transactions, it relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do so may cause the Fund to lose the opportunity to obtain or dispose of the security at a price and yield it considers advantageous. The Fund maintains internally designated assets with a market value equal to or greater than the amount of its purchase commitments. 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 September 30, 2009, the Fund had purchased securities issued on a when-issued or delayed delivery basis and sold securities issued on a delayed delivery basis as follows:
WHEN-ISSUED OR DELAYED DELIVERY BASIS TRANSACTIONS ------------------------------- Purchased securities $88,026,482 Sold securities 12,086,425
The Fund may enter into "forward roll" transactions with respect to mortgage-related securities. In this type of transaction, the Fund sells a mortgage-related security to a buyer and simultaneously agrees to repurchase a similar security (same type, coupon and maturity) at a later date at a set price. During the period between the sale and the repurchase, the Fund will not be entitled to receive interest and principal payments on the securities that have been sold. The Fund records the incremental difference between the 17 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED forward purchase and sale of each forward roll as realized gain (loss) on 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. Forward roll transactions may be deemed to entail embedded leverage since the Fund purchases mortgage-related securities with extended settlement dates rather than paying for the securities under a normal settlement cycle. This embedded leverage increases the Fund's market value of investments relative to its net assets which can incrementally increase the volatility of the Fund's performance. Forward roll transactions can be replicated over multiple settlement periods. 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; and counterparty credit risk. To assure its future payment of the purchase price, the Fund maintains internally designated assets with a market value equal to or greater than the payment obligation under the roll. INVESTMENT IN OPPENHEIMER INSTITUTIONAL MONEY MARKET FUND. The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund ("IMMF") to seek current income while preserving liquidity. IMMF is a registered open-end management investment company, regulated as a money market fund under the Investment Company Act of 1940, as amended. The Manager is also the investment adviser of IMMF. When applicable, the Fund's investment in IMMF is included in the Statement of Investments. Shares of IMMF are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of IMMF's Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund's investment in IMMF. INVESTMENT IN OFI LIQUID ASSETS FUND, LLC. The Fund is permitted to invest cash collateral received in connection with its securities lending activities. Pursuant to the Fund's Securities Lending Procedures, the Fund may invest cash collateral in, among other investments, an affiliated money market fund. OFI Liquid Assets Fund, LLC ("LAF") is a limited liability company whose investment objective is to seek current income and stability of principal. The Manager is also the investment adviser of LAF. LAF is not registered under the Investment Company Act of 1940. However, LAF does comply with the investment restrictions applicable to registered money market funds set forth in Rule 2a-7 adopted under the Investment Company Act. When applicable, the Fund's investment in LAF is included in the Statement of Investments. Shares of LAF are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of LAF's expenses, including its management fee of 0.08%. RISK EXPOSURES AND THE USE OF DERIVATIVE INSTRUMENTS The Fund's investment objectives not only permit the Fund to purchase investment securities, they also allow the Fund to enter into various types of derivatives contracts, including, but not limited to, futures contracts, forward foreign currency exchange contracts, credit default swaps, interest rate swaps, total return swaps, and purchased and written options. In doing so, the Fund will employ strategies in differing combinations to permit it to increase, decrease, or change the level or types of exposure to market risk factors. Central to those strategies are features inherent to derivatives that make them more attractive for this purpose than equity and debt securities: they require little or no initial cash investment, they can focus exposure on only certain selected risk factors, and they may not require the ultimate receipt or delivery of the underlying security (or securities) to the contract. This may allow the Fund to pursue its objectives more quickly and efficiently than if it were to make direct purchases or sales of securities capable of effecting a similar response to market factors. MARKET RISK FACTORS. In pursuit of its investment objectives, the Fund may seek to use derivatives to increase or decrease its exposure to the following market risk factors: INTEREST RATE RISK. Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities. 18 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED CREDIT RISK. Credit risk relates to the ability of the issuer to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield bonds are subject to credit risk to a greater extent than lower-yield, higher-quality bonds. FOREIGN EXCHANGE RATE RISK. Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency. EQUITY RISK. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market. RISKS OF INVESTING IN DERIVATIVES. The Fund's use of derivatives can result in losses due to unanticipated changes in the market risk factors and the overall market. In instances where the Fund is using derivatives to decrease, or hedge, exposures to market risk factors for securities held by the Fund, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions. Derivatives may have little or no initial cash investment relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost. This use of embedded leverage allows the Fund to increase its market value exposure relative to its net assets and can substantially increase the volatility of the Fund's performance. Additional associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative and the Fund. Typically, the associated risks are not the risks that the Fund is attempting to increase or decrease exposure to, per its investment objectives, but are the additional risks from investing in derivatives. Examples of these associated risks are liquidity risk, which is the risk that the Fund will not be able to sell the derivative in the open market in a timely manner, and counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund. Associated risks can be different for each type of derivative and are discussed by each derivative type in the notes that follow. COUNTERPARTY CREDIT RISK. Certain derivative positions are subject to counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund. The Fund's derivative counterparties are financial institutions who are subject to market conditions that may weaken their financial position. The Fund intends to enter into financial transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction. To reduce this risk the Fund has entered into master netting arrangements, established within the Fund's International Swap and Derivatives Association, Inc. ("ISDA") master agreements, which allow the Fund to net unrealized appreciation and depreciation for positions in swaps, over-the-counter options, and forward currency exchange contracts for each individual counterparty. CREDIT RELATED CONTINGENT FEATURES. The Fund has several credit related contingent features that if triggered would allow its derivatives counterparties to close out and demand payment or additional collateral to cover their exposure from the Fund. Credit related contingent features are established between the Fund and its derivatives counterparties to reduce the risk that the Fund will not fulfill its payment obligations to its counterparties. These triggering features include, but are not limited to, a percentage decrease in the Fund's net assets and or a percentage decrease in the Fund's Net Asset Value or NAV. The contingent features are established within the Fund's ISDA master agreements which govern positions in swaps, over-the-counter options, and forward currency exchange contracts for each individual counterparty. As of September 30, 2009, the total value of derivative positions with credit related contingent features in a net liability position was $96,465. If a contingent feature would have been triggered as of September 30, 2009, the Fund could have been required to pay this amount in cash to its counterparties. The Fund did not hold or post collateral for its derivative transactions. FUTURES A futures contract is a commitment to buy or sell a specific amount of a financial instrument at a negotiated price on a stipulated future date. The Fund may buy and sell futures contracts and may also buy or write put or call options on these futures contracts. 19 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED Futures contracts traded on a commodities or futures exchange will be valued at the final settlement price or official closing price on the principal exchange as reported by such principal exchange at its trading session ending at, or most recently prior to, the time when the Fund's assets are valued. 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. Futures contracts are reported on a schedule following the Statement of Investments. Securities held in collateralized accounts to cover initial margin requirements on open futures contracts are noted in the Statement of Investments. Cash held by the broker to cover initial margin requirements on open futures contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted in the Statement of Assets and Liabilities in the annual and semiannual reports. The net change in unrealized appreciation and depreciation is reported in the Statement of Operations in the annual and semiannual reports. Realized gains (losses) are reported in the Statement of Operations in the annual and semiannual reports at the closing or expiration of futures contracts. The Fund has purchased futures contracts on various bonds and notes to increase exposure to interest rate risk. The Fund has sold futures contracts on various bonds and notes to decrease exposure to interest rate risk. Additional associated risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market where the Fund is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Fund's securities. SWAP CONTRACTS The Fund may enter into swap contract agreements with a counterparty to exchange a series of cash flows based on either specified reference rates, or the occurrence of a credit event, over a specified period. Such contracts may include interest rate, equity, debt, index, total return, credit and currency swaps. Swaps are marked to market daily using primarily quotations from pricing services, counterparties and brokers. Swap contracts are reported on a schedule following the Statement of Investments. Any upfront payment paid or received as well as any unrealized appreciation (depreciation) on swap contracts are separately disclosed on the Statement of Assets and Liabilities in the annual and semiannual reports. The unrealized appreciation (depreciation) related to the change in the valuation of the notional amount of the swap is combined with the accrued interest due to (owed by) the Fund at termination or settlement. The net change in this amount during the period is included on the Statement of Operations in the annual and semiannual reports. The Fund also records any periodic payments received from (paid to) the counterparty, including at termination, under such contracts as realized gain (loss) on the Statement of Operations in the annual and semiannual reports. Swap contract agreements are exposed to the market risk factor of the specific underlying reference asset. Swap contracts are typically more attractively priced compared to similar investments in related cash securities because they isolate the risk to one market risk factor and eliminate the other market risk factors. Investments in cash securities (for instance bonds) have exposure to multiple risk factors (credit and interest rate risk). Because swaps require little or no initial cash investment, they can expose the Fund to substantial risk in the isolated market risk factor. CREDIT DEFAULT SWAP CONTRACTS. A credit default swap is a bilateral contract that enables an investor to buy or sell protection on a debt security against a defined-issuer credit event, such as the issuer's failure to make timely payments of interest or principal on the debt security, bankruptcy or restructuring. The Fund may enter into credit default swaps either by buying or selling protection on a single security or a basket of securities (the "reference asset"). The buyer of protection pays a periodic fee to the seller of protection based on the notional amount of debt securities underlying the swap contract. The seller of protection agrees to compensate the buyer of protection for future potential 20 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED losses as a result of a credit event on the reference asset. The contract effectively transfers the credit event risk of the reference asset from the buyer of protection to the seller of protection. The ongoing value of the contract will fluctuate throughout the term of the contract based primarily on the credit risk of the reference asset. If the credit quality of the reference asset improves relative to the credit quality at contract initiation, the buyer of protection may have an unrealized loss greater than the anticipated periodic fee owed. This unrealized loss would be the result of current credit protection being cheaper than the cost of credit protection at contract initiation. If the buyer elects to terminate the contract prior to its maturity, and there has been no credit event, this unrealized loss will become realized. If the contract is held to maturity, and there has been no credit event, the realized loss will be equal to the periodic fee paid over the life of the contract. If there is a credit event, the buyer of protection can exercise its rights under the contract and receive a payment from the seller of protection equal to the notional amount of the reference asset less the market value of the reference asset. Upon exercise of the contract the difference between the value of the underlying reference asset and the notional amount is recorded as realized gain (loss) and is included on the Statement of Operations in the annual and semiannual reports. The Fund has sold credit protection through credit default swaps to increase exposure to the credit risk of individual securities and, or, indexes that are either unavailable or considered to be less attractive in the bond market. The Fund has purchased credit protection through credit default swaps to decrease exposure to the credit risk of individual securities and, or, indexes. The Fund has also engaged in pairs trades by purchasing protection through a credit default swap referenced to the debt of an issuer, and simultaneously selling protection through a credit default swap referenced to the debt of a different issuer with the intent to realize gains from the pricing differences of the two issuers who are expected to have similar market risks. Pairs trades attempt to gain exposure to credit risk while hedging or offsetting the effects of overall market movements. The Fund has engaged in spread curve trades by simultaneously purchasing and selling protection through credit default swaps referenced to the same issuer but with different maturities. Spread curve trades attempt to gain exposure to credit risk on a forward basis by realizing gains on the expected differences in spreads. Additional associated risks to the Fund include counterparty credit risk and liquidity risk. INTEREST RATE SWAP CONTRACTS. An interest rate swap is an agreement between counterparties to exchange periodic payments based on interest rates. One cash flow stream will typically be a floating rate payment based upon a specified interest rate while the other is typically a fixed interest rate. The Fund has entered into interest rate swaps in which it pays a floating interest rate and receives a fixed interest rate in order to increase exposure to interest rate risk. Typically, if relative interest rates rise, payments made by the Fund under a swap agreement will be greater than the payments received by the Fund. The Fund has entered into interest rate swaps in which it pays a fixed interest rate and receives a floating interest rate in order to decrease exposure to interest rate risk. Typically, if relative interest rates rise, payments received by the Fund under the swap agreement will be greater than the payments made by the Fund. Additional associated risks to the Fund include counterparty credit risk and liquidity risk. As of September 30, 2009, the Fund had no such interest rate swap agreements outstanding. TOTAL RETURN SWAP CONTRACTS. A total return swap is an agreement between counterparties to exchange periodic payments based on asset or non-asset references. One cash flow is typically based on a non-asset reference (such as an interest rate or index) and the other on the total return of a reference asset (such as a security or a basket of securities). The total return of 21 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED the reference asset typically includes appreciation or depreciation on the reference asset, plus any interest or dividend payments. Total return swap contracts are exposed to the market risk factor of the specific underlying financial instrument or index. Total return swaps are less standard in structure than other types of swaps and can isolate and, or, include multiple types of market risk factors including equity risk, credit risk, and interest rate risk. The Fund has entered into total return swaps to increase exposure to the credit risk of various indexes or basket of securities. These credit risk related total return swaps require the Fund to pay, or receive payments, to, or from, the counterparty based on the movement of credit spreads of the related indexes. The Fund has entered into total return swaps to decrease exposure to the credit risk of various indexes or basket of securities. These credit risk related total return swaps require the fund to pay, or receive payments, to, or from, the counterparty based on the movement of credit spreads of the related indexes. Additional associated risks to the Fund include counterparty credit risk and liquidity risk. As of September 30, 2009, the Fund had no such total return swap agreements outstanding. ILLIQUID SECURITIES As of September 30, 2009, investments in securities included issues that are illiquid. Investments may be illiquid because they do not have an active trading market, making it difficult to value them or dispose of them promptly at an acceptable price. 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 that are illiquid are marked with an applicable footnote on the Statement of Investments. 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 September 30, 2009 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 $267,783,087 Federal tax cost of other investments (4,062,471) ------------ Total federal tax cost $263,720,616 ============ Gross unrealized appreciation $ 9,640,902 Gross unrealized depreciation (9,952,792) ------------ Net unrealized depreciation $ (311,890) ============
22 | Oppenheimer Core Bond Fund/VA Oppenheimer Global Securities Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
SHARES VALUE --------------- --------------- COMMON STOCKS--99.1% CONSUMER DISCRETIONARY--16.1% AUTOMOBILES--1.4% Bayerische Motoren Werke (BMW) AG 396,043 $ 19,073,073 Bayerische Motoren Werke (BMW) AG, Preference 538,031 17,793,697 --------------- 36,866,770 HOTELS, RESTAURANTS & LEISURE--3.5% Aristocrat Leisure Ltd. 481,564 2,218,093 Carnival Corp. 1,200,926 39,966,817 International Game Technology 191,700 4,117,716 Lottomatica SpA 71,300 1,597,405 McDonald's Corp. 627,900 35,834,253 Shuffle Master, Inc.(1) 604,300 5,692,506 --------------- 89,426,790 HOUSEHOLD DURABLES--1.5% Sony Corp. 1,343,200 39,287,589 MEDIA--3.3% Dish TV India Ltd.(1) 1,365,516 1,273,119 Grupo Televisa SA, Sponsored GDR 1,567,196 29,134,174 Sirius XM Radio, Inc.(1) 13,124,410 8,334,000 Walt Disney Co. (The) 1,321,500 36,288,390 Zee Entertainment Enterprises Ltd. 2,140,210 10,566,112 --------------- 85,595,795 SPECIALTY RETAIL--2.6% Industria de Diseno Textil SA 548,500 31,471,969 Tiffany & Co. 887,800 34,206,934 --------------- 65,678,903 TEXTILES, APPAREL & LUXURY GOODS--3.8% Bulgari SpA 1,856,118 14,341,347 Burberry Group plc 1,139,801 9,171,671 LVMH Moet Hennessey Louis Vuitton 536,100 53,919,095 Tod's SpA 292,997 20,023,062 --------------- 97,455,175 CONSUMER STAPLES--11.2% BEVERAGES--3.5% Companhia de Bebidas das Americas, Sponsored ADR, Preference 370,715 30,495,016 Diageo plc 967,935 14,850,374 Fomento Economico Mexicano SA de CV, UBD 7,746,900 29,496,421 Grupo Modelo SA de CV, Series C(1) 3,786,000 14,098,271 --------------- 88,940,082 FOOD & STAPLES RETAILING--2.8% Seven & I Holdings Co. Ltd. 425,353 10,138,921 Tesco plc 4,573,835 29,209,622 Wal-Mart Stores, Inc. 684,200 33,587,378 --------------- 72,935,921 FOOD PRODUCTS--2.6% Cadbury plc 2,114,041 27,129,945
1 | OPPENHEIMER GLOBAL SECURITIES FUND/VA Oppenheimer Global Securities Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
SHARES VALUE --------------- --------------- FOOD PRODUCTS CONTINUED Nestle SA 372,605 $ 15,877,870 Unilever plc 818,093 23,368,839 --------------- 66,376,654 HOUSEHOLD PRODUCTS--2.3% Colgate-Palmolive Co. 433,500 33,067,380 Reckitt Benckiser Group plc 514,318 25,135,595 --------------- 58,202,975 ENERGY--4.8% ENERGY EQUIPMENT & SERVICES--2.6% Technip SA 547,520 34,973,144 Transocean Ltd.(1) 376,772 32,225,309 --------------- 67,198,453 OIL, GAS & CONSUMABLE FUELS--2.2% Husky Energy, Inc. 690,730 19,444,825 Total SA 614,870 36,535,349 --------------- 55,980,174 FINANCIALS--14.2% CAPITAL MARKETS--3.9% 3i Group plc 2,526,708 11,653,902 Credit Suisse Group AG 1,087,711 60,542,272 UBS AG(1) 1,492,495 27,320,882 --------------- 99,517,056 COMMERCIAL BANKS--3.5% HDFC Bank Ltd. 138,700 4,758,847 HSBC Holdings plc 3,764,173 43,235,343 Societe Generale, Cl. A 257,230 20,703,070 Sumitomo Mitsui Financial Group, Inc. 644,500 22,311,017 --------------- 91,008,277 CONSUMER FINANCE--1.0% SLM Corp.(1) 2,817,850 24,571,652 DIVERSIFIED FINANCIAL SERVICES--1.1% Investor AB, B Shares 1,552,954 28,346,503 INSURANCE--4.7% AFLAC, Inc. 680,800 29,097,392 Allianz SE 300,060 37,806,085 Prudential plc 2,822,667 27,134,089 XL Capital Ltd., Cl. A 1,489,700 26,010,162 --------------- 120,047,728 HEALTH CARE--7.0% BIOTECHNOLOGY--1.3% Basilea Pharmaceutica AG(1) 30,270 3,046,570 InterMune, Inc.(1) 324,300 5,166,099 NicOx SA(1) 201,870 2,624,995 Regeneron Pharmaceuticals, Inc.(1) 200,802 3,875,479 Seattle Genetics, Inc.(1) 739,528 10,375,578
2 | OPPENHEIMER GLOBAL SECURITIES FUND/VA Oppenheimer Global Securities Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
SHARES VALUE --------------- --------------- BIOTECHNOLOGY CONTINUED Theravance, Inc.(1) 558,200 $ 8,172,048 --------------- 33,260,769 HEALTH CARE PROVIDERS & SERVICES--1.8% Aetna, Inc. 994,000 27,663,020 WellPoint, Inc.(1) 394,035 18,661,498 --------------- 46,324,518 PHARMACEUTICALS--3.9% Bayer AG 145,331 10,118,896 Roche Holding AG 379,728 61,376,474 Sanofi-Aventis SA 345,875 25,382,860 Schering-Plough Corp. 78,300 2,211,975 --------------- 99,090,205 INDUSTRIALS--13.3% AEROSPACE & DEFENSE--3.8% Boeing Co. (The) 223,000 12,075,450 Empresa Brasileira de Aeronautica SA, ADR(1) 883,683 20,271,688 European Aeronautic Defense & Space Co. 1,410,710 31,677,805 Lockheed Martin Corp. 182,000 14,210,560 Raytheon Co. 431,500 20,699,055 --------------- 98,934,558 AIR FREIGHT & LOGISTICS--1.0% TNT NV 917,927 24,635,304 BUILDING PRODUCTS--1.5% Assa Abloy AB, Cl. B 2,409,285 39,156,260 COMMERCIAL SERVICES & SUPPLIES--0.8% Secom Co. Ltd. 396,100 19,852,077 ELECTRICAL EQUIPMENT--0.8% Emerson Electric Co. 471,300 18,889,704 Prysmian SpA 90,200 1,692,174 --------------- 20,581,878 INDUSTRIAL CONGLOMERATES--5.0% 3M Co. 488,600 36,058,680 Koninklijke (Royal) Philips Electronics NV 1,138,500 27,722,782 Siemens AG 691,081 64,460,172 --------------- 128,241,634 MACHINERY--0.4% Fanuc Ltd. 127,800 11,418,222 INFORMATION TECHNOLOGY--28.6% COMMUNICATIONS EQUIPMENT--6.9% Juniper Networks, Inc.(1) 2,143,300 57,911,966 Tandberg ASA 649,150 15,542,917 Telefonaktiebolaget LM Ericsson, B Shares 10,423,580 104,664,176 --------------- 178,119,059 ELECTRONIC EQUIPMENT & INSTRUMENTS--4.8% Corning, Inc. 1,659,800 25,411,538 Hoya Corp. 1,015,100 23,809,478 Keyence Corp. 93,474 19,875,093
3 | OPPENHEIMER GLOBAL SECURITIES FUND/VA Oppenheimer Global Securities Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
SHARES VALUE --------------- --------------- ELECTRONIC EQUIPMENT & INSTRUMENTS CONTINUED Kyocera Corp. 158,600 $ 14,581,867 Murata Manufacturing Co. Ltd. 568,800 26,812,286 Nidec Corp. 168,600 13,692,352 --------------- 124,182,614 INTERNET SOFTWARE & SERVICES--2.0% eBay, Inc.(1) 2,191,800 51,748,398 IT SERVICES--3.3% Automatic Data Processing, Inc. 844,700 33,196,710 Infosys Technologies Ltd. 1,050,752 50,378,431 --------------- 83,575,141 SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--4.4% Altera Corp. 1,295,800 26,576,858 Linear Technology Corp. 368,196 10,173,255 Maxim Integrated Products, Inc. 1,316,465 23,880,675 MediaTek, Inc. 1,567,696 26,138,020 Taiwan Semiconductor Manufacturing Co. Ltd. 13,315,184 26,714,862 --------------- 113,483,670 SOFTWARE--7.2% Adobe Systems, Inc.(1) 955,363 31,565,194 Intuit, Inc.(1) 1,478,100 42,125,850 Microsoft Corp. 1,886,000 48,828,540 Nintendo Co. Ltd. 59,400 15,219,740 SAP AG 949,963 46,639,046 --------------- 184,378,370 MATERIALS--0.3% CHEMICALS--0.3% Linde AG 60,119 6,530,428 TELECOMMUNICATION SERVICES--2.7% WIRELESS TELECOMMUNICATION SERVICES--2.7% KDDI Corp. 5,549 31,279,385 Turkcell Iletisim Hizmetleri AS, ADR 806,300 14,408,581 Vodafone Group plc 10,692,192 23,957,126 --------------- 69,645,092 UTILITIES--0.9% ELECTRIC UTILITIES--0.9% Fortum OYJ 921,100 23,615,184 --------------- Total Common Stocks (Cost $2,252,585,160) 2,544,209,878
Units --------------- RIGHTS, WARRANTS AND CERTIFICATES--0.0% Wire & Wireless India Ltd. Rts., Strike Price 19INR, Exp. 10/15/09(1) (Cost $0) 2,212,100 143,210
Principal Amount --------------- CONVERTIBLE CORPORATE BONDS AND NOTES--0.1% Theravance, Inc., 3% Cv. Sub. Nts., 1/15/15 (Cost $2,882,000) $ 2,882,000 2,453,306
4 | OPPENHEIMER GLOBAL SECURITIES FUND/VA Oppenheimer Global Securities Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
SHARES VALUE --------------- --------------- INVESTMENT COMPANIES--0.5% JPMorgan U.S. Treasury Plus Money Market Fund, Agency Shares, 0.00% (2,3) 579,714 $ 579,714 Oppenheimer Institutional Money Market Fund, Cl. E, 0.27% (3,4) 13,372,770 13,372,770 --------------- Total Investment Companies (Cost $13,952,484) 13,952,484 TOTAL INVESTMENTS, AT VALUE (COST $2,269,419,644) 99.7% 2,560,758,878 Other Assets Net of Liabilities 0.3 6,839,655 --------------- --------------- Net Assets 100.0% $ 2,567,598,533 =============== ===============
Footnotes to Statement of Investments Strike price is reported in U.S. Dollars, except for those denoted in the following currency: INR Indian Rupee (1.) Non-income producing security. (2.) Interest rate is less than 0.0005%. (3.) Rate shown is the 7-day yield as of September 30, 2009. (4.) Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 30, 2009, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows:
SHARES SHARES DECEMBER 31, GROSS GROSS SEPTEMBER 30, 2008 ADDITIONS REDUCTIONS 2009 ------------ ----------- ----------- ------------- OFI Liquid Assets Fund, LLC -- 342,533,185 342,533,185 -- Oppenheimer Institutional Money Market Fund, Cl. E 24,247,807 303,090,665 313,965,702 13,372,770
VALUE INCOME ----------- ---------- OFI Liquid Assets Fund, LLC $ -- $ 935,043(a) Oppenheimer Institutional Money Market Fund, Cl. E 13,372,770 117,698 ----------- ---------- $13,372,770 $1,052,741 =========== ==========
(a.) Net of compensation to the securities lending agent and rebates paid to the borrowing counterparties. VALUATION INPUTS Various data inputs are used in determining the value of each of the Fund's investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards: 1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) 2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) 3) Level 3-significant unobservable inputs (including the Manager's own judgments about assumptions that market participants would use in pricing the asset). The table below categorizes amounts that are included in the Fund's Statement of Assets and Liabilities as of September 30, 2009 based on valuation input level: 5 | OPPENHEIMER GLOBAL SECURITIES FUND/VA Oppenheimer Global Securities Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
LEVEL 2-- LEVEL 1-- OTHER LEVEL 3-- UNADJUSTED SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS VALUE -------------- ------------ ------------ -------------- ASSETS TABLE INVESTMENTS, AT VALUE: Common Stocks Consumer Discretionary $ 362,239,228 $ 52,071,794 $-- $ 414,311,022 Consumer Staples 252,947,872 33,507,760 -- 286,455,632 Energy 123,178,627 -- -- 123,178,627 Financials 237,402,584 126,088,632 -- 363,491,216 Health Care 178,675,492 -- -- 178,675,492 Industrials 311,549,634 31,270,299 -- 342,819,933 Information Technology 650,408,528 85,078,724 -- 735,487,252 Materials 6,530,428 -- -- 6,530,428 Telecommunication Services 69,645,092 -- -- 69,645,092 Utilities 23,615,184 -- -- 23,615,184 Rights, Warrants and Certificates -- 143,210 -- 143,210 Convertible Corporate Bonds and Notes -- 2,453,306 -- 2,453,306 Investment Companies 13,952,484 -- -- 13,952,484 -------------- ------------ --- -------------- Total Assets $2,230,145,153 $330,613,725 $-- $2,560,758,878 ============== ============ === ============== LIABILITIES TABLE OTHER FINANCIAL INSTRUMENTS: Foreign Currency Exchange Contracts $ -- $ (11,880) $-- $ (11,880) -------------- ------------ --- -------------- Total Liabilities $ -- $ (11,880) $-- $ (11,880) ============== ============ === ==============
Currency contracts and forwards, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract's value from trade date. Futures, if any, are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. All additional assets and liabilities included in the above table are reported at their market value at measurement date. SEE THE ACCOMPANYING NOTES FOR FURTHER DISCUSSION OF THE METHODS USED IN DETERMINING VALUE OF THE FUND'S INVESTMENTS, AND A SUMMARY OF CHANGES TO THE VALUATION TECHNIQUES, IF ANY, DURING THE REPORTING PERIOD. FOREIGN CURRENCY EXCHANGE CONTRACTS AS OF SEPTEMBER 30, 2009 ARE AS FOLLOWS:
BUY/ CONTRACT AMOUNT EXPIRATION UNREALIZED COUNTERPARTY/CONTRACT DESCRIPTION SELL (000S) DATE VALUE DEPRECIATION --------------------------------- ---- --------------- ---------- ---------- ------------ BROWN BROTHERS HARRIMAN: British Pound Sterling (GBP) Sell 633 GBP 10/2/09 $1,011,221 $ 2,189 Euro (EUR) Sell 300 EUR 10/1/09 439,048 1,035 Japanese Yen (JPY) Sell 164,935 JPY 10/2/09 1,837,410 8,021 ------- 11,245 DEUTSCHE BANK CAPITAL CORP. Euro (EUR) Sell 303 EUR 10/1/09 442,715 323 JP MORGAN CHASE Japanese Yen (JPY) Sell 182,085 JPY 10/1/09 2,028,463 312 ------- Total unrealized depreciation $11,880 =======
6 | OPPENHEIMER GLOBAL SECURITIES FUND/VA Oppenheimer Global Securities Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED Distribution of investments representing geographic holdings, as a percentage of total investments at value, is as follows:
Geographic Holdings Value Percent ------------------- -------------- ------- United States $ 862,873,647 33.7% Japan 248,278,027 9.7 United Kingdom 234,846,506 9.2 France 205,816,318 8.0 Germany 202,421,397 7.9 Sweden 172,166,939 6.7 Switzerland 168,164,068 6.6 Mexico 72,728,866 2.8 India 67,119,719 2.6 Taiwan 52,852,882 2.1 The Netherlands 52,358,086 2.0 Brazil 50,766,704 2.0 Italy 37,653,988 1.5 Spain 31,471,969 1.2 Cayman Islands 26,010,162 1.0 Finland 23,615,184 0.9 Canada 19,444,825 0.8 Norway 15,542,917 0.6 Turkey 14,408,581 0.6 Australia 2,218,093 0.1 -------------- ----- Total $2,560,758,878 100.0% ============== =====
NOTES TO 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 trading. Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Unadjusted quoted prices in active markets for identical securities are classified as "Level 1," inputs other than unadjusted quoted prices for an asset that are observable are classified as "Level 2" and significant unobservable inputs, including the Manager's judgment about the assumptions that a market participant would use in pricing an asset or liability are classified as "Level 3." The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. A table summarizing the Fund's investments under these levels of classification is included following the Statement of Investments. Securities are valued using unadjusted quoted market prices, when available, as supplied primarily either by portfolio pricing services approved by the Board of Trustees or dealers. Securities traded on a registered U.S. securities exchange are valued based on the last sale price of the security reported on the principal exchange on which traded, prior to the time when the Fund's assets are valued. Securities whose principal exchange is NASDAQ(R) are valued based on the official closing prices reported 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 current day's closing "bid" and "asked" prices, and if not, at the current day's closing bid price. A foreign security traded on a foreign exchange is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the portfolio pricing service used by the Manager, prior to the time when the Fund's assets are valued. In the absence of a sale, the security is valued at the most recent official closing price on the principal exchange on which it is traded. 7 | OPPENHEIMER GLOBAL SECURITIES FUND/VA Oppenheimer Global Securities Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED Shares of a registered investment company that are not traded on an exchange are valued at that investment company's net asset value per share. Corporate, government and municipal debt instruments having a remaining maturity in excess of sixty days and all mortgage-backed securities, collateralized mortgage obligations and other asset-backed securities are valued at the mean between the "bid" and "asked" prices. "Money market-type" debt instruments with remaining maturities of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. In the absence of a readily available unadjusted quoted market price, including for 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 the securities' respective exchanges, the Manager, acting through its internal valuation committee, in good faith determines the fair valuation of that asset using consistently applied procedures under the supervision of the Board of Trustees (which reviews those fair valuations by the Manager). Those procedures include certain standardized methodologies to fair value securities. Such methodologies include, but are not limited to, pricing securities initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be adjusted for any discounts related to resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. There have been no significant changes to the fair valuation methodologies during the period. FOREIGN CURRENCY TRANSLATION. The Fund's accounting records are maintained in U.S. dollars. The values of securities denominated in foreign currencies and amounts related to the purchase and sale of foreign securities and foreign investment income are translated into U.S. dollars as of the close of the Exchange, normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading. Foreign exchange rates may be valued primarily using a reliable bank, dealer or service authorized by the Board of Trustees. Reported net realized gains and losses from foreign currency transactions arise from sales of portfolio securities, sales and maturities of short-term securities, sales of foreign currencies, exchange rate fluctuations between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized appreciation and depreciation on the translation of assets and liabilities denominated in foreign currencies arise from changes in the values of assets and liabilities, including investments in securities at fiscal period end, resulting from changes in exchange rates. The effect of changes in foreign currency exchange rates on investments is separately identified from the fluctuations arising from changes in market values of securities held and reported with all other foreign currency gains and losses in the Fund's Statement of Operations in the annual and semiannual reports. INVESTMENT IN OPPENHEIMER INSTITUTIONAL MONEY MARKET FUND. The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund ("IMMF") to seek current income while preserving liquidity. IMMF is a registered open-end management investment company, regulated as a money market fund under the Investment Company Act of 1940, as amended. The Manager is also the investment adviser of IMMF. When applicable, the Fund's investment in IMMF is included in the Statement of Investments. Shares of IMMF are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of IMMF's Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund's investment in IMMF. INVESTMENT IN OFI LIQUID ASSETS FUND, LLC. The Fund is permitted to invest cash collateral received in connection with its securities lending activities. Pursuant to the Fund's Securities Lending Procedures, the Fund may invest cash collateral in, among other investments, an affiliated money market fund. OFI Liquid Assets Fund, LLC ("LAF") is a limited liability company whose investment 8 | OPPENHEIMER GLOBAL SECURITIES FUND/VA Oppenheimer Global Securities Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED objective is to seek current income and stability of principal. The Manager is also the investment adviser of LAF. LAF is not registered under the Investment Company Act of 1940. However, LAF does comply with the investment restrictions applicable to registered money market funds set forth in Rule 2a-7 adopted under the Investment Company Act. When applicable, the Fund's investment in LAF is included in the Statement of Investments. Shares of LAF are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of LAF's expenses, including its management fee of 0.08%. FOREIGN CURRENCY EXCHANGE CONTRACTS The Fund may enter into current and forward foreign currency exchange contracts for the purchase or sale of a foreign currency at a negotiated rate at a future date. Foreign currency exchange contracts are reported on a schedule following the Statement of Investments. These contracts will be valued daily based upon the closing prices of the currency rates determined at the close of the Exchange as provided by a bank, dealer or pricing service. The resulting unrealized appreciation (depreciation) is reported in the Statement of Assets and Liabilities in the annual and semiannual reports as a receivable or payable and in the Statement of Operations in the annual and semiannual reports within the change in unrealized appreciation (depreciation). At contract close, the difference between the original cost of the contract and the value at the close date is recorded as a realized gain (loss) in the Statement of Operations in the annual and semiannual reports. The Fund has purchased and sold foreign currency exchange contracts of different currencies in order to acquire currencies to pay for related foreign securities purchase transactions, or to convert foreign currencies to U.S. dollars from related foreign securities sale transactions. These foreign currency exchange contracts are negotiated at the current spot exchange rate with settlement typically within two business days thereafter. Additional associated risk to the Fund includes counterparty credit risk. Counterparty credit risk arises from the possibility that the counterparty will default. If the counterparty defaults, the Fund's loss will consist of the net amount of contractual payments that the Fund has not yet received. 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 September 30, 2009 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 $2,307,852,967 Federal tax cost of other investments 888 -------------- Total federal tax cost $2,307,853,855 ============== Gross unrealized appreciation $ 474,793,134 Gross unrealized depreciation (222,467,663) -------------- Net unrealized appreciation $ 252,325,471 ==============
9 | OPPENHEIMER GLOBAL SECURITIES FUND/VA Oppenheimer High Income Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE ------------ ------------- MORTGAGE-BACKED OBLIGATIONS--0.0% Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 2527, Cl. SG, 35.892%, 2/15/32(1) $ 169,250 $ 9,122 Series 2531, Cl. ST, 49.039%, 2/15/30(1) 214,673 12,539 Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security, Trust 364, Cl. 16, 0.00%, 9/1/35(1, 13) 107,947 14,992 ------------- Total Mortgage-Backed Obligations (Cost $51,490) 36,653 ------------- CORPORATE BONDS AND NOTES--89.7% CONSUMER DISCRETIONARY--21.2% AUTO COMPONENTS--1.0% Allison Transmission, Inc., 11% Sr. Nts., 11/1/15(2) 1,160,000 1,142,600 Goodyear Tire & Rubber Co. (The), 9% Sr. Unsec. Nts., 7/1/15 255,000 265,838 ------------- 1,408,438 ------------- AUTOMOBILES--2.6% Case New Holland, Inc., 7.125% Sr. Unsec. Nts., 3/1/14 880,000 866,800 Ford Motor Co., 7.45% Bonds, 7/16/31 1,290,000 1,051,350 Ford Motor Credit Co. LLC: 7.50% Sr. Unsec. Unsub. Nts., 8/1/12 580,000 557,335 8% Unsec. Nts., 6/1/14 1,195,000 1,149,916 ------------- 3,625,401 ------------- DIVERSIFIED CONSUMER SERVICES--0.5% Service Corp. International: 6.75% Sr. Unsec. Nts., 4/1/15 285,000 280,725 7% Sr. Unsec. Unsub. Nts., 6/15/17(3) 340,000 333,200 ------------- 613,925 ------------- HOTELS, RESTAURANTS & LEISURE--6.2% CCM Merger, Inc., 8% Unsec. Nts., 8/1/13(3) 410,000 338,250 Greektown Holdings, Inc., 10.75% Sr. Nts., 12/1/13(2, 4) 1,155,000 285,863 Harrah's Operating Co., Inc., 10% Sr. Sec. Nts., 12/15/18(2) 1,393,000 1,114,400 Harrah's Operating Escrow LLC/Harrah's Escrow Group, 11.25% Sr. Sec. Nts., 6/1/17(2) 380,000 392,350 Isle of Capri Casinos, Inc., 7% Sr. Unsec. Sub. Nts., 3/1/14 685,000 613,075 Las Vegas Sands Corp., 6.375% Sr. Unsec. Nts., 2/15/15 110,000 99,000 Mashantucket Pequot Tribe, 8.50% Bonds, Series A, 11/15/15(2) 1,745,000 641,288 MGM Mirage, Inc.: 6.75% Sr. Unsec. Nts., 4/1/13 375,000 315,469 8.50% Sr. Unsec. Nts., 9/15/10 200,000 199,500 Mohegan Tribal Gaming Authority, 6.125% Sr. Unsec. Sub. Nts., 2/15/13 390,000 324,675 Park Place Entertainment Corp., 7.875% Sr. Sub. Nts., 3/15/10 685,000 688,425 Peninsula Gaming LLC: 8.375% Sr. Sec. Nts., 8/15/15(2) 110,000 110,550 10.75% Sr. Unsec. Nts., 8/15/17(2) 280,000 282,800 Pinnacle Entertainment, Inc.: 8.25% Sr. Unsec. Sub. Nts., 3/15/12 391,000 392,955 8.625% Sr. Nts., 8/1/17(2) 110,000 111,100 Pokagon Gaming Authority, 10.375% Sr. Nts., 6/15/14(2) 425,000 444,125
1 | Oppenheimer High Income Fund/VA Oppenheimer High Income Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE ------------ ------------- HOTELS, RESTAURANTS & LEISURE CONTINUED Station Casinos, Inc., 6.50% Sr. Unsec. Sub. Nts., 2/1/14(4) $ 2,595,000 $ 103,800 Travelport LLC, 11.875% Sr. Unsec. Sub. Nts., 9/1/16 650,000 598,000 Wendy's/Arby's Group, Inc., 10% Sr. Unsec. Nts., 7/15/16(2) 750,000 800,625 Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 6.625% Nts., 12/1/14 805,000 780,850 ------------- 8,637,100 ------------- HOUSEHOLD DURABLES--1.4% Jarden Corp., 7.50% Sr. Unsec. Sub. Nts., 5/1/17 805,000 786,888 K. Hovnanian Enterprises, Inc.: 7.75% Sr. Unsec. Sub. Nts., 5/15/13 285,000 220,875 8.875% Sr. Sub. Nts., 4/1/12 805,000 680,225 Lennar Corp., 12.25% Sr. Unsec. Nts., 6/1/17 210,000 257,250 ------------- 1,945,238 ------------- MEDIA--8.4% Allbritton Communications Co., 7.75% Sr. Unsec. Sub. Nts., 12/15/12 565,000 533,925 AMC Entertainment, Inc., 8% Sr. Unsec. Sub. Nts., 3/1/14 708,000 686,760 American Media Operations, Inc.: 9% Sr. Unsec. Nts., 5/1/13(2) 1,774 1,118 12.02% Sr. Sub. Nts., 11/1/13(2) 1,054,077 664,069 Belo Corp.: 6.75% Sr. Unsec. Unsub. Nts., 5/30/13 55,000 51,906 7.75% Sr. Unsec. Unsub. Debs., 6/1/27 550,000 435,188 CCH I LLC/CCH I Capital Corp., 11% Sr. Sec. Nts., 10/1/15(4) 1,455,000 276,450 Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp., 10.25% Sr. Unsec. Nts., 9/15/10(4, 5) 605,000 683,650 Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: 8.375% Sr. Nts., Second Lien, 4/30/14(2) 125,000 128,125 12.875% Sr. Sec. Nts., 9/15/14(2, 6) 120,000 130,500 Cinemark USA, Inc., 8.625% Sr. Nts., 6/15/19(2) 280,000 290,850 Lin Television Corp., 6.50% Sr. Sub. Nts., 5/15/13 1,715,000 1,560,650 Marquee Holdings, Inc., 9.505% Sr. Nts., 8/15/14(6) 310,000 258,075 Mediacom LLC/Mediacom Capital Corp., 9.125% Sr. Nts., 8/15/19(2) 650,000 671,125 MediaNews Group, Inc.: 6.375% Sr. Sub. Nts., 4/1/14(3, 4) 1,460,000 3,796 6.875% Sr. Unsec. Sub. Nts., 10/1/13(3, 4) 2,510,000 6,526 NTL Cable plc, 9.125% Sr. Nts., 8/15/16 675,000 696,938 Sinclair Broadcast Group, Inc., 8% Sr. Unsec. Sub. Nts., 3/15/12 1,485,000 1,317,938 TL Acquisitions, Inc., 10.50% Sr. Nts., 1/15/15(2) 710,000 674,500 Valassis Communications, Inc., 8.25% Sr. Unsec. Unsub. Nts., 3/1/15 840,000 757,050 Virgin Media Finance plc: 8.75% Sr. Unsec. Nts., 4/15/14 220,000 225,500 9.50% Sr. Bonds, 8/15/16 430,000 454,725 Warner Music Group Corp., 7.375% Sr. Sub. Bonds, 4/15/14 950,000 914,375
2 | Oppenheimer High Income Fund/VA Oppenheimer High Income Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE ------------ ------------- MEDIA CONTINUED WMG Acquisition Corp., 9.50% Sr. Sec. Nts., 6/15/16(2) $ 305,000 $ 323,300 ------------- 11,747,039 ------------- SPECIALTY RETAIL--0.4% Leslie's Poolmart, Inc., 7.75% Sr. Unsec. Nts., 2/1/13(3) 575,000 577,875 ------------- TEXTILES, APPAREL & LUXURY GOODS--0.7% Levi Strauss & Co., 9.75% Sr. Unsec. Unsub. Nts., 1/15/15 895,000 935,275 ------------- CONSUMER STAPLES--6.8% BEVERAGES--0.7% Cott Beverages USA, Inc., 8% Unsec. Sub. Nts., 12/15/11 940,000 938,825 ------------- FOOD & STAPLES RETAILING--1.7% Albertson's, Inc., 8% Sr. Unsec. Debs., 5/1/31 1,160,000 1,046,900 Real Time Data Co., 11% Nts., 5/31/09(3, 4, 5, 7) 476,601 -- Rite Aid Corp.: 7.50% Sr. Sec. Nts., 3/1/17 1,120,000 991,200 9.50% Sr. Unsec. Unsub. Nts., 6/15/17 405,000 330,075 ------------- 2,368,175 ------------- FOOD PRODUCTS--4.1% Chiquita Brands International, Inc.: 7.50% Sr. Unsec. Nts., 11/1/14 730,000 730,000 8.875% Sr. Unsec. Unsub. Nts., 12/1/15 560,000 579,600 Dean Foods Co., 7% Sr. Unsec. Unsub. Nts., 6/1/16 1,195,000 1,144,213 Del Monte Corp., 7.50% Sr. Sub. Nts., 10/15/19(2, 8) 55,000 55,825 Dole Food Co., Inc.: 8% Sr. Sec. Nts., 10/1/16(2) 215,000 216,881 8.875% Sr. Unsec. Nts., 3/15/11 641,000 645,006 JBS USA LLC/JBS USA Finance, Inc., 11.625% Sr. Nts., 5/1/14(2) 590,000 637,200 Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 10.625% Sr. Sub. Nts., 4/1/17 1,260,000 1,293,075 Smithfield Foods, Inc., 7% Sr. Nts., 8/1/11 360,000 347,400 ------------- 5,649,200 ------------- PERSONAL PRODUCTS--0.3% Elizabeth Arden, Inc., 7.75% Sr. Unsec. Sub. Nts., 1/15/14 490,000 467,950 ------------- ENERGY--13.6% ENERGY EQUIPMENT & SERVICES--1.3% Helix Energy Solutions Group, Inc., 9.50% Sr. Unsec. Nts., 1/15/16(2) 830,000 834,150 Key Energy Services, Inc., 8.375% Sr. Unsec. Nts., 12/1/14 670,000 639,850 Pride International, Inc., 8.50% Sr. Nts., 6/15/19 325,000 359,125 ------------- 1,833,125 ------------- OIL, GAS & CONSUMABLE FUELS--12.3% Arch Coal, Inc., 8.75% Sr. Nts., 8/1/16(2) 650,000 672,750 Atlas Energy Resources LLC, 10.75% Sr. Nts., 2/1/18(2) 1,120,000 1,167,600 Atlas Pipeline Partners LP, 8.125% Sr. Unsec. Nts., 12/15/15 555,000 449,550 Berry Petroleum Co.: 8.25% Sr. Sub. Nts., 11/1/16 470,000 453,550 10.25% Sr. Unsec. Nts., 6/1/14 620,000 664,950 Bill Barrett Corp., 9.875% Sr. Nts., 7/15/16 585,000 618,638 Chesapeake Energy Corp., 6.875% Sr. Unsec. Nts., 1/15/16 1,065,000 1,014,413
3 | Oppenheimer High Income Fund/VA Oppenheimer High Income Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE ------------ ------------- OIL, GAS & CONSUMABLE FUELS CONTINUED Cimarex Energy Co., 7.125% Sr. Nts., 5/1/17 $ 300,000 $ 280,500 Concho Resources, Inc., 8.625% Sr. Unsec. Nts., 10/1/17 160,000 164,800 Continental Resources, Inc., 8.25% Sr. Unsec. Nts., 10/1/19(2) 130,000 134,225 Denbury Resources, Inc., 7.50% Sr. Sub. Nts., 12/15/15 945,000 942,638 Enterprise Products Operating LLP, 8.375% Jr. Sub. Nts., 8/1/66(6) 1,400,000 1,310,651 Forest Oil Corp.: 7.25% Sr. Unsec. Nts., 6/15/19(2) 440,000 413,600 8.50% Sr. Nts., 2/15/14(2) 785,000 794,813 Mariner Energy, Inc., 11.75% Sr. Unsec. Nts., 6/30/16 625,000 676,563 Massey Energy Co., 6.875% Sr. Unsec. Nts., 12/15/13 1,265,000 1,227,050 Newfield Exploration Co., 6.625% Sr. Unsec. Unsub. Nts., 4/15/16 600,000 591,000 North American Energy Alliance LLC, 10.875% Sr. Sec. Nts., 6/1/16(2) 380,000 393,300 Petrohawk Energy Corp., 10.50% Sr. Nts., 8/1/14(2) 520,000 561,600 Pioneer Natural Resources Co.: 6.65% Sr. Unsec. Nts., 3/15/17 105,000 100,469 6.875% Sr. Unsec. Unsub. Nts., 5/1/18 150,000 143,933 Plains Exploration & Production Co., 10% Sr. Unsec. Nts., 3/1/16 930,000 1,006,725 Quicksilver Resources, Inc.: 7.125% Sr. Sub. Nts., 4/1/16 535,000 466,788 8.25% Sr. Unsec. Nts., 8/1/15 335,000 328,300 11.75% Sr. Nts., 1/1/16 615,000 681,113 SandRidge Energy, Inc., 9.875% Sr. Unsec. Nts., 5/15/16(2) 660,000 691,350 Southwestern Energy Co., 7.50% Sr. Nts., 2/1/18(2) 485,000 492,275 Western Refining, Inc., 11.25% Sr. Sec. Nts., 6/15/17(2) 740,000 703,000 ------------- 17,146,144 ------------- FINANCIALS--1.5% CONSUMER FINANCE--0.8% SLM Corp., 4.50% Nts., Series A, 7/26/10 1,165,000 1,132,303 ------------- DIVERSIFIED FINANCIAL SERVICES--0.4% GMAC LLC, 8% Sr. Unsec. Unsub. Nts., 11/1/31(2) 745,000 607,175 ------------- INSURANCE--0.3% Multiplan, Inc., 10.375% Sr. Sub. Nts., 4/15/16(3) 400,000 388,000 ------------- HEALTH CARE--7.8% HEALTH CARE EQUIPMENT & SUPPLIES--1.4% Biomet, Inc., 10.375% Sr. Unsec. Nts., 10/15/17(7) 1,210,000 1,291,675 Inverness Medical Innovations, Inc., 7.875% Sr. Nts., 2/1/16(2) 385,000 373,450 Universal Hospital Services, Inc., 8.50% Sr. Sec. Nts., 6/1/15(7) 350,000 344,750 ------------- 2,009,875 ------------- HEALTH CARE PROVIDERS & SERVICES--5.9% Apria Healthcare Group, Inc.: 11.25% Sr. Sec. Nts., 11/1/14(2) 635,000 685,800 12.375% Sr. Sec. Nts., 11/1/14(2) 335,000 359,288 Catalent Pharma Solutions, Inc., 9.50% Sr. Unsec. Nts., 4/15/15(7) 410,000 358,750
4 | Oppenheimer High Income Fund/VA Oppenheimer High Income Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE ------------ ------------- HEALTH CARE PROVIDERS & SERVICES CONTINUED Community Health Systems, Inc., 8.875% Sr. Unsec. Nts., 7/15/15 $ 1,005,000 $ 1,032,638 HCA, Inc.: 6.375% Nts., 1/15/15 925,000 827,875 8.50% Sr. Sec. Nts., 4/15/19(2) 195,000 204,750 HEALTHSOUTH Corp., 10.75% Sr. Unsec. Nts., 6/15/16 1,175,000 1,280,750 Select Medical Corp., 7.625% Sr. Unsec. Sub. Nts., 2/1/15 1,520,000 1,430,700 Tenet Healthcare Corp., 7.375% Nts., 2/1/13 365,000 363,175 US Oncology Holdings, Inc., 5.592% Sr. Unsec. Nts., 3/15/12(3, 6, 7) 601,000 525,875 US Oncology, Inc., 9.125% Sr. Sec. Nts., 8/15/17(2) 320,000 338,400 Vanguard Health Holding Co. I LLC, 0%/11.25% Sr. Nts., 10/1/15(9) 765,000 799,425 ------------- 8,207,426 ------------- PHARMACEUTICALS--0.5% DJO Finance LLC/DJO Finance Corp., 10.875% Sr. Unsec. Nts., 11/15/14 715,000 734,663 ------------- INDUSTRIALS--10.2% AEROSPACE & DEFENSE--2.0% Alliant Techsystems, Inc., 6.75% Sr. Sub. Nts., 4/1/16 795,000 771,150 BE Aerospace, Inc., 8.50% Sr. Unsec. Nts., 7/1/18 1,080,000 1,109,700 TransDigm, Inc., 7.75% Nts, 7/15/14(2, 8) 250,000 242,813 Vought Aircraft Industries, Inc., 8% Sr. Nts., 7/15/11 700,000 696,500 ------------- 2,820,163 ------------- AIRLINES--1.6% American Airlines Pass Through Trust 2001-2, 7.858% Pass-Through Certificates, Series 2001-2, Cl. A-2, 10/1/11(3) 755,000 754,056 American Airlines Pass Through Trust 2009-1A, 10.375% Pass-Through Certificates, Series 2009-1A, 7/2/19(3) 225,000 243,844 American Airlines, Inc., 10.50% Sr. Sec. Nts., 10/15/12(3, 8) 405,000 414,113 Delta Air Lines, Inc.: 9.50% Sr. Sec. Nts., 9/15/14 160,000 159,800 12.25% Sr. Sec. Nts., 3/15/15(2) 710,000 665,625 ------------- 2,237,438 ------------- BUILDING PRODUCTS--0.2% USG Corp., 9.75% Sr. Unsec. Nts., 8/1/14(2) 335,000 351,750 ------------- COMMERCIAL SERVICES & SUPPLIES--2.3% Acco Brands Corp., 10.625% Sr. Sec. Nts., 3/15/15(2) 160,000 168,000 American Pad & Paper Co., 13% Sr. Sub. Nts., Series B, 11/15/05(3, 4, 5) 200,000 -- Aramark Services, Inc., 8.50% Sr. Unsec. Nts., 2/1/15 320,000 324,400 Corrections Corp. of America, 7.75% Sr. Nts., 6/1/17 535,000 555,063 Iron Mountain, Inc.: 7.75% Sr. Sub. Nts., 1/15/15 405,000 410,063 8.375% Sr. Sub. Bonds, 8/15/21 335,000 346,725 West Corp., 9.50% Sr. Unsec. Nts., 10/15/14 1,360,000 1,339,600 ------------- 3,143,851 -------------
5 | Oppenheimer High Income Fund/VA Oppenheimer High Income Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE ------------ ------------- MACHINERY--1.2% Manitowoc Co., Inc. (The), 7.125% Sr. Nts., 11/1/13 $ 785,000 $ 682,950 Terex Corp., 8% Sr. Unsec. Sub. Nts., 11/15/17 1,015,000 936,338 ------------- 1,619,288 ------------- PROFESSIONAL SERVICES--0.5% Altegrity, Inc., 10.50% Sr. Unsec. Sub. Nts., 11/1/15(2) 755,000 641,750 ------------- ROAD & RAIL--1.8% Avis Budget Car Rental LLC, 7.625% Sr. Unsec. Unsub. Nts., 5/15/14 1,285,000 1,162,925 Hertz Corp., 10.50% Sr. Unsec. Sub. Nts., 1/1/16 910,000 950,950 RailAmerica, Inc., 9.25% Sr. Sec. Nts., 7/1/17(2) 335,000 352,588 ------------- 2,466,463 ------------- TRADING COMPANIES & DISTRIBUTORS--0.6% RSC Equipment Rental, Inc., 10% Sr. Sec. Nts., 7/15/17(2) 185,000 199,800 United Rentals, Inc., 7% Sr. Sub. Nts., 2/15/14 790,000 691,250 ------------- 891,050 ------------- INFORMATION TECHNOLOGY--5.8% COMPUTERS & PERIPHERALS--1.0% Seagate Technology International, 10% Sr. Sec. Nts., 5/1/14(2) 1,205,000 1,322,488 ------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--1.8% Flextronics International Ltd., 6.50% Sr. Unsec. Sub. Nts., 5/15/13 832,000 815,360 RBS Global, Inc., /Rexnord Corp., 11.75% Sr. Unsec. Sub. Nts., 8/1/16 750,000 682,500 Sanmina-SCI Corp., 8.125% Sr. Sub. Nts., 3/1/16 1,140,000 1,071,600 ------------- 2,569,460 ------------- IT SERVICES--2.5% Affiliated Computer Services, Inc., 5.20% Sr. Unsec. Nts., 6/1/15 630,000 622,125 First Data Corp., 9.875% Sr. Unsec. Nts., 9/24/15 1,245,000 1,156,294 Sabre Holdings Corp., 7.35% Sr. Unsec. Unsub. Nts., 8/1/11 160,000 160,400 SunGard Data Systems, Inc.: 9.125% Sr. Unsec. Nts., 8/15/13 1,260,000 1,278,900 10.25% Sr. Unsec. Sub. Nts., 8/15/15 300,000 307,500 ------------- 3,525,219 ------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--0.5% Amkor Technology, Inc., 9.25% Sr. Unsec. Nts., 6/1/16 625,000 646,875 ------------- MATERIALS--9.6% CHEMICALS--2.8% Hexion US Finance Corp./Hexion Nova Scota Finance ULC, 9.75% Sr. Sec. Nts., 11/15/14 445,000 384,925 Huntsman International LLC: 5.50% Sr. Unsec. Nts., 6/30/16(2) 265,000 226,575 7.375% Sr. Unsub. Nts., 1/15/15 955,000 871,438 7.875% Sr. Unsec. Sub. Nts., 11/15/14 95,000 89,063 Momentive Performance Materials, Inc., 11.50% Sr. Unsec. Sub. Nts., 12/1/16 2,390,000 1,589,350 Nalco Co., 8.875% Unsec. Sub. Nts., 11/15/13 375,000 387,188 PolyOne Corp., 8.875% Sr. Unsec. Nts., 5/1/12 295,000 299,425 ------------- 3,847,964 -------------
6 | Oppenheimer High Income Fund/VA Oppenheimer High Income Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE ------------ ------------- CONTAINERS & PACKAGING--3.0% Berry Plastics Holding Corp., 8.875% Sr. Sec. Nts., 9/15/14 $ 1,085,000 $ 1,038,888 Crown Americas, Inc., 7.75% Sr. Nts., 11/15/15 440,000 449,900 Graham Packaging Co., Inc.: 8.50% Sr. Unsec. Nts., 10/15/12 360,000 365,400 9.875% Sr. Unsec. Sub. Nts., 10/15/14 950,000 980,875 Graphic Packaging International, Inc.: 9.50% Sr. Nts., 6/15/17(2) 435,000 464,363 9.50% Sr. Unsec. Nts., 6/15/17(2) 855,000 912,713 ------------- 4,212,139 ------------- METALS & MINING--2.7% Freeport-McMoRan Copper & Gold, Inc., 8.375% Sr. Nts., 4/1/17 910,000 969,362 Novelis, Inc.: 7.25% Sr. Unsec. Nts., 2/15/15(6) 990,000 861,300 11.50% Sr. Unsec. Nts., 2/15/15(2) 225,000 228,375 Steel Dynamics, Inc., 7.375% Sr. Unsec. Unsub. Nts., 11/1/12 610,000 619,150 Teck Resources Ltd., 10.25% Sr. Sec. Nts., 5/15/16 915,000 1,038,525 ------------- 3,716,712 ------------- PAPER & FOREST PRODUCTS--1.1% Georgia-Pacific LLC: 7.70% Debs., 6/15/15 315,000 319,725 8.25% Sr. Unsec. Nts., 5/1/16(2) 855,000 891,338 PE Paper Escrow GmbH, 12% Sr. Sec. Nts., 8/1/14(2) 325,000 351,644 ------------- 1,562,707 ------------- TELECOMMUNICATION SERVICES--7.9% DIVERSIFIED TELECOMMUNICATION SERVICES--3.7% Cincinnati Bell, Inc., 8.25% Sr. Nts., 10/15/17(8) 505,000 497,738 Citizens Communications Co., 6.25% Sr. Nts., 1/15/13 1,390,000 1,369,150 Intelsat Subsidiary Holding Co. Ltd., 8.50% Sr. Unsec. Nts., 1/15/13(2) 605,000 615,588 PAETEC Holding Corp., 9.50% Sr. Unsec. Unsub. Nts., 7/15/15 675,000 615,938 Qwest Corp., 8.875% Unsec. Unsub. Nts., 3/15/12 650,000 687,375 Windstream Corp.: 7.875% Sr. Nts., 11/1/17(3, 8) 160,000 159,400 8.125% Sr. Unsec. Unsub. Nts., 8/1/13 670,000 691,775 8.625% Sr. Unsec. Unsub. Nts., 8/1/16 570,000 585,675 Winstar Communications, Inc., 12.75% Sr. Nts., 4/15/10(3, 4, 5) 1,000,000 -- ------------- 5,222,639 ------------- WIRELESS TELECOMMUNICATION SERVICES--4.2% American Tower Corp., 7.25% Sr. Unsec. Nts., 5/15/19(2) 870,000 898,275 Cricket Communications, Inc., 7.75% Sr. Sec. Nts., 5/15/16(2) 735,000 749,700 Nextel Communications, Inc., 7.375% Sr. Nts., Series D, 8/1/15 1,520,000 1,371,800 SBA Telecommunications, Inc., 8% Sr. Nts., 8/15/16(2) 445,000 457,238 SBA Telecommunications, Inc., 8.25% Sr. Nts., 8/15/19(2) 220,000 227,700 Sprint Capital Corp., 8.75% Nts., 3/15/32 2,215,000 2,104,250 Teligent, Inc., 11.50% Sr. Nts., 12/1/08(3, 4, 5) 400,000 -- ------------- 5,808,963 -------------
7 | Oppenheimer High Income Fund/VA Oppenheimer High Income Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE ------------ ------------- UTILITIES--5.3% ELECTRIC UTILITIES--1.7% Edison Mission Energy, 7% Sr. Unsec. Nts., 5/15/17 $ 1,295,000 $ 1,087,800 Energy Future Holdings Corp., 10.875% Sr. Unsec. Nts., 11/1/17 1,295,000 984,200 Texas Competitive Electric Holdings Co. LLC, 10.25% Sr. Unsec. Nts., Series A, 11/1/15 510,000 369,750 ------------- 2,441,750 ------------- ENERGY TRADERS--3.6% AES Corp. (The), 8% Sr. Unsec. Unsub. Nts., 10/15/17 270,000 273,038 Dynegy Holdings, Inc., 8.375% Sr. Unsec. Nts., 5/1/16 1,480,000 1,391,200 Mirant North America LLC, 7.375% Sr. Unsec. Nts., 12/31/13 500,000 500,000 NRG Energy, Inc.: 7.375% Sr. Nts., 1/15/17 435,000 421,950 7.375% Sr. Nts., 2/1/16 695,000 674,150 8.50% Sr. Unsec. Nts., 6/15/19 555,000 558,469 Reliant Energy, Inc., 7.625% Sr. Unsec. Unsub. Nts., 6/15/14 1,170,000 1,153,894 ------------- 4,972,701 ------------- Total Corporate Bonds and Notes (Cost $126,217,651) 124,994,522 -------------
SHARES ------------ PREFERRED STOCKS--0.0% AmeriKing, Inc., 13% Cum. Sr. Exchangeable, Non-Vtg.(3, 5, 7) 13,764 -- Eagle-Picher Holdings, Inc., 11.75% Cum. Exchangeable, Series B, Non-Vtg.(3, 5) 8,000 -- ICG Holdings, Inc., 14.25% Exchangeable, Non-Vtg.(3, 5, 7) 342 -- ------------- Total Preferred Stocks (Cost $1,097,476) -- ------------- COMMON STOCKS--0.6% American Media, Inc.(3, 5) 9,424 94 Charter Communications, Inc.(5) 33,081 791,938 Global Aero Logistics, Inc. (3, 5) 4,647 4,647 Orbcomm, Inc.(5) 1,127 3,065 ------------- Total Common Stocks (Cost $882,667) 799,744 -------------
UNITS ------------ RIGHTS, WARRANTS AND CERTIFICATES--0.0% Global Aero Logistics, Inc. Wts., Strike Price $10, Exp. 2/28/11(3, 5) (Cost $4,339) 570 6
PRINCIPAL AMOUNT ------------ LOAN PARTICIPATIONS--1.2% Nuveen Investments, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 12.50%, 7/20/15(6) (Cost $1,464,753) $ 1,625,000 1,633,125
8 | Oppenheimer High Income Fund/VA Oppenheimer High Income Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
SHARES VALUE ------------ ------------- INVESTMENT COMPANIES--5.8% JPMorgan U.S. Treasury Plus Money Market Fund, Agency Shares, 0.00%(10, 11) 18,029 $ 18,029 Oppenheimer Institutional Money Market Fund, Cl. E, 0.27%(10, 12) 8,005,855 8,005,855 ------------- Total Investment Companies (Cost $8,023,884) 8,023,884 ------------- TOTAL INVESTMENTS, AT VALUE (COST $137,742,260) 97.3% 135,487,934 OTHER ASSETS NET OF LIABILITIES 2.7 3,789,942 ------------ ------------- NET ASSETS 100.0% $ 139,277,876 ============ =============
Footnotes to Statement of Investments (1.) 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 $36,653 or 0.03% of the Fund's net assets as of September 30, 2009. (2.) Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $28,515,043 or 20.47% of the Fund's net assets as of September 30, 2009. (3.) Illiquid security. The aggregate value of illiquid securities as of September 30, 2009 was $3,749,682, which represents 2.69% of the Fund's net assets. See accompanying Notes. (4.) Issue is in default. See accompanying Notes. (5.) Non-income producing security. (6.) Represents the current interest rate for a variable or increasing rate security. (7.) Interest or dividend is paid-in-kind, when applicable. (8.) When-issued security or delayed delivery to be delivered and settled after September 30, 2009. See accompanying Notes. (9.) Denotes a step bond: a zero coupon bond that converts to a fixed or variable interest rate at a designated future date. (10.) Rate shown is the 7-day yield as of September 30, 2009. (11.) Interest rate is less than 0.0005%. (12.) Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 30, 2009, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows:
SHARES GROSS GROSS SHARES DECEMBER 31, 2008 ADDITIONS REDUCTIONS SEPTEMBER 30, 2009 ----------------- ----------- ----------- ------------------ Oppenheimer Institutional Money Market Fund, Cl. E 76,839,590 135,523,393 204,357,128 8,005,855
VALUE INCOME ---------- -------- Oppenheimer Institutional Money Market Fund, Cl. E $8,005,855 $234,897
(13.) The current amortization rate of the security's cost basis exceeds the future interest payments currently estimated to be received. Both the amortization rate and interest payments are contingent on future mortgage pre-payments speeds and are therefore subject to change. 9 | Oppenheimer High Income Fund/VA Oppenheimer High Income Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED VALUATION INPUTS Various data inputs are used in determining the value of each of the Fund's investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards: 1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) 2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) 3) Level 3-significant unobservable inputs (including the Manager's own judgments about assumptions that market participants would use in pricing the asset). The table below categorizes amounts that are included in the Fund's Statement of Assets and Liabilities as of September 30, 2009 based on valuation input level:
LEVEL 2-- LEVEL 3-- LEVEL 1-- OTHER SIGNIFICANT UNADJUSTED SIGNIFICANT UNOBSERVABLE QUOTED PRICES OBSERVABLE INPUTS INPUTS VALUE ------------- ----------------- ------------ ------------ ASSETS TABLE INVESTMENTS, AT VALUE: Mortgage-Backed Obligations $ -- $ 36,653 $ -- $ 36,653 Corporate Bonds and Notes -- 124,751,709 242,813 124,994,522 Preferred Stocks Consumer Discretionary -- -- -- -- Telecommunication Services -- -- -- -- Common Stocks Consumer Discretionary -- 792,032 -- 792,032 Industrials -- -- 4,647 4,647 Information Technology 3,065 -- -- 3,065 Rights, Warrants and Certificates -- -- 6 6 Loan Participations -- 1,633,125 -- 1,633,125 Investment Companies 8,023,884 -- -- 8,023,884 ---------- ------------ -------- ------------ Total Investments, at Value 8,026,949 127,213,519 247,466 135,487,934 OTHER FINANCIAL INSTRUMENTS: Depreciated swaps, at value -- 438,617 -- 438,617 ---------- ------------ -------- ------------ Total Assets $8,026,949 $127,652,136 $247,466 $135,926,551 ---------- ------------ -------- ------------
Currency contracts and forwards, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract's value from trade date. Futures, if any, are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. All additional assets and liabilities included in the above table are reported at their market value at measurement date. SEE THE ACCOMPANYING NOTES FOR FURTHER DISCUSSION OF THE METHODS USED IN DETERMINING VALUE OF THE FUND'S INVESTMENTS, AND A SUMMARY OF CHANGES TO THE VALUATION TECHNIQUES, IF ANY, DURING THE REPORTING PERIOD. CREDIT DEFAULT SWAP CONTRACTS AS OF SEPTEMBER 30, 2009 ARE AS FOLLOWS:
PAY/ UPFRONT BUY/SELL NOTIONAL RECEIVE PAYMENT REFERENCE ENTITY/ CREDIT AMOUNT FIXED TERMINATION RECEIVED/ UNREALIZED SWAP COUNTERPARTY PROTECTION (000S) RATE DATE (PAID) VALUE DEPRECIATION ---------------------------------------------- ---------- -------- ------- ----------- --------- -------- ------------ CDX NORTH AMERICA HIGH YIELD INDEX, SERIES 12: Credit Suisse International Buy $2,820 5% 6/20/14 $(337,225) $187,979 $149,246 JPMorgan Chase Bank NA, NY Branch Buy 1,880 5 6/20/14 (225,731) 125,319 100,412 Morgan Stanley & Co. International Ltd. Buy 1,880 5 6/20/14 (227,167) 125,319 101,848 ------ --------- -------- -------- Total 6,580 (790,123) 438,617 351,506 --------- -------- --------
10 | Oppenheimer High Income Fund/VA Oppenheimer High Income Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED Grand Total Buys (790,123) 438,617 351,506 Grand Total Sells -- -- -- --------- -------- -------- Total Credit Default Swaps $(790,123) $438,617 $351,506 ========= ======== ========
SWAP SUMMARY AS OF SEPTEMBER 30, 2009 IS AS FOLLOWS: The following table aggregates, as of period end, the amount receivable from/(payable to) each counterparty with whom the Fund has entered into a swap agreement. Swaps are individually disclosed in the preceding tables.
NOTIONAL SWAP TYPE FROM AMOUNT SWAP COUNTERPARTY FUND PERSPECTIVE (000'S) VALUE ----------------- ----------------------------- -------- --------- Credit Suisse International Credit Default Buy Protection 2,820 $187,979 JPMorgan Chase Bank NA, NY Branch Credit Default Buy Protection 1,880 125,319 Morgan Stanley & Co. International Ltd. Credit Default Buy Protection 1,880 125,319 -------- $438,617 ========
NOTES TO 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 trading. Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Unadjusted quoted prices in active markets for identical securities are classified as "Level 1," inputs other than unadjusted quoted prices for an asset that are observable are classified as "Level 2" and significant unobservable inputs, including the Manager's judgment about the assumptions that a market participant would use in pricing an asset or liability are classified as "Level 3." The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. A table summarizing the Fund's investments under these levels of classification is included following the Statement of Investments. Securities are valued using unadjusted quoted market prices, when available, as supplied primarily either by portfolio pricing services approved by the Board of Trustees or dealers. Securities traded on a registered U.S. securities exchange are valued based on the last sale price of the security reported on the principal exchange on which traded, prior to the time when the Fund's assets are valued. Securities whose principal exchange is NASDAQ(R) are valued based on the official closing prices reported 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 current day's closing "bid" and "asked" prices, and if not, at the current day's closing bid price. A foreign security traded on a foreign exchange is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the portfolio pricing service used by the Manager, prior to the time when the Fund's assets are valued. In the absence of a sale, the security is valued at the most recent official closing price on the principal exchange on which it is traded. Shares of a registered investment company that are not traded on an exchange are valued at that investment company's net asset value per share. Corporate, government and municipal debt instruments having a remaining maturity in excess of sixty days and all mortgage-backed securities, collateralized mortgage obligations and other asset-backed securities are valued at the mean between the "bid" and "asked" prices. 11 | Oppenheimer High Income Fund/VA Oppenheimer High Income Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED "Money market-type" debt instruments with remaining maturities of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. In the absence of a readily available unadjusted quoted market price, including for 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 the securities' respective exchanges, the Manager, acting through its internal valuation committee, in good faith determines the fair valuation of that asset using consistently applied procedures under the supervision of the Board of Trustees (which reviews those fair valuations by the Manager). Those procedures include certain standardized methodologies to fair value securities. Such methodologies include, but are not limited to, pricing securities initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be adjusted for any discounts related to resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. There have been no significant changes to the fair valuation methodologies during the period. SECURITIES ON A WHEN-ISSUED OR DELAYED DELIVERY BASIS. The Fund may purchase securities on a "when-issued" basis, and may purchase or sell securities on a "delayed delivery" basis. "When-issued" or "delayed delivery" refers to securities whose terms and indenture are available and for which a market exists, but which are not available for immediate delivery. Delivery and payment for securities that have been purchased by the Fund on a when-issued basis normally takes place within six months and possibly as long as two years or more after the 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 purchase of securities on a when-issued basis may increase the volatility of the Fund's net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. When the Fund engages in when-issued or delayed delivery transactions, it relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do so may cause the Fund to lose the opportunity to obtain or dispose of the security at a price and yield it considers advantageous. The Fund maintains internally designated assets with a market value equal to or greater than the amount of its purchase commitments. 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 September 30, 2009, the Fund had purchased securities issued on a when-issued or delayed delivery basis and sold securities issued on a delayed delivery basis as follows:
WHEN-ISSUED OR DELAYED DELIVERY BASIS TRANSACTIONS ------------------ Purchased securities $1,360,139
The Fund may enter into "forward roll" transactions with respect to mortgage-related securities. In this type of transaction, the Fund sells a mortgage-related security to a buyer and simultaneously agrees to repurchase a similar security (same type, coupon and maturity) at a later date at a set price. During the period between the sale and the repurchase, the Fund will not be entitled to receive interest and principal payments on the securities that have been sold. The Fund records the incremental difference between the forward purchase and sale of each forward roll as realized gain (loss) on 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. Forward roll transactions may be deemed to entail embedded leverage since the Fund purchases mortgage-related securities with extended settlement dates rather than paying for the securities under a normal settlement cycle. This embedded leverage increases the Fund's market value of investments relative to its net assets which can incrementally increase the volatility of the Fund's performance. Forward roll transactions can be replicated over multiple settlement periods. 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; and counterparty credit risk. To assure its future payment of the purchase price, the Fund maintains internally designated assets with a market value equal to or greater than the payment obligation under the roll. 12 | Oppenheimer High Income Fund/VA Oppenheimer High Income Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED CREDIT RISK. The Fund invests in high-yield, non-investment-grade bonds, which may be subject to a greater degree of credit risk. Credit risk relates to the ability of the issuer to meet interest or principal payments or both as they become due. The Fund may acquire securities in default, and is not obligated to dispose of securities whose issuers subsequently default. Information concerning securities in default as of September 30, 2009 is as follows: Cost $9,034,081 Market Value $1,360,085 Market Value as a % of Net Assets 0.98%
FOREIGN CURRENCY TRANSLATION. The Fund's accounting records are maintained in U.S. dollars. The values of securities denominated in foreign currencies and amounts related to the purchase and sale of foreign securities and foreign investment income are translated into U.S. dollars as of the close of the Exchange, normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading. Foreign exchange rates may be valued primarily using a reliable bank, dealer or service authorized by the Board of Trustees. Reported net realized gains and losses from foreign currency transactions arise from sales of portfolio securities, sales and maturities of short-term securities, sales of foreign currencies, exchange rate fluctuations between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized appreciation and depreciation on the translation of assets and liabilities denominated in foreign currencies arise from changes in the values of assets and liabilities, including investments in securities at fiscal period end, resulting from changes in exchange rates. The effect of changes in foreign currency exchange rates on investments is separately identified from the fluctuations arising from changes in market values of securities held and reported with all other foreign currency gains and losses in the Fund's Statement of Operations in the annuual semiannual reports. INVESTMENT IN OPPENHEIMER INSTITUTIONAL MONEY MARKET FUND. The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund ("IMMF") to seek current income while preserving liquidity. IMMF is a registered open-end management investment company, regulated as a money market fund under the Investment Company Act of 1940, as amended. The Manager is also the investment adviser of IMMF. When applicable, the Fund's investment in IMMF is included in the Statement of Investments. Shares of IMMF are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of IMMF's Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund's investment in IMMF. RISK EXPOSURES AND THE USE OF DERIVATIVE INSTRUMENTS The Fund's investment objectives not only permit the Fund to purchase investment securities, they also allow the Fund to enter into various types of derivatives contracts, including, but not limited to, futures contracts, forward foreign currency exchange contracts, credit default swaps, interest rate swaps, total return swaps, and purchased and written options. In doing so, the Fund will employ strategies in differing combinations to permit it to increase, decrease, or change the level or types of exposure to market risk factors. Central to those strategies are features inherent to derivatives that make them more attractive for this purpose than equity and debt securities: they require little or no initial cash investment, they can focus exposure on only certain selected risk factors, and they may not require the ultimate receipt or delivery of the underlying security (or securities) to the contract. This may allow the Fund to pursue its objectives more quickly and efficiently than if it were to make direct purchases or sales of securities capable of effecting a similar response to market factors. MARKET RISK FACTORS. In pursuit of its investment objectives, the Fund may seek to use derivatives to increase or decrease its exposure to the following market risk factors: INTEREST RATE RISK. Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value 13 | Oppenheimer High Income Fund/VA Oppenheimer High Income Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities. CREDIT RISK. Credit risk relates to the ability of the issuer to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield bonds are subject to credit risk to a greater extent than lower-yield, higher-quality bonds. FOREIGN EXCHANGE RATE RISK. Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency. EQUITY RISK. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market. RISKS OF INVESTING IN DERIVATIVES. The Fund's use of derivatives can result in losses due to unanticipated changes in the market risk factors and the overall market. In instances where the Fund is using derivatives to decrease, or hedge, exposures to market risk factors for securities held by the Fund, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions. Derivatives may have little or no initial cash investment relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost. This use of embedded leverage allows the Fund to increase its market value exposure relative to its net assets and can substantially increase the volatility of the Fund's performance. Additional associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative and the Fund. Typically, the associated risks are not the risks that the Fund is attempting to increase or decrease exposure to, per its investment objectives, but are the additional risks from investing in derivatives. Examples of these associated risks are liquidity risk, which is the risk that the Fund will not be able to sell the derivative in the open market in a timely manner, and counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund. Associated risks can be different for each type of derivative and are discussed by each derivative type in the notes that follow. COUNTERPARTY CREDIT RISK. Certain derivative positions are subject to counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund. The Fund's derivative counterparties are financial institutions who are subject to market conditions that may weaken their financial position. The Fund intends to enter into financial transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction. As of September 30, 2009, the maximum amount of loss that the Fund would incur if the counterparties to its derivative transactions failed to perform would be $438,617, which represents gross payments to be received by the Fund on these derivative contracts were they to be unwound as of period end. To reduce this risk the Fund has entered into master netting arrangements, established within the Fund's International Swap and Derivatives Association, Inc. ("ISDA") master agreements, which allow the Fund to net unrealized appreciation and depreciation for positions in swaps, over-the-counter options, and forward currency exchange contracts for each individual counterparty. The amount of loss that the Fund would incur taking into account these master netting arrangements would be $438,617 as of September 30, 2009. CREDIT RELATED CONTINGENT FEATURES. The Fund has several credit related contingent features that if triggered would allow its derivatives counterparties to close out and demand payment or additional collateral to cover their exposure from the Fund. Credit related contingent features are established between the Fund and its derivatives counterparties to reduce the risk that the Fund will not fulfill its payment obligations to its counterparties. These triggering features include, but are not limited to, a percentage decrease in the Fund's net assets and or a percentage decrease in the Fund's Net Asset Value or NAV. The contingent features are established within the Fund's ISDA master agreements which govern positions in swaps, over-the-counter options, and forward currency exchange contracts for each individual counterparty. 14 | Oppenheimer High Income Fund/VA Oppenheimer High Income Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED FUTURES CONTRACTS A futures contract is a commitment to buy or sell a specific amount of a financial instrument at a negotiated price on a stipulated future date. The Fund may buy and sell futures contracts and may also buy or write put or call options on these futures contracts. Futures contracts traded on a commodities or futures exchange will be valued at the final settlement price or official closing price on the principal exchange as reported by such principal exchange at its trading session ending at, or most recently prior to, the time when the Fund's assets are valued. 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. Futures contracts are reported on a schedule following the Statement of Investments. Securities held in collateralized accounts to cover initial margin requirements on open futures contracts are noted in the Statement of Investments. Cash held by the broker to cover initial margin requirements on open futures contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted in the Statement of Assets and Liabilities in the annual and semiannual reports. The net change in unrealized appreciation and depreciation is reported in the Statement of Operations in the annual and semiannual reports. Realized gains (losses) are reported in the Statement of Operations in the annual and semiannual reports at the closing or expiration of futures contracts. The Fund has purchased futures contracts on various bonds and notes to increase exposure to interest rate risk. The Fund has sold futures contracts on various bonds and notes to decrease exposure to interest rate risk. Additional associated risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market where the Fund is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Fund's securities. As of September 30, 2009, the Fund had no outstanding futures contracts. SWAP CONTRACTS The Fund may enter into swap contract agreements with a counterparty to exchange a series of cash flows based on either specified reference rates, or the occurrence of a credit event, over a specified period. Such contracts may include interest rate, equity, debt, index, total return, credit and currency swaps. Swaps are marked to market daily using primarily quotations from pricing services, counterparties and brokers. Swap contracts are reported on a schedule following the Statement of Investments. Any upfront payment paid or received as well as any unrealized appreciation (depreciation) on swap contracts are separately disclosed on the Statement of Assets and Liabilities in the annual and semiannual reports. The unrealized appreciation (depreciation) related to the change in the valuation of the notional amount of the swap is combined with the accrued interest due to (owed by) the Fund at termination or settlement. The net change in this amount during the period is included on the Statement of Operations in the annual and semiannual reports. The Fund also records any periodic payments received from (paid to) the counterparty, including at termination, under such contracts as realized gain (loss) on the Statement of Operations in the annual and semiannual reports. Swap contract agreements are exposed to the market risk factor of the specific underlying reference asset. Swap contracts are typically more attractively priced compared to similar investments in related cash securities because they isolate the risk to one market risk factor and eliminate the other market risk factors. Investments in cash securities (for instance bonds) have exposure to multiple risk factors (credit and interest rate risk). Because swaps require little or no initial cash investment, they can expose the Fund to substantial risk in the isolated market risk factor. CREDIT DEFAULT SWAP CONTRACTS. A credit default swap is a bilateral contract that enables an investor to buy or sell protection on a debt security against a defined-issuer credit event, such as the issuer's failure to make timely payments of interest or 15 | Oppenheimer High Income Fund/VA Oppenheimer High Income Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED principal on the debt security, bankruptcy or restructuring. The Fund may enter into credit default swaps either by buying or selling protection on a single security, or a basket of securities (the "reference asset"). The buyer of protection pays a periodic fee to the seller of protection based on the notional amount of debt securities underlying the swap contract. The seller of protection agrees to compensate the buyer of protection for future potential losses as a result of a credit event on the reference asset. The contract effectively transfers the credit event risk of the reference asset from the buyer of protection to the seller of protection. The ongoing value of the contract will fluctuate throughout the term of the contract based primarily on the credit risk of the reference asset. If the credit quality of the reference asset improves relative to the credit quality at contract initiation, the buyer of protection may have an unrealized loss greater than the anticipated periodic fee owed. This unrealized loss would be the result of current credit protection being cheaper than the cost of credit protection at contract initiation. If the buyer elects to terminate the contract prior to its maturity, and there has been no credit event, this unrealized loss will become realized. If the contract is held to maturity, and there has been no credit event, the realized loss will be equal to the periodic fee paid over the life of the contract. If there is a credit event, the buyer of protection can exercise its rights under the contract and receive a payment from the seller of protection equal to the notional amount of the reference asset less the market value of the reference asset. Upon exercise of the contract the difference between the value of the underlying reference asset and the notional amount is recorded as realized gain (loss) and is included on the Statement of Operations in the annual and semiannual reports. The Fund has sold credit protection through credit default swaps to increase exposure to the credit risk of individual securities and, or, indexes that are either unavailable or considered to be less attractive in the bond market. The Fund has purchased credit protection through credit default swaps to decrease exposure to the credit risk of individual securities and, or, indexes. The Fund has also engaged in pairs trades by purchasing protection through a credit default swap referenced to the debt of an issuer, and simultaneously selling protection through a credit default swap referenced to the debt of a different issuer with the intent to realize gains from the pricing differences of the two issuers who are expected to have similar market risks. Pairs trades attempt to gain exposure to credit risk while hedging or offsetting the effects of overall market movements. The Fund has engaged in spread curve trades by simultaneously purchasing and selling protection through credit default swaps referenced to the same issuer but with different maturities. Spread curve trades attempt to gain exposure to credit risk on a forward basis by realizing gains on the expected differences in spreads. Additional associated risks to the Fund include counterparty credit risk and liquidity risk. INTEREST RATE SWAP CONTRACTS. An interest rate swap is an agreement between counterparties to exchange periodic payments based on interest rates. One cash flow stream will typically be a floating rate payment based upon a specified interest rate while the other is typically a fixed interest rate. The Fund has entered into interest rate swaps in which it pays a floating interest rate and receives a fixed interest rate in order to increase exposure to interest rate risk. Typically, if relative interest rates rise, payments made by the Fund under a swap agreement will be greater than the payments received by the Fund. The Fund has entered into interest rate swaps in which it pays a fixed interest rate and receives a floating interest rate in order to decrease exposure to interest rate risk. Typically, if relative interest rates rise, payments received by the Fund under the swap agreement will be greater than the payments made by the Fund. Additional associated risks to the Fund include counterparty credit risk and liquidity risk. 16 | Oppenheimer High Income Fund/VA Oppenheimer High Income Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED As of September 30, 2009, the Fund had no such interest rate swap agreements outstanding. TOTAL RETURN SWAP CONTRACTS. A total return swap is an agreement between counterparties to exchange periodic payments based on asset or non-asset references. One cash flow is typically based on a non-asset reference (such as an interest rate or index) and the other on the total return of a reference asset (such as a security or a basket of securities). The total return of the reference asset typically includes appreciation or depreciation on the reference asset, plus any interest or dividend payments. Total return swap contracts are exposed to the market risk factor of the specific underlying financial instrument or index. Total return swaps are less standard in structure than other types of swaps and can isolate and, or, include multiple types of market risk factors including equity risk, credit risk, and interest rate risk. The Fund has entered into total return swaps to increase exposure to the credit risk of various indexes or basket of securities. These credit risk related total return swaps require the Fund to pay, or receive payments, to, or from, the counterparty based on the movement of credit spreads of the related indexes. The Fund has entered into total return swaps to decrease exposure to the credit risk of various indexes or basket of securities. These credit risk related total return swaps require the fund to pay, or receive payments, to, or from, the counterparty based on the movement of credit spreads of the related indexes. Additional associated risks to the Fund include counterparty credit risk and liquidity risk. As of September 30, 2009, the Fund had no such total return swap agreements outstanding. ILLIQUID SECURITIES As of September 30, 2009, investments in securities included issues that are illiquid. Investments may be illiquid because they do not have an active trading market, making it difficult to value them or dispose of them promptly at an acceptable price. 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 that are illiquid are marked with an applicable footnote on the Statement of Investments. 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 September 30, 2009 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 $138,444,603 Federal tax cost of other investments 790,123 ------------ Total federal tax cost $139,234,726 ============ Gross unrealized appreciation $ 9,593,187 Gross unrealized depreciation (12,901,362) ------------ Net unrealized depreciation $ (3,308,175) ============
17 | Oppenheimer High Income Fund/VA Oppenheimer Main Street Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
Shares Value ---------- -------------- COMMON STOCKS--95.7% CONSUMER DISCRETIONARY--10.3% DIVERSIFIED CONSUMER SERVICES--0.5% H&R Block, Inc. 441,094 $ 8,107,308 HOTELS, RESTAURANTS & LEISURE--1.7% -------------- McDonald's Corp. 487,916 27,845,366 -------------- MEDIA--4.0% Grupo Televisa SA, Sponsored GDR 440,923 8,196,759 McGraw-Hill Cos., Inc. (The) 946,901 23,805,091 Time Warner Cable, Inc. 473,714 20,412,336 Washington Post Co. (The), Cl. B 23,686 11,086,943 -------------- 63,501,129 -------------- SPECIALTY RETAIL--4.1% Advance Auto Parts, Inc. 329,961 12,960,868 Best Buy Co., Inc. 437,671 16,421,416 GameStop Corp., Cl. A(1) 655,200 17,343,144 Lowe's Cos., Inc. 944,936 19,786,960 -------------- 66,512,388 -------------- CONSUMER STAPLES--10.6% FOOD & STAPLES RETAILING--1.3% Wal-Mart Stores, Inc. 427,166 20,969,579 -------------- FOOD PRODUCTS--3.5% General Mills, Inc. 615,525 39,627,500 Unilever NV, NY Shares 569,200 16,427,112 -------------- 56,054,612 -------------- HOUSEHOLD PRODUCTS--1.4% Colgate-Palmolive Co. 291,664 22,248,130 -------------- PERSONAL PRODUCTS--0.3% Mead Johnson Nutrition Co., Cl. A 122,912 5,544,560 -------------- TOBACCO--4.1% Philip Morris International, Inc. 1,341,599 65,389,535 -------------- ENERGY--11.3% ENERGY EQUIPMENT & SERVICES--1.3% Schlumberger Ltd. 356,100 21,223,560 -------------- OIL, GAS & CONSUMABLE FUELS--10.0% Chevron Corp. 468,329 32,984,411 Enterprise Products Partners LP 537,370 15,218,318 Exxon Mobil Corp. 826,085 56,677,692 Murphy Oil Corp. 216,886 12,486,127 Occidental Petroleum Corp. 418,000 32,771,200 Plains All American Pipeline LP 234,511 10,855,514 -------------- 160,993,262 -------------- FINANCIALS--13.8% CAPITAL MARKETS--2.2% Janus Capital Group, Inc. 79,700 1,130,146 State Street Corp. 639,691 33,647,747 Teton Advisors, Inc.(1) 49 172 -------------- 34,778,065 --------------
1 | OPPENHEIMER MAIN STREET FUND/VA Oppenheimer Main Street Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
Shares Value ---------- -------------- COMMERCIAL BANKS--1.1% Regions Financial Corp. 1,177,078 $ 7,309,654 U.S. Bancorp 478,786 10,466,262 -------------- 17,775,916 -------------- CONSUMER FINANCE--1.8% American Express Co. 629,370 21,335,643 Discover Financial Services 519,323 8,428,612 -------------- 29,764,255 -------------- DIVERSIFIED FINANCIAL SERVICES--4.9% Bank of America Corp. 1,579,096 26,718,304 Citigroup, Inc. 3,038,000 14,703,920 JPMorgan Chase & Co. 651,490 28,548,292 Leucadia National Corp.(1) 349,729 8,645,301 -------------- 78,615,817 -------------- INSURANCE--3.8% Chubb Corp. 531,608 26,798,359 Lincoln National Corp. 671,402 17,396,026 Travelers Cos., Inc. (The) 357,518 17,600,611 -------------- 61,794,996 -------------- HEALTH CARE--13.3% BIOTECHNOLOGY--4.1% Amgen, Inc.(1) 453,522 27,315,630 Celgene Corp.(1) 535,252 29,920,587 Cephalon, Inc.(1) 149,286 8,694,417 -------------- 65,930,634 -------------- HEALTH CARE EQUIPMENT & SUPPLIES--1.0% St. Jude Medical, Inc.(1) 416,300 16,239,863 -------------- HEALTH CARE PROVIDERS & SERVICES--3.3% Laboratory Corp. of America Holdings(1) 210,049 13,800,219 Medco Health Solutions, Inc.(1) 479,158 26,502,229 WellPoint, Inc.(1) 280,100 13,265,536 -------------- 53,567,984 -------------- PHARMACEUTICALS--4.9% Abbott Laboratories 605,680 29,962,990 Merck & Co., Inc. 1,556,698 49,238,358 -------------- 79,201,348 -------------- INDUSTRIALS--11.2% AEROSPACE & DEFENSE--2.1% Precision Castparts Corp. 191,800 19,538,666 United Technologies Corp. 228,788 13,940,053 -------------- 33,478,719 -------------- AIR FREIGHT & LOGISTICS--1.0% United Parcel Service, Inc., Cl. B 288,400 16,285,948 -------------- COMMERCIAL SERVICES & SUPPLIES--1.9% Republic Services, Inc. 1,152,864 30,631,596 -------------- CONSTRUCTION & ENGINEERING--1.1% KBR, Inc. 749,954 17,466,429 --------------
2 | OPPENHEIMER MAIN STREET FUND/VA Oppenheimer Main Street Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
Shares Value ---------- -------------- INDUSTRIAL CONGLOMERATES--4.1% General Electric Co. 1,808,500 $ 29,695,570 Tyco International Ltd. 1,059,550 36,533,284 -------------- 66,228,854 -------------- ROAD & RAIL--1.0% Union Pacific Corp. 278,281 16,237,696 -------------- INFORMATION TECHNOLOGY--16.7% COMMUNICATIONS EQUIPMENT--1.2% QUALCOMM, Inc. 439,131 19,752,112 -------------- COMPUTERS & PERIPHERALS--2.9% Apple, Inc.(1) 250,282 46,394,774 -------------- INTERNET SOFTWARE & SERVICES--3.1% eBay, Inc.(1) 1,034,005 24,412,858 Google, Inc., Cl. A(1) 52,370 25,967,665 -------------- 50,380,523 -------------- IT SERVICES--3.5% Accenture plc, Cl. A 213,200 7,945,964 Fiserv, Inc.(1) 22,860 1,101,852 Hewitt Associates, Inc.(1) 296,703 10,808,890 MasterCard, Inc., Cl. A 109,600 22,155,640 Western Union Co. 728,989 13,792,472 -------------- 55,804,818 -------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--1.4% Texas Instruments, Inc. 586,500 13,894,185 Xilinx, Inc. 345,429 8,089,947 -------------- 21,984,132 -------------- SOFTWARE--4.6% Adobe Systems, Inc.(1) 410,776 13,572,039 Check Point Software Technologies Ltd.(1) 496,980 14,089,383 Microsoft Corp. 1,799,157 46,580,175 -------------- 74,241,597 -------------- MATERIALS--3.3% CHEMICALS--2.4% CF Industries Holdings, Inc. 16,724 1,442,111 Monsanto Co. 194,799 15,077,443 Praxair, Inc. 266,200 21,745,878 -------------- 38,265,432 -------------- CONTAINERS & PACKAGING--0.9% Sealed Air Corp. 726,171 14,254,737 -------------- TELECOMMUNICATION SERVICES--1.5% WIRELESS TELECOMMUNICATION SERVICES--1.5% America Movil SAB de CV, Series L, ADR 569,196 24,947,861 -------------- UTILITIES--3.7% ENERGY TRADERS--2.3% AES Corp. (The)(1) 2,531,900 37,522,758 -------------- MULTI-UTILITIES--1.4% Public Service Enterprise Group, Inc. 721,287 22,677,261 --------------
3 | OPPENHEIMER MAIN STREET FUND/VA Oppenheimer Main Street Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
Shares Value ---------- -------------- Total Common Stocks (Cost $1,328,892,324) 1,542,613,554 -------------- INVESTMENT COMPANIES--3.4% JPMorgan U.S. Treasury Plus Money Market Fund, Agency Shares, 0.00%(2, 3) 144,997 $ 144,997 Oppenheimer Institutional Money Market Fund, Cl. E, 0.27%(2, 4) 46,084,361 46,084,361 Standard & Poor's Depositary Receipts Trust, Series 1 76,000 8,022,560 -------------- Total Investment Companies (Cost $54,386,168) 54,251,918 -------------- TOTAL INVESTMENTS, AT VALUE (COST $1,383,278,492) 99.1% 1,596,865,472 OTHER ASSETS NET OF LIABILITIES 0.9 14,303,112 ---------- -------------- NET ASSETS 100.0% $1,611,168,584 ========== ==============
Footnotes to Statement of Investments (1.) Non-income producing security. (2.) Rate shown is the 7-day yield as of September 30, 2009. (3.) Interest rate is less than 0.0005%. (4.) Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 30, 2009, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows:
SHARES GROSS GROSS SHARES DECEMBER 31, 2008 ADDITIONS REDUCTIONS SEPTEMBER 30, 2009 ----------------- ----------- ----------- ------------------ OFI Liquid Assets Fund, LLC 93,229,008 463,250,677 556,479,685 -- Oppenheimer Institutional Money Market Fund, Cl. E 7,043,996 335,977,504 296,937,139 46,084,361
VALUE INCOME ----------- -------- OFI Liquid Assets Fund, LLC $ -- $632,310(a) Oppenheimer Institutional Money Market Fund, Cl. E 46,084,361 66,709 ----------- -------- $46,084,361 $699,019 =========== ========
(a.) Net of compensation to the securities lending agent and rebates paid to the borrowing counterparties. VALUATION INPUTS Various data inputs are used in determining the value of each of the Fund's investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards: 1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) 2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) 3) Level 3-significant unobservable inputs (including the Manager's own judgments about assumptions that market participants would use in pricing the asset). The table below categorizes amounts that are included in the Fund's Statement of Assets and Liabilities as of September 30, 2009 based on valuation input level: 4 | OPPENHEIMER MAIN STREET FUND/VA Oppenheimer Main Street Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
LEVEL 1-- LEVEL 2-- LEVEL 3-- UNADJUSTED QUOTED OTHER SIGNIFICANT SIGNIFICANT PRICES OBSERVABLE INPUTS UNOBSERVABLE INPUTS VALUE ----------------- ----------------- ------------------- -------------- ASSETS TABLE INVESTMENTS, AT VALUE: Common Stocks Consumer Discretionary $ 165,966,191 $ -- $-- $ 165,966,191 Consumer Staples 170,206,416 -- -- 170,206,416 Energy 182,216,822 -- -- 182,216,822 Financials 222,728,877 172 -- 222,729,049 Health Care 214,939,829 -- -- 214,939,829 Industrials 180,329,242 -- -- 180,329,242 Information Technology 268,557,956 -- -- 268,557,956 Materials 52,520,169 -- -- 52,520,169 Telecommunication Services 24,947,861 -- -- 24,947,861 Utilities 60,200,019 -- -- 60,200,019 Investment Companies 54,251,918 -- -- 54,251,918 -------------- ---- --- -------------- Total Assets $1,596,865,300 $172 $-- $1,596,865,472 -------------- ---- --- --------------
Currency contracts and forwards, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract's value from trade date. Futures, if any, are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. All additional assets and liabilities included in the above table are reported at their market value at measurement date. SEE THE ACCOMPANYING NOTES FOR FURTHER DISCUSSION OF THE METHODS USED IN DETERMINING VALUE OF THE FUND'S INVESTMENTS, AND A SUMMARY OF CHANGES TO THE VALUATION TECHNIQUES, IF ANY, DURING THE REPORTING PERIOD. NOTES TO 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 trading. Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Unadjusted quoted prices in active markets for identical securities are classified as "Level 1," inputs other than unadjusted quoted prices for an asset that are observable are classified as "Level 2" and significant unobservable inputs, including the Manager's judgment about the assumptions that a market participant would use in pricing an asset or liability are classified as "Level 3." The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. A table summarizing the Fund's investments under these levels of classification is included following the Statement of Investments. Securities are valued using unadjusted quoted market prices, when available, as supplied primarily either by portfolio pricing services approved by the Board of Trustees or dealers. Securities traded on a registered U.S. securities exchange are valued based on the last sale price of the security reported on the principal exchange on which traded, prior to the time when the Fund's assets are valued. Securities whose principal exchange is NASDAQ(R) are valued based on the official closing prices reported 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 current day's closing "bid" and "asked" prices, and if not, at the current day's closing bid price. A foreign security traded on a foreign exchange is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the portfolio pricing service used by the Manager, prior to the time when the Fund's assets are valued. In the absence of a sale, the security is valued at the most recent official closing price on the principal exchange on which it is traded. 5 | OPPENHEIMER MAIN STREET FUND/VA Oppenheimer Main Street Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED Shares of a registered investment company that are not traded on an exchange are valued at that investment company's net asset value per share. Corporate, government and municipal debt instruments having a remaining maturity in excess of sixty days and all mortgage-backed securities, collateralized mortgage obligations and other asset-backed securities are valued at the mean between the "bid" and "asked" prices. "Money market-type" debt instruments with remaining maturities of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. In the absence of a readily available unadjusted quoted market price, including for 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 the securities' respective exchanges, the Manager, acting through its internal valuation committee, in good faith determines the fair valuation of that asset using consistently applied procedures under the supervision of the Board of Trustees (which reviews those fair valuations by the Manager). Those procedures include certain standardized methodologies to fair value securities. Such methodologies include, but are not limited to, pricing securities initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be adjusted for any discounts related to resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. There have been no significant changes to the fair valuation methodologies during the period. FOREIGN CURRENCY TRANSLATION. The Fund's accounting records are maintained in U.S. dollars. The values of securities denominated in foreign currencies and amounts related to the purchase and sale of foreign securities and foreign investment income are translated into U.S. dollars as of the close of the Exchange, normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading. Foreign exchange rates may be valued primarily using a reliable bank, dealer or service authorized by the Board of Trustees. Reported net realized gains and losses from foreign currency transactions arise from sales of portfolio securities, sales and maturities of short-term securities, sales of foreign currencies, exchange rate fluctuations between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized appreciation and depreciation on the translation of assets and liabilities denominated in foreign currencies arise from changes in the values of assets and liabilities, including investments in securities at fiscal period end, resulting from changes in exchange rates. The effect of changes in foreign currency exchange rates on investments is separately identified from the fluctuations arising from changes in market values of securities held and reported with all other foreign currency gains and losses in the Fund's Statement of Operations in the annual and semiannual reports. INVESTMENT IN OPPENHEIMER INSTITUTIONAL MONEY MARKET FUND. The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund ("IMMF") to seek current income while preserving liquidity. IMMF is a registered open-end management investment company, regulated as a money market fund under the Investment Company Act of 1940, as amended. The Manager is also the investment adviser of IMMF. When applicable, the Fund's investment in IMMF is included in the Statement of Investments. Shares of IMMF are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of IMMF's Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund's investment in IMMF. INVESTMENT IN OFI LIQUID ASSETS FUND, LLC. The Fund is permitted to invest cash collateral received in connection with its securities lending activities. Pursuant to the Fund's Securities Lending Procedures, the Fund may invest cash collateral in, among other investments, an affiliated money market fund. OFI Liquid Assets Fund, LLC ("LAF") is a limited liability company whose investment objective is to seek current income and stability of principal. The Manager is also the investment adviser of LAF. LAF is not registered 6 | OPPENHEIMER MAIN STREET FUND/VA Oppenheimer Main Street Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED under the Investment Company Act of 1940. However, LAF does comply with the investment restrictions applicable to registered money market funds set forth in Rule 2a-7 adopted under the Investment Company Act. When applicable, the Fund's investment in LAF is included in the Statement of Investments. Shares of LAF are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of LAF's expenses, including its management fee of 0.08%. FOREIGN CURRENCY EXCHANGE CONTRACTS The Fund may enter into current and forward foreign currency exchange contracts for the purchase or sale of a foreign currency at a negotiated rate at a future date. Foreign currency exchange contracts are reported on a schedule following the Statement of Investments. These contracts will be valued daily based upon the closing prices of the currency rates determined at the close of the Exchange as provided by a bank, dealer or pricing service. The resulting unrealized appreciation (depreciation) is reported in the Statement of Assets and Liabilities in the annual and semiannual reports as a receivable or payable and in the Statement of Operations in the annual and semiannual reports within the change in unrealized appreciation (depreciation). At contract close, the difference between the original cost of the contract and the value at the close date is recorded as a realized gain (loss) in the Statement of Operations in the annual and semiannual reports. The Fund has purchased and sold foreign currency exchange contracts of different currencies in order to acquire currencies to pay for related foreign securities purchase transactions, or to convert foreign currencies to U.S. dollars from related foreign securities sale transactions. These foreign currency exchange contracts are negotiated at the current spot exchange rate with settlement typically within two business days thereafter. Additional associated risk to the Fund includes counterparty credit risk. Counterparty credit risk arises from the possibility that the counterparty will default. If the counterparty defaults, the Fund's loss will consist of the net amount of contractual payments that the Fund has not yet received. As of September 30, 2009, the Fund held no outstanding forward contracts. 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 September 30, 2009 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 $1,424,137,803 ============== Gross unrealized appreciation $ 183,551,717 Gross unrealized depreciation (10,824,048) -------------- Net unrealized appreciation $ 172,727,669 ==============
7 | OPPENHEIMER MAIN STREET FUND/VA Oppenheimer Main Street Small Cap Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
SHARES VALUE ------------ ---------------- COMMON STOCKS--97.9% CONSUMER DISCRETIONARY--13.1% AUTO COMPONENTS--0.2% Spartan Motors, Inc. 21,267 $ 109,312 Standard Motor Products, Inc. 3,640 55,328 WABCO Holdings, Inc. 71,315 1,497,615 ---------------- 1,662,255 ---------------- DISTRIBUTORS--0.1% Core-Mark Holding Co., Inc. (1) 25,577 731,502 ---------------- DIVERSIFIED CONSUMER SERVICES--0.9% Capella Education Co. (1) 69,320 4,668,009 Hillenbrand, Inc. 7,420 151,145 Pre-Paid Legal Services, Inc. 15,431 783,895 Steiner Leisure Ltd. (1) 30,646 1,095,901 ---------------- 6,698,950 ---------------- HOTELS, RESTAURANTS & LEISURE--3.0% AFC Enterprises, Inc. (1) 6,002 50,537 Ambassadors Group, Inc. 15,420 241,323 Ameristar Casinos, Inc. 195,079 3,078,347 Bally Technologies, Inc. (1) 113,220 4,344,251 Burger King Holdings, Inc. 127,780 2,247,650 California Pizza Kitchen, Inc. (1) 25,390 396,592 CEC Entertainment, Inc. (1) 38,379 992,481 Cheesecake Factory, Inc. (The) (1) 10,300 190,756 Interval Leisure Group, Inc. (1) 23,825 297,336 Jack in the Box, Inc. (1) 261,937 5,367,089 P.F. Chang's China Bistro, Inc. (1) 41,820 1,420,625 Papa John's International, Inc. (1) 52,918 1,300,195 Speedway Motorsports, Inc. 28,999 417,296 Vail Resorts, Inc. (1) 39,789 1,334,523 ---------------- 21,679,001 ---------------- HOUSEHOLD DURABLES--0.5% Blyth, Inc. 29,657 1,148,616 National Presto Industries, Inc. 12,791 1,106,549 Tempur-Pedic International, Inc. (1) 67,213 1,273,014 ---------------- 3,528,179 ---------------- INTERNET & CATALOG RETAIL--0.4% HSN, Inc. (1) 27,556 448,612 NutriSystem, Inc. 56,188 857,429 Ticketmaster Entertainment, Inc. (1) 159,450 1,863,971 ---------------- 3,170,012 ---------------- LEISURE EQUIPMENT & PRODUCTS--1.0% Polaris Industries, Inc. 48,100 1,961,518 Pool Corp. 147,600 3,279,672 Smith & Wesson Holding Corp. (1) 31,850 166,576
1 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA Oppenheimer Main Street Small Cap Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
SHARES VALUE ------------ ---------------- LEISURE EQUIPMENT & PRODUCTS CONTINUED Sturm, Ruger & Co., Inc. 112,700 $ 1,458,338 ---------------- 6,866,104 ---------------- MEDIA--0.9% Belo Corp., Cl. A 91,550 495,286 CTC Media, Inc. (1) 26,160 411,235 Gannett Co., Inc. 24,400 305,244 Harte-Hanks, Inc. 59,875 828,071 Mediacom Communications Corp. (1) 31,480 181,325 Meredith Corp. 49,940 1,495,204 National CineMedia, Inc. 20,455 347,121 Scholastic Corp. 36,200 881,108 Sinclair Broadcast Group, Inc., Cl. A 78,369 280,561 Valassis Communications, Inc. (1) 15,260 272,849 Warner Music Group Corp. (1) 86,600 478,898 Wiley (John) & Sons, Inc., Cl. A 6,000 208,680 ---------------- 6,185,582 ---------------- MULTILINE RETAIL--0.2% Big Lots, Inc. (1) 58,747 1,469,850 ---------------- SPECIALTY RETAIL--4.2% Aeropostale, Inc. (1) 38,300 1,664,901 Asbury Automotive Group, Inc. (1) 87,353 1,107,636 Barnes & Noble, Inc. 72,214 1,604,589 Big 5 Sporting Goods Corp. 9,175 138,543 Borders Group, Inc. (1) 41,312 128,480 Cabela's, Inc. (1) 82,593 1,101,791 Cato Corp., Cl. A 77,219 1,566,774 Children's Place Retail Stores, Inc. (1) 96,930 2,904,023 Dress Barn, Inc. (The) (1) 93,084 1,668,996 DSW, Inc., Cl. A (1) 86,800 1,386,196 Finish Line, Inc. (The), Cl. A 70,870 720,039 Guess?, Inc. 29,900 1,107,496 Gymboree Corp. (1) 38,148 1,845,600 Jos. A. Banks Clothiers, Inc. (1) 14,220 636,629 Kirkland's, Inc. (1) 89,223 1,271,428 Men's Wearhouse, Inc. (The) 64,076 1,582,677 RadioShack Corp. 90,680 1,502,568 Rent-A-Center, Inc. (1) 68,880 1,300,454 Signet Jewelers Ltd. (1) 22,410 590,055 Stage Stores, Inc. 125,889 1,631,521 Tractor Supply Co. (1) 97,740 4,732,571 ---------------- 30,192,967 ---------------- TEXTILES, APPAREL & LUXURY GOODS--1.7% Carter's, Inc. (1) 44,790 1,195,893 Fossil, Inc. (1) 115,667 3,290,726 Perry Ellis International, Inc. (1) 29,189 468,192
2 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA Oppenheimer Main Street Small Cap Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
SHARES VALUE ------------ ---------------- TEXTILES, APPAREL & LUXURY GOODS CONTINUED Phillips/Van Heusen Corp. 102,990 $ 4,406,942 Steven Madden Ltd. (1) 23,347 859,403 Timberland Co., Cl. A (1) 88,305 1,229,206 UniFirst Corp. 14,924 663,372 ---------------- 12,113,734 ---------------- CONSUMER STAPLES--3.2% BEVERAGES--0.1% Cott Corp. (1) 91,000 668,850 ---------------- FOOD & STAPLES RETAILING--0.4% Andersons, Inc. (The) 27,621 972,259 Nash Finch Co. 8,600 235,124 Pantry, Inc. (The) (1) 70,860 1,111,085 Weis Markets, Inc. 14,316 457,396 ---------------- 2,775,864 ---------------- FOOD PRODUCTS--0.9% American Italian Pasta Co. (1) 23,700 644,166 Cal-Maine Foods, Inc. 18,570 497,119 Darling International, Inc. (1) 231,010 1,697,924 J&J Snack Foods Corp. 5,650 244,024 Lancaster Colony Corp. 6,240 319,925 TreeHouse Foods, Inc. (1) 87,060 3,105,430 ---------------- 6,508,588 ---------------- HOUSEHOLD PRODUCTS--0.2% Central Garden & Pet Co., Cl. A (1) 119,854 1,310,004 ---------------- PERSONAL PRODUCTS--1.3% American Oriental Bioengineering, Inc. (1) 138,700 674,082 Bare Escentuals, Inc. (1) 71,498 850,111 Chattem, Inc. (1) 68,200 4,529,162 China Sky One Medical, Inc. (1) 27,470 362,329 Herbalife Ltd. 44,390 1,453,329 Nu Skin Asia Pacific, Inc., Cl. A 58,108 1,076,741 Prestige Brands Holdings, Inc. (1) 98,920 696,397 ---------------- 9,642,151 ---------------- TOBACCO--0.3% Universal Corp. 47,345 1,979,968 ---------------- ENERGY--4.3% ENERGY EQUIPMENT & SERVICES--1.9% Acergy SA, Sponsored ADR 111,613 1,409,672 Basic Energy Services, Inc. (1) 42,820 363,542 Bolt Technology Corp. (1) 2,200 27,654 Cal Dive International, Inc. (1) 103,600 1,024,604 Dawson Geophysical Co. (1) 16,122 441,420 Gulfmark Offshore, Inc. (1) 51,446 1,684,342 Key Energy Services, Inc. (1) 197,767 1,720,573 Matrix Service Co. (1) 40,783 443,311
3 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA Oppenheimer Main Street Small Cap Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
SHARES VALUE ------------ ---------------- ENERGY EQUIPMENT & SERVICES CONTINUED Oil States International, Inc. (1) 54,230 $ 1,905,100 Seacor Holdings, Inc. (1) 17,810 1,453,830 T-3 Energy Services, Inc. (1) 34,380 677,286 Tidewater, Inc. 27,272 1,284,238 Willbros Group, Inc. (1) 104,341 1,589,113 ---------------- 14,024,685 ---------------- OIL, GAS & CONSUMABLE FUELS--2.4% Alpha Natural Resources, Inc. (1) 26,100 916,110 CVR Energy, Inc. (1) 89,524 1,113,679 Encore Acquisition Co. (1) 33,386 1,248,636 Holly Corp. 176,341 4,517,856 Inergy LP 80,700 2,403,246 Knightsbridge Tankers Ltd. 21,540 280,882 MarkWest Energy Partners LP 172,318 4,071,874 McMoRan Exploration Co. (1) 3,570 26,954 Pengrowth Energy Trust 29,630 311,411 Teekay Tankers Ltd., Cl. A 31,406 262,240 Western Refining, Inc. (1) 91,004 586,976 World Fuel Services Corp. 27,900 1,341,153 ---------------- 17,081,017 ---------------- FINANCIALS--19.6% CAPITAL MARKETS--3.2% BGC Partners, Inc., Cl. A 44,500 190,460 Investment Technology Group, Inc. (1) 16,610 463,751 Janus Capital Group, Inc. 68,000 964,240 Knight Capital Group, Inc., Cl. A (1) 226,786 4,932,596 LaBranche & Co., Inc. (1) 192,503 654,510 MF Global Ltd. (1) 660,574 4,802,373 optionsXpress Holdings, Inc. 165,500 2,859,840 Penson Worldwide, Inc. (1) 94,272 918,209 Stifel Financial Corp. (1) 87,130 4,783,437 Teton Advisors, Inc. (1) 131 459 Tradestation Group, Inc. (1) 104,498 851,659 W.P. Carey & Co. LLC 20,800 588,848 Waddell & Reed Financial, Inc., Cl. A 34,220 973,559 ---------------- 22,983,941 ---------------- COMMERCIAL BANKS--2.9% Alliance Financial Corp. 8,100 219,105 Banco Latinoamericano de Exportaciones SA, Cl. E 63,500 902,970 Banco Macro SA, ADR 29,565 713,995 Bancolombia SA, Sponsored ADR 22,100 948,753 Bank of Marin Bancorp 7,900 247,507 CapitalSource, Inc. 291,770 1,266,282 First Citizens BancShares, Inc., Cl. A 5,998 954,282 First of Long Island Corp. (The)(2) 9,000 239,310 Grupo Financiero Galicia SA (1) 65,100 306,621
4 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA Oppenheimer Main Street Small Cap Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
SHARES VALUE ------------ ---------------- COMMERCIAL BANKS CONTINUED Hancock Holding Co. 73,200 $ 2,750,124 IBERIABANK Corp. 56,000 2,551,360 International Bancshares Corp. 78,929 1,287,332 Oriental Financial Group, Inc. 101,820 1,293,114 Santander BanCorp (1) 4,680 45,630 Sterling Bancshares, Inc. 298,000 2,178,380 TCF Financial Corp. 186,300 2,429,352 Westamerica Bancorp 44,600 2,319,200 ---------------- 20,653,317 ---------------- CONSUMER FINANCE--1.0% Advance America Cash Advance Centers, Inc. 90,290 505,624 Cash America International, Inc. 54,957 1,657,503 EZCORP, Inc., Cl. A (1) 84,280 1,151,265 First Cash Financial Services, Inc. (1) 56,952 975,588 Nelnet, Inc., Cl. A (1) 64,936 807,804 Student Loan Corp. (The) 4,194 194,602 World Acceptance Corp. (1) 64,628 1,629,272 ---------------- 6,921,658 ---------------- DIVERSIFIED FINANCIAL SERVICES--1.0% Fifth Street Finance Corp. 69,500 759,635 Life Partners Holdings, Inc. 40,477 724,538 MSCI, Inc., Cl. A (1) 148,440 4,396,793 Portfolio Recovery Associates, Inc. (1) 33,254 1,507,404 ---------------- 7,388,370 ---------------- INSURANCE--3.5% Allied World Assurance Holdings Ltd. 20,941 1,003,702 American Equity Investment Life Holding Co. 121,318 851,652 American Physicians Capital, Inc. 27,745 799,333 Amerisafe, Inc. (1) 64,338 1,109,831 AmTrust Financial Services, Inc. 94,528 1,078,564 Argo Group International Holdings Ltd. (1) 29,590 996,591 Aspen Insurance Holdings Ltd. 55,750 1,475,703 CNA Surety Corp. (1) 42,396 686,815 Conseco, Inc. (1) 48,000 252,480 Employers Holdings, Inc. 32,000 495,360 Endurance Specialty Holdings Ltd. 35,790 1,305,261 Enstar Group Ltd. (1) 5,500 342,485 First Mercury Financial Corp. 41,403 551,488 FPIC Insurance Group, Inc. (1) 19,580 656,909 Hallmark Financial Services, Inc. (1) 5,570 44,839 Hanover Insurance Group, Inc. 91,800 3,794,094 Harleysville Group, Inc. 9,270 293,396 Horace Mann Educators Corp. 54,639 763,307 Infinity Property & Casualty Corp. 32,444 1,378,221 Meadowbrook Insurance Group, Inc. 66,935 495,319 National Interstate Corp. 8,100 141,750 National Western Life Insurance Co., Cl. A 300 52,794
5 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA Oppenheimer Main Street Small Cap Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
SHARES VALUE ------------ ---------------- INSURANCE CONTINUED Platinum Underwriters Holdings Ltd. 37,470 $ 1,342,925 PMA Capital Corp., Cl. A (1) 11,220 63,842 ProAssurance Corp. (1) 22,462 1,172,292 Safety Insurance Group, Inc. 34,309 1,129,452 StanCorp Financial Group, Inc. 41,952 1,693,602 Validus Holdings Ltd. 47,704 1,230,763 ---------------- 25,202,770 ---------------- REAL ESTATE INVESTMENT TRUSTS--7.3% Agree Realty Corp. 10,900 249,937 American Capital Agency Corp. 64,189 1,826,177 Chimera Investment Corp. 765,400 2,923,828 Corporate Office Properties Trust 33,330 1,229,210 DiamondRock Hospitality Co. (1) 55,440 449,064 Digital Realty Trust, Inc. 105,910 4,841,146 EastGroup Properties, Inc. 34,470 1,317,443 Equity Lifestyle Properties, Inc. 26,850 1,148,912 Equity One, Inc. 3,110 48,734 Essex Property Trust, Inc. 9,040 719,403 Getty Realty Corp. 55,518 1,362,412 Hatteras Financial Corp. 117,490 3,522,350 Home Properties of New York, Inc. 34,428 1,483,503 Liberty Property Trust 6,100 198,433 LTC Properties, Inc. 124,380 2,990,095 Mack-Cali Realty Corp. 5,900 190,747 Mid-America Apartment Communities, Inc. 125,149 5,647,974 National Health Investors, Inc. 28,251 894,144 National Retail Properties, Inc. 66,319 1,423,869 Nationwide Health Properties, Inc. 6,400 198,336 Omega Healthcare Investors, Inc. 45,540 729,551 PS Business Parks, Inc. 24,890 1,277,355 Realty Income Corp. 31,898 818,184 Senior Housing Properties Trust 54,330 1,038,246 Starwood Property Trust, Inc. (1) 93,900 1,901,475 Tanger Factory Outlet Centers, Inc. 145,700 5,440,438 Taubman Centers, Inc. 158,980 5,735,998 Universal Health Realty Income Trust 13,732 446,977 Urstadt Biddle Properties, Inc., Cl. A 54,507 795,257 Walter Investment Management Corp. 81,900 1,312,038 Washington Real Estate Investment Trust 16,760 482,688 ---------------- 52,643,924 ---------------- REAL ESTATE MANAGEMENT & DEVELOPMENT--0.1% E-House China Holdings Ltd., ADS (1) 41,900 894,984 Forestar Group, Inc. (1) 13,700 235,366 ---------------- 1,130,350 ---------------- THRIFTS & MORTGAGE FINANCE--0.6% First Defiance Financial Corp. 16,000 238,560 First Niagara Financial Group, Inc. 132,900 1,638,657 NASB Financial, Inc. 3,618 95,153
6 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA Oppenheimer Main Street Small Cap Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
SHARES VALUE ------------ ---------------- THRIFTS & MORTGAGE FINANCE CONTINUED NewAlliance Bancshares, Inc. 22,700 $ 242,890 OceanFirst Financial Corp. 10,160 117,856 Ocwen Financial Corp. (1) 126,297 1,429,682 United Financial Bancorp., Inc. 29,904 346,288 ---------------- 4,109,086 ---------------- HEALTH CARE--14.4% BIOTECHNOLOGY--1.4% Acorda Therapeutics, Inc. (1) 62,300 1,450,344 AMAG Pharmaceuticals, Inc. (1) 23,610 1,031,285 Cubist Pharmaceuticals, Inc. (1) 9,300 187,860 Indevus Pharmaceuticals, Inc.(1,2) 2,500 25 Martek Biosciences Corp. (1) 72,847 1,645,614 PDL BioPharma, Inc. 171,942 1,354,903 QLT PhotoTherapeutics, Inc. (1) 76,200 281,940 Savient Pharmaceuticals, Inc. (1) 287,045 4,363,084 ---------------- 10,315,055 ---------------- HEALTH CARE EQUIPMENT & SUPPLIES--4.4% Align Technology, Inc. (1) 9,790 139,214 American Medical Systems Holdings, Inc. (1) 58,130 983,560 Atrion Corp. 2,157 311,471 Cantel Medical Corp. (1) 34,250 515,805 Greatbatch, Inc. (1) 101,700 2,285,199 Haemonetics Corp. (1) 5,720 321,006 Hill-Rom Holdings, Inc. 99,497 2,167,045 ICU Medical, Inc. (1) 150 5,529 Integra LifeSciences Holdings Corp. (1) 71,800 2,451,970 Invacare Corp. 50,511 1,125,385 Kensey Nash Corp. (1) 29,138 843,545 Kinetic Concepts, Inc. (1) 33,874 1,252,661 Masimo Corp. (1) 51,940 1,360,828 Merit Medical Systems, Inc. (1) 83,730 1,451,041 Natus Medical, Inc. (1) 94,410 1,456,746 NuVasive, Inc. (1) 87,460 3,652,330 Orthofix International NV (1) 62,730 1,843,635 Sirona Dental Systems, Inc. (1) 7,720 229,670 Steris Corp. 49,160 1,496,922 SurModics, Inc. (1) 82,751 2,035,675 Symmetry Medical, Inc. (1) 78,600 815,082 Volcano Corp. (1) 144,300 2,427,126 Wright Medical Group, Inc. (1) 154,400 2,757,584 ---------------- 31,929,029 ---------------- HEALTH CARE PROVIDERS & SERVICES--6.6% Alliance HealthCare Services, Inc. (1) 21,520 121,803 Amedisys, Inc. (1) 27,540 1,201,570
7 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA Oppenheimer Main Street Small Cap Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
SHARES VALUE ------------ ---------------- HEALTH CARE PROVIDERS & SERVICES CONTINUED America Service Group, Inc. 18,000 $ 297,720 AMN Healthcare Services, Inc. (1) 64,846 616,685 AmSurg Corp. (1) 76,100 1,615,603 Centene Corp. (1) 70,202 1,329,626 Chemed Corp. 37,552 1,648,157 Community Health Systems, Inc. (1) 18,982 606,095 CorVel Corp. (1) 4,610 130,924 Cross Country Healthcare, Inc. (1) 11,810 109,951 Emergency Medical Services LP, Cl. A (1) 23,280 1,082,520 Enstar Group, Inc. (The) 13,100 183,793 Genoptix, Inc. (1) 80,691 2,806,433 Gentiva Health Services, Inc. (1) 62,176 1,555,022 Health Management Associates, Inc., Cl. A (1) 871,810 6,529,857 HEALTHSOUTH Corp. (1) 65,250 1,020,510 Healthspring, Inc. (1) 118,168 1,447,558 Healthways, Inc. (1) 89,091 1,364,874 HMS Holdings Corp. (1) 54,000 2,064,420 InVentiv Health, Inc. (1) 78,096 1,306,546 LHC Group, Inc. (1) 46,160 1,381,569 LifePoint Hospitals, Inc. (1) 45,461 1,230,175 Lincare Holdings, Inc. (1) 46,724 1,460,125 Magellan Health Services, Inc. (1) 35,450 1,101,077 MEDNAX, Inc. (1) 77,312 4,245,975 Molina Healthcare, Inc. (1) 54,816 1,134,143 Nighthawk Radiology Holdings, Inc. (1) 43,800 316,674 Odyssey Healthcare, Inc. (1) 85,460 1,068,250 PharMerica Corp. (1) 85,063 1,579,620 PSS World Medical, Inc. (1) 1,330 29,034 RehabCare Group, Inc. (1) 55,085 1,194,794 Res-Care, Inc. (1) 34,942 496,526 Sun Healthcare Group, Inc. (1) 347,692 3,004,059 Triple-S Management Corp., Cl. B (1) 59,992 1,006,066 U.S. Physical Therapy, Inc. (1) 18,000 271,260 Universal Health Services, Inc., Cl. B 10,096 625,245 VCA Antech, Inc. (1) 16,476 443,040 ---------------- 47,627,299 ---------------- HEALTH CARE TECHNOLOGY--0.4% MedAssets, Inc. (1) 108,200 2,442,074 ---------------- LIFE SCIENCES TOOLS & SERVICES--0.4% Bruker Corp. (1) 27,680 295,346 Cambrex Corp. (1) 43,500 274,050 Dionex Corp. (1) 19,930 1,294,852 eResearch Technology, Inc. (1) 119,650 837,550
8 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA Oppenheimer Main Street Small Cap Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
SHARES VALUE ------------ ---------------- LIFE SCIENCES TOOLS & SERVICES CONTINUED Kendle International, Inc. (1) 7,420 $ 124,062 ---------------- 2,825,860 ---------------- PHARMACEUTICALS--1.2% Endo Pharmaceuticals Holdings, Inc. (1) 30,732 695,465 King Pharmaceuticals, Inc. (1) 78,508 845,531 Medicis Pharmaceutical Corp., Cl. A 23,546 502,707 Perrigo Co. 104,430 3,549,576 Questcor Pharmaceuticals, Inc. (1) 316,198 1,745,413 Valeant Pharmaceuticals International, Inc. (1) 37,010 1,038,501 ---------------- 8,377,193 ---------------- INDUSTRIALS--15.4% AEROSPACE & DEFENSE--1.4% BE Aerospace, Inc. (1) 247,918 4,993,069 Ceradyne, Inc. (1) 65,350 1,197,866 Cubic Corp. 16,190 639,019 DynCorp International, Inc., Cl. A (1) 81,273 1,462,914 Gencorp, Inc. (1) 90,900 487,224 Triumph Group, Inc. 30,280 1,453,137 ---------------- 10,233,229 ---------------- AIR FREIGHT & LOGISTICS--0.6% Hub Group, Inc., Cl. A (1) 179,800 4,108,430 ---------------- AIRLINES--0.5% Allegiant Travel Co. (1) 21,700 826,553 Hawaiian Holdings, Inc. (1) 131,978 1,090,138 Republic Airways Holdings, Inc. (1) 93,519 872,532 SkyWest, Inc. 66,880 1,108,870 ---------------- 3,898,093 ---------------- BUILDING PRODUCTS--0.5% Aaon, Inc. 31,665 635,833 Ameron International Corp. 17,674 1,236,827 Apogee Enterprises, Inc. 94,454 1,418,699 ---------------- 3,291,359 ---------------- COMMERCIAL SERVICES & SUPPLIES--2.3% American Reprographics Co. (1) 111,414 1,060,661 ATC Technology Corp. (1) 52,503 1,037,459 Brink's Co. (The) 23,590 634,807 Courier Corp. 2,824 42,784 Deluxe Corp. 86,816 1,484,554 EnergySolutions, Inc. 237,800 2,192,516 Ennis, Inc. 30,200 487,126 G&K Services, Inc., Cl. A 27,900 618,264 Knoll, Inc. 75,559 788,080 M&F Worldwide Corp. (1) 12,452 252,028 Miller (Herman), Inc. 84,680 1,431,939 North American Galvanizing & Coating, Inc. (1) 44,190 268,233
9 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA Oppenheimer Main Street Small Cap Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
SHARES VALUE ------------ ---------------- COMMERCIAL SERVICES & SUPPLIES CONTINUED R.R. Donnelley & Sons Co. 88,810 $ 1,888,101 Steelcase, Inc., Cl. A 125,790 781,156 Sykes Enterprises, Inc. (1) 28,333 589,893 Waste Connections, Inc. (1) 96,720 2,791,339 ---------------- 16,348,940 ---------------- CONSTRUCTION & ENGINEERING--1.4% Baker (Michael) Corp. (1) 20,173 733,087 Comfort Systems USA, Inc. 114,072 1,322,094 Dycom Industries, Inc. (1) 132,600 1,630,980 EMCOR Group, Inc. (1) 65,110 1,648,585 Granite Construction, Inc. 20,369 630,217 Pike Electric Corp. (1) 30,500 365,390 Sterling Construction Co., Inc. (1) 3,600 64,476 Tutor Perini Corp. (1) 171,723 3,657,700 ---------------- 10,052,529 ---------------- ELECTRICAL EQUIPMENT--1.8% AZZ, Inc. (1) 29,500 1,185,015 Brady Corp., Cl. A 20,035 575,405 Encore Wire Corp. 50,685 1,132,303 EnerSys, Inc. (1) 73,028 1,615,379 GT Solar International, Inc. (1) 50,430 292,998 Harbin Electric, Inc. (1) 70,980 1,198,142 Hubbell, Inc., Cl. B 35,900 1,507,800 Powell Industries, Inc. (1) 38,490 1,477,631 Regal-Beloit Corp. 60,730 2,775,968 Thomas & Betts Corp. (1) 48,839 1,469,077 ---------------- 13,229,718 ---------------- INDUSTRIAL CONGLOMERATES--0.4% Carlisle Cos., Inc. 41,770 1,416,421 Standex International Corp. 16,400 325,212 Tredegar Corp. 75,311 1,092,010 ---------------- 2,833,643 ---------------- MACHINERY--3.9% Altra Holdings, Inc. (1) 26,527 296,837 Ampco-Pittsburgh Corp. 21,520 572,217 Chart Industries, Inc. (1) 70,831 1,529,241 Colfax Corp. (1) 92,484 983,105 Crane Co. 55,614 1,435,397 EnPro Industries, Inc. (1) 72,113 1,648,503 Force Protection, Inc. (1) 87,481 477,646 Freightcar America, Inc. 57,600 1,399,680 Gardner Denver, Inc. (1) 190,896 6,658,452 Graco, Inc. 132,900 3,703,923 Harsco Corp. 12,840 454,664 K-Tron International, Inc. (1) 2,154 205,082
10 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA Oppenheimer Main Street Small Cap Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
SHARES VALUE ------------ ---------------- MACHINERY CONTINUED Lincoln Electric Holdings, Inc. 14,491 $ 687,598 Mueller Industries, Inc. 73,700 1,759,219 Robbins & Myers, Inc. 52,449 1,231,503 Toro Co. (The) 41,330 1,643,694 Wabtec Corp. 86,950 3,263,234 ---------------- 27,949,995 ---------------- MARINE--0.5% American Commercial Lines, Inc. (1) 31,941 930,122 Diana Shipping, Inc. 47,640 619,320 International Shipholding Corp. 16,300 502,203 Kirby Corp. (1) 23,150 852,383 Safe Bulkers, Inc. 48,060 390,247 ---------------- 3,294,275 ---------------- PROFESSIONAL SERVICES--0.7% Administaff, Inc. 20,480 538,010 Kforce, Inc. (1) 24,612 295,836 Resources Connection, Inc. (1) 101,747 1,735,804 School Specialty, Inc. (1) 67,870 1,609,876 Spherion Corp. (1) 65,213 404,973 Watson Wyatt & Co. Holdings 17,962 782,425 ---------------- 5,366,924 ---------------- ROAD & RAIL--0.8% Avis Budget Group, Inc. (1) 162,900 2,176,344 Dollar Thrifty Automotive Group, Inc. (1) 39,350 967,617 Old Dominion Freight Line, Inc. (1) 89,200 2,714,356 ---------------- 5,858,317 ---------------- TRADING COMPANIES & DISTRIBUTORS--0.6% Aircastle Ltd. 22,880 221,250 Beacon Roofing Supply, Inc. (1) 86,496 1,382,206 DXP Enterprises, Inc. (1) 15,217 169,670 Genesis Lease Ltd., ADS 7,870 70,437 Houston Wire & Cable Co. 36,578 404,187 Interline Brands, Inc. (1) 14,090 237,417 MSC Industrial Direct Co., Inc., Cl. A 5,200 226,616 WESCO International, Inc. (1) 56,490 1,626,912 ---------------- 4,338,695 ---------------- INFORMATION TECHNOLOGY--19.9% COMMUNICATIONS EQUIPMENT--4.0% 3Com Corp. (1) 393,540 2,058,214 ADTRAN, Inc. 49,430 1,213,507 Arris Group, Inc. (1) 341,050 4,437,061 Black Box Corp. 26,335 660,745 Blue Coat Systems, Inc. (1) 229,600 5,186,664 CommScope, Inc. (1) 50,478 1,510,807 Comtech Telecommunications Corp. (1) 111,400 3,700,708
11 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA Oppenheimer Main Street Small Cap Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
SHARES VALUE ------------ ---------------- COMMUNICATIONS EQUIPMENT CONTINUED Netgear, Inc. (1) 11,652 $ 213,814 Oplink Communications, Inc. (1) 16,454 238,912 Plantronics, Inc. 71,274 1,910,856 Polycom, Inc. (1) 89,000 2,380,750 Sierra Wireless, Inc. (1) 77,680 775,246 Starent Networks Corp. (1) 129,500 3,291,890 Symmetricom, Inc. (1) 20,150 104,377 Tekelec, Inc. (1) 43,246 710,532 ---------------- 28,394,083 ---------------- COMPUTERS & PERIPHERALS--1.0% China Digital TV Holding Co. Ltd., ADR 32,790 236,088 Cray, Inc. (1) 32,160 267,893 NCR Corp. (1) 49,820 688,512 QLogic Corp. (1) 107,580 1,850,376 Quantum Corp. (1) 196,650 247,779 Synaptics, Inc. (1) 163,290 4,114,908 ---------------- 7,405,556 ---------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--1.6% Benchmark Electronics, Inc. (1) 91,809 1,652,562 Checkpoint Systems, Inc. (1) 30,400 499,776 Insight Enterprises, Inc. (1) 85,756 1,047,081 Multi-Fineline Electronix, Inc. (1) 64,152 1,841,804 OSI Systems, Inc. (1) 34,456 630,200 PC Connection, Inc. (1) 5,350 29,104 ScanSource, Inc. (1) 46,828 1,326,169 SYNNEX Corp. (1) 48,223 1,469,837 Tech Data Corp. (1) 40,628 1,690,531 Technitrol, Inc. 10,500 96,705 TTM Technologies, Inc. (1) 88,200 1,011,654 ---------------- 11,295,423 ---------------- INTERNET SOFTWARE & SERVICES--2.4% Digital River, Inc. (1) 89,600 3,612,672 DivX, Inc. (1) 17,260 94,240 EarthLink, Inc. 179,458 1,509,242 GigaMedia Ltd. (1) 245,140 1,284,534 Internet Brands, Inc., Cl. A (1) 10,090 80,518 j2 Global Communications, Inc. (1) 189,785 4,366,953 Open Text Corp. (1) 3,634 135,657 Perficient, Inc. (1) 23,090 190,954 SkillSoft plc, ADR (1) 58,950 565,920 Sohu.com, Inc. (1) 9,340 642,405 United Online, Inc. 114,082 917,219 ValueClick, Inc. (1) 121,870 1,607,465
12 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA Oppenheimer Main Street Small Cap Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
SHARES VALUE ------------ ---------------- INTERNET SOFTWARE & SERVICES CONTINUED VistaPrint NV (1) 47,443 $ 2,407,732 Web.com Group, Inc. (1) 15,790 111,951 ---------------- 17,527,462 ---------------- IT SERVICES--3.7% Acxiom Corp. (1) 143,920 1,361,483 Broadridge Financial Solutions, Inc. 81,888 1,645,949 CACI International, Inc., Cl. A (1) 93,000 4,396,110 Cass Information Systems, Inc. 2,160 64,498 CIBER, Inc. (1) 157,773 631,092 Convergys Corp. (1) 138,607 1,377,754 CSG Systems International, Inc. (1) 66,921 1,071,405 DST Systems, Inc. (1) 30,184 1,352,243 Gartner, Inc. (1) 68,460 1,250,764 Global Cash Access, Inc. (1) 94,795 692,951 iGate Corp. 30,746 263,801 Lender Processing Services, Inc. 70,980 2,709,307 Mastech Holdings, Inc. (1) 56 258 Ness Technologies, Inc. (1) 74,300 586,227 NeuStar, Inc., Cl. A (1) 167,828 3,792,913 Patni Computer Systems Ltd., ADR 13,100 242,350 Satyam Computer Services Ltd., ADR 29,300 192,794 Syntel, Inc. 13,408 639,964 TeleTech Holdings, Inc. (1) 91,626 1,563,140 TNS, Inc. (1) 25,350 694,590 Unisys Corp. (1) 78,000 208,260 Virtusa Corp. (1) 12,300 116,727 Wright Express Corp. (1) 47,510 1,402,020 ---------------- 26,256,600 ---------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--2.7% 02Micro International Ltd., ADR (1) 15,660 82,215 ASM International NV (1) 7,690 143,342 Atheros Communications, Inc. (1) 90,300 2,395,659 Cypress Semiconductor Corp. (1) 8,450 87,289 Himax Technologies, Inc. 175,520 584,482 Mellanox Technologies Ltd. (1) 16,570 271,582 Micrel, Inc. 128,857 1,050,185 Netlogic Microsystems, Inc. (1) 70,850 3,188,250 Semtech Corp. (1) 213,139 3,625,494 Sigma Designs, Inc. (1) 47,380 688,431 Silicon Motion Technology Corp., ADR (1) 31,707 126,194 Skyworks Solutions, Inc. (1) 223,520 2,959,405 Tessera Technologies, Inc. (1) 52,319 1,459,177 Varian Semiconductor Equipment Associates, Inc. (1) 81,859 2,688,250 ---------------- 19,349,955 ----------------
13 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA Oppenheimer Main Street Small Cap Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
SHARES VALUE ------------ ---------------- SOFTWARE--4.5% Actuate Corp. (1) 57,450 $ 332,061 Blackboard, Inc. (1) 71,610 2,705,426 Compuware Corp. (1) 155,558 1,140,240 Concur Technologies, Inc. (1) 39,300 1,562,568 Double-Take Software, Inc. (1) 26,860 273,703 Ebix, Inc. (1) 11,530 638,301 FactSet Research Systems, Inc. 50,692 3,357,838 Fair Isaac Corp. 82,221 1,766,929 Giant Interactive Group, Inc., ADR 63,790 482,890 Henry (Jack) & Associates, Inc. 23,954 562,200 i2 Technologies, Inc. (1) 64,760 1,038,750 Informatica Corp. (1) 68,260 1,541,311 JDA Software Group, Inc. (1) 58,820 1,290,511 Kenexa Corp. (1) 25,837 348,283 Manhattan Associates, Inc. (1) 53,475 1,080,195 MICROS Systems, Inc. (1) 36,510 1,102,237 MicroStrategy, Inc., Cl. A (1) 18,186 1,301,026 Net 1 UEPS Technologies, Inc. (1) 95,650 2,004,824 NetScout Systems, Inc. (1) 58,890 795,604 Novell, Inc. (1) 22,780 102,738 OpenTV Corp. (1) 60,530 83,531 Perfect World Co. Ltd. (1) 25,170 1,210,677 Progress Software Corp. (1) 45,400 1,028,310 Quest Software, Inc. (1) 82,630 1,392,316 S1 Corp. (1) 106,220 656,440 SonicWALL, Inc. (1) 93,750 787,500 Sybase, Inc. (1) 10,300 400,670 TIBCO Software, Inc. (1) 315,000 2,989,350 Websense, Inc. (1) 36,350 610,680 ---------------- 32,587,109 ---------------- MATERIALS--4.7% CHEMICALS--2.3% Ashland, Inc. 47,799 2,065,873 CF Industries Holdings, Inc. 5,900 508,757 Cytec Industries, Inc. 147,981 4,804,943 Hawkins, Inc. 6,922 161,698 Innophos Holdings, Inc. 74,430 1,376,955 Koppers Holdings, Inc. 30,956 917,845 LSB Industries, Inc. (1) 40,981 638,074 Minerals Technologies, Inc. 28,774 1,368,491 NewMarket Corp. 14,540 1,352,802 OM Group, Inc. (1) 42,970 1,305,858 PolyOne Corp. (1) 36,400 242,788 Schulman (A.), Inc. 50,120 998,892
14 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA Oppenheimer Main Street Small Cap Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
SHARES VALUE ------------ ---------------- CHEMICALS CONTINUED Spartech Corp. 51,431 $ 553,912 Stepan Co. 7,900 474,632 ---------------- 16,771,520 ---------------- CONSTRUCTION MATERIALS--0.5% Eagle Materials, Inc. 128,130 3,661,955 ---------------- CONTAINERS & PACKAGING--0.8% AEP Industries, Inc. (1) 7,300 291,270 Bway Holding Co. (1) 36,944 683,833 Myers Industries, Inc. 59,800 644,046 Packaging Corp. of America 148,040 3,020,016 Rock-Tenn Co., Cl. A 24,199 1,140,015 ---------------- 5,779,180 ---------------- METALS & MINING--0.9% Century Aluminum Co. (1) 67,600 632,060 Compass Minerals International, Inc. 68,290 4,208,030 Mesabi Trust 13,360 135,604 Redcorp Ventures Ltd., Legend Shares (1,2) 666,400 3,112 Thompson Creek Metals Co., Inc. (1) 109,370 1,320,096 ---------------- 6,298,902 ---------------- PAPER & FOREST PRODUCTS--0.2% Buckeye Technologies, Inc. (1) 16,600 178,118 KapStone Paper and Packing Corp. (1) 16,000 130,240 Schweitzer-Mauduit International, Inc. 17,861 970,924 ---------------- 1,279,282 ---------------- TELECOMMUNICATION SERVICES--0.5% DIVERSIFIED TELECOMMUNICATION SERVICES--0.3% Atlantic Tele-Network, Inc. 4,309 230,187 Cincinnati Bell, Inc. (1) 465,992 1,630,972 D&E Communications, Inc. 24,888 285,963 ---------------- 2,147,122 ---------------- WIRELESS TELECOMMUNICATION SERVICES--0.2% USA Mobility, Inc. 76,792 989,081 Vivo Participacoes SA, ADR 8,836 223,109 ---------------- 1,212,190 ---------------- UTILITIES--2.8% ELECTRIC UTILITIES--0.8% Cleco Corp. 68,200 1,710,456 Companhia Paranaense Energia, Sponsored ADR, B Shares, Preference 94,871 1,672,576 El Paso Electric Co. (1) 23,600 417,012 UniSource Energy Corp. 2,000 61,500 Unitil Corp. 25,258 567,042 Westar Energy, Inc. 67,300 1,313,023 ---------------- 5,741,609 ---------------- ENERGY TRADERS--0.2% Calpine Corp. (1) 9,100 104,832 ----------------
15 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA Oppenheimer Main Street Small Cap Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
SHARES VALUE ------------ ---------------- ENERGY TRADERS CONTINUED Mirant Corp. (1) 81,300 $ 1,335,759 ---------------- 1,440,591 ---------------- GAS UTILITIES--0.8% AGL Resources, Inc. 42,890 1,512,730 Atmos Energy Corp. 53,260 1,500,867 Chesapeake Utilities Corp. 5,000 154,950 New Jersey Resources Corp. 36,281 1,317,363 Southwest Gas Corp. 44,500 1,138,310 ---------------- 5,624,220 ---------------- MULTI-UTILITIES--0.6% Avista Corp. 35,380 715,384 CH Energy Group, Inc. 28,184 1,248,833 NorthWestern Corp. 115,119 2,812,357 ---------------- 4,776,574 ---------------- WATER UTILITIES--0.4% Aqua America, Inc. 157,800 2,783,592 ---------------- Total Common Stocks (Cost $598,790,755) 703,976,261 ---------------- INVESTMENT COMPANIES--2.1% Ares Capital Corp. 20,158 222,141 ASA Ltd. 1,479 112,108 BlackRock Kelso Capital Corp. 27,400 203,308 Gladstone Capital Corp. 68,408 610,883 Hercules Technology Growth Capital, Inc. 132,217 1,298,371 iShares Russell 2000 Index Fund 92,300 5,559,229 JPMorgan U.S. Treasury Plus Money Market Fund, Agency Shares, 0.00% (3,4) 169,304 169,304 MCG Capital Corp. (1) 95,080 398,385 Oppenheimer Institutional Money Market Fund, Cl. E, 0.27% (3,5) 4,745,266 4,745,266 PennantPark Investment Corp. 38,108 309,056 Prospect Capital Corp. 151,832 1,626,121 ---------------- Total Investment Companies (Cost $14,250,625) 15,254,172 ---------------- TOTAL INVESTMENTS, AT VALUE (COST $613,041,380) 100.0% 719,230,433 Other Assets Net of Liabilities 0.0 357,888 ------------ ---------------- Net Assets 100.0% $ 719,588,321 ============ ================
Footnotes to Statement of Investments (1.) Non-income producing security. (2.) Illiquid security. The aggregate value of illiquid securities as of September 30, 2009 was $242,447, which represents 0.03% of the Fund's net assets. See accompanying Notes. (3.) Rate shown is the 7-day yield as of September 30, 2009. (4.) Interest rate is less than 0.0005%. 16 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA Oppenheimer Main Street Small Cap Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED (5.) Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 30, 2009, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows:
SHARES GROSS GROSS SHARES DECEMBER 31, 2008 ADDITIONS REDUCTIONS SEPTEMBER 30, 2009 ----------------- ----------- ----------- ------------------ OFI Liquid Assets Fund, LLC 65,710,173 292,366,716 358,076,889 -- Oppenheimer Institutional Money Market Fund, Cl. E 6,344,806 233,180,449 234,779,989 4,745,266
VALUE INCOME ---------- -------- OFI Liquid Assets Fund, LLC $ -- $892,250(a) Oppenheimer Institutional Money Market Fund, Cl. E 4,745,266 45,375 ---------- -------- $4,745,266 $937,625 ========== ========
(a.) Net of compensation to the securities lending agent and rebates paid to the borrowing counterparties. VALUATION INPUTS Various data inputs are used in determining the value of each of the Fund's investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards: 1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) 2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) 3) Level 3-significant unobservable inputs (including the Manager's own judgments about assumptions that market participants would use in pricing the asset). The table below categorizes amounts that are included in the Fund's Statement of Assets and Liabilities as of September 30, 2009 based on valuation input level:
LEVEL 3-- LEVEL 1-- LEVEL 2-- SIGNIFICANT UNADJUSTED OTHER SIGNIFICANT UNOBSERVABLE QUOTED PRICES OBSERVABLE INPUTS INPUTS VALUE ------------- ----------------- ------------ ------------ ASSETS TABLE INVESTMENTS, AT VALUE: Common Stocks Consumer Discretionary $ 94,298,136 $ -- $ -- $ 94,298,136 Consumer Staples 22,885,425 -- -- 22,885,425 Energy 31,105,702 -- -- 31,105,702 Financials 141,032,957 459 -- 141,033,416 Health Care 103,516,485 -- 25 103,516,510 Industrials 110,804,147 -- -- 110,804,147 Information Technology 142,816,188 -- -- 142,816,188 Materials 33,787,727 -- 3,112 33,790,839 Telecommunication Services 3,359,312 -- -- 3,359,312 Utilities 20,366,586 -- -- 20,366,586 Investment Companies 15,254,172 -- -- 15,254,172
17 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA Oppenheimer Main Street Small Cap Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED ------------ ---- ------ ------------ Total Assets $719,226,837 $459 $3,137 $719,230,433 ------------ ---- ------ ------------
Currency contracts and forwards, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract's value from trade date. Futures, if any, are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. All additional assets and liabilities included in the above table are reported at their market value at measurement date. SEE THE ACCOMPANYING NOTES FOR FURTHER DISCUSSION OF THE METHODS USED IN DETERMINING VALUE OF THE FUND'S INVESTMENTS, AND A SUMMARY OF CHANGES TO THE VALUATION TECHNIQUES, IF ANY, DURING THE REPORTING PERIOD. NOTES TO 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 trading. Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Unadjusted quoted prices in active markets for identical securities are classified as "Level 1," inputs other than unadjusted quoted prices for an asset that are observable are classified as "Level 2" and significant unobservable inputs, including the Manager's judgment about the assumptions that a market participant would use in pricing an asset or liability are classified as "Level 3." The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. A table summarizing the Fund's investments under these levels of classification is included following the Statement of Investments. Securities are valued using unadjusted quoted market prices, when available, as supplied primarily either by portfolio pricing services approved by the Board of Trustees or dealers. Securities traded on a registered U.S. securities exchange are valued based on the last sale price of the security reported on the principal exchange on which traded, prior to the time when the Fund's assets are valued. Securities whose principal exchange is NASDAQ(R) are valued based on the official closing prices reported 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 current day's closing "bid" and "asked" prices, and if not, at the current day's closing bid price. A foreign security traded on a foreign exchange is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the portfolio pricing service used by the Manager, prior to the time when the Fund's assets are valued. In the absence of a sale, the security is valued at the most recent official closing price on the principal exchange on which it is traded. Shares of a registered investment company that are not traded on an exchange are valued at that investment company's net asset value per share. Corporate, government and municipal debt instruments having a remaining maturity in excess of sixty days and all mortgage-backed securities, collateralized mortgage obligations and other asset-backed securities are valued at the mean between the "bid" and "asked" prices. "Money market-type" debt instruments with remaining maturities of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. In the absence of a readily available unadjusted quoted market price, including for 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 the securities' respective exchanges, the Manager, acting through its internal valuation committee, in good faith determines the fair valuation of that asset using consistently applied procedures under the supervision of the Board of Trustees (which reviews those fair valuations by the Manager). Those procedures include certain standardized methodologies to fair value securities. Such methodologies include, but are not limited to, pricing securities initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities 18 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA Oppenheimer Main Street Small Cap Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED which may be adjusted for any discounts related to resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. There have been no significant changes to the fair valuation methodologies during the period. FOREIGN CURRENCY TRANSLATION. The Fund's accounting records are maintained in U.S. dollars. The values of securities denominated in foreign currencies and amounts related to the purchase and sale of foreign securities and foreign investment income are translated into U.S. dollars as of the close of the Exchange, normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading. Foreign exchange rates may be valued primarily using a reliable bank, dealer or service authorized by the Board of Trustees. Reported net realized gains and losses from foreign currency transactions arise from sales of portfolio securities, sales and maturities of short-term securities, sales of foreign currencies, exchange rate fluctuations between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized appreciation and depreciation on the translation of assets and liabilities denominated in foreign currencies arise from changes in the values of assets and liabilities, including investments in securities at fiscal period end, resulting from changes in exchange rates. The effect of changes in foreign currency exchange rates on investments is separately identified from the fluctuations arising from changes in market values of securities held and reported with all other foreign currency gains and losses in the Fund's Statement of Operations in the annual and semiannual reports. INVESTMENT IN OPPENHEIMER INSTITUTIONAL MONEY MARKET FUND. The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund ("IMMF") to seek current income while preserving liquidity. IMMF is a registered open-end management investment company, regulated as a money market fund under the Investment Company Act of 1940, as amended. The Manager is also the investment adviser of IMMF. When applicable, the Fund's investment in IMMF is included in the Statement of Investments. Shares of IMMF are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of IMMF's Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund's investment in IMMF. INVESTMENT IN OFI LIQUID ASSETS FUND, LLC. The Fund is permitted to invest cash collateral received in connection with its securities lending activities. Pursuant to the Fund's Securities Lending Procedures, the Fund may invest cash collateral in, among other investments, an affiliated money market fund. OFI Liquid Assets Fund, LLC ("LAF") is a limited liability company whose investment objective is to seek current income and stability of principal. The Manager is also the investment adviser of LAF. LAF is not registered under the Investment Company Act of 1940. However, LAF does comply with the investment restrictions applicable to registered money market funds set forth in Rule 2a-7 adopted under the Investment Company Act. When applicable, the Fund's investment in LAF is included in the Statement of Investments. Shares of LAF are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of LAF's expenses, including its management fee of 0.08%. FOREIGN CURRENCY EXCHANGE CONTRACTS The Fund may enter into current and forward foreign currency exchange contracts for the purchase or sale of a foreign currency at a negotiated rate at a future date. Foreign currency exchange contracts are reported on a schedule following the Statement of Investments. These contracts will be valued daily based upon the closing prices of the currency rates determined at the close of the Exchange as provided by a bank, dealer or pricing service. The resulting unrealized appreciation (depreciation) is reported in the Statement of Assets and Liabilities in the annual and semiannual reports as a receivable or payable and in the Statement of Operations in the annual and semiannual reports within the change in unrealized appreciation (depreciation). At contract close, the difference between the original cost of the contract and the value at the close date is recorded as a realized gain (loss) in the Statement of Operations in the annual and semiannual reports. 19 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA Oppenheimer Main Street Small Cap Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED The Fund has purchased and sold foreign currency exchange contracts of different currencies in order to acquire currencies to pay for related foreign securities purchase transactions, or to convert foreign currencies to U.S. dollars from related foreign securities sale transactions. These foreign currency exchange contracts are negotiated at the current spot exchange rate with settlement typically within two business days thereafter. Additional associated risk to the Fund includes counterparty credit risk. Counterparty credit risk arises from the possibility that the counterparty will default. If the counterparty defaults, the Fund's loss will consist of the net amount of contractual payments that the Fund has not yet received. As of September 30, 2009, the Fund held no outstanding forward contracts. ILLIQUID SECURITIES As of September 30, 2009, investments in securities included issues that are illiquid. Investments may be illiquid because they do not have an active trading market, making it difficult to value them or dispose of them promptly at an acceptable price. The Fund will not invest more than 10% of its net assets (determined at the time of purchase and reviewed periodically) in illiquid securities. Securities that are illiquid are marked with an applicable footnote on the Statement of Investments. 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 September 30, 2009 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 $644,795,111 ============ Gross unrealized appreciation $ 87,434,846 Gross unrealized depreciation (12,999,524) ------------ Net unrealized appreciation $ 74,435,322 ============
20 | OPPENHEIMER MAIN STREET SMALL CAP FUND/VA Oppenheimer Money Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, (2009) / UNAUDITED
PRINCIPAL AMOUNT VALUE --------------- --------------- CERTIFICATES OF DEPOSIT--25.2% YANKEE CERTIFICATES OF DEPOSIT--25.2% Bank of Nova Scotia: 0.21%, 12/30/09 $ 4,000,000 $ 4,000,000 0.24%, 10/13/09 2,500,000 2,500,000 BNP Paribas, New York: 4,000,000 4,000,000 0.27%, 1/21/10 0.27%, 1/25/10 3,000,000 3,000,000 0.34%, 10/8/09 2,000,000 2,000,000 National Australia Bank, New York: 3,000,000 3,000,000 0.34%, 11/2/09 0.37%, 12/1/09 2,000,000 2,000,000 Nordea Bank Finland plc, New York: 2,500,000 2,500,000 0.25%, 10/22/09 0.25%, 1/13/10 2,000,000 2,000,000 0.25%, 1/15/10 4,500,000 4,500,000 Rabobank Nederland NV, New York: 2,000,000 2,000,000 0.30%, 12/18/09 0.65%, 2/18/10 2,000,000 2,000,000 0.72%, 7/26/10 2,000,000 2,000,000 0.95%, 6/23/10 1,000,000 1,000,000 1.05%, 4/30/10 2,900,000 2,909,288 Societe Generale, New York, 0.28%, 10/5/09 4,000,000 4,000,000 Toronto Dominion Bank, New York: 1.47%, 11/12/09 5,000,000 5,000,000 1.50%, 11/3/09 1,500,000 1,500,000 --------------- Total Certificates of Deposit (Cost $49,909,288) 49,909,288 DIRECT BANK OBLIGATIONS--16.1% CBA (Delaware) Finance: 0.24%, 11/30/09 3,000,000 2,998,800 0.24%, 12/4/09 2,000,000 1,998,862 0.27%, 11/23/09 2,500,000 2,499,006 Danske Corp.: 0.22%, 10/19/09(1) 3,800,000 3,799,582 0.25%, 10/21/09(1) 3,000,000 2,999,583 National Australia Funding (Delaware), Inc.: 0.35%, 11/2/09(1) 2,700,000 2,699,160 0.39%, 1/7/10(1) 2,000,000 1,997,877 Scotiabanc, Inc., 0.26%, 10/23/09(1) 1,000,000 999,841 Societe Generale, 0.24%, 11/18/09 4,800,000 4,798,464 Westpac Banking Corp.: 0.29%, 11/3/09(1) 5,000,000 4,998,671 0.32%, 10/1/09(1) 2,000,000 2,000,000 --------------- Total Direct Bank Obligations (Cost $31,789,846) 31,789,846 SHORT-TERM NOTES--56.2% COMMERCIAL BANKS--2.0% JPMorgan Chase Funding, Inc., 0.23%, 11/24/09 4,000,000 3,998,620
1 | OPPENHEIMER MONEY FUND/VA Oppenheimer Money Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, (2009) / UNAUDITED
PRINCIPAL AMOUNT VALUE --------------- --------------- DIVERSIFIED FINANCIAL SERVICES--3.5% General Electric Capital Services: 0.25%, 12/2/09 $ 2,000,000 $ 1,999,139 0.31%, 10/23/09 5,000,000 4,999,053 --------------- 6,998,192 FOOD PRODUCTS--2.7% Nestle Capital Corp.: 0.50%, 3/15/10(1) 2,000,000 1,994,500 0.51%, 3/16/10(1) 3,300,000 3,292,240 --------------- 5,286,740 INSURANCE--1.0% United of Omaha Life Insurance Co., 0.761%, 12/28/09(2) 2,000,000 2,000,000 LEASING & FACTORING--4.6% Toyota Motor Credit Corp.: 0.26%, 12/3/09 4,000,000 3,998,180 0.26%, 12/4/09 5,000,000 4,997,689 --------------- 8,995,869 MUNICIPAL--11.4% Allegheny Cnty., PA Industrial Development Authority Bonds, Union Electric Steel Corp., Series 1997, 0.45%, 10/1/09(2) 2,141,000 2,141,000 Chicago, IL Industrial Development Revenue Bonds, Freedman Seating Co. Project, Series 1998, 0.64%, 10/1/09(2) 1,335,000 1,335,000 Health Care Revenue Bonds, SFO Associates Project, Series 1994, 0.40%, 10/1/09(2) 2,200,000 2,200,000 IL Finance Authority Industrial Development Revenue Bonds, Freedman Seating Co. Project, Series 2005, 0.64%, 10/1/09(2) 1,795,000 1,795,000 Laurel Grocery Project Nts., Series 1999, 1.20%, 10/1/09(2) 1,445,000 1,445,000 Manassas, VA Industrial Development Authority Bonds, Aurora Flight Science, Series 2005, 0.45%, 10/1/09(2) 985,000 985,000 Putnam Cnty., WV Solid Waste Disposal Revenue Bonds, FMC Corp., Series 1991, 0.69%, 11/1/09(2) 1,730,000 1,730,000 San Antonio, TX Industrial Development Authority Revenue Bonds, Tindall Corp. Project, Series 2008, 0.45%, 10/1/09(2) 3,700,000 3,700,000 Valdosta-Lowndes Cnty., GA Industrial Authority Steeda Autosports, Inc. Project, Series 2008, 0.55%, 10/1/09(2) 1,000,000 1,000,000 Vigo Cnty., IN Economic Development Revenue Bonds, Republic Services, Inc. Project, Series 03, 0.45%, 10/1/09(2) 5,000,000 5,000,000 Wright Brothers, Inc. Nts., Series 2005, 1.20%, 10/1/09(2) 1,285,000 1,285,000 --------------- 22,616,000 PERSONAL PRODUCTS--2.3% Procter & Gamble International Funding SCA: 0.478%, 5/7/10(1, 2) 1,500,000 1,500,000
2 | OPPENHEIMER MONEY FUND/VA Oppenheimer Money Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, (2009) / UNAUDITED
PRINCIPAL AMOUNT VALUE --------------- --------------- Procter & Gamble International Funding SCA Continued 0.714%, 2/8/10(1, 2) $ 3,000,000 $ 3,000,000 --------------- 4,500,000 PHARMACEUTICALS--2.5% Roche Holdings, Inc., 1.39%, 2/25/10(2) 5,000,000 5,000,000 RECEIVABLES FINANCE--20.2% Barton Capital Corp.: 0.24%, 10/16/09(1) 2,000,000 1,999,767 0.30%, 11/9/09(1) 2,000,000 1,999,350 Chariot Funding LLC, 0.19%, 10/9/09(3) 2,000,000 1,999,916 Fairway Finance Corp.: 0.27%, 11/16/09(1) 1,000,000 999,642 0.34%, 10/6/09(1) 4,000,000 3,999,811 0.34%, 10/7/09(1) 2,000,000 1,999,887 Gemini Securitization Corp., 0.29%, 11/17/09(1) 2,000,000 1,999,243 Kitty Hawk Funding Corp., 0.23%, 11/4/09(1) 4,000,000 3,999,131 Lexington Parker Capital Co. LLC: 0.50%, 11/5/09(1) 6,000,000 5,997,083 0.50%, 11/16/09(1) 1,000,000 999,361 Mont Blanc Capital Corp., 0.24%, 10/6/09(1) 3,000,000 2,999,900 Old Line Funding Corp., 0.27%, 1/26/10(1) 2,000,000 1,998,245 Ranger Funding Co. LLC, 0.24%, 12/11/09(3) 5,916,000 5,913,200 Thunder Bay Funding LLC, 0.32%, 10/8/09(3) 1,000,000 999,938 Yorktown Capital LLC, 0.18%, 10/15/09(1) 2,000,000 1,999,860 --------------- 39,904,334 SPECIAL PURPOSE FINANCIAL--1.3% FCAR Owner Trust I, 0.65%, 10/1/09 1,500,000 1,500,000 Ticonderoga Funding LLC, 0.36%, 10/5/09 1,000,000 999,960 --------------- 2,499,960 U.S. GOVERNMENT OBLIGATIONS--4.7% Straight-A Funding LLC, Series I: 0.25%, 11/17/09 2,000,000 1,999,346 0.28%, 11/9/09 5,300,000 5,298,392 0.33%, 10/20/09 2,000,000 1,999,652 --------------- 9,297,390 --------------- Total Short-Term Notes (Cost $111,097,105) 111,097,105 U.S. GOVERNMENT AGENCIES--3.5% Federal Home Loan Bank: 0.50%, 10/29/10(4) 3,000,000 3,000,000 0.75%, 3/12/10(2) 4,000,000 4,000,000 --------------- Total U.S. Government Agencies (Cost $7,000,000) 7,000,000
3 | OPPENHEIMER MONEY FUND/VA Oppenheimer Money Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, (2009) / UNAUDITED
VALUE --------------- TOTAL INVESTMENTS, AT VALUE (COST $199,796,239) 101.0% $ 199,796,239 Liabilities in Excess of Other Assets (1.0) (2,006,108) --------------- --------------- Net Assets 100.0% $ 197,790,131 =============== ===============
Footnotes to Statement of Investments Short-term notes and direct bank obligations are generally traded on a discount basis; the interest rate shown is the discount rate received by the Fund at the time of purchase. Other securities normally bear interest at the rates shown. (1.) Security issued in an exempt transaction without registration under the Securities Act of 1933. Such securities amount to $60,272,734, or 30.47% of the Fund's net assets, and have been determined to be liquid pursuant to guidelines adopted by the Board of Trustees. (2.) Represents the current interest rate for a variable or increasing rate security. (3.) Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $8,913,054 or 4.51% of the Fund's net assets as of September 30, 2009. (4.) When-issued security or delayed delivery to be delivered and settled after September 30, 2009. See accompanying Notes. VALUATION INPUTS Various data inputs are used in determining the value of each of the Fund's investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards: 1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) 2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) 3) Level 3-significant unobservable inputs (including the Manager's own judgments about assumptions that market participants would use in pricing the asset). The table below categorizes amounts that are included in the Fund's Statement of Assets and Liabilities as of September 30, 2009 based on valuation input level:
LEVEL 2-- LEVEL 1-- OTHER LEVEL 3-- UNADJUSTED SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS VALUE ---------- ------------ ------------ ------------ ASSETS TABLE INVESTMENTS, AT VALUE: Certificates of Deposit $-- $ 49,909,288 $-- $ 49,909,288 Direct Bank Obligations -- 31,789,846 -- 31,789,846 Short-Term Notes -- 111,097,105 -- 111,097,105 U.S. Government Agencies -- 7,000,000 -- 7,000,000 --- ------------ --- ------------ Total Assets $-- $199,796,239 $-- $199,796,239 === ============ === ============
Currency contracts and forwards, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract's value from trade date. Futures, if any, are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. All additional assets and liabilities included in the above table are reported at their market value at measurement date. SEE THE ACCOMPANYING NOTES FOR FURTHER DISCUSSION OF THE METHODS USED IN DETERMINING VALUE OF THE FUND'S INVESTMENTS, AND A SUMMARY OF CHANGES TO THE VALUATION TECHNIQUES, IF ANY, DURING THE REPORTING PERIOD. 4 | OPPENHEIMER MONEY FUND/VA Oppenheimer Money Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, (2009) / UNAUDITED NOTES TO STATEMENT OF INVESTMENTS SECURITIES VALUATION. Securities are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. If amortized cost is determined not to approximate market value, the fair value of the portfolio securities will be determined under procedures approved by the Fund's Board of Trustees. Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Unadjusted quoted prices in active markets for identical securities are classified as "Level 1," inputs other than unadjusted quoted prices for an asset that are observable are classified as "Level 2" and significant unobservable inputs, including the Manager's judgment about the assumptions that a market participant would use in pricing an asset or liability are classified as "Level 3." The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. A table summarizing the Fund's investments under these levels of classification is included following the Statement of Investments. In the absence of a readily available unadjusted quoted market price, including for 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 the securities' respective exchanges, the Manager, acting through its internal valuation committee, in good faith determines the fair valuation of that asset using consistently applied procedures under the supervision of the Board of Trustees (which reviews those fair valuations by the Manager). Those procedures include certain standardized methodologies to fair value securities. Such methodologies include, but are not limited to, pricing securities initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be adjusted for any discounts related to resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. There have been no significant changes to the fair valuation methodologies during the period. SECURITIES ON A WHEN-ISSUED OR DELAYED DELIVERY BASIS. The Fund may purchase securities on a "when-issued" basis, and may purchase or sell securities on a "delayed delivery" basis. "When-issued" or "delayed delivery" refers to securities whose terms and indenture are available and for which a market exists, but which are not available for immediate delivery. Delivery and payment for securities that have been purchased by the Fund on a when-issued basis normally takes place within six months and possibly as long as two years or more after the 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 purchase of securities on a when-issued basis may increase the volatility of the Fund's net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. When the Fund engages in when-issued or delayed delivery transactions, it relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do so may cause the Fund to lose the opportunity to obtain or dispose of the security at a price and yield it considers advantageous. The Fund maintains internally designated assets with a market value equal to or greater than the amount of its purchase commitments. 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 September 30, 2009, the Fund had purchased securities issued on a when-issued or delayed delivery basis and sold securities issued on a delayed delivery basis as follows:
WHEN-ISSUED OR DELAYED DELIVERY BASIS TRANSACTIONS -------------- Purchased securities $3,000,000
5 | OPPENHEIMER MONEY FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE --------------- --------------- ASSET-BACKED SECURITIES--0.6% AmeriCredit Prime Automobile Receivables Trust 2007-1, Automobile Receivables Nts., Series 2007-1, Cl. D, 5.62%, 9/8/14 $ 1,319,000 $ 1,010,010 Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl. A2, 0.726%, 5/25/34(1) 924,857 633,183 Argent Securities Trust 2006-M3, Asset-Backed Pass-Through Certificates, Series 2006-M3, Cl. A2B, 0.346%, 9/25/36(1) 470,608 270,771 Bank of America Credit Card Trust, Credit Card Asset-Backed Certificates, Series 2006-A16, Cl. A16, 4.72%, 5/15/13 1,805,000 1,882,679 Capital Auto Receivables Asset Trust 2007-1, Automobile Asset-Backed Securities, Series 2007-1, Cl. B, 5.15%, 9/17/12 262,000 257,165 Capital One Auto Finance Trust, Automobile Receivables, Series 2006-C, Cl. A4, 0.273%, 5/15/13(1) 1,312,000 1,287,470 Centex Home Equity Loan Trust 2006-A, Asset-Backed Certificates, Series 2006-A, Cl. AV2, 0.346%, 5/16/36(1) 89,437 87,858 Citigroup Mortgage Loan Trust, Inc. 2006-WFH3, Asset-Backed Pass-Through Certificates, Series 2006-WFH3, Cl. A2, 0.346%, 10/25/36(1) 322,262 305,560 CNH Equipment Trust, Asset-Backed Certificates, Series 2009-B, Cl. A3, 2.97%, 3/15/13 1,890,000 1,921,699 Countrywide Home Loans, Asset-Backed Certificates: Series 2005-16, Cl. 2AF2, 5.382%, 5/25/36(1) 1,429,119 1,118,468 Series 2005-17, Cl. 1AF2, 5.363%, 5/25/36(1) 201,692 158,481 CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 0.366%, 6/25/47(1) 1,050,000 692,419 CWHEQ Revolving Home Equity Loan Trust, Asset-Backed Certificates: Series 2005-G, Cl. 2A, 0.473%, 12/15/35(1) 230,458 71,838 Series 2006-H, Cl. 2A1A, 0.393%, 11/15/36(1) 79,930 15,634 Embarcadero Aircraft Securitization Trust, Airplane Receivable Nts., Series 2000-A, Cl. B, 8/15/25(2, 3, 4) 1,820,063 -- First Franklin Mortgage Loan Trust 2006-FF10, Mtg. Pass-Through Certificates, Series 2006-FF10, Cl. A3, 0.336%, 7/25/36(1) 791,771 747,581 First Franklin Mortgage Loan Trust 2006-FF9, Mtg. Pass-Through Certificates, Series 2006-FF9, Cl. 2A2, 0.356%, 7/7/36(1) 318,611 241,440 First Franklin Mortgage Loan Trust 2006-FFA, Mtg. Pass-Through Certificates, Series 2006-FFA, Cl. A3, 0.366%, 9/25/36(1) 928,666 102,339 Ford Credit Auto Owner Trust, Automobile Receivables Nts., Series 2009-B, Cl. A2, 2.10%, 11/15/11 1,380,000 1,392,045 Home Equity Mortgage Trust 2005-1, Mtg. Pass-Through Certificates, Series 2005-1, Cl. M6, 5.363%, 6/1/35 1,046,000 248,259 Home Equity Mortgage Trust 2006-5, Mtg. Pass-Through Certificates, Series 2006-5, Cl. A1, 5.50%, 1/25/37 421,554 38,775 HSBC Home Equity Loan Trust 2005-3, Closed-End Home Equity Loan Asset-Backed Certificates, Series 2005-3, Cl. A1, 0.533%, 1/20/35(1) 218,540 189,166
1 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE --------------- --------------- HSBC Home Equity Loan Trust 2006-4, Closed-End Home Equity Loan Asset-Backed Certificates, $ 440,000 $ 411,080 Series 2006-4, Cl. A2V, 0.383%, 3/20/36(1) Ice Em CLO, Collateralized Loan Obligations: Series 2007-1A, Cl. B, 2.551%, 8/15/22(1, 3) 7,870,000 4,328,500 Series 2007-1A, Cl. C, 3.851%, 8/15/22(1, 3) 5,270,000 1,844,500 Series 2007-1A, Cl. D, 5.851%, 8/15/22(1, 3) 5,270,000 1,317,500 Lehman XS Trust, Mtg. Pass-Through Certificates, Series 2005-4, Cl. 2A1B, 5.17%, 10/25/35 52,297 51,719 Mastr Asset-Backed Securities Trust 2006-WMC3, Mtg. Pass-Through Certificates, Series 2006-WMC3, Cl. A3, 0.346%, 8/25/36(1) 1,310,000 429,796 NC Finance Trust, CMO Pass-Through Certificates, Series 1999-I, Cl. ECFD, 2.55%, 1/25/29(1, 3) 66,744 10,012 Option One Mortgage Loan Trust 2006-2, Asset-Backed Certificates, Series 2006-2, Cl. 2A2, 0.346%, 7/1/36(1) 2,308,897 1,875,037 Popular ABS Mortgage Pass-Through Trust 2005-6, Mtg. Pass-Through Certificates, Series 2005-6, Cl. A3, 5.68%, 1/25/36(1) 296,221 262,135 RASC Series 2006-KS7 Trust, Home Equity Mtg. Asset-Backed Pass-Through Certificates, Series 2006-KS7, Cl. A2, 0.346%, 9/25/36(1) 628,705 598,626 Securitized Asset-Backed Receivables LLC Trust 2007-BR2, Asset-Backed Securities, Series 2007-BR2, Cl. A2, 0.476%, 2/25/37(1) 681,510 289,068 SLM Student Loan Trust, Student Loan Receivables, Series 2005-B, Cl. B, 0.699%, 6/15/39(1) 2,487,000 803,603 Specialty Underwriting & Residential Finance Trust, Home Equity Asset-Backed Obligations, Series 2006-BC1, Cl. A2B, 0.396%, 12/25/36(1) 79,238 78,587 Start CLO Ltd., Asset-Backed Credit Linked Securities, Series 2006-3A, Cl. F, 17.322%, 6/7/11(1,3) 1,630,000 1,165,450 Terwin Mortgage Trust, Home Equity Asset-Backed Securities, Series 2006-4SL, Cl. A1, 4.50%, 5/1/37 199,323 34,825 Wells Fargo Home Equity Asset-Backed Securities 2006-2 Trust, Home Equity Asset-Backed 292,412 287,793 Certificates, Series 2006-2, Cl. A2, 0.346%, 7/25/36(1) --------------- Total Asset-Backed Securities (Cost $42,879,026) 26,461,071 --------------- MORTGAGE-BACKED OBLIGATIONS--15.5% GOVERNMENT AGENCY--7.7% FHLMC/FNMA/FHLB/SPONSORED--7.5% Federal Home Loan Mortgage Corp.: 5%, 8/15/33-9/15/33 3,535,617 3,672,216 5.50%, 9/1/39(5) 4,180,000 4,381,380 6%, 5/15/18-10/15/29 1,514,866 1,623,191 6.50%, 3/15/18-6/15/35 4,345,988 4,687,304 7%, 10/1/31-10/1/37 1,144,752 1,244,321 7.50%, 4/25/36 1,125,628 1,273,131
2 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE --------------- --------------- FHLMC/FNMA/FHLB/SPONSORED CONTINUED Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Participation Certificates, Series 1897, Cl. K, 7%, 9/15/26 $ 2,421,607 $ 2,688,328 Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Series 1360, Cl. PZ, 7.50%, 9/15/22 1,306,693 1,417,973 Series 151, Cl. F, 9%, 5/15/21 33,001 35,936 Series 1674, Cl. Z, 6.75%, 2/15/24 1,004,562 1,088,070 Series 2006-11, Cl. PS, 23.664%, 3/25/36(1) 642,133 864,759 Series 2043, Cl. ZP, 6.50%, 4/15/28 774,363 829,218 Series 2106, Cl. FG, 0.693%, 12/15/28(1) 1,706,536 1,685,751 Series 2122, Cl. F, 0.693%, 2/15/29(1) 54,651 53,985 Series 2135, Cl. OH, 6.50%, 3/15/29 1,026,021 1,115,858 Series 2148, Cl. ZA, 6%, 4/15/29 1,558,472 1,675,931 Series 2195, Cl. LH, 6.50%, 10/15/29 739,677 788,546 Series 2326, Cl. ZP, 6.50%, 6/15/31 107,744 115,434 Series 2344, Cl. FP, 1.193%, 8/15/31(1) 524,088 526,366 Series 2368, Cl. PR, 6.50%, 10/15/31 474,484 514,548 Series 2412, Cl. GF, 1.193%, 2/15/32(1) 1,106,088 1,108,710 Series 2415, Cl. ZA, 6.50%, 2/15/32 1,354,292 1,470,659 Series 2435, Cl. EQ, 6%, 5/15/31 444,867 452,034 Series 2449, Cl. FL, 0.793%, 1/15/32(1) 677,910 671,975 Series 2451, Cl. FD, 1.243%, 3/15/32(1) 365,940 367,851 Series 2453, Cl. BD, 6%, 5/15/17 187,887 202,571 Series 2461, Cl. PZ, 6.50%, 6/15/32 1,621,346 1,768,294 Series 2464, Cl. FI, 1.243%, 2/15/32(1) 359,947 361,040 Series 2470, Cl. AF, 1.243%, 3/15/32(1) 627,863 632,117 Series 2470, Cl. LF, 1.243%, 2/15/32(1) 368,353 369,485 Series 2471, Cl. FD, 1.243%, 3/15/32(1) 648,215 650,272 Series 2477, Cl. FZ, 0.793%, 6/15/31(1) 1,379,955 1,367,150 Series 2500, Cl. FD, 0.743%, 3/15/32(1) 40,276 39,636 Series 2517, Cl. GF, 1.243%, 2/15/32(1) 320,264 321,324 Series 2526, Cl. FE, 0.643%, 6/15/29(1) 80,878 79,072 Series 2551, Cl. FD, 0.643%, 1/15/33(1) 41,147 40,556 Series 2638, Cl. KG, 4%, 11/1/27 4,000,000 4,125,536 Series 2641, Cl. CE, 3.50%, 9/15/25 151,076 151,690 Series 2648, Cl. JE, 3%, 2/1/30 3,397,962 3,431,884 Series 2676, Cl. KY, 5%, 9/15/23 3,843,000 3,992,568 Series 2750, Cl. XG, 5%, 2/1/34 6,037,000 6,223,959 Series 2857, Cl. MG, 5%, 9/1/34 2,045,000 2,089,630 Series 2890, Cl. PE, 5%, 11/1/34 6,120,000 6,241,797 Series 2934, Cl. NA, 5%, 4/15/24 218,980 220,823 Series 2936, Cl. PE, 5%, 2/1/35 4,858,000 4,946,322 Series 2947, Cl. HE, 5%, 3/1/35 1,650,000 1,682,235 Series 3019, Cl. MD, 4.75%, 1/1/31 1,858,909 1,940,370 Series 3025, Cl. SJ, 23.858%, 8/15/35(1) 769,311 1,022,186 Series 3035, Cl. DM, 5.50%, 11/15/25 1,093,024 1,111,623 Series 3094, Cl. HS, 23.491%, 6/15/34(1) 432,542 545,262 Series 3157, Cl. MC, 5.50%, 2/1/26 3,200,643 3,291,047
3 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE --------------- --------------- FHLMC/FNMA/FHLB/SPONSORED CONTINUED Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 177, Cl. IO, 14.418%, 7/1/26(6) $ 145,973 $ 27,170 Series 192, Cl. IO, 8.402%, 2/1/28(6) 37,209 9,045 Series 205, Cl. IO, 9.37%, 9/1/29(6) 193,663 38,380 Series 2074, Cl. S, 49.669%, 7/17/28(6) 48,359 7,105 Series 2079, Cl. S, 61.274%, 7/17/28(6) 79,740 11,884 Series 2136, Cl. SG, 92.95%, 3/15/29(6) 2,209,757 353,165 Series 224, Cl. IO, 0.918%, 3/1/33(6) 1,332,714 242,687 Series 2399, Cl. SG, 79.038%, 12/15/26(6) 1,288,492 209,420 Series 243, Cl. 6, 0.00%, 12/15/32(6, 21) 577,726 103,861 Series 2437, Cl. SB, 93.025%, 4/15/32(6) 3,761,911 622,124 Series 2526, Cl. SE, 38.567%, 6/15/29(6) 101,540 16,631 Series 2802, Cl. AS, 99.999%, 4/15/33(6) 864,852 87,140 Series 2920, Cl. S, 77.959%, 1/15/35(6) 879,988 105,132 Series 3000, Cl. SE, 99.999%, 7/15/25(6) 935,819 90,052 Series 3045, Cl. DI, 39.321%, 10/15/35(6) 4,151,719 534,116 Series 3110, Cl. SL, 99.999%, 2/15/26(6) 558,655 51,980 Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 192, Cl. PO, 7.444%, 2/1/28(7) 37,209 33,062 Federal National Mortgage Assn.: 4.50%, 10/1/24-10/1/39(5) 13,175,000 13,479,434 5%, 11/25/21-8/25/33 10,775,153 11,196,889 5%, 10/1/39-11/1/39(5) 23,900,000 24,680,459 5.303%, 10/1/36 9,346,963 9,772,448 5.50%, 4/25/21-7/1/22 727,909 771,383 5.50%, 10/1/24-10/1/39(5) 51,323,000 53,710,304 6%, 10/25/16-9/25/21 1,684,799 1,805,566 6%, 10/1/24-10/1/39(5) 35,265,000 37,320,887 6.50%, 3/25/17-1/1/34 8,301,712 8,967,112 6.50%, 10/1/39(5) 7,000,000 7,482,342 7%, 11/1/17-6/25/34 8,465,655 9,341,001 7.50%, 2/25/27-3/25/33 4,003,422 4,483,844 8.50%, 7/1/32 6,858 7,621 Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Trust 1999-54, Cl. LH, 6.50%, 11/25/29 747,326 807,919 Trust 2001-44, Cl. QC, 6%, 9/25/16 1,317,240 1,418,954 Trust 2001-51, Cl. OD, 6.50%, 10/25/31 388,229 416,032 Trust 2001-69, Cl. PF, 1.246%, 12/25/31(1) 822,718 826,752 Trust 2001-74, Cl. QE, 6%, 12/25/311 4,223,586 4,562,987 Trust 2001-80, Cl. ZB, 6%, 1/25/32 891,232 966,874 Trust 2002-12, Cl. PG, 6%, 3/25/17 591,705 638,388 Trust 2002-29, Cl. F, 1.246%, 4/25/32(1) 404,533 406,538 Trust 2002-56, Cl. KW, 6%, 4/25/23 1,553,506 1,586,332 Trust 2002-60, Cl. FH, 1.246%, 8/25/32(1) 842,234 844,994 Trust 2002-64, Cl. FJ, 1.246%, 4/25/32(1) 124,569 124,512 Trust 2002-68, Cl. FH, 0.744%, 10/18/32(1) 278,918 275,749
4 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE --------------- --------------- FHLMC/FNMA/FHLB/SPONSORED CONTINUED Trust 2002-71, Cl. UB, 5%, 11/25/15 $ 456,975 $ 458,641 Trust 2002-84, Cl. FB, 1.246%, 12/25/32(1) 1,655,532 1,662,677 Trust 2002-9, Cl. PC, 6%, 3/25/17 609,337 657,612 Trust 2002-9, Cl. PR, 6%, 3/25/17 746,104 805,215 Trust 2002-90, Cl. FH, 0.746%, 9/25/32(1) 926,275 912,862 Trust 2003-11, Cl. FA, 1.246%, 9/25/32(1) 1,655,570 1,662,715 Trust 2003-116, Cl. FA, 0.646%, 11/25/33(1) 114,607 112,332 Trust 2003-81, Cl. PW, 4%, 3/25/25 34,104 34,095 Trust 2004-101, Cl. BG, 5%, 1/25/20 1,825,000 1,946,358 Trust 2005-100, Cl. BQ, 5.50%, 11/25/25 571,000 598,662 Trust 2005-109, Cl. AH, 5.50%, 12/25/25 2,160,000 2,267,728 Trust 2005-25, Cl. PS, 27.077%, 4/25/35(1) 668,641 920,263 Trust 2005-31, Cl. PB, 5.50%, 4/25/35 560,000 595,782 Trust 2005-71, Cl. DB, 4.50%, 8/25/25 480,000 495,171 Trust 2006-46, Cl. SW, 23.296%, 6/25/36(1) 1,106,418 1,452,852 Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Trust 2001-61, Cl. SH, 50.779%, 11/18/31(6) 454,768 58,231 Trust 2001-63, Cl. SD, 39.87%, 12/18/31(6) 108,445 15,760 Trust 2001-68, Cl. SC, 32.231%, 11/25/31(6) 74,566 9,638 Trust 2001-81, Cl. S, 36.235%, 1/25/32(6) 87,916 11,634 Trust 2002-28, Cl. SA, 39.513%, 4/25/32(6) 53,607 7,013 Trust 2002-38, Cl. SO, 58.764%, 4/25/32(6) 274,410 31,566 Trust 2002-48, Cl. S, 35.89%, 7/25/32(6) 84,512 11,538 Trust 2002-52, Cl. SL, 37.297%, 9/25/32(6) 53,866 7,354 Trust 2002-56, Cl. SN, 38.636%, 7/25/32(6) 116,130 15,951 Trust 2002-77, Cl. IS, 50.535%, 12/18/32(6) 467,513 68,099 Trust 2002-77, Cl. SH, 44.148%, 12/18/32(6) 118,568 19,263 Trust 2002-9, Cl. MS, 35.158%, 3/25/32(6) 113,012 16,403 Trust 2003-117, Cl. KS, 60.482%, 8/25/33(6) 8,889,139 954,101 Trust 2003-13, Cl. IO, 10.189%, 3/25/33(6) 880,377 161,177 Trust 2003-26, Cl. DI, 11.758%, 4/25/33(6) 696,867 117,880 Trust 2003-33, Cl. SP, 55.636%, 5/25/33(6) 783,305 107,812 Trust 2003-38, Cl. SA, 40.443%, 3/25/23(6) 1,377,179 166,213 Trust 2003-4, Cl. S, 47.824%, 2/25/33(6) 236,069 32,767 Trust 2005-14, Cl. SE, 42.486%, 3/25/35(6) 2,953,178 259,978 Trust 2005-40, Cl. SA, 75.136%, 5/25/35(6) 2,492,783 317,052 Trust 2005-40, Cl. SB, 98.048%, 5/25/35(6) 3,928,682 630,628 Trust 2005-63, Cl. SA, 96.112%, 10/25/31(6) 183,194 23,092 Trust 2005-71, Cl. SA, 73.616%, 8/25/25(6) 606,140 70,318 Trust 2005-85, Cl. SA, 99.999%, 10/25/35(6) 9,502,506 1,037,558 Trust 2005-87, Cl. SE, 62.891%, 10/25/35(6) 30,487,684 2,617,346 Trust 2005-87, Cl. SG, 85.626%, 10/25/35(6) 3,209,938 309,100 Trust 2006-60, Cl. DI, 40.563%, 4/25/35(6) 2,796,607 407,858 Trust 2006-90, Cl. SX, 99.999%, 9/25/36(6) 2,439,350 469,193 Trust 2007-88, Cl. XI, 13.776%, 6/25/37(6) 10,556,805 1,045,503
5 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE --------------- --------------- FHLMC/FNMA/FHLB/SPONSORED CONTINUED Trust 214, Cl. 2, 25.178%, 3/1/23(6) $ 585,861 $ 104,610 Trust 221, Cl. 2, 22.442%, 5/1/23(6) 65,791 11,803 Trust 240, Cl. 2, 26.615%, 9/1/23(6) 125,555 22,489 Trust 254, Cl. 2, 16.267%, 1/1/24(6) 1,061,965 195,940 Trust 2682, Cl. TQ, 99.999%, 10/15/33(6) 942,484 153,245 Trust 2981, Cl. BS, 99.999%, 5/15/35(6) 1,682,822 207,050 Trust 301, Cl. 2, 0.202%, 4/1/29(6) 268,624 62,502 Trust 313, Cl. 2, 28.472%, 6/1/31(6) 2,959,516 604,240 Trust 319, Cl. 2, 5.313%, 2/1/32(6) 86,212 17,223 Trust 321, Cl. 2, 5.073%, 4/1/32(6) 352,564 73,147 Trust 324, Cl. 2, 0.00%, 7/1/32(6,21) 372,457 75,428 Trust 328, Cl. 2, 0.00%, 12/1/32(6, 21) 4,845,929 886,569 Trust 331, Cl. 5, 0.00%, 2/1/33(6, 21) 1,420,266 247,440 Trust 334, Cl. 12, 0.00%, 2/1/33(6, 21) 1,212,103 204,049 Trust 339, Cl. 15, 4.515%, 7/1/33(6) 3,396,849 470,956 Trust 339, Cl. 7, 0.00%, 7/1/33(6, 21) 5,814,993 789,151 Trust 345, Cl. 9, 0.00%, 1/1/34(6, 21) 1,629,133 237,721 Trust 351, Cl. 10, 0.00%, 4/1/34(6, 21) 707,703 95,117 Trust 351, Cl. 8, 0.643%, 4/1/34(6) 1,143,723 152,092 Trust 351, Cl. 9, 0.00%, 10/1/34(6, 21) 13,981,525 1,862,183 Trust 356, Cl. 10, 0.00%, 6/1/35(6, 21) 988,884 141,490 Trust 356, Cl. 12, 0.00%, 2/1/35(6, 21) 505,088 67,245 Trust 362, Cl. 12, 0.00%, 8/1/35(6, 21) 944,946 163,337 Trust 362, Cl. 13, 0.00%, 8/1/35(6, 21) 558,913 93,693 Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security: Trust 322, Cl. 1, 8.139%, 4/1/32(7) 4,603,547 4,023,408 Trust 324, Cl. 1, 7.912%, 7/1/32(7) 165,851 145,587 --------------- 314,330,905 --------------- GNMA/GUARANTEED--0.2% Government National Mortgage Assn.: 4.125%, 12/9/25(1) 6,446 6,557 4.50%, 10/1/39(5) 4,650,000 4,719,750 7%, 3/29/28-7/29/28 333,526 367,814 7.50%, 3/1/27 14,994 16,794 8%, 11/29/25-5/29/26 99,966 113,380 Government National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Series 1999-32, Cl. ZB, 8%, 9/16/29 1,281,565 1,399,117 Series 2000-12, Cl. ZA, 8%, 2/16/30 3,008,480 3,254,790 Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Series 1998-19, Cl. SB, 47.654%, 7/16/28(6) 162,104 24,266 Series 1998-6, Cl. SA, 66.65%, 3/16/28(6) 98,621 19,323 Series 2001-21, Cl. SB, 79.638%, 1/16/27(6) 741,547 105,103
6 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE --------------- -------------- GNMA/GUARANTEED CONTINUED Series 2006-47, Cl. SA, 75.024%, 8/16/36(6) $ 3,676,623 $ 412,679 -------------- 10,439,573 -------------- NON-AGENCY--7.8% COMMERCIAL--2.8% Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates: Series 2007-1, Cl. AMFX, 5.482%, 1/1/49 4,159,386 2,843,377 Series 2008-1, Cl. A4, 6.354%, 12/1/17(1) 3,670,000 3,336,159 Series 2008-1, Cl. AM, 6.397%, 2/10/51(1) 3,415,000 2,330,223 ChaseFlex Trust 2006-2, Multiclass Mtg. Pass-Through Certificates, Series 2006-2, Cl. A1B, 0.366%, 9/25/36(1) 3,655 3,644 CHL Mortgage Pass-Through Trust 2005-17, Mtg. Pass-Through Certificates, Series 2005-17, Cl. 1A8, 5.50%, 9/1/35 3,740,000 2,836,028 CHL Mortgage Pass-Through Trust 2005-HYB8, Mtg. Pass-Through Certificates, Series 2005-HYB8, Cl. 4A1, 5.497%, 12/20/35(1) 201,414 136,614 Citigroup Commercial Mortgage Trust 2006-C4, Commercial Mtg. Pass-Through Certificates, Series 2006-C4, Cl. A3, 5.916%, 3/1/49(1) 3,050,000 2,869,367 Citigroup, Inc., Deutsche Bank 2007-CD4 Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2007-CD4, Cl. A2B, 5.205%, 12/11/49 9,170,000 9,135,679 Credit Suisse Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2007-C3, Cl. A4, 5.723%, 6/1/39(1) 1,560,000 1,235,941 CWALT Alternative Loan Trust 2007-8CB, Mtg. Pass-Through Certificates, Series 2007-8CB, Cl. A1, 5.50%, 5/25/37 4,358,456 3,202,843 Deutsche Alt-A Securities Mortgage Loan Trust, Mtg. Pass-Through Certificates: Series 2006-AB1, Cl. A2A, 5.50%, 2/25/36 328,398 312,681 Series 2006-AB2, Cl. A1, 5.888%, 6/25/36 890,666 835,576 Series 2006-AB4, Cl. A1A, 6.005%, 10/25/36 1,147,407 763,935 Series 2007-RS1, Cl. A2, 0.746%, 1/27/37(1, 3) 1,556,589 473,787 First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg. Pass-Through 925,084 642,892 Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 First Horizon Mortgage Pass-Through Trust 2007-AR3, Mtg. Pass-Through Certificates, Series 2007-AR3, Cl. 1A1, 6.115%, 11/1/37(1) 4,952,240 3,386,292 GE Capital Commercial Mortgage Corp., Commercial Mtg. Obligations, Series 2004-C3, Cl. A2, 4.433%, 7/10/39 1,087,146 1,100,166 GMAC Commercial Mortgage Securities, Inc., Commercial Mtg. Pass-Through Certificates, Series 1998-C1, Cl. F, 4.69%, 5/15/30(1, 3) 1,567,000 1,566,228 Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2007-GG11, Commercial Mtg. Pass-Through Certificates, Series 2007-GG11, Cl. A4, 5.736%, 8/1/17 7,325,000 6,613,949 GS Mortgage Securities Corp. II, Commercial Mtg. Obligations, Series 2006-GG8, Cl. A4, 5.56%, 11/1/39 1,960,000 1,727,394
7 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE --------------- -------------- COMMERCIAL CONTINUED Indymac Index Mortgage Loan Trust 2005-AR31, Mtg. Pass-Through Certificates, Series 2005-AR31, Cl. 2 A2, 5.233%, 1/1/36(1) $ 561,044 $ 132,580 JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: Series 2007-CB18, Cl. A4, 5.44%, 6/1/47 5,600,000 4,825,620 Series 2007-CB18, Cl. AM, 5.466%, 6/1/47 6,400,000 4,394,909 Series 2007-LD12, Cl. A2, 5.827%, 2/15/51 5,682,000 5,655,686 Series 2007-LDPX, Cl. A2S, 5.305%, 1/15/49 2,380,000 2,278,787 Series 2007-LDPX, Cl. A3, 5.42%, 1/15/49 4,410,000 3,728,722 Series 2008-C2, Cl. A4, 6.068%, 2/1/51 8,390,000 6,045,930 Series 2008-C2, Cl. AM, 6.798%, 2/1/51(1) 4,990,000 2,539,233 JPMorgan Commercial Mortgage Finance Corp., Mtg. Pass-Through Certificates, Series 2000-C9, Cl. A2, 7.77%, 10/15/32 13,041 13,033 JPMorgan Mortgage Trust 2006-A2, Mtg. Pass-Through Certificates, Series 2006-A2, Cl. 3A4, 5.676%, 4/1/36(1) 2,578,359 753,253 JPMorgan Mortgage Trust 2006-A7, Mtg. Pass-Through Certificates, Series 2006-A7, Cl. 2A2, 5.774%, 1/1/37(1) 839,675 592,003 LB-UBS Commercial Mortgage Trust 2008-C1, Commercial Mtg. Pass-Through Certificates, Series 2008-C1, Cl. AM, 6.318%, 4/11/41(1) 2,610,000 1,946,059 Mastr Alternative Loan Trust 2004-6, Mtg. Pass-Through Certificates, Series 2004-6, Cl. 10A1, 6%, 7/25/34 354,669 303,612 Morgan Stanley Capital I Trust, Commercial Mtg. Pass-Through Certificates: Series 2007-IQ16, Cl. A4, 5.809%, 12/1/49 3,420,000 2,936,192 Series 2006-HQ10, Cl. AM, 5.36%, 11/1/41 8,500,000 6,472,347 RALI Series 2005-QA4 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2005-QA4, Cl. A32, 5.372%, 4/25/35(1) 149,392 33,278 Residential Asset Securitization Trust 2006-A12, Mtg. Pass-Through Certificates, Series 2006-A12, Cl. 1A, 6.25%, 11/1/36 1,026,427 675,250 STARM Mortgage Loan Trust 2007-1, Mtg. Pass-Through Certificates, Series 2007-1, Cl. 2A1, 5.83%, 2/1/37(1) 13,080,608 8,649,572 Structured Asset Mortgage Investments, Inc., Mtg. Pass-Through Certificates, Series 2002-AR3, Cl. A2, 0.996%, 9/19/32(1, 3) 669,377 304,567 Wachovia Bank Commercial Mortgage Trust 2006-C29, Commercial Mtg. Pass-Through Certificates, Series 2006-C29, Cl. A2, 5.275%, 11/15/48 2,997,000 2,979,875 Wachovia Bank Commercial Mortgage Trust 2007-C33, Commercial Mtg. Pass-Through Certificates, Series 2007-C33, Cl. A4, 5.902%, 2/1/51(1) 5,790,000 4,783,728 Wachovia Bank Commercial Mortgage Trust 2007-C34, Commercial Mtg. Pass-Through Certificates, Series 2007-C34, Cl. AJ, 5.956%, 5/1/46(1) 2,610,000 1,398,501 WaMu Mortgage Pass-Through Certificates 2006-AR15 Trust, Mtg. Pass-Through Certificates, Series 2006-AR15, Cl. 1A, 1.741%, 11/1/46(1, 3) 1,462,555 688,895
8 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE --------------- -------------- COMMERCIAL CONTINUED WaMu Mortgage Pass-Through Certificates 2007-OA3 Trust, Mtg. Pass-Through Certificates, Series 2007-OA3, Cl. 5A, 2.151%, 4/1/47(1, 3) $ 1,049,320 $ 443,932 Wells Fargo Mortgage-Backed Securities 2004-V Trust, Mtg. Pass-Through Certificates, Series 2004-V, Cl. 1A1, 3.412%, 10/1/34(1) 3,051,760 2,878,247 Wells Fargo Mortgage-Backed Securities 2004-W Trust, Mtg. Pass-Through Certificates, Series 2004-W, Cl. B2, 4.256%, 11/1/34(1) 1,107,828 496,506 Wells Fargo Mortgage-Backed Securities 2005-AR1 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2005-AR1, Cl. 1A1, 4.526%, 2/1/35(1) 5,340,040 4,795,532 Wells Fargo Mortgage-Backed Securities 2006-AR8 Trust, Mtg. Pass-Through Certificates, Series 2006-AR8, Cl. 1A3, 3.818%, 4/25/36(1) 3,275,728 2,340,713 -------------- 118,439,337 -------------- MANUFACTURED HOUSING--0.1% Wells Fargo Mortgage-Backed Securities 2006-AR12 Trust, Mtg. Pass-Through Certificates, Series 2006-AR12, Cl. 2A1, 6.10%, 9/25/36(1) 5,555,299 4,392,538 Wells Fargo Mortgage-Backed Securities 2006-AR2 Trust, Mtg. Pass-Through Certificates, Series 2006-AR2, Cl. 2A5, 5.031%, 3/25/36(1) 1,672,098 1,369,456 -------------- 5,761,994 -------------- MULTIFAMILY--0.2% Merrill Lynch Mortgage Investors Trust 2005-A2, Mtg. Pass-Through Certificates, Series 2005-A2, Cl. A2, 4.479%, 2/1/35(1) 1,238,864 1,112,658 Wells Fargo Mortgage-Backed Securities 2006-AR10 Trust, Mtg. Pass-Through Certificates, Series 2006-AR10, Cl. 2A1, 5.60%, 7/25/36(1) 4,204,440 3,140,822 Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg. Pass-Through Certificates, Series 2006-AR6, Cl. 3A1, 5.094%, 3/25/36(1) 4,819,524 3,988,476 -------------- 8,241,956 -------------- RESIDENTIAL--4.7% Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2007-4, Cl. AM, 6.002%, 8/1/17(1) 6,560,000 4,728,630 Bear Stearns ARM Trust 2004-2, Mtg. Pass-Through Certificates, Series 2004-2, Cl. 12A2, 3.94%, 5/1/34(1, 3) 4,461,960 3,602,247 Bear Stearns ARM Trust 2004-9, Mtg. Pass-Through Certificates, Series 2004-9, Cl. 23A1, 4.983%, 11/1/34(1) 2,156,787 2,059,015 Chase Mortgage Finance Trust 2006-S3, Multiclass Mtg. Pass-Through Certificates, Series 2006-S3, Cl. 1A2, 6%, 11/1/36 4,210,000 3,170,659 Chase Mortgage Finance Trust 2007-A1, Multiclass Mtg. Pass-Through Certificates, Series 2007-A1, Cl. 9A1, 4.566%, 2/1/37(1) 3,079,363 2,870,755 CHL Mortgage Pass-Through Trust 2005-26, Mtg. Pass-Through Certificates, Series 2005-26, Cl 1A8, 5.50%, 11/1/35 3,232,787 2,965,787
9 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE --------------- -------------- RESIDENTIAL CONTINUED CHL Mortgage Pass-Through Trust 2005-27, Mtg. Pass-Through Certificates, Series 2005-27, Cl 2A1, 5.50%, 12/1/35 $ 2,968,259 $ 2,369,601 CHL Mortgage Pass-Through Trust 2005-31, Mtg. Pass-Through Certificates, Series 2005-31, Cl 2A4, 5.445%, 1/1/36(1) 1,345,547 353,091 CHL Mortgage Pass-Through Trust 2005-J4, Mtg. Pass-Through Certificates, Series 2005-J4, Cl A7, 5.50%, 11/1/35 2,110,000 1,522,762 CHL Mortgage Pass-Through Trust 2007-HY3, Mtg. Pass-Through Certificates, Series 2007-HY3, Cl. 1A1, 5.724%, 6/1/47(1, 3) 2,671,480 1,442,599 CHL Mortgage Pass-Through Trust 2007-HY4, Mtg. Pass-Through Certificates: Series 2007-HY4, Cl. 1A1, 6.073%, 9/1/47(1) 15,998,075 10,180,921 Series 2007-HY4, Cl. 1A2, 6.073%, 9/1/47(1, 3) 3,450,869 552,139 Series 2007-HY4, Cl. 2A2, 6.207%, 11/1/37(1, 3) 756,996 121,119 Series 2007-HY4, Cl. 3A2, 6.395%, 11/1/37(1, 3) 817,409 114,437 CHL Mortgage Pass-Through Trust 2007-HY5, Mtg. Pass-Through Certificates: Series 2007-HY5, Cl. 1A2, 5.922%, 9/1/37(1, 3) 3,791,264 758,253 Series 2007-HY5, Cl. 2A2, 5.955%, 9/1/37(1, 3) 1,004,463 190,848 Series 2007-HY5, Cl. 3A2, 6.157%, 9/1/37(1, 3) 2,561,879 537,995 Citigroup Commercial Mortgage Trust 2007-C6, Commercial Mtg. Pass-Through Certificates, Series 2007-C6, Cl. A2, 5.888%, 8/1/12(1) 1,110,000 1,118,883 Citigroup Mortgage Loan Trust, Inc. 2005-2, Mtg. Pass-Through Certificates, Series 2005-2, Cl. 1A3, 4.954%, 5/1/35(1, 3) 3,552,356 2,867,817 Citigroup Mortgage Loan Trust, Inc. 2005-3, Mtg. Pass-Through Certificates, Series 2005-3, Cl. 2A4, 5.189%, 8/1/35(1) 7,235,665 4,516,573 Citigroup Mortgage Loan Trust, Inc. 2006-AR1, Asset-Backed Pass-Through Certificates, Series 2006-AR1, Cl. 3A2, 5.50%, 3/1/36(1) 3,945,018 930,688 Citigroup Mortgage Loan Trust, Inc. 2006-AR2, Asset-Backed Pass-Through Certificates: Series 2006-AR2, Cl. 1A2, 5.528%, 3/1/36(1) 8,516,491 5,828,548 Series 2006-AR2, Cl. 1AB, 5.591%, 3/1/36 3,456,864 924,690 Citigroup, Inc./Deutsche Bank 2007-CD4 Commercial Mortgage Trust, Commercial Mtg Pass-Through Certificates, Series 2007-CD4, Cl. AMFX, 5.366%, 12/1/49 5,700,000 3,889,540 CitiMortgage Alternative Loan Trust 2006-A5, Real Estate Mtg. Investment Conduit Pass-Through Certificates, Series 2006-A5, Cl. 2A1, 5.50%, 10/1/21 2,612,126 2,243,933 CWALT Alternative Loan Trust 2006-43CB, Mtg.Pass-Through Certificates, Series 2006-43CB, Cl 1A10, 6%, 2/1/37 13,241,965 8,968,444 GSR Mortgage Loan Trust 2004-5, Mtg. Pass-Through Certificates, Series 2004-5, Cl. 2A1, 3.837%, 5/1/34(1) 3,368,920 2,671,500 GSR Mortgage Loan Trust 2005-AR6, Mtg. Pass-Through Certificates: Series 2005-AR6, Cl. 1A4, 3.716%, 9/1/35(1) 9,034,816 6,931,446 Series 2005-AR6, Cl. 3A1, 4.558%, 9/25/35(1) 4,043,853 3,599,813
10 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE --------------- -------------- RESIDENTIAL CONTINUED GSR Mortgage Loan Trust 2005-AR7, Mtg. Pass-Through Certificates, Series 2005-AR7, Cl. 4A1, 5.338%, 11/1/35(1) $ 4,373,979 $ 3,465,565 GSR Mortgage Loan Trust 2007-AR1, Mtg. Pass-Through Certificates, Series 2007-AR1, Cl. 4A1, 5.799%, 3/1/37(1, 3) 3,340,208 2,558,217 JPMorgan Mortgage Trust 2007-A1, Mtg. Pass-Through Certificates, Series 2007-A1, Cl. 7A1, 5.294%, 7/1/35(1, 3) 5,473,646 4,433,654 JPMorgan Mortgage Trust 2007-A3, Mtg. Pass-Through Certificates, Series 2007-A3, Cl. 3A3, 5.996%, 5/1/37(1, 3) 1,595,043 226,018 LB-UBS Commercial Mortgage Trust 2007-C7, Commercial Mtg. Pass-Through Certificates, Series 2007-C7, Cl. AM, 6.374%, 9/11/45(1) 10,430,000 7,568,405 Mastr Adjustable Rate Mortgages Trust 2006-2, Mtg. Pass-Through Certificates, Series 2006-2, Cl. 1A1, 4.337%, 4/1/36(1) 2,921,372 2,008,551 Merrill Lynch Mortgage Investors Trust 2006-3, Mtg. Pass-Through Certificates, Series 2006-3, Cl. 2A1, 6.08%, 10/25/36(1) 4,997,074 4,298,071 RALI Series 2006-QS13 Trust: Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A5, 6%, 9/25/36 3,027,350 2,374,096 Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 292,598 276,232 RALI Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-QS6, Cl. A28, 5.75%, 4/25/37 1,283,985 791,892 Residential Asset Securitization Trust 2005-A14, Mtg. Pass-Through Certificates, Series 2005-A14, Cl. A1, 5.50%, 12/1/35 3,720,000 2,759,547 Residential Asset Securitization Trust 2005-A6CB, Mtg. Pass-Through Certificates, Series 2005-A6CB, Cl. A7, 6%, 6/1/35 5,681,478 4,184,493 Residential Funding Mortgage Securities I, Inc., Mtg. Pass-Through Certificates, 5.756%, 7/1/37(1, 3) 2,875,606 206,468 WaMu Mortgage Pass-Through Certificates 2003-AR9 Trust, Mtg. Pass-Through Certificates, Series 2003-AR9, Cl. 2A, 2.881%, 9/25/33(1) 1,402,243 1,304,847 WaMu Mortgage Pass-Through Certificates 2005-AR12 Trust, Mtg. Pass-Through Certificates, Series 2007-AR12, Cl. 1A8, 4.822%, 10/1/35(1) 3,403,781 2,762,731 WaMu Mortgage Pass-Through Certificates 2006-AR10 Trust, Mtg. Pass-Through Certificates, Series 2006-AR10, Cl. 1A2, 5.922%, 9/1/36(1) 3,612,478 2,989,932 WaMu Mortgage Pass-Through Certificates 2007-HY1 Trust, Mtg. Pass-Through Certificates: Series 2007-HY1, Cl. 4A1, 5.392%, 2/1/37(1) 17,713,393 11,412,643 Series 2007-HY1, Cl. 5A1, 5.737%, 2/1/37(1) 10,591,619 7,685,015 WaMu Mortgage Pass-Through Certificates 2007-HY2 Trust, Mtg. Pass-Through Certificates, Series 2007-HY2, Cl. 1A1, 5.564%, 12/1/36(1) 12,893,684 8,304,941 WaMu Mortgage Pass-Through Certificates 2007-HY3 Trust, Mtg. Pass-Through Certificates, Series 2007-HY3, Cl. 4A1, 5.32%, 3/1/37(1) 11,114,138 8,742,254
11 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE --------------- -------------- RESIDENTIAL CONTINUED WaMu Mortgage Pass-Through Certificates 2007-HY4 Trust, Mtg. Pass-Through Certificates, Series 2007-HY4, Cl. 4A1, 5.499%, 9/25/36(1) $ 10,263,715 $ 7,711,775 WaMu Mortgage Pass-Through Certificates 2007-HY6 Trust, Mtg. Pass-Through Certificates, Series 2007-HY6, Cl. 2A1, 5.667%, 6/25/37(1) 5,315,188 3,490,198 WaMu Mortgage Pass-Through Certificates 2007-HY7 Trust, Mtg. Pass-Through Certificates, Series 2007-HY7, Cl. 2A1, 5.79%, 7/1/37(1) 2,891,300 1,815,945 Wells Fargo Mortgage-Backed Securities 2005-AR16 Trust, Mtg. Pass-Through Certificates, Series 2005-AR16, Cl. 2A1, 4.418%, 10/1/35(1) 2,044,460 1,773,751 Wells Fargo Mortgage-Backed Securities 2006-AR10 Trust, Mtg. Pass-Through Certificates: Series 2006-AR10, Cl. 2A2, 5.60%, 7/1/36(1, 3) 2,177,079 391,874 Series 2006-AR10, Cl. 3A2, 4.393%, 7/1/36(1, 3) 824,194 156,597 Series 2006-AR10, Cl. 4A2, 5.557%, 7/1/36(1, 3) 3,068,330 582,983 Series 2006-AR10, Cl. 5A3, 5.592%, 7/1/36(1) 1,475,806 1,091,423 Series 2006-AR10, Cl. 5A6, 5.592%, 7/1/36(1) 15,854,139 11,871,269 Wells Fargo Mortgage-Backed Securities 2006-AR13 Trust, Mtg. Pass-Through Certificates, Series 2006-AR13, Cl. A4, 5.747%, 9/1/36(1) 11,440,000 7,417,669 Wells Fargo Mortgage-Backed Securities 2006-AR8 Trust, Mtg. Pass-Through Certificates, Series 2006-AR8, Cl. 2A1, 5.24%, 4/1/36(1) 2,361,064 1,818,626 -------------- 198,508,415 -------------- Total Mortgage-Backed Obligations (Cost $724,428,866) 655,722,180 -------------- U.S. GOVERNMENT OBLIGATIONS--2.5% Federal Home Loan Bank Unsec. Bonds, 3.625%, 10/18/13 9,795,000 10,330,747 Federal Home Loan Mortgage Corp. Nts., 2.50%, 4/23/14 18,400,000 18,459,009 Federal National Mortgage Assn. Nts.: 3%, 9/16/14 15,625,000 15,908,453 4.375%, 10/15/15(8) 8,685,000 9,354,318 Resolution Funding Corp. Bonds, Residual Funding STRIPS, 4.994%, 1/15/21(9) 1,235,000 766,508 U.S. Treasury Bills, 0.10%, 10/15/09(10) 50,000,000 49,996,500 U.S. Treasury Bonds: STRIPS, 4.201%, 2/15/11(9) 900,000 892,900 STRIPS, 4.833%, 2/15/16(9) 2,116,000 1,750,067 -------------- Total U.S. Government Obligations (Cost $106,495,652) 107,458,502 -------------- FOREIGN GOVERNMENT OBLIGATIONS--39.4% ARGENTINA--0.3% Argentina (Republic of) Bonds: 0.943%, 8/3/12(1) 428,625 348,841 Series GDP, 1.626%, 12/15/35(1) 8,600,000 614,900 Series V, 7%, 3/28/11 2,320,000 2,107,398
12 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE --------------- -------------- Series VII, 7%, 9/12/13 $ 3,035,000 $ 2,345,296 Argentina (Republic of) Sr. Unsec. Nts., 7%, 10/3/15 12,420,000 8,544,705 -------------- 13,961,140 -------------- AUSTRALIA--0.1% New South Wales Treasury Corp. Bonds: Series 12, 6%, 5/1/12 1,140,000 AUD 1,025,510 Series 14, 5.50%, 8/1/14 1,660,000 AUD 1,456,661 -------------- 2,482,171 -------------- BELGIUM--0.1% Belgium (Kingdom of) Bonds, Series 44, 5%, 3/28/35 2,290,000 EUR 3,696,341 BRAZIL--3.6% Banco Nacional de Desenvolvimento Economico e Social Nts., 6.369%, 6/16/18(11) 3,550,000 3,749,688 Brazil (Federal Republic of) Bonds: 6%, 1/17/17 19,770,000 21,489,990 8%, 1/15/18 10,903,611 12,680,900 8.875%, 10/14/19 4,610,000 6,004,525 Brazil (Federal Republic of) Nota Do Tesouro Nacional Nts.: 10%, 1/10/10 3,322,000 BRR 1,920,684 10%, 1/1/12 64,581,000 BRR 36,219,707 10%, 1/1/14 8,370,000 BRR 4,483,657 10%, 1/1/17 116,096,000 BRR 58,884,044 10.878%, 5/15/45 4,545,000 BRR 4,680,820 Brazil (Federal Republic of) Nts., 7.875%, 3/7/15 130,000 153,920 Brazil (Federal Republic of) Sr. Nts., 5.875%, 1/15/19 2,680,000 2,894,400 -------------- 153,162,335 -------------- CANADA--0.2% Ontario (Province of) Bonds, 4.20%, 3/8/18 4,775,000 CAD 4,630,767 Quebec (Province of) Nts., 4.50%, 12/1/18 4,730,000 CAD 4,629,493 -------------- 9,260,260 -------------- COLOMBIA--0.9% Bogota Distrio Capital Sr. Bonds, 9.75%, 7/26/28(11) 3,058,000,000 COP 1,466,415 Colombia (Republic of) Bonds: 7.375%, 9/18/37 3,805,000 4,318,675 12%, 10/22/15 37,816,000,000 COP 23,323,045 Colombia (Republic of) Sr. Nts., 7.375%, 3/18/19 7,280,000 8,361,080 Colombia (Republic of) Unsec. Nts., 7.375%, 1/27/17 1,640,000 1,887,640 Colombia (Republic of) Unsec. Unsub. Bonds, 9.85%, 6/28/27 1,002,000,000 COP 555,982 -------------- 39,912,837 -------------- DENMARK--0.1% Denmark (Kingdom of) Bonds, 4%, 11/15/17 15,720,000 DKK 3,226,993 EGYPT--0.8% Egypt (The Arab Republic of) Treasury Bills: Series 182, 9.576%, 10/20/09(9) 10,600,000 EGP 1,916,708 Series 182, 9.595%, 12/8/09(9) 15,800,000 EGP 2,822,864 Series 182, 9.679%, 11/10/09(9) 3,525,000 EGP 633,981
13 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE --------------- -------------- Series 182, 9.704%, 11/3/09(9) 15,800,000 EGP $ 2,846,757 Series 273, 9.595%, 12/8/09(9) 15,850,000 EGP 2,831,798 Series 364, 9.59%, 10/20/09(9) 22,125,000 EGP 4,000,676 Series 364, 9.656%, 11/10/09(9) 69,875,000 EGP 12,571,976 Series 364, 9.827%, 11/3/09(9) 22,350,000 EGP 4,030,068 Egypt (The Arab Republic of) Unsec. Unsub. Bonds, 8.75%, 7/15/12(11) 22,870,000 EGP 4,198,237 -------------- 35,853,065 -------------- FRANCE--0.7% France (Government of) Bonds, 3.75% 10/25/19 4,950,000 EUR 7,376,859 France (Government of) Obligations Assimilables du Tresor Bonds, 4%, 10/25/38 4,940,000 EUR 7,136,195 France (Government of) Treasury Nts., 1.50%, 9/12/11 11,335,000 EUR 16,656,840 -------------- 31,169,894 -------------- GERMANY--14.9% Germany (Federal Republic of) Bonds: 3.50%, 7/4/19 16,905,000 EUR 25,315,668 Series 03, 3.75%, 7/4/13 26,626,000 EUR 41,243,688 Series 08, 4.75%, 7/4/40 5,175,000 EUR 8,638,969 Germany (Federal Republic of) Treasury Bills: Series 011, 0.475%, 1/27/10(9) 31,350,000 EUR 45,679,449 Series 012, 0.384%, 11/25/09(9) 100,000,000 EUR 146,192,344 Series 23, 0.495%, 12/9/09(9) 25,900,000 EUR 37,784,225 Series 26, 0.497%, 1/13/10(9) 221,700,000 EUR 324,101,289 -------------- 628,955,632 -------------- GHANA--0.1% Ghana (Republic of) Bonds, 8.50%, 10/4/17(11) 2,200,000 2,211,000 GREECE--0.4% Greece (Republic of) Bonds, 4.60%, 5/20/13 11,735,000 EUR 18,208,706 HUNGARY--1.3% Hungary (Republic of) Bonds: Series 10/C, 6.75%, 4/12/10 345,000,000 HUF 1,868,802 Series 11/B, 6%, 10/12/11 94,000,000 HUF 498,045 Series 11/C, 6.75%, 4/22/11 1,731,900,000 HUF 9,309,247 Series 11/A, 7.50%, 2/12/11 47,000,000 HUF 256,421 Series 12/C, 6%, 10/24/12 1,845,000,000 HUF 9,629,729 Series 12/B, 7.25%, 6/12/12 1,000,000,000 HUF 5,410,685 Series 13/D, 6.75%, 2/12/13 560,000,000 HUF 2,980,976 Series 14/C, 5.50%, 2/12/14 503,700,000 HUF 2,528,733 Series 15/A, 8%, 2/12/15 2,431,000,000 HUF 13,419,437 Series 17/B, 6.75%, 2/24/17 235,700,000 HUF 1,207,017 Series 19/A, 6.50%, 6/24/19 1,410,000,000 HUF 6,966,351 -------------- 54,075,443 -------------- INDONESIA--0.8% Indonesia (Republic of) Nts.: 6.75%, 3/10/14(11) 1,418,000 1,542,075 6.875%, 1/17/18(11) 7,285,000 7,904,225 7.25%, 4/20/15(11) 4,293,000 4,775,963
14 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE --------------- -------------- Indonesia (Republic of) Sr. Unsec. Nts.: 7.75%, 1/17/38(11) $ 4,815,000 $ 5,368,725 10.375%, 5/4/14(11) 2,720,000 3,325,200 11.625%, 3/4/19(11) 2,305,000 3,255,813 Indonesia (Republic of) Unsec. Nts., 8.50%, 10/12/35(11) 6,700,000 8,140,500 -------------- 34,312,501 -------------- ISRAEL--0.4% Israel (State of) Bonds: 5.50%, 2/28/17 24,370,000 ILS 7,065,456 Series 2682, 7.50%, 3/31/14 25,080,000 ILS 7,967,137 -------------- 15,032,593 -------------- ITALY--0.7% Italy (Republic of) Treasury Bonds: Buoni del Tesoro Poliennali, 3.75%, 12/15/13 13,177,000 EUR 20,023,579 Buoni del Tesoro Poliennali, 5.25%, 8/1/11 7,090,000 EUR 11,087,712 -------------- 31,111,291 -------------- JAPAN--3.1% Japan (Government of) Bonds: 2 yr., 0.20%, 10/15/11(5) 770,000,000 JPY 8,571,091 5 yr., Series 72, 1.50%, 6/20/13(5) 2,926,000,000 JPY 33,884,589 10 yr., Series 279, 2%, 3/20/16(5) 767,000,000 JPY 9,203,915 10 yr., Series 282, 1.70%, 9/20/16(5) 2,147,000,000 JPY 25,315,896 10 yr., Series 301, 1.50%, 6/20/19(5) 1,914,000,000 JPY 21,797,489 20 yr., Series 112, 2.10%, 6/20/29(5) 2,689,000,000 JPY 30,310,495 -------------- 129,083,475 -------------- MEXICO--2.8% United Mexican States Bonds: 5.625%, 1/15/17 5,820,000 6,070,260 Series A, 6.375%, 1/16/13 2,230,000 2,456,345 Series M 10, 7.75%, 12/14/17(1) 224,000,000 MXN 16,534,874 Series MI10, 8%, 12/19/13 453,000,000 MXN 34,529,629 Series M10, 8%, 12/17/15 94,000,000 MXN 7,091,613 Series MI10, 9.50%, 12/18/14(1) 84,600,000 MXN 6,824,663 Series M20, 10%, 12/5/24(1) 485,040,000 MXN 41,546,621 United Mexican States Sr. Unsec. Bonds, 6.05%, 1/11/40 790,000 791,975 United Mexican States Sr. Unsec. Nts., 5.875%, 2/17/14 2,045,000 2,198,375 -------------- 118,044,355 -------------- NORWAY--0.0% Norway (Kingdom of) Bonds, 6.50%, 5/15/13 8,045,000 NOK 1,535,199 PANAMA--0.4% Panama (Republic of) Bonds: 6.70%, 1/26/36 7,190,000 7,980,900 7.25%, 3/15/15 4,450,000 5,106,375 8.875%, 9/30/27 1,375,000 1,821,875 9.375%, 4/1/29 655,000 897,350
15 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE --------------- -------------- Panama (Republic of) Unsec. Bonds, 7.125%, 1/29/26 $ 2,760,000 $ 3,194,700 -------------- 19,001,200 -------------- PERU--0.9% Peru (Republic of) Bonds: 7.35%, 7/21/25 3,100,000 3,634,750 7.84%, 8/12/20 28,080,000 PEN 11,481,833 9.91%, 5/5/15 10,351,000 PEN 4,605,720 Series 7, 8.60%, 8/12/17 27,250,000 PEN 11,692,082 Series 8-1, 12.25%, 8/10/11 5,415,000 PEN 2,235,180 Peru (Republic of) Sr. Nts., 4.533%, 2/28/16(9) 363,871 282,837 Peru (Republic of) Sr. Unsec. Nts., 7.125%, 3/30/19 1,730,000 2,004,205 -------------- 35,936,607 -------------- PHILIPPINES--0.4% Philippines (Republic of the) Unsec. Bonds: 7.75%, 1/14/31 4,060,000 4,633,475 9%, 2/15/13 7,625,000 8,940,313 Power Sector Assets & Liabilities Management Corp. Gtd. Sr. Unsec. Nts., 7.25%, 5/27/19(11) 2,280,000 2,439,600 -------------- 16,013,388 -------------- POLAND--0.3% Poland (Republic of) Bonds: Series WS0922, 5.75%, 9/23/22 1,000,000 PLZ 333,242 Series 0414, 5.75%, 4/25/14(3) 9,285,000 PLZ 3,243,163 Series 0511, 4.25%, 5/24/11 23,380,000 PLZ 8,083,325 -------------- 11,659,730 -------------- PORTUGAL--0.1% Portugal (Republic of) Obrigacoes Do Tesouro Bonds, 5%, 6/15/12 2,600,000 EUR 4,114,092 SPAIN--0.1% Spain (Government of) Bonos Y Oblig Del Estado, 4.25% 1/31/14 2,630,000 EUR 4,118,604 SWEDEN--0.1% Sweden (Kingdom of) Bonds, Series 1050, 3%, 7/12/16 23,345,000 SEK 3,329,283 THE NETHERLANDS--0.1% Netherlands (Kingdom of the) Bonds, 5%, 7/15/11 3,560,000 EUR 5,556,936 TURKEY--3.9% Turkey (Republic of) Bonds: 6.75%, 4/3/18 10,035,000 10,625,058 7%, 9/26/16 6,560,000 7,093,328 7%, 3/11/19 1,685,000 1,807,163 10.673%, 5/11/11(9) 21,580,000 TRY 12,734,977 12.032%, 2/2/11(9) 4,115,000 TRY 2,495,093 14%, 1/19/11(1) 15,250,000 TRY 10,996,134 16%, 3/7/12(1) 124,125,000 TRY 95,686,658 Series CPI, 10%, 2/15/12(1) 6,810,000 TRY 6,245,786 Series CPI, 12%, 8/14/13(1) 6,930,000 TRY 6,227,719
16 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE --------------- -------------- Turkey (Republic of) Nts.: 7.25%, 3/15/15 $ 4,115,000 $ 4,505,925 7.50%, 7/14/17 800,000 886,000 Turkey (Republic of) Sr. Unsec. Nts., 7.50%, 11/7/19 3,410,000 3,776,575 -------------- 163,080,416 -------------- UNITED KINGDOM--0.7% United Kingdom Treasury Bonds: 2.25%, 3/7/14 5,620,000 GBP 8,864,326 4.25%, 3/7/11 5,375,000 GBP 9,001,854 4.75%, 12/7/38 6,950,000 GBP 12,361,363 -------------- 30,227,543 -------------- URUGUAY--0.5% Uruguay (Oriental Republic of) Bonds: 4.945%, 4/5/27 48,300,000 UYU 2,145,150 7.625%, 3/21/36 3,445,000 3,651,700 Uruguay (Oriental Republic of) Sr. Nts., 6.875%, 9/28/25 3,850,000 3,967,425 Uruguay (Oriental Republic of) Unsec. Bonds: 5%, 9/14/18 54,110,000 UYU 3,266,492 8%, 11/18/22 6,875,000 7,734,375 -------------- 20,765,142 -------------- VENEZUELA--0.6% Venezuela (Republic of) Bonds, 9%, 5/7/23 3,495,000 2,638,725 Venezuela (Republic of) Nts.: 8.50%, 10/8/14 5,920,000 5,298,400 10.75%, 9/19/13 2,385,000 2,373,075 Venezuela (Republic of) Unsec. Bonds, 7.65%, 4/21/25 8,795,000 5,848,675 Venezuela (Republic of) Unsec. Nts.: 6%, 12/9/20 5,410,000 3,327,150 13.625%, 8/15/18(3) 5,080,000 5,232,400 -------------- 24,718,425 -------------- Total Foreign Government Obligations (Cost $1,566,658,152) 1,663,816,597 -------------- LOAN PARTICIPATIONS--1.9% Bayerische Hypo-und Vereinsbank AG for the City of Kiev, Ukraine Nts., 8.625%, 7/15/11(11) 8,210,000 6,855,350 Credit Suisse First Boston International, Export-Import Bank of Ukraine, 8.40% Sec. Nts., 2/9/16 2,940,000 2,234,400 Credit Suisse First Boston International, Export-Import Bank of Ukraine, 7.65% Sr. Sec Bonds, 9/7/11 1,400,000 1,253,000 Dali Capital plc/Bank of Moscow, 7.25% Sec. Nts., Series 28, Tranche 1, 11/25/09 37,000,000 RUR 1,235,950 Gaz Capital SA: 7.288% Sr. Sec. Nts., 8/16/37(11) 13,050,000 12,267,000 7.51% Sr. Sec. Nts., 7/31/13(11) 5,970,000 6,343,125 8.625% Sr. Sec. Nts., 4/28/34(11) 3,590,000 3,940,025 Nuveen Investments, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 12.50%, 7/20/15(1) 6,840,000 6,874,200
17 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE --------------- -------------- LOAN PARTICIPATIONS CONTINUED $ 2,010,000 $ 2,077,134 RSHB Capital SA/OJSC Russian Agricultural Bank, 7.75% Nts., 5/29/18(11) Steel Capital SA for OAO Severstal, 9.75% Sec. Nts., 7/29/13(11) 5,310,000 5,343,188 TransCapitalInvest Ltd. for OJSC AK Transneft, 5.67% Sec. Bonds, 3/5/14(11) 2,490,000 2,425,098 VIP Finance Ireland Ltd., 9.125% Bonds, 4/30/18(11) 6,680,000 7,022,350 VTB Capital SA: 6.315% Sub. Unsec. Nts., 2/4/15 16,280,000 15,974,750 6.875% Sr. Sec. Nts., 5/29/18(11) 4,680,000 4,633,200 -------------- Total Loan Participations (Cost $78,821,353) 78,478,770 CORPORATE BONDS AND NOTES--25.8% CONSUMER DISCRETIONARY--3.5% AUTO COMPONENTS--0.1% Allison Transmission, Inc., 11% Sr. Nts., 11/1/15(11) 4,885,000 4,811,725 Goodyear Tire & Rubber Co. (The), 9% Sr. Unsec. Nts., 7/1/15 910,000 948,675 -------------- 5,760,400 -------------- AUTOMOBILES--0.5% Case New Holland, Inc., 7.125% Sr. Unsec. Nts., 3/1/14 5,550,000 5,466,750 Daimler Finance North America LLC: 5.75% Unsec. Unsub. Nts., Series E, 9/8/11 824,000 866,027 5.875% Sr. Unsec. Unsub. Nts., 3/15/11 1,542,000 1,600,715 Ford Motor Co., 7.45% Bonds, 7/16/31 5,225,000 4,258,375 Ford Motor Credit Co. LLC: 7.50% Sr. Unsec. Unsub. Nts., 8/1/12 2,355,000 2,262,974 8% Unsec. Nts., 6/1/14 5,010,000 4,820,988 -------------- 19,275,829 -------------- DIVERSIFIED CONSUMER SERVICES--0.1% Service Corp. International: 6.75% Sr. Unsec. Nts., 4/1/15 1,720,000 1,694,200 7% Sr. Unsec. Unsub. Nts., 6/15/17(3) 840,000 823,200 -------------- 2,517,400 -------------- HOTELS, RESTAURANTS & LEISURE--0.9% CCM Merger, Inc., 8% Unsec. Nts., 8/1/13(3) 1,725,000 1,423,125 Greektown Holdings, Inc., 10.75% Sr. Nts., 12/1/13(2,11) 4,560,000 1,128,600 Harrah's Operating Co., Inc., 10% Sr. Sec. Nts., 12/15/18(11) 5,887,000 4,709,600 Harrah's Operating Escrow LLC/Harrah's Escrow Group, 11.25% Sr. Sec. Nts., 6/1/17(11) 1,610,000 1,662,325 Isle of Capri Casinos, Inc., 7% Sr. Unsec. Sub. Nts., 3/1/14 2,890,000 2,586,550 Las Vegas Sands Corp., 6.375% Sr. Unsec. Nts., 2/15/15 775,000 697,500 Mashantucket Pequot Tribe, 8.50% Bonds, Series A, 11/15/15(11) 7,370,000 2,708,475 McDonald's Corp., 5.80% Sr. Unsec. Nts., 10/15/17 775,000 870,255 MGM Mirage, Inc.: 6.75% Sr. Unsec. Nts., 4/1/13 1,135,000 954,819 8.50% Sr. Unsec. Nts., 9/15/10 845,000 842,888 Mohegan Tribal Gaming Authority, 6.125% Sr. Unsec. Sub. Nts., 2/15/13 1,630,000 1,356,975 Park Place Entertainment Corp., 7.875% Sr. Sub. Nts., 3/15/10 2,900,000 2,914,500
18 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE --------------- -------------- HOTELS, RESTAURANTS & LEISURE CONTINUED Peninsula Gaming LLC: 8.375% Sr. Sec. Nts., 8/15/15(11) $ 460,000 $ 462,300 10.75% Sr. Unsec. Nts., 8/15/17(11) 1,150,000 1,161,500 Penn National Gaming, Inc., 8.75% Sr. Unsec. Sub. Nts., 8/15/19(11) 2,825,000 2,846,188 Pinnacle Entertainment, Inc.: 8.25% Sr. Unsec. Sub. Nts., 3/15/12 1,198,000 1,203,990 8.625% Sr. Nts., 8/1/17(11) 455,000 459,550 Pokagon Gaming Authority, 10.375% Sr. Nts., 6/15/14(11) 1,795,000 1,875,775 Premier Cruise Ltd., 11% Sr. Nts., 3/15/08(2, 3, 4) 250,000 -- Station Casinos, Inc., 6.50% Sr. Unsec. Sub. Nts., 2/1/14(2) 10,465,000 418,600 Travelport LLC, 11.875% Sr. Unsec. Sub. Nts., 9/1/16 2,305,000 2,120,600 Wendy's/Arby's Group, Inc., 10% Sr. Unsec. Nts., 7/15/16(11) 3,510,000 3,746,925 Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp., 6.625% Nts., 12/1/14 3,410,000 3,307,700 -------------- 39,458,740 -------------- HOUSEHOLD DURABLES--0.2% Jarden Corp., 7.50% Sr. Unsec. Sub. Nts., 5/1/17 4,085,000 3,993,088 K. Hovnanian Enterprises, Inc.: 7.75% Sr. Unsec. Sub. Nts., 5/15/13 1,005,000 778,875 8.875% Sr. Sub. Nts., 4/1/12 2,830,000 2,391,350 Lennar Corp., 12.25% Sr. Unsec. Nts., 6/1/17 915,000 1,120,875 -------------- 8,284,188 -------------- MEDIA--1.5% Allbritton Communications Co., 7.75% Sr. Unsec. Sub. Nts., 12/15/12 2,580,000 2,438,100 AMC Entertainment, Inc., 8% Sr. Unsec. Sub. Nts., 3/1/14 2,995,000 2,905,150 American Media Operations, Inc.: 9% Sr. Unsec. Nts., 5/1/13(11) 296 186 12.02% Sr. Sub. Nts., 11/1/13(11) 4,495,189 2,831,969 Belo Corp.: 6.75% Sr. Unsec. Unsub. Nts., 5/30/13 225,000 212,344 7.75% Sr. Unsec. Unsub. Debs., 6/1/27 2,260,000 1,788,225 CCH I LLC/CCH I Capital Corp., 11% Sr. Sec. Nts., 10/1/15(2) 3,955,000 751,450 Charter Communications Holdings II LLC/Charter Communications Holdings II Capital Corp., 10.25% Sr. Unsec. Nts., 9/15/10(2, 4) 1,840,000 2,079,200 Charter Communications Operating LLC/Charter Communications Operating Capital Corp.: 8.375% Sr. Nts., Second Lien, 4/30/14(11) 1,675,000 1,716,875 12.875% Sr. Sec. Nts., 9/15/14(1,11) 1,670,000 1,816,125 Cinemark USA, Inc., 8.625% Sr. Nts., 6/15/19(11) 970,000 1,007,588 Comcast Corp., 5.70% Unsec. Unsub. Nts., 5/15/18 3,093,000 3,258,293 Fisher Communications, Inc., 8.625% Sr. Unsec. Nts., 9/15/14 670,000 623,100 Lin Television Corp., 6.50% Sr. Sub. Nts., 5/15/13 7,140,000 6,497,400 Marquee Holdings, Inc., 9.505% Sr. Nts., 8/15/14 1,270,000 1,057,275 Mediacom LLC/Mediacom Capital Corp., 9.125% Sr. Nts., 8/15/19(11) 2,860,000 2,952,950
19 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE --------------- -------------- MEDIA CONTINUED MediaNews Group, Inc.: 6.375% Sr. Sub. Nts., 4/1/14(2, 3) $ 1,330,000 $ 3,458 6.875% Sr. Unsec. Sub. Nts., 10/1/13(2, 3) 2,870,000 7,462 News America, Inc., 6.15% Sr. Unsec. Unsub. Nts., 3/1/37 1,451,000 1,424,361 NTL Cable plc, 9.125% Sr. Nts., 8/15/16 2,745,000 2,834,213 Sinclair Broadcast Group, Inc., 8% Sr. Unsec. Sub. Nts., 3/15/12 6,255,000 5,551,313 Time Warner Cable, Inc.: 6.20% Sr. Unsec. Nts., 7/1/13 2,306,000 2,514,677 8.75% Sr. Unsub. Nts., 2/14/19 993,000 1,225,687 Time Warner, Inc., 6.50% Sr. Unsec. Debs., 11/15/36 2,193,000 2,251,788 TL Acquisitions, Inc., 10.50% Sr. Nts., 1/15/15(11) 3,010,000 2,859,500 Valassis Communications, Inc., 8.25% Sr. Unsec. Unsub. Nts., 3/1/15 3,620,000 3,262,525 Virgin Media Finance plc: 8.75% Sr. Unsec. Nts., 4/15/14 1,015,000 1,040,375 9.50% Sr. Bonds, 8/15/16 1,820,000 1,924,650 Warner Music Group Corp., 7.375% Sr. Sub. Bonds, 4/15/14 4,015,000 3,864,438 WMG Acquisition Corp., 9.50% Sr. Sec. Nts., 6/15/16(11) 1,155,000 1,224,300 -------------- 61,924,977 -------------- SPECIALTY RETAIL--0.1% Home Depot, Inc. (The), 5.875% Sr. Unsec. Unsub. Nts., 12/16/36 2,664,000 2,593,242 Leslie's Poolmart, Inc., 7.75% Sr. Unsec. Nts., 2/1/13(3) 2,210,000 2,221,050 -------------- 4,814,292 -------------- TEXTILES, APPAREL & LUXURY GOODS--0.1% Levi Strauss & Co., 9.75% Sr. Unsec. Unsub. Nts., 1/15/15 4,365,000 4,561,425 CONSUMER STAPLES--1.6% BEVERAGES--0.2% AmBev International Finance Co. Ltd., 9.50% Sr. Unsec. Unsub. Nts., 7/24/17(1, 11) 4,470,000 BRR 2,447,449 Cott Beverages USA, Inc., 8% Unsec. Sub. Nts., 12/15/11 4,550,000 4,544,313 Diageo Capital plc, 7.375% Sr. Unsec. Unsub. Nts., 1/15/14 1,260,000 1,462,120 PepsiCo, Inc., 7.90% Sr. Unsec. Nts., 11/1/18 1,342,000 1,697,450 -------------- 10,151,332 -------------- FOOD & STAPLES RETAILING--0.4% Albertson's, Inc., 8% Sr. Unsec. Debs., 5/1/31 4,505,000 4,065,763 CVS Caremark Corp., 6.60% Nts., 3/15/19 1,339,000 1,512,114 Kroger Co. (The), 7.50% Sr. Unsec., Nts., 1/15/14 1,245,000 1,436,618 Real Time Data Co., 11% Nts., 5/31/09(2, 3, 4, 12) 142,981 -- Rite Aid Corp.: 7.50% Sr. Sec. Nts., 3/1/17 4,580,000 4,053,300 9.50% Sr. Unsec. Unsub. Nts., 6/15/17 1,715,000 1,397,725 Wal-Mart Stores, Inc.: 5.80% Sr. Unsec. Unsub. Nts., 2/15/18 2,477,000 2,787,056 6.20% Sr. Unsec. Nts., 4/15/38 2,143,000 2,447,542 -------------- 17,700,118 -------------- FOOD PRODUCTS--0.8% Chiquita Brands International, Inc.: 7.50% Sr. Unsec. Nts., 11/1/14 2,445,000 2,445,000
20 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE --------------- -------------- FOOD PRODUCTS CONTINUED 8.875% Sr. Unsec. Unsub. Nts., 12/1/15 $ 2,255,000 $ 2,333,925 Dean Foods Co., 7% Sr. Unsec. Unsub. Nts., 6/1/16 5,580,000 5,342,850 Del Monte Corp., 7.50% Sr. Sub. Nts., 10/15/19(5, 11) 230,000 233,450 Dole Food Co., Inc.: 8% Sr. Sec. Nts., 10/1/16(11) 915,000 923,006 8.875% Sr. Unsec. Nts., 3/15/11 3,126,000 3,145,538 JBS USA LLC/JBS USA Finance, Inc., 11.625% Sr. Nts., 5/1/14(11) 2,730,000 2,948,400 Kraft Foods, Inc., 6.125% Sr. Unsec. Unsub. Nts., 2/1/18 2,754,000 2,923,126 MHP SA, 10.25% Sr. Sec. Sub. Bonds, 11/30/11(11) 1,360,000 1,213,800 Pinnacle Foods Finance LLC/Pinnacle Foods Finance Corp., 10.625% Sr. Sub. Nts., 4/1/17 5,455,000 5,598,194 Smithfield Foods, Inc., 7% Sr. Nts., 8/1/11 4,515,000 4,356,975 -------------- 31,464,264 -------------- PERSONAL PRODUCTS--0.1% Elizabeth Arden, Inc., 7.75% Sr. Unsec. Sub. Nts., 1/15/14 2,700,000 2,578,500 TOBACCO--0.1% Altria Group, Inc., 9.70% Sr. Unsec. Nts., 11/10/18 2,248,000 2,796,595 Philip Morris International, Inc., 5.65% Sr. Unsec. Unsub. Nts., 5/16/18 1,649,000 1,758,226 -------------- 4,554,821 -------------- ENERGY--3.8% ENERGY EQUIPMENT & SERVICES--0.2% Helix Energy Solutions Group, Inc., 9.50% Sr. Unsec. Nts., 1/15/16(11) 3,490,000 3,507,450 Key Energy Services, Inc., 8.375% Sr. Unsec. Nts., 12/1/14 2,830,000 2,702,650 Pride International, Inc., 8.50% Sr. Nts., 6/15/19 1,365,000 1,508,325 -------------- 7,718,425 -------------- OIL, GAS & CONSUMABLE FUELS--3.6% Anadarko Petroleum Corp., 7.625% Sr. Unsec. Nts., 3/15/14 1,722,000 1,967,413 Arch Coal, Inc., 8.75% Sr. Nts., 8/1/16(11) 2,795,000 2,892,825 Atlas Energy Resources LLC, 10.75% Sr. Nts., 2/1/18(11) 4,650,000 4,847,625 Atlas Pipeline Partners LP, 8.125% Sr. Unsec. Nts., 12/15/15 2,285,000 1,850,850 Berry Petroleum Co.: 8.25% Sr. Sub. Nts., 11/1/16 1,940,000 1,872,100 10.25% Sr. Unsec. Nts., 6/1/14 2,485,000 2,665,163 Bill Barrett Corp., 9.875% Sr. Nts., 7/15/16 2,365,000 2,500,988 Canadian Natural Resources Ltd., 6.75% Sr. Unsec. Unsub. Nts., 2/1/39 1,663,000 1,878,623 Chesapeake Energy Corp., 6.875% Sr. Unsec. Nts., 1/15/16 4,650,000 4,429,125 Cimarex Energy Co., 7.125% Sr. Nts., 5/1/17 1,260,000 1,178,100 Concho Resources, Inc., 8.625% Sr. Unsec. Nts., 10/1/17 690,000 710,700 ConocoPhillips, 6.50% Sr. Unsec. Nts., 2/1/39 4,375,000 5,061,057 Continental Resources, Inc., 8.25% Sr. Unsec. Nts., 10/1/19(11) 575,000 593,688 Denbury Resources, Inc., 7.50% Sr. Sub. Nts., 12/15/15 4,065,000 4,054,838
21 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE --------------- -------------- OIL, GAS & CONSUMABLE FUELS CONTINUED Enterprise Products Operating LLP: 6.50% Sr. Unsec. Unsub. Nts., 1/31/19 $ 1,334,000 $ 1,459,135 8.375% Jr. Sub. Nts., 8/1/66(1) 4,820,000 4,512,383 Forest Oil Corp.: 7.25% Sr. Unsec. Nts., 6/15/19(11) 1,900,000 1,786,000 8.50% Sr. Nts., 2/15/14(11) 3,400,000 3,442,500 Gaz Capital SA: 8.125% Nts., 7/31/14(11) 3,100,000 3,332,500 8.146% Sr. Sec. Nts., 4/11/18(11) 3,220,000 3,417,386 Kazmunaigaz Finance Sub BV: 9.125% Nts., 7/2/18(11) 6,490,000 7,074,100 11.75% Sr. Unsec. Nts., 1/23/15(11) 16,600,000 19,712,500 Kinder Morgan Energy Partners LP, 6% Sr. Unsec. Nts., 2/1/17 2,121,000 2,220,785 Marathon Oil Corp., 5.90% Unsec. Unsub. Nts., 3/15/18 1,983,000 2,075,888 Mariner Energy, Inc., 11.75% Sr. Unsec. Nts., 6/30/16 2,550,000 2,760,375 Massey Energy Co., 6.875% Sr. Unsec. Nts., 12/15/13 3,830,000 3,715,100 Newfield Exploration Co., 6.625% Sr. Unsec. Unsub. Nts., 4/15/16 2,205,000 2,171,925 North American Energy Alliance LLC, 10.875% Sr. Sec. Nts., 6/1/16(11) 1,600,000 1,656,000 Pemex Project Funding Master Trust, 6.625% Sr. Unsec. Unsub. Nts., 6/15/38(11) 5,360,000 5,065,200 Petrobras International Finance Co., 7.875% Sr. Unsec. Nts., 3/15/19 3,090,000 3,580,538 Petrohawk Energy Corp., 10.50% Sr. Nts., 8/1/14(11) 2,425,000 2,619,000 Petroleos Mexicanos, 8% Unsec. Unsub. Nts., 5/3/19 2,130,000 2,443,110 Petroleum Co. of Trinidad & Tobago Ltd., 9.75% Sr. Unsec. Nts., 8/14/19(11) 3,880,000 4,413,500 Petroleum Export Ltd. Cayman SPV, 5.265% Sr. Nts., Cl. A3, 6/15/11(11) 1,937,628 1,892,114 Pioneer Natural Resources Co.: 6.65% Sr. Unsec. Nts., 3/15/17 290,000 277,485 6.875% Sr. Unsec. Unsub. Nts., 5/1/18 465,000 446,193 Plains Exploration & Production Co., 10% Sr. Unsec. Nts., 3/1/16 4,905,000 5,309,663 Quicksilver Resources, Inc.: 7.125% Sr. Sub. Nts., 4/1/16 1,930,000 1,683,925 8.25% Sr. Unsec. Nts., 8/1/15 755,000 739,900 11.75% Sr. Nts., 1/1/16 2,260,000 2,502,950 SandRidge Energy, Inc., 9.875% Sr. Unsec. Nts., 5/15/16(11) 4,130,000 4,326,175 Shell International Finance BV, 6.375% Sr. Nts., 12/15/38 2,441,000 2,909,899 Southwestern Energy Co., 7.50% Sr. Nts., 2/1/18(11) 2,050,000 2,080,750 Tengizchevroil LLP, 6.124% Nts., 11/15/14(11) 1,668,485 1,651,800 TGI International Ltd., 9.50% Nts., 10/3/17(11) 2,692,000 2,907,360 TransCanada PipeLines Ltd., 7.625% Sr. Unsec. Nts., 1/15/39 1,697,000 2,173,312 Western Refining, Inc., 11.25% Sr. Sec. Nts., 6/15/17(11) 3,005,000 2,854,750 Williams Cos., Inc. (The), 8.75% Unsec. Nts., 3/15/32 1,996,000 2,295,464
22 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE --------------- -------------- OIL, GAS & CONSUMABLE FUELS CONTINUED XTO Energy, Inc.: 5.50% Sr. Unsec. Nts., 6/15/18 $ 1,406,000 $ 1,453,465 6.50% Sr. Unsec. Unsub. Nts., 12/15/18 1,641,000 1,814,779 -------------- 151,281,004 -------------- FINANCIALS--5.4% CAPITAL MARKETS--0.8% Credit Suisse New York, 5% Sr. Unsec. Nts., 5/15/13 4,910,000 5,202,356 Deutsche Bank AG, London, 4.875% Sr. Unsec. Nts., 5/20/13 2,137,000 2,278,916 Goldman Sachs Group, Inc. (The): 6% Sr. Nts., 5/1/14 1,478,000 1,609,638 6.15% Sr. Unsec. Nts., 4/1/18 6,610,000 6,964,646 7.50% Sr. Unsec. Nts., 2/15/19 4,648,000 5,324,688 Morgan Stanley, 6% Sr. Unsec. Unsub. Nts., Series F, 4/28/15 10,970,000 11,632,972 UBS AG Stamford CT, 5.75% Sr. Unsec. Nts., 4/25/18 1,471,000 1,497,447 -------------- 34,510,663 -------------- COMMERCIAL BANKS--1.6% Banco BMG SA, 9.15% Nts., 1/15/16(11) 3,520,000 3,696,000 Banco de Credito del Peru, 6.95% Sub. Nts., 11/7/21(1,11) 1,345,000 1,351,725 Bank of Scotland plc: 4.375% Sr. Sec. Nts., 7/13/16 8,405,000 EUR 12,455,601 4.50% Sr. Sec. Nts., 7/13/21 4,684,000 EUR 6,621,771 Barclays Bank plc, 5.20% Sr. Unsec. Nts., 7/10/14 1,274,000 1,347,735 Corparacion Adina de Fomento, 8.125% Nts., 6/4/19 1,980,000 2,307,894 Hana Bank, 6.50% Sr. Unsec. Nts., 4/9/12(11) 2,610,000 2,799,319 HSBC Finance Corp.: 4.75% Sr. Unsec. Nts., 7/15/13 1,378,000 1,402,497 5.70% Sr. Unsec. Nts., 6/1/11 1,557,000 1,615,739 HSBC Holdings plc, 6.80% Sub. Nts., 6/1/38 2,292,000 2,580,499 HSBK Europe BV: 7.25% Unsec. Unsub. Nts., 5/3/17(11) 1,360,000 1,122,000 9.25% Sr. Nts., 10/16/13(11, 13) 15,930,000 15,452,100 ICICI Bank Ltd., 6.375% Bonds, 4/30/22(1, 11) 6,960,000 5,710,798 Inter-American Development Bank: 6.26% Nts., 12/8/09(1, 3) 900,000 BRR 652,800 8.729% Nts., 1/25/12(1) 441,785,730 COP 216,092 Ongko International Finance Co. BV, 10.50% Sec. Nts., 3/29/10(2, 3, 4) 90,000 -- Salisbury International Investments Ltd., 4.66% Sec. Nts., Series 2006-003, Tranche E, 7/20/11(1, 3) 1,100,000 818,950 Wells Fargo & Co., 5.25% Sr. Unsec. Unsub. Nts., 10/23/12 6,942,000 7,413,987 -------------- 67,565,507 -------------- CONSUMER FINANCE--0.3% American Express Credit Corp.: 5.875% Sr. Unsec. Nts., 5/2/13 2,045,000 2,170,708 7.30% Sr. Unsec. Nts., Series C, 8/20/13 2,196,000 2,438,245 Capital One Bank USA NA, 8.80% Sub. Nts., 7/15/19 1,296,000 1,500,660 JSC Astana Finance, 9.16% Nts., 3/14/12(2, 3) 7,200,000 900,000
23 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE --------------- -------------- CONSUMER FINANCE CONTINUED SLM Corp.: 4.50% Nts., Series A, 7/26/10 $ 4,930,000 $ 4,791,635 8.45% Sr. Unsec. Nts., Series A, 6/15/18 2,145,000 1,713,683 -------------- 13,514,931 -------------- DIVERSIFIED FINANCIAL SERVICES--1.6% Autopistas del Nordeste Cayman Ltd., 9.39% Nts., 1/15/26(11) 4,551,750 2,753,809 BA Covered Bond Issuer, 4.25% Sec. Nts., 4/5/17 1,680,000 EUR 2,398,723 Banco Invex SA, 27.615% Mtg.-Backed Certificates, Series 062U, 3/13/34(1, 14) 4,830,734 MXN 1,155,589 Bank of America Corp.: 4.90% Sr. Unsec. Nts., 5/1/13 2,750,000 2,822,427 5.65% Sr. Unsec. Nts., 5/1/18 7,280,000 7,200,255 Bear Stearns Cos. LLC (The), 7.25% Sr. Unsec. Nts., 2/1/18 3,956,000 4,525,122 Citigroup, Inc.: 5.50% Sr. Unsec. Nts., 4/11/13 10,816,000 11,080,592 6.50% Sr. Nts., 8/19/13 2,944,000 3,094,153 Cloverie plc, 4.542% Sec. Nts., Series 2005-93, 12/20/10(1, 3) 1,100,000 956,230 Export-Import Bank of Korea (The), 5.875% Sr. Unsec. Nts., 1/14/15 3,100,000 3,276,328 GMAC LLC, 8% Sr. Unsec. Unsub. Nts., 11/1/31(11) 2,745,000 2,237,175 JPMorgan Chase & Co., 6.40% Sr. Unsec. Nts., 5/15/38 8,180,000 9,189,674 JPMorgan Hipotecaria su Casita: 6.47% Sec. Nts., 8/26/35(3) 5,808,600 MXN 361,561 25.79% Mtg.-Backed Certificates, Series 06U, 9/25/35(1) 2,300,715 MXN 412,789 Korea Development Bank, 8% Sr. Nts., 1/23/14 2,770,000 3,169,351 Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Bonds, 5/14/38 7,515,000 8,494,926 National Rural Utilities Cooperative Finance Corp., 10.375% Sec. Bonds, 11/1/18 1,153,000 1,527,720 Tiers-BSP, 0%/8.60% Collateralized Trust, Cl. A, 6/15/97(11, 15) 2,695,000 1,104,527 -------------- 65,760,951 -------------- INSURANCE--0.4% American International Group, Inc., 8.25% Sr. Unsec. Nts., 8/15/18 3,753,000 3,194,133 International Lease Finance Corp.: 6.375% Sr. Unsec. Nts., 3/25/13 1,676,000 1,345,459 6.625% Sr. Unsec. Nts., Series R, 11/15/13 1,258,000 998,671 MetLife, Inc., 6.817% Sr. Unsec. Nts., Series A, 8/15/18 1,269,000 1,414,784 MidAmerican Energy Holdings Co., 5.75% Sr. Unsec. Nts., 4/1/18 4,346,000 4,700,290 Multiplan, Inc., 10.375% Sr. Sub. Nts., 4/15/16(3) 3,975,000 3,855,750 Prudential Financial, Inc., 7.375% Sr. Unsec. Unsub. Nts., 6/15/19 1,086,000 1,214,125 -------------- 16,723,212 -------------- REAL ESTATE INVESTMENT TRUSTS--0.1% HCP, Inc.: 6% Sr. Unsec. Nts., 1/30/17 745,000 697,050 6.70% Sr. Unsec. Nts., 1/30/18 1,440,000 1,387,636 Simon Property Group LP, 5.30% Sr. Unsec. Nts., 5/30/13 1,851,000 1,894,615 -------------- 3,979,301 --------------
24 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE --------------- -------------- THRIFTS & MORTGAGE FINANCE--0.6% Banco Hipotecario SA, 9.75% Sr. Unsec. Nts., 4/27/16(11) $ 1,585,000 $ 1,212,525 WM Covered Bond Program: 3.875% Sec. Nts., Series 1, 9/27/11 4,430,000 EUR 6,655,729 4% Sec. Mtg. Nts., Series 2, 9/27/16 10,375,000 EUR 14,887,114 4.375% Sec. Nts., 5/19/14 1,130,000 EUR 1,695,984 -------------- 24,451,352 -------------- HEALTH CARE--1.7% BIOTECHNOLOGY--0.1% Amgen, Inc., 5.70% Sr. Nts., 2/1/19 1,325,000 1,459,195 HEALTH CARE EQUIPMENT & SUPPLIES--0.2% Biomet, Inc., 10.375% Sr. Unsec. Nts., 10/15/17(12) 5,105,000 5,449,588 Inverness Medical Innovations, Inc., 7.875% Sr. Nts., 2/1/16(11) 1,630,000 1,581,100 Universal Hospital Services, Inc., 8.50% Sr. Sec. Nts., 6/1/15(12) 2,340,000 2,304,900 -------------- 9,335,588 -------------- HEALTH CARE PROVIDERS & SERVICES--1.0% Apria Healthcare Group, Inc.: 11.25% Sr. Sec. Nts., 11/1/14(11) 2,555,000 2,759,400 12.375% Sr. Sec. Nts., 11/1/14(11) 1,345,000 1,442,513 Catalent Pharma Solutions, Inc., 9.50% Sr. Unsec. Nts., 4/15/15(12) 1,785,000 1,561,875 Community Health Systems, Inc., 8.875% Sr. Unsec. Nts., 7/15/15 5,380,000 5,527,950 DaVita, Inc., 6.625% Sr. Unsec. Nts., 3/15/13 1,295,000 1,288,525 Fresenius Medical Care Capital Trust IV, 7.875% Sr. Sub. Nts., 6/15/11 595,000 608,388 HCA, Inc.: 6.375% Nts., 1/15/15 5,165,000 4,622,675 8.50% Sr. Sec. Nts., 4/15/19(11) 1,135,000 1,191,750 HEALTHSOUTH Corp., 10.75% Sr. Unsec. Nts., 6/15/16 4,975,000 5,422,750 Select Medical Corp., 7.625% Sr. Unsec. Sub. Nts., 2/1/15 6,205,000 5,840,456 Tenet Healthcare Corp., 7.375% Nts., 2/1/13 1,890,000 1,880,550 UnitedHealth Group, Inc., 6.875% Sr. Unsec. Nts., 2/15/38 2,103,000 2,328,993 US Oncology Holdings, Inc., 5.592% Sr. Unsec. Nts., 3/15/12(1, 3, 12) 1,815,000 1,588,125 US Oncology, Inc., 9.125% Sr. Sec. Nts., 8/15/17(11) 2,155,000 2,278,913 Vanguard Health Holding Co. I LLC, 0%/11.25% Sr. Nts., 10/1/15(15) 3,245,000 3,391,025 WellPoint, Inc., 6.375% Sr. Unsec. Unsub. Nts., 6/15/37 1,483,000 1,615,949 -------------- 43,349,837 -------------- PHARMACEUTICALS--0.4% Abbott Laboratories, 5.60% Sr. Unsec. Nts., 11/30/17 1,392,000 1,536,904 AstraZeneca plc, 6.45% Sr. Unsec. Unsub. Nts., 9/15/37 1,611,000 1,902,731 DJO Finance LLC/DJO Finance Corp., 10.875% Sr. Unsec. Nts., 11/15/14 2,920,000 3,000,300 Eli Lilly & Co., 4.20% Sr. Unsec. Nts., 3/6/14 1,236,000 1,313,295 GlaxosmithKline Capital, Inc., 6.375% Sr. Unsec. Nts., 5/15/38 2,179,000 2,577,999 Merck & Co., Inc., 5% Sr. Unsec. Unsub. Nts., 6/30/19 1,568,000 1,676,040 Pfizer, Inc., 7.20% Sr. Unsec. Nts., 3/15/39 2,575,000 3,252,186
25 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE --------------- -------------- PHARMACEUTICALS CONTINUED Wyeth, 5.95% Nts., 4/1/37 $ 1,898,000 $ 2,097,548 -------------- 17,357,003 -------------- INDUSTRIALS--2.6% AEROSPACE & DEFENSE--0.4% Alliant Techsystems, Inc., 6.75% Sr. Sub. Nts., 4/1/16 3,305,000 3,205,850 BE Aerospace, Inc., 8.50% Sr. Unsec. Nts., 7/1/18 5,190,000 5,332,725 TransDigm, Inc., 7.75% Nts, 7/15/14(5, 11) 1,180,000 1,146,075 United Technologies Corp.: 6.125% Sr. Unsec. Nts., 2/1/19 2,376,000 2,723,357 6.125% Sr. Unsec. Nts., 7/15/38 1,011,000 1,168,933 Vought Aircraft Industries, Inc., 8% Sr. Nts., 7/15/11 2,950,000 2,935,250 -------------- 16,512,190 -------------- AIRLINES--0.2% American Airlines Pass Through Trust 2001-2, 7.858% Pass-Through Certificates, Series 2001-2, Cl. A-2, 10/1/11(3) 3,380,000 3,375,775 American Airlines Pass Through Trust 2009-1A, 10.375% Pass-Through Certificates, Series 2009-1A, 7/2/19(3) 830,000 899,513 American Airlines, Inc., 10.50% Sr. Sec. Nts., 10/15/12(3, 5) 1,895,000 1,937,638 Delta Air Lines, Inc.: 9.50% Sr. Sec. Nts., 9/15/14 690,000 689,138 12.25% Sr. Sec. Nts., 3/15/15(11) 2,980,000 2,793,750 -------------- 9,695,814 -------------- BUILDING PRODUCTS--0.0% USG Corp., 9.75% Sr. Unsec. Nts., 8/1/14(11) 1,370,000 1,438,500 COMMERCIAL SERVICES & SUPPLIES--0.4% Acco Brands Corp., 10.625% Sr. Sec. Nts., 3/15/15(11) 685,000 719,250 Allied Waste North America, Inc., 7.375% Sr. Sec. Nts., Series B, 4/15/14 3,050,000 3,177,341 Aramark Services, Inc., 8.50% Sr. Unsec. Nts., 2/1/15 1,120,000 1,135,400 Corrections Corp. of America, 7.75% Sr. Nts., 6/1/17 1,975,000 2,049,063 Iron Mountain, Inc.: 7.75% Sr. Sub. Nts., 1/15/15 1,040,000 1,053,000 8.375% Sr. Sub. Bonds, 8/15/21 1,355,000 1,402,425 West Corp., 9.50% Sr. Unsec. Nts., 10/15/14 5,620,000 5,535,700 -------------- 15,072,179 -------------- CONSTRUCTION & ENGINEERING--0.3% IIRSA Norte Finance Ltd., 8.75% Sr. Nts., 5/30/24(11) 8,343,361 8,593,662 Odebrecht Finance Ltd., 9.625% Sr. Unsec. Nts., 4/9/14(11) 2,900,000 3,378,500 -------------- 11,972,162 -------------- INDUSTRIAL CONGLOMERATES--0.5% General Electric Capital Corp.: 5.40% Sr. Unsec. Nts., Series A, 9/20/13 3,392,000 3,651,424 5.90% Sr. Unsec. Unsub. Nts., 5/13/14 3,705,000 3,978,455 6.875% Sr. Unsec. Nts., 1/10/39 4,501,000 4,729,250 General Electric Co., 5.25% Sr. Unsec. Nts., 12/6/17 8,050,000 8,274,973
26 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE --------------- -------------- INDUSTRIAL CONGLOMERATES CONTINUED Tyco International Finance SA, 8.50% Sr. Unsec. Unsub. Nts., 1/15/19 $ 1,298,000 $ 1,585,262 -------------- 22,219,364 -------------- MACHINERY--0.2% Caterpillar Financial Services Corp., 7.15% Sr. Unsec. Nts., 2/15/19 2,229,000 2,589,191 Manitowoc Co., Inc. (The), 7.125% Sr. Nts., 11/1/13 3,405,000 2,962,350 Terex Corp., 8% Sr. Unsec. Sub. Nts., 11/15/17 3,115,000 2,873,588 -------------- 8,425,129 -------------- PROFESSIONAL SERVICES--0.1% Altegrity, Inc., 10.50% Sr. Unsec. Sub. Nts., 11/1/15(11) 2,680,000 2,278,000 ROAD & RAIL--0.4% Avis Budget Car Rental LLC, 7.625% Sr. Unsec. Unsub. Nts., 5/15/14 5,265,000 4,764,825 CSX Corp.: 6.25% Sr. Unsec. Unsub. Nts., 4/1/15 2,200,000 2,436,051 7.375% Sr. Unsec. Nts., 2/1/19 613,000 722,622 Hertz Corp., 10.50% Sr. Unsec. Sub. Nts., 1/1/16 2,755,000 2,878,975 Norfolk Southern Corp., 5.75% Sr. Unsec. Nts., 1/15/16(11) 2,122,000 2,322,011 Panama Canal Railway Co., 7% Sr. Sec. Nts., 11/1/26(11) 3,599,030 3,005,190 RailAmerica, Inc., 9.25% Sr. Sec. Nts., 7/1/17(11) 1,345,000 1,415,613 -------------- 17,545,287 -------------- TRADING COMPANIES & DISTRIBUTORS--0.1% RSC Equipment Rental, Inc., 10% Sr. Sec. Nts., 7/15/17(11) 655,000 707,400 United Rentals, Inc., 7% Sr. Sub. Nts., 2/15/14 3,180,000 2,782,500 -------------- 3,489,900 -------------- INFORMATION TECHNOLOGY--1.0% COMPUTERS & PERIPHERALS--0.2% International Business Machines Corp., 8% Sr. Unsec. Unsub. Nts., 10/15/38 2,311,000 3,228,141 Seagate Technology HDD Holdings, 6.80% Sr. Nts., 10/1/16 620,000 571,950 Seagate Technology International, 10% Sr. Sec. Nts., 5/1/14(11) 4,345,000 4,768,638 -------------- 8,568,729 -------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--0.3% Flextronics International Ltd., 6.50% Sr. Unsec. Sub. Nts., 5/15/13 3,387,000 3,319,260 RBS Global, Inc., /Rexnord Corp., 11.75% Sr. Unsec. Sub. Nts., 8/1/16 3,170,000 2,884,700 Sanmina-SCI Corp., 8.125% Sr. Sub. Nts., 3/1/16 6,145,000 5,776,300 -------------- 11,980,260 -------------- IT SERVICES--0.4% Affiliated Computer Services, Inc., 5.20% Sr. Unsec. Nts., 6/1/15 1,900,000 1,876,250 First Data Corp., 9.875% Sr. Unsec. Nts., 9/24/15 4,925,000 4,574,094 Sabre Holdings Corp., 7.35% Sr. Unsec. Unsub. Nts., 8/1/11 2,765,000 2,771,913 SunGard Data Systems, Inc.: 9.125% Sr. Unsec. Nts., 8/15/13 4,460,000 4,526,900 10.25% Sr. Unsec. Sub. Nts., 8/15/15 2,021,000 2,071,525 -------------- 15,820,682 --------------
27 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE --------------- -------------- OFFICE ELECTRONICS--0.0% Xerox Corp., 5.65% Sr. Unsec. Nts., 5/15/13 $ 1,495,000 $ 1,557,196 SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--0.1% Amkor Technology, Inc., 9.25% Sr. Unsec. Nts., 6/1/16 2,705,000 2,799,675 SOFTWARE--0.0% Oracle Corp., 5.75% Sr. Unsec. Unsub. Nts., 4/15/18 1,697,000 1,873,006 MATERIALS--2.2% CHEMICALS--0.6% Braskem Finance Ltd., 7.25% Sr. Unsec. Nts., 6/5/18(11) 4,185,000 4,205,925 Dow Chemical Co. (The), 7.60% Sr. Unsec. Unsub. Nts., 5/15/14 2,546,000 2,820,375 E.I. du Pont de Nemours & Co.: 5.75% Sr. Nts., 3/15/19 820,000 905,774 6% Sr. Unsec. Unsub. Nts., 7/15/18 1,315,000 1,473,339 Hexion US Finance Corp./Hexion Nova Scota Finance ULC, 9.75% Sr. Sec. Nts., 11/15/14 1,810,000 1,565,650 Huntsman International LLC: 5.50% Sr. Unsec. Nts., 6/30/16(11) 1,145,000 978,975 7.375% Sr. Unsub. Nts., 1/15/15 3,690,000 3,367,125 7.875% Sr. Unsec. Sub. Nts., 11/15/14 590,000 553,125 Momentive Performance Materials, Inc., 11.50% Sr. Unsec. Sub. Nts., 12/1/16 10,105,000 6,719,825 Nalco Co., 8.875% Unsec. Sub. Nts., 11/15/13 2,135,000 2,204,388 PolyOne Corp., 8.875% Sr. Unsec. Nts., 5/1/12 1,390,000 1,410,850 -------------- 26,205,351 -------------- CONSTRUCTION MATERIALS--0.1% C10 Capital SPV Ltd., 6.722% Unsec. Perpetual Debs.(11,16) 2,750,000 2,176,611 CONTAINERS & PACKAGING--0.4% Berry Plastics Holding Corp., 8.875% Sr. Sec. Nts., 9/15/14 6,105,000 5,845,538 Crown Americas, Inc., 7.75% Sr. Nts., 11/15/15 1,830,000 1,871,175 Graham Packaging Co., Inc.: 8.50% Sr. Unsec. Nts., 10/15/12 2,335,000 2,370,025 9.875% Sr. Unsec. Sub. Nts., 10/15/14 3,770,000 3,892,525 Graphic Packaging International, Inc.: 9.50% Sr. Nts., 6/15/17(11) 1,610,000 1,718,675 9.50% Sr. Unsec. Nts., 6/15/17(11) 3,685,000 3,933,738 -------------- 19,631,676 -------------- METALS & MINING--0.9% Alcoa, Inc., 6.75% Sr. Unsec. Unsub. Nts., 7/15/18 961,000 964,966 BHP Billiton Finance (USA) Ltd., 6.50% Sr. Unsec. Unsub. Nts., 4/1/19 2,645,000 3,074,307 CSN Islands XI Corp., 6.875% Sr. Unsec. Nts., 9/21/19(3,11) 1,900,000 1,907,125 Freeport-McMoRan Copper & Gold, Inc., 8.375% Sr. Nts., 4/1/17 3,920,000 4,175,713 Novelis, Inc.: 7.25% Sr. Unsec. Nts., 2/15/15(1) 4,230,000 3,680,100 11.50% Sr. Unsec. Nts., 2/15/15(11) 905,000 918,575 Rio Tinto Finance (USA) Ltd.: 5.875% Sr. Unsec. Unsub. Nts., 7/15/13 2,052,000 2,213,131 9% Sr. Unsec. Nts., 5/1/19 888,000 1,092,217 Steel Dynamics, Inc., 7.375% Sr. Unsec. Unsub. Nts., 11/1/12 2,250,000 2,283,750
28 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE --------------- -------------- METALS & MINING CONTINUED Teck Resources Ltd., 10.25% Sr. Sec. Nts., 5/15/16 $ 3,200,000 $ 3,632,000 Vale Overseas Ltd., 6.875% Bonds, 11/21/36 604,000 628,033 Vedanta Resources plc, 9.50% Sr. Unsec. Nts., 7/18/18(11) 11,010,000 10,899,900 Voto-Votorantim Overseas Trading Operations, 6.625% Sr. Unsec. Nts., 9/25/19(11) 2,300,000 2,302,875 -------------- 37,772,692 -------------- PAPER & FOREST PRODUCTS--0.2% Celulosa Arauco y Constitucion SA, 7.25% Sr. Unsec. Nts., 7/29/19(11) 1,860,000 2,055,832 Georgia-Pacific LLC: 7.70% Debs., 6/15/15 1,300,000 1,319,500 8.25% Sr. Unsec. Nts., 5/1/16(11) 3,460,000 3,607,050 PE Paper Escrow GmbH, 12% Sr. Sec. Nts., 8/1/14(11) 1,365,000 1,476,904 -------------- 8,459,286 -------------- TELECOMMUNICATION SERVICES--2.0% DIVERSIFIED TELECOMMUNICATION SERVICES--1.2% AT&T Wireless Services, Inc., 8.125% Sr. Unsec. Nts., 5/1/12 1,657,000 1,892,036 AT&T, Inc., 6.70% Sr. Unsec. Unsub. Nts., 11/15/13 3,693,000 4,188,575 Axtel SAB de CV, 9% Sr. Unsec. Nts., 9/22/19(11) 1,545,000 1,575,900 British Telecom plc, 5.15% Sr. Unsec. Unsub. Nts., 1/15/13 1,372,000 1,430,648 Cincinnati Bell, Inc., 8.25% Sr. Nts., 10/15/17(5) 2,360,000 2,326,063 Citizens Communications Co., 6.25% Sr. Nts., 1/15/13 5,770,000 5,683,450 Deutsche Telekom International Finance BV, 6.75% Sr. Unsec. Nts., 8/20/18 1,955,000 2,193,195 Intelsat Subsidiary Holding Co. Ltd., 8.50% Sr. Unsec. Nts., 1/15/13(11) 2,135,000 2,172,363 PAETEC Holding Corp., 9.50% Sr. Unsec. Unsub. Nts., 7/15/15 3,165,000 2,888,063 Qwest Corp., 8.875% Unsec. Unsub. Nts., 3/15/12 5,210,000 5,509,575 Telecom Italia Capital SA, 7.721% Sr. Unsec. Unsub. Nts., 6/4/38 1,900,000 2,263,947 Telefonica del Peru SA, 8% Sr. Unsec. Bonds, 4/11/16(11) 3,290,100 PEN 1,205,276 Telmar Norte Leste SA, 9.50% Sr. Unsec. Nts., 4/23/19(11) 2,495,000 2,994,000 Verizon Communications, Inc.: 6.90% Sr. Unsec. Unsub. Bonds, 4/15/38 1,377,000 1,573,883 8.95% Sr. Unsec. Unsub. Nts., 3/1/39 4,548,000 6,251,931 Windstream Corp.: 7.875% Sr. Nts., 11/1/17(3,5) 710,000 707,338 8.125% Sr. Unsec. Unsub. Nts., 8/1/13 2,410,000 2,488,325 8.625% Sr. Unsec. Unsub. Nts., 8/1/16 2,730,000 2,805,075 Winstar Communications, Inc., 12.75% Sr. Nts., 4/15/10(2,3,4) 250,000 -- -------------- 50,149,643 -------------- WIRELESS TELECOMMUNICATION SERVICES--0.8% America Movil SAB de CV, 8.46% Sr. Unsec. Unsub. Bonds, 12/18/36 52,700,000 MXN 3,010,713 American Tower Corp., 7.25% Sr. Unsec. Nts., 5/15/19(11) 4,530,000 4,677,225 CC Holdings GS V LLC/Crown Castle GS III Corp., 7.75% Sr. Sec. Nts., 5/1/17(11) 2,620,000 2,724,800
29 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE --------------- -------------- WIRELESS TELECOMMUNICATION SERVICES CONTINUED Cricket Communications, Inc., 7.75% Sr. Sec. Nts., 5/15/16(11) $ 4,025,000 $ 4,105,500 MetroPCS Wireless, Inc., 9.25% Sr. Unsec. Nts., 11/1/14 2,730,000 2,805,075 Nextel Communications, Inc., 7.375% Sr. Nts., Series D, 8/1/15 6,175,000 5,572,938 SBA Telecommunications, Inc., 8% Sr. Nts., 8/15/16(11) 1,810,000 1,859,775 SBA Telecommunications, Inc., 8.25% Sr. Nts., 8/15/19(11) 880,000 910,800 Sprint Capital Corp., 8.75% Nts., 3/15/32 9,585,000 9,105,750 Teligent, Inc., 11.50% Sr. Nts., 12/1/08(2,3,4) 500,000 -- Vodafone Group plc, 5.625% Sr. Unsec. Unsub. Nts., 2/27/17 1,869,000 1,984,228 -------------- 36,756,804 -------------- UTILITIES--2.0% ELECTRIC UTILITIES--1.1% Centrais Eletricas Brasileiras SA, 6.857% Sr. Unsec. Unsub. Nts., 7/30/19(11) 2,300,000 2,495,500 Duke Energy Carolinas LLC, 7% Sec. Bonds, Series C, 11/15/18 1,839,000 2,205,323 Duke Energy Corp., 6.30% Sr. Unsec. Unsub. Nts., 2/1/14 3,253,000 3,602,837 Edison Mission Energy, 7% Sr. Unsec. Nts., 5/15/17 5,540,000 4,653,600 Eletropaulo Metropolitana SA, 19.125% Nts., 6/28/10(3) 1,115,000 BRR 667,137 Empresas Publicas de Medellin ESP, 7.625% Sr. Unsec. Nts., 7/29/19(11) 2,600,000 2,827,500 Energy Future Holdings Corp., 10.875% Sr. Unsec. Nts., 11/1/17 4,520,000 3,435,200 FPL Group Capital, Inc., 6% Sr. Unsec. Nts., 3/1/19 1,158,000 1,301,294 Georgia Power Co., 5.95% Sr. Unsec. Bonds, 2/1/39 835,000 936,528 ISA Capital do Brasil SA, 8.80% Sr. Nts., 1/30/17(11) 1,110,000 1,198,800 Israel Electric Corp. Ltd., 7.25% Nts., 1/15/19(11) 8,015,000 8,560,148 Majapahit Holding BV: 7.25% Nts., 10/17/11(11) 1,990,000 2,079,550 7.75% Nts., 10/17/16(11) 5,450,000 5,749,750 8% Sr. Unsec. Nts., 8/7/19(11) 2,200,000 2,359,500 National Power Corp., 5.875% Unsec. Unsub. Bonds, 12/19/16 109,600,000 PHP 2,091,144 Texas Competitive Electric Holdings Co. LLC, 10.25% Sr. Unsec. Nts., Series A, 11/1/15 1,795,000 1,301,375 -------------- 45,465,186 -------------- ENERGY TRADERS--0.5% AES Corp. (The), 8% Sr. Unsec. Unsub. Nts., 10/15/17 1,145,000 1,157,881 Dynegy Holdings, Inc., 8.375% Sr. Unsec. Nts., 5/1/16 6,645,000 6,246,300 Electric Power Development Co. Ltd., 1.80% Gtd. Unsec. Nts., 6/28/10 233,000,000 JPY 2,623,829 Mirant North America LLC, 7.375% Sr. Unsec. Nts., 12/31/13 2,135,000 2,135,000 NRG Energy, Inc.: 7.375% Sr. Nts., 1/15/17 1,835,000 1,779,950 7.375% Sr. Nts., 2/1/16 2,920,000 2,832,400 8.50% Sr. Unsec. Nts., 6/15/19 2,330,000 2,344,563 Reliant Energy, Inc., 7.625% Sr. Unsec. Unsub. Nts., 6/15/14 4,450,000 4,388,813 -------------- 23,508,736 -------------- MULTI-UTILITIES--0.4% Consolidated Edison Co. of New York, Inc., 7.125% Sr. Unsec. Nts., 12/1/18 3,579,000 4,253,663 Dominion Resources, Inc., 6.40% Sr. Unsec. Nts., 6/15/18 2,989,000 3,352,525
30 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE --------------- -------------- MULTI-UTILITIES CONTINUED Pacific Gas & Electric Co.: 6.25% Sr. Unsec. Nts., 12/1/13 $ 2,860,000 $ 3,215,715 8.25% Sr. Unsec. Nts., 10/15/18 1,864,000 2,373,098 Sempra Energy, 9.80% Sr. Unsec. Nts., 2/15/19 1,821,000 2,336,665 -------------- 15,531,666 -------------- Total Corporate Bonds and Notes (Cost $1,014,520,879) 1,086,958,979 --------------
SHARES --------------- PREFERRED STOCKS--0.0% AmeriKing, Inc., 13% Cum. Sr. Exchangeable, Non-Vtg.(3, 4, 12) 4,253 -- Eagle-Picher Holdings, Inc., 11.75% Cum. Exchangeable, Series B, Non-Vtg.(3, 4) 5,000 -- ICG Holdings, Inc., 14.25% Exchangeable, Non-Vtg.(3, 4, 12) 151 -- -------------- Total Preferred Stocks (Cost $537,064) -- -------------- COMMON STOCKS--0.1% American Media, Inc. (3, 4) 1,562 16 Arco Capital Corp. Ltd. (3, 4) 690,638 1,726,595 Charter Communications, Inc. (4) 89,923 2,152,698 Global Aero Logistics, Inc. (3, 4) 2,168 2,168 MHP SA, GDR (4, 11) 56,610 594,405 Orbcomm, Inc. (4) 375 1,020 Premier Holdings Ltd. (3, 4) 18,514 -- -------------- Total Common Stocks (Cost $12,108,899) 4,476,902 --------------
UNITS --------------- RIGHTS, WARRANTS AND CERTIFICATES--0.0% Global Aero Logistics, Inc. Wts., Strike Price $10, Exp. 2/28/11(3,4) (Cost $2,025) 266 3
PRINCIPAL AMOUNT --------------- STRUCTURED SECURITIES--4.2% Citigroup Funding, Inc.: Ghana (Republic of) Credit Linked Nts., 12.08%, 6/9/10 1,180,000 GHS 767,204 Ghana (Republic of) Credit Linked Nts., 12.08%, 6/9/10 1,180,000 GHS 767,204 Ghana (Republic of) Credit Linked Nts., 12.08%, 6/9/10 1,180,000 GHS 767,204 Indonesia (Republic of) Credit Linked Nts., 11.50%, 9/18/19 31,590,000,000 IDR 3,552,854 Indonesia (Republic of) Credit Linked Nts., 11.50%, 9/18/19 31,580,000,000 IDR 3,551,729 Indonesia (Republic of) Credit Linked Nts., 9.50%, 6/17/15 15,790,000,000 IDR 1,637,814 Indonesia (Republic of) Credit Linked Nts., 9.50%, 6/17/15 15,670,000,000 IDR 1,625,367 Indonesia (Republic of) Credit Linked Nts., 9.50%, 6/17/15 33,010,000,000 IDR 3,423,955 Citigroup Global Markets Holdings, Inc.: Brazil (Federal Republic of) Credit Linked Nts., 9.762%, 1/3/17(3) 8,850,000 BRR 4,375,867 Colombia (Republic of) Credit Linked Bonds, 11.25%, 10/25/18 3,255,000,000 COP 1,893,069 Colombia (Republic of) Credit Linked Nts., 13.083%, 2/26/15(3, 14) 2,199,000,000 COP 2,358,740
31 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE --------------- -------------- STRUCTURED SECURITIES CONTINUED Colombia (Republic of) Credit Linked Nts., Series 01, 13.083%, 2/26/15(3, 14) $ 811,000,000 COP $ 869,913 Colombia (Republic of) Credit Linked Nts., Series 02, 13.083% 12/26/15(3, 14) 1,345,000,000 COP 1,442,704 Colombia (Republic of) Credit Linked Nts., Series II, 15%, 4/27/12(11) 552,359,546 COP 342,615 Colombia (Republic of) Total Return Linked Nts., 11%, 5/19/11 6,880,000,000 COP 3,891,191 Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12(3) 1,200,000,000 COP 744,330 Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 927,000,000 COP 574,995 Colombia (Republic of) Unsec. Credit Linked Nts., 15%, 4/27/12 1,034,000,000 COP 641,364 Dominican Republic Unsec. Credit Linked Nts., 15%, 3/12/12(11) 49,300,000 DOP 1,336,559 Ghana (Republic of) Credit Linked Nts., 13.50%, 4/2/10(11) 2,990,000 GHS 1,976,000 Ukraine Hryvnia Unsec. Credit Linked Nts., 11.94%, 1/2/10(11) 880,000 UAH 102,778 Credit Suisse First Boston International: Boryspil Airport Total Return Linked Nts., 10%, 4/19/10(1) 4,840,000 UAH 509,085 Moitk Total Return Linked Nts., 3/26/11(2, 3) 53,910,000 RUR 180 Oreniz Total Return Linked Nts., 9.24%, 2/21/12(1, 3) 116,835,000 RUR 2,879,406 Ukraine (Republic of) Credit Linked Nts., Series EMG 13, 11.94%, 12/30/09 2,195,000 UAH 249,887 Vietnam Shipping Industry Group Total Return Linked Nts., 10.50%, 1/19/17(3) 14,609,000,000 VND 485,640 Credit Suisse First Boston, Inc. (Nassau Branch): Russian Specialized Construction and Installation Administration Credit Linked Nts., 5/20/10(2, 3) 97,250,000 RUR 324 Ukraine (Republic of) Credit Linked Nts., 11.94%, 12/30/09(3) 5,650,000 UAH 643,218 Ukraine (Republic of) Credit Linked Nts., Series EMG 11, 11.94%, 12/30/09 661,000 UAH 75,251 Ukraine (Republic of) Credit Linked Nts., Series NPC 12, 11.94%, 12/30/09(3) 4,170,000 UAH 474,729 Credit Suisse Group AG, Russian Moscoblgaz Finance Total Return Linked Nts., 9.25%, 6/24/12(3) 106,500,000 RUR 3,449,351 Deutsche Bank AG: Arrendadora Capita Corp. SA de CV/Capita Corp. (The) de Mexico SA de CV Credit Linked Nts., 9.09%, 1/5/11 6,073,049 MXN 424,578 Arrendadora Capita Corp. SA de CV/Capita Corp. (The) de Mexico SA de CV Credit Linked Nts., 9.65%, 1/5/11 4,032,620 MXN 281,928 Coriolanus Ltd. Sec. Credit Linked Nts., 10.62%, 9/10/10(3,11) 3,300,000 1,123,650 Coriolanus Ltd. Sec. Credit Linked Nts., 9.32%, 12/31/17(3,14) 20,560,000 BRR 5,609,238 Coriolanus Ltd. Sec. Credit Linked Nts., Series 112, 8.33%, 12/7/09(1, 3) 650,000 642,311 Coriolanus Ltd. Sec. Credit Linked Nts., Series 113, 9%, 4/26/11(1, 3, 14) 655,000 666,390 European Investment Bank, Russian Federation Credit Linked Nts., 5.502%, 1/19/10(3, 9) 705,000 686,945 Grupo TMM SA Credit Linked Nts., 6%, 9/7/12 1,891,576 725,608 Indonesia (Republic of) Credit Linked Nts., 9.50%, 6/22/15 820,000 804,529
32 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE --------------- -------------- STRUCTURED SECURITIES CONTINUED Indonesia (Republic of) Credit Linked Nts., Series 02, 12.80%, 6/22/21 29,700,000,000 IDR $ 3,522,933 Opic Reforma I Credit Linked Nts., Cl. 1A, 6.916%, 9/24/14(1, 3) 14,850,000 MXN 1,100,245 Opic Reforma I Credit Linked Nts., Cl. 1B, 6.916%, 9/24/14(1, 3) 2,970,000 MXN 220,049 Opic Reforma I Credit Linked Nts., Cl. 1C, 6.916%, 9/24/14(1, 3) 4,950,000 MXN 366,748 Opic Reforma I Credit Linked Nts., Cl. 1D, 6.916%, 9/24/14(1, 3) 2,475,000 MXN 183,374 Opic Reforma I Credit Linked Nts., Cl. 1E, 6.916%, 9/24/14(1, 3) 3,465,000 MXN 256,724 Opic Reforma I Credit Linked Nts., Cl. 2A, 8.405%, 5/22/15(1, 3) 1,417,014 MXN 104,987 Opic Reforma I Credit Linked Nts., Cl. 2B, 8.405%, 5/22/15(1, 3) 2,479,100 MXN 183,678 Opic Reforma I Credit Linked Nts., Cl. 2C, 8.405%, 5/22/15(1, 3) 37,378,810 MXN 2,769,416 Opic Reforma I Credit Linked Nts., Cl. 2D, 8.405%, 5/22/15(1, 3) 2,724,116 MXN 201,831 Opic Reforma I Credit Linked Nts., Cl. 2E, 8.405%, 5/22/15(1, 3) 1,979,122 MXN 146,634 Opic Reforma I Credit Linked Nts., Cl. 2F, 8.405%, 5/22/15(1, 3) 1,263,966 MXN 93,648 Opic Reforma I Credit Linked Nts., Cl. 2G, 8.405%, 5/22/15(1, 3) 232,771 MXN 17,246 Peru (Republic of) Credit Linked Bonds, 3.242%, 4/30/25(3, 5, 9) 2,843,277 1,617,323 Peru (Republic of) Credit Linked Bonds, 3.269%, 4/30/25(3, 9) 2,271,446 1,291,112 Peru (Republic of) Credit Linked Bonds, 3.346%, 4/30/25(3, 9) 2,135,063 1,213,590 Ukraine (Republic of) 5 yr. Credit Linked Nts., 4.05%, 8/27/10 885,000 599,074 Ukraine (Republic of) 5.5 yr. Credit Linked Nts., 4.05%, 3/1/11 885,000 521,398 Ukraine (Republic of) 6 yr. Credit Linked Nts., 4.05%, 8/29/11 885,000 457,766 Ukraine (Republic of) 6.5 yr. Credit Linked Nts., 4.05%, 2/29/12 885,000 416,994 Ukraine (Republic of) 7 yr. Credit Linked Nts., 4.05%, 8/30/12 885,000 387,170 United Mexican States Credit Linked Nts., 9.52%, 1/5/11 4,022,685 MXN 281,233 Deutsche Bank AG, Singapore, Vietnam Shipping Industry Group Total Return Linked Nts., 9%, 4/20/17 36,800,000,000 VND 1,230,945 Dresdner Bank AG, Lukoil Credit Linked Nts., Series 3, 7.04%, 12/12/11(1, 11) 34,190,000 RUR 1,049,106 Eirles Two Ltd. Sec. Nts.: Series 324, 4.841%, 4/30/12(1, 3) 4,100,000 2,132,000 Series 335, 3.291%, 4/30/12(1, 3) 6,300,000 4,558,050 Goldman Sachs & Co., Turkey (Republic of) Credit Linked Nts., 14.802%, 3/29/17(9,11) 21,980,000 TRY 5,223,583 Goldman Sachs Capital Markets LP, Colombia (Republic of) Credit Linked Nts., 10.476%, 2/8/37(3, 9) 63,720,800,000 COP 1,298,713 Hallertau SPC Credit Linked Nts., Series 2008-2A, 6.764%, 9/17/13(1, 3) 19,430,000 19,599,041 Hallertau SPC Philippines (Republic of) Credit Linked Nts., Series 2007-01, 3.211%, 12/20/17(1, 3) 14,290,000 10,560,310 Hallertau SPC Segregated Portfolio, Brazil (Federal Republic of) Credit Linked Nts., Series 2008-01, 9.888%, 8/2/10(2, 3, 9) 14,337,604 BRR 809,303 HSBC Bank USA NA, Brazil (Federal Republic of) Credit Linked Nts., 5/9/11(1, 3, 5) 4,600,000 4,600,000 ING Bank NV, Ukraine (Republic of) Credit Linked Nts., Series 725, 11.89%, 12/30/09(3) 4,689,000 UAH 537,194 JPMorgan Chase Bank NA: Brazil (Federal Republic of) Credit Linked Nts., 10.908%, 5/16/45(3) 1,445,000 BRR 1,457,202 Colombia (Republic of) Credit Linked Bonds, 10.19%, 1/5/16(3, 9) 9,020,000,000 COP 2,627,351
33 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE --------------- -------------- STRUCTURED SECURITIES CONTINUED Colombia (Republic of) Credit Linked Bonds, 10.218%, 10/31/16(3, 9) 12,177,000,000 COP $ 3,254,944 Colombia (Republic of) Credit Linked Bonds, Series A, 10.218%, 10/31/16(3, 9) 12,125,000,000 COP 3,241,044 Indonesia (Republic of) Credit Linked Nts., 11.5%, 9/15/19(3) 7,190,000,000 IDR 807,155 Indonesia (Republic of) Credit Linked Nts., 11.5%, 9/15/19(3) 15,770,000,000 IDR 1,770,352 Peru (Republic of) Credit Linked Nts., 8.115%, 9/2/15(9, 11) 3,470,000 PEN 816,372 Swaziland (Kingdom of) Credit Linked Nts., 7.25%, 6/20/10(3) 1,120,000 1,153,040 JPMorgan Chase Bank NA, London Branch, Indonesia (Republic of) Credit Linked Nts., 12.80%, 6/17/21(11) 25,490,000,000 IDR 3,003,300 Lehman Brothers Treasury Co. BV, Microvest Capital Management LLC Credit Linked Nts., 7.55%, 5/24/12(3) 6,875,641 7,128,665 Merrill Lynch, Colombia (Republic of) Credit Linked Nts., 10%, 11/17/16(3) 1,784,000,000 COP 804,203 Morgan Stanley: Peru (Republic of) Credit Linked Nts., 6.25%, 3/23/17(11) 4,885,000 PEN 1,347,987 Russian Federation Total Return Linked Bonds, Series 007, Cl. VR, 5%, 8/22/34 87,524,873 RUR 1,392,856 Morgan Stanley & Co. International Ltd./Red Arrow International Leasing plc Total Return Linked Nts., Series A, 8.375%, 7/9/12 15,730,765 RUR 494,404 Morgan Stanley Capital Services, Inc.: Brazil (Federal Republic of) Credit Linked Nts., 12.551%, 1/5/22(9, 11) 28,914,000 BRR 1,194,180 Ukraine (Republic of) Credit Linked Nts., 3.476%, 10/15/17(1, 3) 8,300,000 3,901,000 Ukraine (Republic of) Credit Linked Nts., Series 2, 4.346%, 10/15/17(1, 3) 6,800,000 3,196,000 United Mexican States Credit Linked Nts., 5.64%, 11/20/15(3) 2,000,000 1,559,200 WTI Trading Ltd. Total Return Linked Nts., Series A, 15%, 3/8/12 5,139,504 4,838,843 WTI Trading Ltd. Total Return Linked Nts., Series C, 15%, 3/8/12 6,876,672 6,477,825 UBS AG, Ghana (Republic of) Credit Linked Nts., 14.47%, 12/28/11(3) 1,222,052 GHS 598,797 -------------- Total Structured Securities (Cost $220,776,052) 174,991,842 -------------- EVENT-LINKED BONDS--0.8% Akibare Ltd. Catastrophe Linked Nts., Cl. A, 3.357%, 5/22/12(1, 11) 1,888,000 1,836,646 Atlas V Capital Ltd. Catastrophe Linked Nts., Series 2, 12.097%, 2/24/12(1, 11) 820,000 843,534 East Lane Re III Ltd. Catastrophe Linked Nts., 10.847%, 3/16/12(1, 11) 3,373,000 3,505,137 Fhu-Jin Ltd. Catastrophe Linked Nts., Cl. B, 4.383%, 8/10/11(1, 11) 2,880,000 2,830,752 Lakeside Re Ltd. Catastrophe Linked Nts., 6.783%, 12/31/09(1, 11) 4,100,000 4,098,360 Medquake Ltd. Catastrophe Linked Nts., 5.54%, 5/31/10(1, 11) 1,500,000 1,474,875 Midori Ltd. Catastrophe Linked Nts., 3.259%, 10/24/12(1, 11) 1,850,000 1,774,705 Muteki Ltd. Catastrophe Linked Nts., 4.84%, 5/24/11(1, 3) 2,100,000 2,012,115
34 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
PRINCIPAL AMOUNT VALUE --------------- -------------- EVENT-LINKED BONDS CONTINUED Nelson Re Ltd. Catastrophe Linked Nts., Series 2007-I, Cl. A, 12.34%, 6/21/10(1, 11) $ 3,340,000 $ 3,226,106 Osiris Capital plc Catastrophe Linked Combined Mortality Index Nts., Series D, 5.509%, 1/15/10(1, 11) 890,000 886,796 Residential Reinsurance 2007 Ltd. Catastrophe Linked Nts.: Series CL2, 11.861%, 6/6/11(1, 11) 2,590,000 2,486,076 Series CL3, 12.611%, 6/7/10(1, 11) 1,000,000 1,022,400 Vega Capital Ltd. Catastrophe Linked Nts., Series D, 0.0%, 6/24/11(3, 9, 17) 4,205,000 5,571,625 Willow Re Ltd. Catastrophe Linked Nts., 6/16/10(2, 11) 2,480,000 1,667,800 -------------- Total Event-Linked Bonds (Cost $32,965,816) 33,236,927 --------------
SHARES --------------- INVESTMENT COMPANIES--11.2% JPMorgan U.S. Treasury Plus Money Market Fund, Agency Shares, 0.00% (17, 18) 9,222,427 9,222,427 Oppenheimer Institutional Money Market Fund, Cl. E, 0.27%(18, 19) 116,647,373 116,647,373 Oppenheimer Master Event-Linked Bond Fund, LLC(19) 1,404,749 14,735,063 Oppenheimer Master Loan Fund, LLC(19) 33,154,848 330,336,880 -------------- Total Investment Companies (Cost $467,722,980) 470,941,743 Total Investments, at Value (excluding Investments Purchased with Cash Collateral from Securities Loaned) (Cost $4,267,916,764) 4,302,543,516 INVESTMENTS PURCHASED WITH CASH COLLATERAL FROM SECURITIES LOANED--0.1%(20) OFI Liquid Assets Fund, LLC, 0.44%(18,19) (Cost $5,581,250) 5,581,250 5,581,250 TOTAL INVESTMENTS, AT VALUE (COST $4,273,498,014) 102.1% 4,308,124,766 Liabilities in Excess of Other Assets (2.1) (90,149,301) --------------- -------------- Net Assets 100.0% $4,217,975,465 =============== ==============
Footnotes to Statement of Investments Principal amount is reported in U.S. Dollars, except for those denoted in the following currencies: AUD Australian Dollar BRR Brazilian Real CAD Canadian Dollar COP Colombian Peso DKK Danish Krone DOP Dominican Republic Peso EGP Egyptian Pounds EUR Euro GBP British Pound Sterling GHS Ghana Cedi HUF Hungarian Forint IDR Indonesia Rupiah ILS Israeli Shekel 35 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED JPY Japanese Yen MXN Mexican Nuevo Peso NOK Norwegian Krone PEN Peruvian New Sol PHP Philippines Peso PLZ Polish Zloty RUR Russian Ruble SEK Swedish Krona TRY New Turkish Lira UAH Ukraine Hryvnia UYU Uruguay Peso VND Vietnam Dong 1. Represents the current interest rate for a variable or increasing rate security. 2. Issue is in default. See accompanying Notes. 3. Illiquid or restricted security. The aggregate value of illiquid or restricted securities as of September 30, 2009 was $183,594,063, which represents 4.35% of the Fund's net assets, of which $5,644,580 is considered restricted. See accompanying Notes. Information concerning restricted securities is as follows:
ACQUISITION UNREALIZED SECURITY DATE COST VALUE DEPRECIATION -------- ----------- ---------- ---------- ------------ Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 1A, 6.916%, 9/24/14 12/27/07 $1,364,764 $1,100,245 $ 264,519 Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 1B, 6.916%, 9/24/14 6/12/08 286,334 220,049 66,285 Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 1C, 6.916%, 9/24/14 8/12/08 487,085 366,748 120,337 Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 1D, 6.916%, 9/24/14 8/6/09 189,935 183,374 6,561 Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 1E, 6.916%, 9/24/14 9/10/09 259,017 256,724 2,293 Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2A, 8.405%, 5/22/15 5/21/08 136,622 104,987 31,635 Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2B, 8.405%, 5/22/15 6/12/08 239,007 183,678 55,329 Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2C, 8.405%, 5/22/15 6/18/08 3,626,317 2,769,416 856,901 Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2D, 8.405%, 5/22/15 7/8/08 264,086 201,831 62,255 Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2E, 8.405%, 5/22/15 7/15/08 192,185 146,634 45,551 Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2F, 8.405%, 5/22/15 8/8/08 124,426 93,648 30,778 Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2G, 8.405%, 5/22/15 8/22/08 22,959 17,246 5,713 ---------- ---------- ---------- $7,192,737 $5,644,580 $1,548,157 ========== ========== ==========
4. Non-income producing security. 5. When-issued security or delayed delivery to be delivered and settled after September 30, 2009. See accompanying Notes. 6. 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 $19,010,009 or 0.45% of the Fund's net assets as of September 30, 2009. 7. Principal-Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. The value of these securities generally increases as interest rates decline and prepayment rates rise. The price of these securities is typically more volatile than that of coupon-bearing bonds of the same maturity. Interest rates disclosed represent current yields based upon the current cost basis and estimated timing of future cash flows. These securities amount to $4,202,057 or 0.10% of the Fund's net assets as of September 30, 2009. 8. Partial or fully-loaned security. See accompanying Notes. 9. Zero coupon bond reflects effective yield on the date of purchase. 10. All or a portion of the security is held in collateralized accounts to cover initial margin requirements on open futures contracts. The aggregate market value of such securities is $24,999,850. See accompanying Notes. 11. 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 $433,808,232 or 10.28% of the Fund's net assets as of September 30, 2009. 12. Interest or dividend is paid-in-kind, when applicable. 13. A sufficient amount of securities has been designated to cover outstanding foreign currency exchange contracts. See accompanying Notes. 14. Denotes an inflation-indexed security: coupon and principal are indexed to a consumer price index. 15. Denotes a step bond: a zero coupon bond that converts to a fixed or variable interest rate at a designated future date. 16. This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. Rate reported represents the current interest rate for this variable rate security. 17. Interest rate is less than 0.0005%. 18. Rate shown is the 7-day yield as of September 30, 2009. 36 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED 19. Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 30, 2009, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows:
SHARES GROSS GROSS SHARES DECEMBER 31, 2008 ADDITIONS REDUCTIONS SEPTEMBER 30, 2009 ----------------- ------------- ------------- ------------------ OFI Liquid Assets Fund, LLC 325,265,870 211,377,780 531,062,400 5,581,250 Oppenheimer Institutional Money Market Fund, Cl. E 314,416,821 2,676,592,790 2,874,362,238 116,647,373 Oppenheimer Master Event-Linked Bond Fund, LLC 1,404,749 -- -- 1,404,749 Oppenheimer Master Loan Fund, LLC 14,194,313 18,960,535 -- 33,154,848
REALIZED VALUE INCOME LOSS ------------ ----------- ---------- OFI Liquid Assets Fund, LLC $ 5,581,250 $ 882,394(a) $ -- Oppenheimer Institutional Money Market Fund, Cl. E 116,647,373 3,085,344 -- Oppenheimer Master Event-Linked Bond Fund, LLC 14,735,063 962,163(b) 203,086(b) Oppenheimer Master Loan Fund, LLC 330,336,880 12,402,979(c) 2,592,200(c) ------------ ----------- ---------- $467,300,566 $17,332,880 $2,795,286 ============ =========== ==========
(a.) Net of compensation to the securities lending agent and rebates paid to the borrowing counterparties. (b.) Represents the amount allocated to the Fund from Oppenheimer Master Event-Linked Bond Fund, LLC. (c.) Represents the amount allocated to the Fund from Oppenheimer Master Loan Fund, LLC. 20. The security/securities have 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. 21. The current amortization rate of the security's cost basis exceeds the future interest payments currently estimated to be received. Both the amortization rate and interest payments are contingent on future mortgage pre-payment speeds and are therefore subject to change. VALUATION INPUTS Various data inputs are used in determining the value of each of the Fund's investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards: 1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) 2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) 3) Level 3-significant unobservable inputs (including the Manager's own judgments about assumptions that market participants would use in pricing the asset). The table below categorizes amounts that are included in the Fund's Statement of Assets and Liabilities as of September 30, 2009 based on valuation input level:
LEVEL 2-- LEVEL 1-- OTHER LEVEL 3-- UNADJUSTED SIGNIFICANT SIGNIFICANT QUOTED OBSERVABLE UNOBSERVABLE PRICES INPUTS INPUTS VALUE ------------ -------------- ------------- -------------- ASSETS TABLE INVESTMENTS, AT VALUE: Asset-Backed Securities $ -- $ 26,461,071 $ -- $ 26,461,071 Mortgage-Backed Obligations -- 655,722,180 -- 655,722,180 U.S. Government Obligations -- 107,458,502 -- 107,458,502 Foreign Government Obligations -- 1,663,533,760 282,837 1,663,816,597 Loan Participations -- 78,478,770 -- 78,478,770
37 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED Corporate Bonds and Notes -- 1,085,812,904 1,146,075 1,086,958,979 Preferred Stocks Consumer Discretionary -- -- -- -- Telecommunication Services -- -- -- -- Common Stocks Consumer Discretionary -- 2,152,714 -- 2,152,714 Consumer Staples 594,405 -- -- 594,405 Financials -- 1,726,595 -- 1,726,595 Industrials -- -- 2,168 2,168 Information Technology 1,020 -- -- 1,020 Utilities -- -- -- -- Rights, Warrants and Certificates -- -- 3 3 Structured Securities -- 167,863,177 7,128,665 174,991,842 Event-Linked Bonds -- 33,236,927 -- 33,236,927 Investment Companies 470,941,743 -- -- 470,941,743 Investments Purchased with Cash Collateral from Securities Loaned 5,581,250 -- -- 5,581,250 ------------ -------------- ---------- -------------- Total Investments, at Value 477,118,418 3,822,446,600 8,559,748 4,308,124,766 OTHER FINANCIAL INSTRUMENTS: Appreciated swaps, at value -- 23,531,261 -- 23,531,261 Futures margins 1,193,704 -- -- 1,193,704 Foreign Currency Exchange Contracts -- 19,507,697 -- 19,507,697 ------------ -------------- ---------- -------------- Total Assets $478,312,122 $3,865,485,558 $8,559,748 $4,352,357,428 ------------ -------------- ---------- -------------- LIABILITIES TABLE OTHER FINANCIAL INSTRUMENTS: Appreciated swaps, at value $ -- $ (4,346,330) $ -- $ (4,346,330) Depreciated swaps, at value -- (15,216,634) -- (15,216,634) Futures margins (966,082) -- -- (966,082) Unfunded Purchase Agreements -- (454,288) -- (454,288) Foreign Currency Exchange Contracts -- (32,602,616) -- (32,602,616) ------------ -------------- ---------- -------------- Total Liabilities $ (966,082) $ (52,619,868) $ -- $ (53,585,950) ------------ -------------- ---------- --------------
Currency contracts, forwards and unfunded purchase agreements, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract's value from trade date. Futures, if any, are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. All additional assets and liabilities included in the above table are reported at their market value at measurement date. SEE THE ACCOMPANYING NOTES FOR FURTHER DISCUSSION OF THE METHODS USED IN DETERMINING VALUE OF THE FUND'S INVESTMENTS, AND A SUMMARY OF CHANGES TO THE VALUATION TECHNIQUES, IF ANY, DURING THE REPORTING PERIOD. FOREIGN CURRENCY EXCHANGE CONTRACTS AS OF SEPTEMBER 30, 2009 ARE AS FOLLOWS:
CONTRACT COUNTERPARTY/ BUY/ AMOUNT EXPIRATION UNREALIZED UNREALIZED CONTRACT DESCRIPTION SELL (000S) DATES VALUE APPRECIATION DEPRECIATION -------------------------------- ---- ----------- --- ----------------- ------------ ------------ ------------ BANC OF AMERICA: Chinese Renminbi (Yuan) (CNY) Sell 57,400 CNY 11/13/09 $ 8,403,136 $ 8,969 $ -- Indonesia Rupiah (IDR) Buy 64,950,000 IDR 11/30/09 6,637,890 179 -- Japanese Yen (JPY) Buy 1,482,908 JPY 10/5/09-11/12/09 16,523,885 1,085,683 -- New Taiwan Dollar (TWD) Sell 257,000 TWD 10/14/09 8,021,159 -- 147,867
38 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED New Zealand Dollar (NZD) Buy 33,160 NZD 11/10/09 23,879,476 1,757,113 -- New Zealand Dollar (NZD) Sell 21,670 NZD 11/10/09 15,605,194 -- 914,830 ----------- ----------- 2,851,944 1,062,697 ----------- ----------- BANK PARIBAS ASIA - FGN: Euro (EUR) Sell 12,345 EUR 11/12/09 18,064,541 2,450 1,546,706 Hungarian Forint (HUF) Buy 1,561,000 HUF 10/14/09 8,457,969 178,998 -- Norwegian Krone (NOK) Buy 40,400 NOK 11/10/09 6,985,296 216,756 -- Norwegian Krone (NOK) Sell 110,410 NOK 11/10/09 19,090,260 -- 149,160 Polish Zloty (PLZ) Buy 100,587 PLZ 10/1/09-10/5/09 35,032,466 376,895 51,655 Polish Zloty (PLZ) Sell 7,595 PLZ 10/1/09-11/12/09 2,637,592 195 324,401 Swiss Franc (CHF) Buy 20,490 CHF 11/10/09 19,778,489 -- 31,753 Swiss Franc (CHF) Sell 19,210 CHF 11/10/09 18,542,937 93,074 -- ----------- ----------- 868,368 2,103,675 ----------- ----------- BARCLAY'S CAPITAL: Euro (EUR) Buy 7,620 EUR 11/10/09 11,150,442 194,813 1,738 Euro (EUR) Sell 104,820 EUR 10/5/09-1/27/10 153,372,862 15,407 5,104,335 Japanese Yen (JPY) Buy 1,810,000 JPY 12/18/09 20,174,823 350,069 -- Mexican Nuevo Peso (MXN) Buy 218,800 MXN 10/6/09 16,196,839 -- 482,787 Norwegian Krone (NOK) Buy 93,510 NOK 11/10/09 16,168,193 544,646 -- Norwegian Krone (NOK) Sell 16,000 NOK 11/10/09 2,766,454 -- 122,547 Polish Zloty (PLZ) Sell 15,950 PLZ 11/12/09 5,538,726 -- 627,256 South African Rand (ZAR) Buy 59,410 ZAR 11/17/09 7,835,766 6,700 17,935 ----------- ----------- 1,111,635 6,356,598 ----------- ----------- CITIGROUP: British Pound Sterling (GBP) Buy 275 GBP 10/2/09 439,976 1,340 -- Indian Rupee (INR) Buy 382,000 INR 10/20/09 7,929,022 23,065 -- Mexican Nuevo Peso (MXN) Sell 129,150 MXN 11/10/09 9,513,047 291,781 -- Singapore Dollar (SGD) Buy 1,770 SGD 11/10/09 1,256,134 28,430 -- ----------- ----------- 344,616 -- ----------- ----------- CREDIT SUISSE: British Pound Sterling (GBP) Buy 11,230 GBP 11/6/09-11/10/09 17,944,503 -- 699,585 British Pound Sterling (GBP) Sell 310 GBP 11/10/09 495,349 17,081 -- Japanese Yen (JPY) Buy 2,429,538 JPY 10/15/09-11/12/09 27,071,595 1,694,447 -- Mexican Nuevo Peso (MXN) Buy 24,393 MXN 10/1/09 1,807,253 9,722 -- New Turkish Lira (TRY) Buy 11,575 TRY 10/13/09 7,781,247 90,217 -- New Turkish Lira (TRY) Sell 28,950 TRY 10/13/09 19,461,520 -- 225,639 Russian Ruble (RUR) Sell 3,050 RUR 11/16/09 100,491 -- 8,982 South African Rand (ZAR) Buy 203,530 ZAR 10/5/09-11/17/09 26,908,961 369,588 272,561 Swedish Krona (SEK) Buy 67,600 SEK 11/10/09 9,699,599 140,577 1,827 ----------- ----------- 2,321,632 1,208,594 ----------- ----------- DEUTSCHE BANK CAPITAL CORP.: Australian Dollar (AUD) Buy 1,197 AUD 11/20/09 1,051,551 26,033 -- British Pound Sterling (GBP) Buy 2,550 GBP 11/20/09 4,074,582 -- 52,312 Canadian Dollar (CAD) Buy 4,440 CAD 11/20/09 4,147,300 38,282 --
39 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED Euro (EUR) Buy 16,935 EUR 11/20/09 24,780,836 -- 17,254 Euro (EUR) Sell 11,998 EUR 10/2/09-11/12/09 17,556,754 -- 485,204 Indian Rupee (INR) Buy 382,000 INR 10/20/09 7,929,022 21,756 -- Japanese Yen (JPY) Buy 2,964,000 JPY 11/10/09-11/20/09 33,028,804 662,283 32,104 Japanese Yen (JPY) Sell 1,303,000 JPY 11/10/09 14,519,579 -- 853,107 Swiss Franc (CHF) Buy 1,069 CHF 11/20/09 1,031,939 1,250 -- ----------- ----------- 749,604 1,439,981 ----------- ----------- GOLDMAN, SACHS & CO.: Brazilian Real (BRR) Buy 167,052 BRR 11/4/09-1/5/10 93,708,809 3,996,353 -- Brazilian Real (BRR) Sell 8,680 BRR 11/4/09 4,872,252 -- 43,323 South African Rand (ZAR) Buy 265,720 ZAR 11/17/09 35,046,619 -- 471,272 ----------- ----------- 3,996,353 514,595 ----------- ----------- HONG KONG & SHANGHAI BANK CORP.: Colombian Peso (COP) Sell 13,290,000 COP 11/3/09 6,897,776 -- 56,957 Israeli Shekel (ILS) Sell 13,785 ILS 10/30/09 3,660,674 -- 46,358 Mexican Nuevo Peso (MXN) Sell 197,530 MXN 10/6/09 14,622,311 326,568 -- ----------- ----------- 326,568 103,315 ----------- ----------- JP MORGAN CHASE: Argentine Peso (ARP) Buy 29,950 ARP 11/30/09 7,667,737 -- 11,750 Australian Dollar (AUD) Buy 11,660 AUD 11/10/09 10,251,887 492,467 -- Australian Dollar (AUD) Sell 17,900 AUD 11/10/09 15,738,317 -- 406,609 Euro (EUR) Sell 21,700 EUR 1/13/10 31,749,206 -- 1,500,708 Hong Kong Dollar (HKD) Sell 58,500 HKD 10/5/09 7,548,574 4,004 -- Indian Rupee (INR) Buy 765,000 INR 11/16/09 15,844,752 61,793 -- Indonesia Rupiah (IDR) Buy 342,466,000 IDR 10/13/09-10/26/09 35,286,743 661,726 -- Malaysian Ringgit (MYR) Buy 7,240 MYR 11/10/09 2,088,147 28,717 -- Mexican Nuevo Peso (MXN) Sell 142,350 MXN 11/10/09 10,485,345 326,608 -- Russian Ruble (RUR) Buy 3,050 RUR 11/16/09 100,491 7,446 -- South Korean Won (KRW) Buy 32,210,000 KRW 11/17/09 27,319,781 1,025,904 -- ----------- ----------- 2,608,665 1,919,067 ----------- ----------- MORGAN STANLEY & CO., INC. Brazilian Real (BRR) Buy 7,170 BRR 11/4/09 4,024,660 85,099 -- RBS GREENWICH CAPITAL: British Pound Sterling (GBP) Buy 2,470 GBP 12/18/09 3,946,536 24,695 -- Israeli Shekel (ILS) Sell 29,100 ILS 10/14/09 7,726,772 -- 48,671 Polish Zloty (PLZ) Buy 85,010 PLZ 10/5/09 29,607,320 926,484 -- Swiss Franc (CHF) Buy 33,140 CHF 11/10/09 31,989,220 549,062 2,934 Swiss Franc (CHF) Sell 14,910 CHF 11/10/09 14,392,253 1,574 373,574 ----------- ----------- 1,501,815 425,179 ----------- ----------- SANTANDER INVESTMENTS: Chilean Peso (CLP) Sell 4,137,000 CLP 10/28/09 7,546,384 138,207 -- Colombian Peso (COP) Sell 4,109,000 COP 10/27/09-10/29/09 2,134,155 -- 33,665 Mexican Nuevo Peso (MXN) Sell 771,723 MXN 10/1/09-10/30/09 57,028,881 1,294,987 7,998 ----------- ----------- 1,433,194 41,663 ----------- ----------- STATE STREET: British Pound Sterling (GBP) Sell 7,320 GBP 11/6/09 11,696,710 513,434 -- Canadian Dollar (CAD) Buy 11,630 CAD 11/10/09 10,863,243 113,868 620
40 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED Canadian Dollar (CAD) Sell 20,390 CAD 11/10/09 19,045,703 1,012 238,515 Euro (EUR) Sell 300,000 EUR 11/25/09-1/13/10 438,947,454 -- 15,479,954 Japanese Yen (JPY) Buy 1,303,000 JPY 11/10/09 14,519,579 174,730 -- Japanese Yen (JPY) Sell 356,000 JPY 11/10/09 3,966,976 -- 108,191 ----------- ----------- 803,044 15,827,280 ----------- ----------- WESTPAC: Australian Dollar (AUD) Buy 8,350 AUD 11/10/09 7,341,617 347,676 -- Australian Dollar (AUD) Sell 27,670 AUD 11/10/09 24,328,448 -- 843,031 Euro (EUR) Buy 232 EUR 10/1/09 338,875 825 -- New Zealand Dollar (NZD) Buy 13,250 NZD 11/10/09 9,541,708 156,659 -- New Zealand Dollar (NZD) Sell 33,160 NZD 11/10/09 23,879,476 -- 756,941 ----------- ----------- 505,160 1,599,972 ----------- ----------- Total unrealized appreciation and depreciation $19,507,697 $32,602,616 =========== ===========
FUTURES CONTRACTS AS OF SEPTEMBER 30, 2009 ARE AS FOLLOWS:
UNREALIZED NUMBER OF EXPIRATION APPRECIATION CONTRACT DESCRIPTION BUY/SELL CONTRACTS DATE VALUE (DEPRECIATION) --------------------------------------- -------- --------- ---------- ------------ --------------- Australia (Government of) Bonds, 10 yr. Sell 207 12/15/09 $ 19,056,644 $ 70,893 CAC40 10 Euro Index Buy 79 10/16/09 4,389,531 40,167 CAC40 10 Euro Index Sell 132 10/16/09 7,334,406 (67,172) DAX Index Buy 36 12/18/09 7,473,440 35,895 DAX Index Sell 39 12/18/09 8,096,227 (38,890) Euro-BOBL Buy 131 12/8/09 22,150,916 58,355 Euro-Bundesobligation Buy 120 12/8/09 21,402,482 87,056 FTSE 100 Index Buy 17 12/18/09 1,383,159 19,108 IBEX 35 Index Buy 27 10/16/09 4,633,612 57,770 Japan (Government of) Bonds, 10 yr. Buy 41 12/9/09 6,363,416 37,878 Japan (Government of) Bonds, 10 yr. Sell 21 12/10/09 32,597,783 (208,212) MSCI Sing Ix Ets Buy 93 10/29/09 4,235,885 77,337 NASDAQ 100 E-Mini Index Buy 456 12/18/09 15,663,600 308,074 NIKKEI 225 Index Buy 21 12/10/09 1,181,418 (31,889) NIKKEI 225 Index Sell 116 12/10/09 13,064,780 270,473 SGX CNX NIFTY Index Sell 407 10/29/09 4,129,422 44,507 SPI 200 Index Buy 42 12/17/09 4,397,193 137,412 Standard & Poor's 500 E-Mini Index Sell 1,146 12/18/09 60,331,170 (901,214) Standard & Poor's/MIB Index, 10 yr. Buy 25 12/18/09 4,284,345 91,187 U.S. Treasury Long Bonds Buy 2,388 12/21/09 289,843,500 4,270,938 U.S. Treasury Long Bonds Sell 204 12/21/09 24,760,500 (426,667) U.S. Treasury Nts., 2 yr. Buy 1,292 12/31/09 280,323,625 217,367 U.S. Treasury Nts., 5 yr. Buy 1,786 12/31/09 207,343,438 2,186,533 U.S. Treasury Nts., 5 yr. Sell 861 12/31/09 99,956,719 (1,302,176) U.S. Treasury Nts., 10 yr. Buy 2,961 12/21/09 350,369,578 4,004,240 U.S. Treasury Nts., 10 yr. Sell 2,447 12/21/09 289,548,922 (3,781,490) United Kingdom Long Gilt Sell 10 12/29/09 1,894,777 1,953 ----------- $ 5,259,433 ===========
41 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED CREDIT DEFAULT SWAP CONTRACTS AS OF SEPTEMBER 30, 2009 ARE AS FOLLOWS:
PAY/ UPFRONT BUY/SELL NOTIONAL RECEIVE PAYMENT UNREALIZED REFERENCE ENTITY/ CREDIT AMOUNT FIXED TERMINATION RECEIVED/ APPRECIATION SWAP COUNTERPARTY PROTECTION (000'S) RATE DATE (PAID) VALUE (DEPRECIATION) ----------------- ---------- -------- ------- ----------- ---------- ------------ -------------- BOLIVARIAN REPUBLIC OF VENEZUELA: Barclays Bank plc Sell $ 1,360 30.50% 1/20/10 $ -- $ 170,144 $ 170,144 Morgan Stanley Capital Services, Inc. Sell 1,360 30.00 1/20/10 -- 166,737 166,737 ------- ---------- ------------ ----------- Total 2,720 -- 336,881 336,881 ------- ---------- ------------ ----------- CAPITAL ONE BANK USA JPMorgan Chase Bank NA, NY Branch Sell 6,500 1.00 9/20/14 (20,132) 61,633 41,501 ------- ---------- ------------ ----------- Total 6,500 (20,132) 61,633 41,501 ------- ---------- ------------ ----------- CARDINAL HEALTH, INC. Barclays Bank plc Buy 6,150 1.00 9/20/14 160,665 (174,628) (13,963) ------- ---------- ------------ ----------- Total 6,150 160,665 (174,628) (13,963) ------- ---------- ------------ ----------- CDX EMERGING MARKETS INDEX, SERIES 11: Barclays Bank plc Buy 15,600 5.00 6/20/14 1,372,367 (1,683,736) (311,369) Goldman Sachs International Buy 7,800 5.00 6/20/14 686,183 (841,868) (155,685) JPMorgan Chase Bank NA, London Branch Buy 15,600 5.00 6/20/14 1,364,567 (1,683,736) (319,169) ------- ---------- ------------ ----------- Total 39,000 3,423,117 (4,209,340) (786,223) ------- ---------- ------------ ----------- CDX NORTH AMERICA HIGH YIELD INDEX, SERIES 12: Credit Suisse International Sell 5,922 5.00 6/20/14 704,471 (394,755) 309,716 JPMorgan Chase Bank NA, NY Branch Sell 4,418 5.00 6/20/14 527,706 (294,500) 233,206 ------- ---------- ------------ ----------- Total 10,340 1,232,177 (689,255) 542,922 ------- ---------- ------------ ----------- CEMEX SAB DE CV UBS AG Buy 1,535 5.30 10/20/13 -- (37,048) (37,048) ------- ---------- ------------ ----------- Total 1,535 -- (37,048) (37,048) ------- ---------- ------------ ----------- CIT GROUP, INC. Barclays Bank plc Sell 6,560 5.00 9/20/14 2,871,458 (2,262,221) 609,237 ------- ---------- ------------ ----------- Total 6,560 2,871,458 (2,262,221) 609,237 ------- ---------- ------------ ----------- CONOCOPHILLIPS Barclays Bank plc Buy 6,560 1.00 9/20/14 177,584 (161,133) 16,451 ------- ---------- ------------ ----------- Total 6,560 177,584 (161,133) 16,451 ------- ---------- ------------ ----------- DEVELOPMENT BANK OF KAZAKHSTAN JSC Credit Suisse International Sell 8,170 3.75 2/20/13 -- (887,895) (887,895) ------- ---------- ------------ ----------- Total 8,170 -- (887,895) (887,895) ------- ---------- ------------ ----------- DEVON ENERGY Barclays Bank plc Buy 6,150 1.00 9/20/14 125,076 (145,194) (20,118) ------- ---------- ------------ ----------- Total 6,150 125,076 (145,194) (20,118) ------- ---------- ------------ ----------- GOVERNMENT OF HUNGARY Credit Suisse International Sell 4,600 2.70 9/20/10 -- 27,273 27,273 ------- ---------- ------------ ----------- Total 4,600 -- 27,273 27,273 ------- ---------- ------------ ----------- HALLIBURTON CO. Deutsche Bank AG Buy 6,150 1.00 9/20/14 152,743 (145,194) 7,549 ------- ---------- ------------ ----------- Total 6,150 152,743 (145,194) 7,549 ------- ---------- ------------ ----------- HSBK EUROPE BV Credit Suisse International Sell 1,600 4.95 3/20/13 -- (129,580) (129,580) Morgan Stanley Capital Services, Inc. Sell 3,200 4.88 3/20/13 -- (265,311) (265,311)
42 | Oppenheimer Strategic Bond Fund/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED Morgan Stanley Capital Services, Inc. Sell 3,200 4.78 3/20/13 -- (274,098) (274,098) ------- ---------- ------------ ----------- Total 8,000 -- (668,989) (668,989) ------- ---------- ------------ ----------- INTERNATIONAL PAPER CO. Goldman Sachs International Sell 6,150 1.00 9/20/14 441,463 (136,344) 305,119 ------- ---------- ------------ ----------- Total 6,150 441,463 (136,344) 305,119 ------- ---------- ------------ ----------- INTERNATIONAL LEASE FINANCE CORP.: Deutsche Bank AG Sell 3,125 5.00 9/20/14 514,323 (354,318) 160,005 Deutsche Bank AG Sell 3,435 5.00 9/20/14 468,496 (389,466) 79,030 ------- ---------- ------------ ----------- Total 6,560 982,819 (743,784) 239,035 ------- ---------- ------------ ----------- ISLAMIC REPUBLIC OF PAKISTAN Citibank NA, New York Sell 1,570 5.10 3/20/13 -- (307,156) (307,156) ------- ---------- ------------ ----------- Total 1,570 -- (307,156) (307,156) ------- ---------- ------------ ----------- ISTANBUL BOND CO. SA Morgan Stanley Capital Services, Inc. Sell 5,180 1.30 3/24/13 -- (695,278) (695,278) ------- ---------- ------------ ----------- Total 5,180 -- (695,278) (695,278) ------- ---------- ------------ ----------- LOCKHEED MARTIN CORP. UBS AG Buy 6,560 1.00 9/20/14 226,752 (208,399) 18,353 ------- ---------- ------------ ----------- Total 6,560 226,752 (208,399) 18,353 ------- ---------- ------------ ----------- REPUBLIC OF PERU Deutsche Bank AG Buy 1,900 1.71 12/20/16 -- (45,253) (45,253) ------- ---------- ------------ ----------- Total 1,900 -- (45,253) (45,253) ------- ---------- ------------ ----------- REPUBLIC OF TURKEY: Citibank NA, New York Buy 3,250 5.25 12/20/13 -- (464,849) (464,849) Goldman Sachs International Buy 6,500 5.29 12/20/13 -- (940,358) (940,358) ------- ---------- ------------ ----------- Total 9,750 -- (1,405,207) (1,405,207) ------- ---------- ------------ ----------- RUSSIAN FEDERATION Citibank NA, New York Sell 10,000 0.36 1/20/11 -- (217,454) (217,454) ------- ---------- ------------ ----------- Total 10,000 -- (217,454) (217,454) ------- ---------- ------------ ----------- STANDARD BANK LONDON HOLDINGS PLC FOR NAK NAFTOGAZ UKRAINY Credit Suisse International Sell 2,570 3.25 4/20/11 -- (1,159,403) (1,159,403) ------- ---------- ------------ ----------- Total 2,570 -- (1,159,403) (1,159,403) ------- ---------- ------------ ----------- TROY CAPITAL SA FOR YASAR HOLDINGS SA: Morgan Stanley Capital Services, Inc. Sell 1,340 8.75 6/20/10 -- (445,253) (445,253) Morgan Stanley Capital Services, Inc. Sell 1,340 8.50 10/20/09 -- (6,288) (6,288) ------- ---------- ------------ ----------- Total 2,680 -- (451,541) (451,541) ------- ---------- ------------ ----------- UNITED MEXICAN STATES Goldman Sachs International Buy 3,080 1.35 9/20/14 -- 40,123 40,123 ------- ---------- ------------ ----------- Total 3,080 -- 40,123 40,123 ------- ---------- ------------ ----------- XL CAPITAL LTD. Deutsche Bank AG Sell 6,150 5.00 9/20/14 (178,589) 942,032 763,443 ------- ---------- ------------ ----------- Total 6,150 (178,589) 942,032 763,443 ------- ---------- ------------ ----------- Grand Total Buys 4,265,937 (6,491,273) (2,225,336) Grand Total Sells 5,329,196 (6,851,501) (1,522,305) ---------- ------------ ----------- Total Credit Default Swaps $9,595,133 $(13,342,774) $(3,747,641) ========== ============ ===========
The table that follows shows the undiscounted maximum potential payment by the Fund related to selling credit protection in credit default swaps: 43 | Oppenheimer Strategic Bond Fund/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
TOTAL MAXIMUM POTENTIAL PAYMENTS FOR REFERENCE SELLING CREDIT ASSET RATING TYPE OF REFERENCE ASSET ON WHICH THE FUND SOLD PROTECTION PROTECTION (UNDISCOUNTED) AMOUNT RECOVERABLE* RANGE** --------------------------------------------------------- ------------------------- ------------------- ------------ Investment Grade Single Name Corporate Debt $25,360,000 $-- A to BBB Investment Grade Sovereign Debt 27,950,000 -- BBB+ to BBB- Non-Investment Grade Sovereign Debt 17,540,000 -- BB- to D Non-Investment Grade Corporate Debt Indexes 10,340,000 -- B Non-Investment Grade Single Name Corporate Debt 6,560,000 -- CC ----------- --- Total $87,750,000 $-- =========== ===
* The Fund has no amounts recoverable from related purchased protection. In addition, the Fund has no recourse provisions under the credit derivatives and holds no collateral which can offset or reduce potential payments under a triggering event. ** The period end reference asset security ratings, as rated by any rating organization, are included in the equivalent Standard & Poor's rating category. The reference asset rating represents the likelihood of a potential credit event on the reference asset which would result in a related payment by the Fund. INTEREST RATE SWAP CONTRACTS AS OF SEPTEMBER 30, 2009 ARE AS FOLLOWS:
NOTIONAL INTEREST RATE/ AMOUNT PAID BY RECEIVED BY TERMINATION SWAP COUNTERPARTY (000'S) THE FUND THE FUND DATE VALUE ----------------- -------- --------------------- ----------- ----------- ---------- BZDI: Banco Santander Central Hispano SA 4,420 BRR BZDI 14.000% 1/3/12 $ 219,498 Goldman Sachs Group, Inc. (The) 30,100 BRR BZDI 12.800 1/2/17 357,119 Goldman Sachs International 2,640 BRR BZDI 14.100 1/2/17 64,578 Goldman Sachs International 17,000 BRR BZDI 13.900 1/2/17 415,999 J Aron & Co. 43,800 BRR BZDI 10.670 1/2/12 (462,408) J Aron & Co. 4,035 BRR BZDI 14.160 1/2/17 157,984 J Aron & Co. 8,790 BRR BZDI 12.920 1/2/14 236,019 J Aron & Co. 4,390 BRR BZDI 12.870 1/2/14 113,427 J Aron & Co. 19,400 BRR BZDI 12.390 1/2/12 288,186 J Aron & Co. 6,910 BRR BZDI 12.260 1/2/15 (3,642) J Aron & Co. 3,160 BRR BZDI 12.290 1/2/15 (1,629) J Aron & Co. 4,420 BRR BZDI 14.050 1/2/12 221,716 J Aron & Co. 7,700 BRR BZDI 14.300 1/2/17 303,449 JPMorgan Chase Bank NA 19,400 BRR BZDI 12.380 1/2/12 287,200 JPMorgan Chase Bank NA 17,080 BRR BZDI 13.900 1/2/17 418,111 JPMorgan Chase Bank NA 8,750 BRR BZDI 13.910 1/2/12 436,216 JPMorgan Chase Bank NA 15,800 BRR BZDI 13.900 1/2/17 479,199 Morgan Stanley 12,300 BRR BZDI 12.810 1/2/17 56,945 Morgan Stanley 12,860 BRR BZDI 15.000 1/2/17 510,930 Morgan Stanley 32,000 BRR BZDI 13.900 1/2/17 970,531 Morgan Stanley 17,000 BRR BZDI 12.050 1/2/12 250,711 ------- ---------- Total 291,955 BRR 5,320,139 ------- ---------- CAD BA CDOR: JPMorgan Chase Bank NA 9,470 CAD Six-Month CAD BA CDOR 3.620 8/6/19 197,599 JPMorgan Chase Bank NA 11,525 CAD Six-Month CAD BA CDOR 3.000 4/30/19 (255,195) ------- ---------- Total 20,995 CAD (57,596) ------- ---------- DKK CIBOR DKNA13
44 | Oppenheimer Strategic Bond Fund/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED Six-Month Barclays Bank plc 101,395 DKK 3.850% DKK CIBOR DKNA13 8/7/19 (197,607) EUR EURIBOR REUTERS: Six-Month EUR JPMorgan Chase Bank NA 1,890 EUR 3.480 EURIBOR Reuters 9/10/19 (10,612) Six-Month EUR JPMorgan Chase Bank NA 1,880 EUR 3.530 EURIBOR Reuters 9/11/19 (22,095) Six-Month EUR JPMorgan Chase Bank NA 2,940 EUR 3.550 EURIBOR Reuters 9/14/19 (40,717) --------- ----------- Total 6,710 EUR (73,424) --------- ----------- HUF BUBOR REUTERS: Six-Month HUF Barclays Bank plc 1,433,000 HUF BUBOR Reuters 7.820 9/19/13 229,496 Six-Month HUF Barclays Bank plc 866,000 HUF BUBOR Reuters 7.180 10/8/18 173,535 Six-Month HUF Citibank NA 852,000 HUF BUBOR Reuters 7.200 10/8/18 177,127 Six-Month HUF Citibank NA 853,000 HUF BUBOR Reuters 7.180 10/3/18 172,640 Six-Month HUF JPMorgan Chase Bank NA 866,000 HUF BUBOR Reuters 7.200 10/6/18 180,037 Six-Month HUF JPMorgan Chase Bank NA 666,000 HUF BUBOR Reuters 7.890 9/12/13 112,508 Six-Month HUF JPMorgan Chase Bank NA 1,142,000 HUF BUBOR Reuters 8.480 6/6/13 243,534 Six-Month HUF JPMorgan Chase Bank NA 753,000 HUF BUBOR Reuters 7.880 8/12/13 148,502 --------- ----------- Total 7,431,000 HUF 1,437,379 --------- ----------- ILS TELBOR01 REUTERS: Three-Month ILS Credit Suisse International 6,220 ILS TELBOR01 Reuters 4.650 12/22/18 (45,537) Three-Month ILS Credit Suisse International 6,640 ILS TELBOR01 Reuters 4.940 12/15/18 13,728 Three-Month ILS UBS AG 15,300 ILS TELBOR01 Reuters 5.880 8/28/10 184,660 Three-Month ILS UBS AG 15,550 ILS TELBOR01 Reuters 5.850 9/4/18 181,303 Three-Month ILS UBS AG 17,164 ILS TELBOR01 Reuters 4.780 1/7/19 (79,543) Three-Month ILS UBS AG 16,930 ILS TELBOR01 Reuters 5.036 12/12/18 23,364 --------- ----------- Total 77,804 ILS 277,975 --------- ----------- JPY BBA LIBOR : Six-Month JPY Citibank NA 536,100 JPY 1.236 BBA LIBOR 3/10/19 63,336 Six-Month JPY JPMorgan Chase Bank NA 536,100 JPY 1.268 BBA LIBOR 3/6/19 45,186 Six-Month JPY JPMorgan Chase Bank NA 796,100 JPY 1.484 BBA LIBOR 8/7/19 (85,404)
45 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED --------- ----------- Total 1,868,300 JPY 23,118 --------- ----------- MXN TIIE BANXICO: Banco Santander SA, Inc. 90,600 MXN MXN TIIE BANXICO 8.540 9/27/13 349,659 Banco Santander SA, Inc. 97,800 MXN MXN TIIE BANXICO 8.060 2/6/14 286,639 Citibank NA 175,200 MXN MXN TIIE BANXICO 8.920 11/24/11 653,615 Credit Suisse International 35,800 MXN MXN TIIE BANXICO 8.560 9/27/13 118,331 Goldman Sachs Group, Inc. (The) 54,800 MXN MXN TIIE BANXICO 8.540 9/27/13 211,494 Goldman Sachs Group, Inc. (The) 227,000 MXN MXN TIIE BANXICO 6.250 6/7/11 (56,712) Goldman Sachs Group, Inc. (The) 280,800 MXN MXN TIIE BANXICO 6.000 6/6/11 (81,911) Goldman Sachs Group, Inc. (The) 174,000 MXN MXN TIIE BANXICO 9.350 11/18/11 740,528 Goldman Sachs Group, Inc. (The) 563,000 MXN MXN TIIE BANXICO 10.000 11/11/11 1,027,349 Goldman Sachs Group, Inc. (The) 212,800 MXN MXN TIIE BANXICO 9.270 11/21/11 865,957 Goldman Sachs Group, Inc. (The) 211,300 MXN MXN TIIE BANXICO 9.080 11/22/11 821,701 JPMorgan Chase Bank NA 560,000 MXN MXN TIIE BANXICO 10.000 11/11/11 1,021,874 JPMorgan Chase Bank NA 171,100 MXN MXN TIIE BANXICO 8.920 11/24/11 638,320 --------- ----------- Total 2,854,200 MXN 6,596,844 --------- ----------- PLZ WIBOR WIBO: Six-Month PLZ Goldman Sachs Group, Inc. (The) 21,640 PLZ WIBOR WIBO 5.330 10/6/18 166,999 Six-Month PLZ Goldman Sachs Group, Inc. (The) 21,700 PLZ WIBOR WIBO 5.320 10/3/18 162,298 Six-Month PLZ JPMorgan Chase Bank NA 8,475 PLZ WIBOR WIBO 5.650 9/11/19 47,092 Six-Month PLZ JPMorgan Chase Bank NA 12,700 PLZ WIBOR WIBO 5.690 9/14/19 84,220 Six-Month PLZ JPMorgan Chase Bank NA 8,500 PLZ WIBOR WIBO 5.600 9/10/19 38,231 --------- ----------- Total 73,015 PLZ 498,840 --------- ----------- USD BBA LIBOR Three-Month Goldman Sachs Group, Inc. (The) 19,600 USD BBA LIBOR 3.910 8/7/19 921,278 --------- ----------- ZAR JIBAR SAFEX: Three-Month Barclays Bank plc 94,370 ZAR ZAR JIBAR SAFEX 7.450 9/22/11 1,319 Three-Month Goldman Sachs Group, Inc. (The) 63,820 ZAR ZAR JIBAR SAFEX 7.500 9/23/11 901 --------- ----------- Total 158,190 ZAR 2,220 ----------- Total Interest Rate Swaps $14,749,166 ===========
46 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED Notional amount is reported in U.S. Dollars (USD), except for those denoted in the following currencies: BRR Brazilian Real CAD Canadian Dollar DKK Danish Krone EUR Euro HUF Hungarian Forint ILS Israeli Shekel JPY Japanese Yen MXN Mexican Nuevo Peso PLZ Polish Zloty ZAR South African Rand Abbreviations/Definitions are as follows: BA CDOR Canada Bankers Acceptances Deposit Offering Rate BANIXCO Banco de Mexico BBA LIBOR British Bankers' Association London-Interbank Offered Rate BUBOR Budapest Interbank Offered Rate BZDI Brazil Interbank Deposit Rate CIBOR Copenhagen Interbank Offered Rate DKNA13 Reuters 12-Month CIBOR EURIBOR Euro Interbank Offered Rate JIBAR South Africa Johannesburg Interbank Agreed Rate SAFEX South African Futures Exchange TIIE Interbank Equilibrium Interest Rate TELBOR01 Tel Aviv Interbank Offered Rate 1 Month WIBOR WIBO Poland Warsaw Interbank Offer Bid Rate TOTAL RETURN SWAP CONTRACTS AS OF SEPTEMBER 30, 2009 ARE AS FOLLOWS:
NOTIONAL AMOUNT TERMINATION REFERENCE ENTITY/ SWAP COUNTERPARTY (000'S) PAID BY THE FUND RECEIVED BY THE FUND DATE VALUE ----------------------------------- -------------- ------------------------------- -------------------- ----------- ---------- AMEX CYCLICAL/TRANSPORTATION SELECT INDEX One-Month BBA LIBOR plus 15 basis points and if negative, If positive, the the absolutevalue of the Total Total Return of the Return of the AMEX AMEX Cyclical/ Cyclical/Transportation Select Transportation Deutsche Bank AG $ 3,404 Index Select Index 10/5/09 $ 267,384 AMEX FINANCIAL SELECT INDEX One-month BBA LIBOR minus 10 basis points and if negative, If positive, the absolute value of the Total Total Return of the Return of the AMEX Financial AMEX Financial UBS AG 3,361 Select Index Select Index 9/9/10 235,576 AMEX UTILITY SELECT INDEX
47 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED One-Month BBA LIBOR plus 20 basis points and if negative, If positive, the the absolute value of the Total Total Return of the Return of the AMEX Utility AMEX Utility Select Deutsche Bank AG 3,371 Select Index Index 10/5/09 117,226 CUSTOM BASKET OF SECURITIES: One-Month JPY BBA LIBOR plus 40 basis points and if negative, If positive, the the absolute value of the Total Total Return of a Return of a custom basket of custom basket of Citibank NA, New York 1,091,105 JPY securities securities 4/14/10 (826,442) One-Month BBA LIBOR plus 35 basis points and if negative, If positive, the the absolute value of the Total Total Return of a Return of a custom basket of custom basket of Deutsche Bank AG, London 40,687 securities securities 3/5/10 3,186,401 One-Month EUR BBA LIBOR plus 25 basis points and if negative, If positive, the the absolute value of the Total Total Return of a Return of a custom basket of custom basket of Morgan Stanley 5,586 EUR securities securities 3/5/10 344,626 One-Month EUR BBA LIBOR plus 30 basis points and if negative, If positive, the the absolute value of the Total Total Return of a Return of a custom basket of custom basket of Morgan Stanley International 5,556 EUR securities securities 10/7/09 993,019 ---------- Reference Entity Total 3,697,604 EACH OF JSC "RUSHYDRO" (OPEN JOINT STOCK COMPANY, FEDERAL HYDROGENERATION COMPANY) AND OJSC SARATOVSKAYA HPP AND ANY SUCCESSOR(S) TO THESE REFERENCE ENTITIES 7.75% from debt obligations of JSC Rushydro and OJSC Morgan Stanley Capital Services, Inc. 271,430 RUR Three-Month USD BBA LIBOR Saratovskaya HPP 12/26/13 (980,756) KOREA STOCK PRICE INDEX 200 If negative, the absolute value of If positive, the Total Return the Total Return of Citibank NA 5,407,275 KRW of the KOSPI 200 Index the KOSPI 200 Index 12/14/09 (201,567) MSCI DAILY TR GROSS NORWAY INDEX One-Month BBA LIBOR minus 90 basis points and if negative, the absolute value of If positive, the Total Return the Total Return of of the MSCI Daily Gross Norway the MSCI Daily Gross Morgan Stanley 3,770 Index Norway Index 7/12/10 (535,727) MSCI DAILY TR NET BELGIUM USD INDEX
48 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED One-Month BBA LIBOR minus 95 basis points and if negative, the absolute value of If positive, the Total Return the Total Return of of the MSCI Daily Net Belgium the MSCI Daily Net UBS AG 4,004 USD Index Belgium USD Index 8/6/10 (322,111) MSCI DAILY TR NET EMERGING MARKETS USD One-Month BBA LIBOR plus 100 If positive, the basis points and if negative, Total Return of the the absolute value of the Total MSCI Daily Net Return of the MSCI Daily Net Emerging Markets USD UBS AG 8,106 Emerging Markets USD Index Index 5/12/10 886,786 S&P CITIGROUP GROWTH INDEX One-Month BBA LIBOR minus 35 basis points and if negative, the absolute value of the Total Return of If positive, the Total Returnof the S&P Citigroup Morgan Stanley 10,079 the S&P Citigroup Growth Index Growth Index 9/14/10 (602,633) ---------- Total of Total Return Swaps $2,561,782 ==========
Notional amount is reported in U.S. Dollars (USD), except for those denoted in the following currencies: EUR Euro JPY Japanese Yen KRW South Korean Won RUR Russian Ruble Abbreviations are as follows: BBA LIBOR British Bankers' Association London-Interbank Offered Rate KOSPI 200 Korean Stock Price Index MSCI Morgan Stanley Capital International S&P Standard & Poor's TR Total Return CURRENCY SWAPS AS OF SEPTEMBER 30, 2009 ARE AS FOLLOWS:
NOTIONAL AMOUNT TERMINATION REFERENCE ENTITY/ SWAP COUNTERPARTY (000'S) PAID BY THE FUND RECEIVED BY THE FUND DATE VALUE ----------------------------------- -------------- ------------------------------- -------------------- ----------- ---------- COP TRM (COP02) 6.44% of the USD equivalent 12.51% of the Deutsche Bank AG 3,360,000 COP notional at inception of trade COP notional 3/18/19 $ 123 ---------- Total Currency Swaps $ 123 ==========
Notional amount is reported in U.S. Dollars (USD), except for those denoted in the following currency: 49 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS September 30, 2009 / Unaudited COP Colombian Peso Abbreviations/Definitions are as follows: BBA LIBOR British Bankers' Association London-Interbank Offered Rate TRM Tasa Representativa del Mercado The following table aggregates, as of period end, the amount receivable from/(payable to) each counterparty with whom the Fund has entered into a swap agreement. Swaps are individually disclosed in the preceding tables. SWAP SUMMARY AS OF SEPTEMBER 30, 2009 IS AS FOLLOWS:
NOTIONAL SWAP TYPE FROM AMOUNT SWAP COUNTERPARTY FUND PERSPECTIVE (000'S) VALUE ----------------- ------------------------------ ------------- ----------- Banco Santander Central Hispano SA Interest Rate 4,420 BRR $ 219,498 Banco Santander SA, Inc. Interest Rate 188,400 MXN 636,298 Barclays Bank plc: Credit Default Buy Protection 34,460 (2,164,691) Credit Default Sell Protection 7,920 (2,092,077) Interest Rate 101,395 DKK (197,607) Interest Rate 2,299,000 HUF 403,031 Interest Rate 94,370 ZAR 1,319 ----------- (4,050,025) ----------- Citibank NA: Interest Rate 1,705,000 HUF 349,767 Interest Rate 536,100 JPY 63,336 Interest Rate 175,200 MXN 653,615 Total Return 5,407,275 KRW (201,567) ----------- 865,151 ----------- Citibank NA, New York: Credit Default Buy Protection 3,250 (464,849) Credit Default Sell Protection 11,570 (524,610) Total Return 1,091,105 JPY (826,442) ----------- (1,815,901) ----------- Credit Suisse International: Credit Default Sell Protection 22,862 (2,544,360) Interest Rate 12,860 ILS (31,809) Interest Rate 35,800 MXN 118,331 ----------- (2,457,838) ----------- Deutsche Bank AG: Credit Default Buy Protection 8,050 (190,447) Credit Default Sell Protection 12,710 198,248 Currency 3,360,000 COP 123 Total Return 6,775 384,610 ----------- 392,534 ----------- Deutsche Bank AG, London Total Return 40,687 3,186,401 ----------- Goldman Sachs Group, Inc. (The):
50 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED Interest Rate 30,100 BRR 357,119 Interest Rate 1,723,700 MXN 3,528,406 Interest Rate 43,340 PLZ 329,297 Interest Rate 19,600 921,278 Interest Rate 63,820 ZAR 901 ----------- 5,137,001 ----------- Goldman Sachs International: Credit Default Buy Protection 17,380 (1,742,103) Credit Default Sell Protection 6,150 (136,344) Interest Rate 19,640 BRR 480,577 ----------- (1,397,870) ----------- J Aron & Co. Interest Rate 102,605 BRR 853,102 ----------- JPMorgan Chase Bank NA, London Branch Credit Default Buy Protection 15,600 (1,683,736) ----------- JPMorgan Chase Bank NA, NY Branch Credit Default Sell Protection 10,918 (232,867) ----------- JPMorgan Chase Bank NA: Interest Rate 61,030 BRR 1,620,726 Interest Rate 20,995 CAD (57,596) Interest Rate 6,710 EUR (73,424) Interest Rate 3,427,000 HUF 684,581 Interest Rate 1,332,200 JPY (40,218) Interest Rate 731,100 MXN 1,660,194 Interest Rate 29,675 PLZ 169,543 ----------- 3,963,806 ----------- Morgan Stanley: Interest Rate 74,160 BRR 1,789,117 Total Return 5,586 EUR 344,626 Total Return 13,849 (1,138,360) ----------- 995,383 ----------- Morgan Stanley Capital Services, Inc.: Credit Default Sell Protection 15,620 (1,519,491) Total Return 271,430 RUR (980,756) ----------- (2,500,247) ----------- Morgan Stanley International Total Return 5,556 EUR 993,019 ----------- UBS AG: Credit Default Buy Protection 8,095 (245,447) Interest Rate 64,944 ILS 309,784 Total Return 15,471 800,251 ----------- 864,588 ----------- Total Swaps $ 3,968,297 ===========
Notional amount is reported in U.S.Dollars (USD), except for those denoted in the following currencies: BRR Brazilian Real CAD Canadian Dollar COP Colombian Peso DKK Danish Krone EUR Euro 51 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED HUF Hungarian Forint ILS Israeli Shekel JPY Japanese Yen KRW South Korean Won MXN Mexican Nuevo Peso PLZ Polish Zloty RUR Russian Ruble ZAR South African Rand NOTES TO 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 trading. Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Unadjusted quoted prices in active markets for identical securities are classified as "Level 1," inputs other than unadjusted quoted prices for an asset that are observable are classified as "Level 2" and significant unobservable inputs, including the Manager's judgment about the assumptions that a market participant would use in pricing an asset or liability are classified as "Level 3." The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. A table summarizing the Fund's investments under these levels of classification is included following the Statement of Investments. Securities are valued using unadjusted quoted market prices, when available, as supplied primarily either by portfolio pricing services approved by the Board of Trustees or dealers. Securities traded on a registered U.S. securities exchange are valued based on the last sale price of the security reported on the principal exchange on which traded, prior to the time when the Fund's assets are valued. Securities whose principal exchange is NASDAQ(R) are valued based on the official closing prices reported 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 current day's closing "bid" and "asked" prices, and if not, at the current day's closing bid price. A foreign security traded on a foreign exchange is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the portfolio pricing service used by the Manager, prior to the time when the Fund's assets are valued. In the absence of a sale, the security is valued at the most recent official closing price on the principal exchange on which it is traded. Shares of a registered investment company that are not traded on an exchange are valued at that investment company's net asset value per share. Corporate, government and municipal debt instruments having a remaining maturity in excess of sixty days and all mortgage-backed securities, collateralized mortgage obligations and other asset-backed securities are valued at the mean between the "bid" and "asked" prices. "Money market-type" debt instruments with remaining maturities of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. In the absence of a readily available unadjusted quoted market price, including for 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 the securities' respective exchanges, the Manager, acting through its internal valuation committee, in good faith determines the fair valuation of that asset using consistently applied procedures under the supervision of the Board of Trustees (which reviews those fair valuations by the Manager). Those procedures include certain standardized methodologies to fair value securities. Such methodologies include, but are not limited to, pricing securities initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities 52 | Oppenheimer Strategic Bond Fund/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED which may be adjusted for any discounts related to resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. There have been no significant changes to the fair valuation methodologies during the period. STRUCTURED SECURITIES. The Fund invests in structured securities whose market values, interest rates and/or redemption prices are linked to the performance of underlying foreign currencies, interest rate spreads, stock market indices, prices of individual securities, commodities or other financial instruments or the occurrence of other specific events. The structured securities are often leveraged, increasing the volatility of each note's market value relative to the change in the underlying linked financial element or event. Fluctuations in value of these securities are recorded as unrealized gains and losses in the accompanying Statement of Operations in the annual and semiannual reports. The Fund records a realized gain or loss when a structured security is sold or matures. EVENT-LINKED BONDS. The Fund may invest in "event-linked" bonds. Event-linked bonds, which are sometimes referred to as "catastrophe" bonds, are fixed income securities for which the return of principal and payment of interest is contingent on the non-occurrence of a specific trigger event, such as a hurricane, earthquake, or other occurrence that leads to physical or economic loss. If the trigger event occurs prior to maturity, the Fund may lose all or a portion of its principal in addition to interest otherwise due from the security. Event-linked bonds may expose the Fund to certain other risks, including issuer default, adverse regulatory or jurisdictional interpretations, liquidity risk and adverse tax consequences. The Fund records the net change in market value of event-linked bonds on the Statement of Operations in the annual and semiannual reports as a change in unrealized appreciation or depreciation on investments. The Fund records a realized gain or loss on the Statement of Operations in the annual and semiannual reports upon the sale or maturity of such securities. SECURITIES ON A WHEN-ISSUED OR DELAYED DELIVERY BASIS. The Fund may purchase securities on a "when-issued" basis, and may purchase or sell securities on a "delayed delivery" basis. "When-issued" or "delayed delivery" refers to securities whose terms and indenture are available and for which a market exists, but which are not available for immediate delivery. Delivery and payment for securities that have been purchased by the Fund on a when-issued basis normally takes place within six months and possibly as long as two years or more after the 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 purchase of securities on a when-issued basis may increase the volatility of the Fund's net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. When the Fund engages in when-issued or delayed delivery transactions, it relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do so may cause the Fund to lose the opportunity to obtain or dispose of the security at a price and yield it considers advantageous. The Fund maintains internally designated assets with a market value equal to or greater than the amount of its purchase commitments. 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 September 30, 2009, the Fund had purchased securities issued on a when-issued or delayed delivery basis and sold securities issued on a delayed delivery basis as follows:
WHEN-ISSUED OR DELAYED DELIVERY BASIS TRANSACTIONS -------------------------------- Purchased securities $175,346,715 Sold securities 33,425,147
The Fund may enter into "forward roll" transactions with respect to mortgage-related securities. In this type of transaction, the Fund sells a mortgage-related security to a buyer and simultaneously agrees to repurchase a similar security (same type, coupon and maturity) at a later date at a set price. During the period between the sale and the repurchase, the Fund will not be entitled to receive interest and principal payments on the securities that have been sold. The Fund records the incremental difference between the forward purchase and sale of each forward roll as realized gain (loss) on 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. 53 | Oppenheimer Strategic Bond Fund/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED Forward roll transactions may be deemed to entail embedded leverage since the Fund purchases mortgage-related securities with extended settlement dates rather than paying for the securities under a normal settlement cycle. This embedded leverage increases the Fund's market value of investments relative to its net assets which can incrementally increase the volatility of the Fund's performance. Forward roll transactions can be replicated over multiple settlement periods. 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; and counterparty credit risk. To assure its future payment of the purchase price, the Fund maintains internally designated assets with a market value equal to or greater than the payment obligation under the roll. CREDIT RISK. The Fund invests in high-yield, non-investment-grade bonds, which may be subject to a greater degree of credit risk. Credit risk relates to the ability of the issuer to meet interest or principal payments or both as they become due. The Fund may acquire securities in default, and is not obligated to dispose of securities whose issuers subsequently default. Information concerning securities in default as of September 30, 2009 is as follows: Cost $37,958,668 Market Value $ 7,766,377 Market Value as a % of Net Assets 0.18%
FOREIGN CURRENCY TRANSLATION. The Fund's accounting records are maintained in U.S. dollars. The values of securities denominated in foreign currencies and amounts related to the purchase and sale of foreign securities and foreign investment income are translated into U.S. dollars as of the close of the Exchange, normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading. Foreign exchange rates may be valued primarily using a reliable bank, dealer or service authorized by the Board of Trustees. Reported net realized gains and losses from foreign currency transactions arise from sales of portfolio securities, sales and maturities of short-term securities, sales of foreign currencies, exchange rate fluctuations between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized appreciation and depreciation on the translation of assets and liabilities denominated in foreign currencies arise from changes in the values of assets and liabilities, including investments in securities at fiscal period end, resulting from changes in exchange rates. The effect of changes in foreign currency exchange rates on investments is separately identified from the fluctuations arising from changes in market values of securities held and reported with all other foreign currency gains and losses in the Fund's Statement of Operations in the annual and semiannual reports. INVESTMENT IN OPPENHEIMER INSTITUTIONAL MONEY MARKET FUND. The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund ("IMMF") to seek current income while preserving liquidity. IMMF is a registered open-end management investment company, regulated as a money market fund under the Investment Company Act of 1940, as amended. The Manager is also the investment adviser of IMMF. When applicable, the Fund's investment in IMMF is included in the Statement of Investments. Shares of IMMF are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of IMMF's Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund's investment in IMMF. INVESTMENT IN OFI LIQUID ASSETS FUND, LLC. The Fund is permitted to invest cash collateral received in connection with its securities lending activities. Pursuant to the Fund's Securities Lending Procedures, the Fund may invest cash collateral in, among other investments, an affiliated money market fund. OFI Liquid Assets Fund, LLC ("LAF") is a limited liability company whose investment objective is to seek current income and stability of principal. The Manager is also the investment adviser of LAF. LAF is not registered under the Investment Company Act of 1940. However, LAF does comply with the investment restrictions applicable to registered money market funds set forth in Rule 2a-7 adopted under the Investment Company Act. When applicable, the Fund's investment in 54 | Oppenheimer Strategic Bond Fund/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED LAF is included in the Statement of Investments. Shares of LAF are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of LAF's expenses, including its management fee of 0.08%. INVESTMENT IN OPPENHEIMER MASTER FUNDS. The Fund is permitted to invest in entities sponsored and/or advised by the Manager or an affiliate. Certain of these entities in which the Fund invests are mutual funds registered under the Investment Company Act of 1940 that expect to be treated as partnerships for tax purposes, specifically Oppenheimer Master Loan Fund, LLC and Oppenheimer Master Event-Linked Bond Fund, LLC (the "master funds"). Each master fund has its own investment risks, and those risks can affect the value of the Fund's investments and therefore the value of the Fund's shares. To the extent that the Fund invests more of its assets in one master fund than in another, the Fund will have greater exposure to the risks of that master fund. The investment objective of Oppenheimer Master Loan Fund, LLC is to seek as high a level of current income and preservation of capital as is consistent with investing primarily in loans and other debt securities. The investment objective of Oppenheimer Master Event-Linked Bond Fund, LLC is to seek a high level of current income principally derived from interest on debt securities. The Fund's investments in the master funds are included in the Statement of Investments. The Fund recognizes income and gain/(loss) on its investments in each master fund according to its allocated pro-rata share, based on its relative proportion of total outstanding master fund shares held, of the total net income earned and the net gain/(loss) realized on investments sold by the master funds. As a shareholder, the Fund is subject to its proportional share of master funds's expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund's investment in the master funds. 1. RISK EXPOSURES AND THE USE OF DERIVATIVE INSTRUMENTS The Fund's investment objectives not only permit the Fund to purchase investment securities, they also allow the Fund to enter into various types of derivatives contracts, including, but not limited to, futures contracts, forward foreign currency exchange contracts, credit default swaps, interest rate swaps, total return swaps, and purchased and written options. In doing so, the Fund will employ strategies in differing combinations to permit it to increase, decrease, or change the level or types of exposure to market risk factors. Central to those strategies are features inherent to derivatives that make them more attractive for this purpose than equity and debt securities: they require little or no initial cash investment, they can focus exposure on only certain selected risk factors, and they may not require the ultimate receipt or delivery of the underlying security (or securities) to the contract. This may allow the Fund to pursue its objectives more quickly and efficiently than if it were to make direct purchases or sales of securities capable of effecting a similar response to market factors. MARKET RISK FACTORS. In pursuit of its investment objectives, the Fund may seek to use derivatives to increase or decrease its exposure to the following market risk factors: INTEREST RATE RISK. Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities. CREDIT RISK. Credit risk relates to the ability of the issuer to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield bonds are subject to credit risk to a greater extent than lower-yield, higher-quality bonds. FOREIGN EXCHANGE RATE RISK. Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency. EQUITY RISK. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market. 55 | Oppenheimer Strategic Bond Fund/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED RISKS OF INVESTING IN DERIVATIVES. The Fund's use of derivatives can result in losses due to unanticipated changes in the market risk factors and the overall market. In instances where the Fund is using derivatives to decrease, or hedge, exposures to market risk factors for securities held by the Fund, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions. Derivatives may have little or no initial cash investment relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost. This use of embedded leverage allows the Fund to increase its market value exposure relative to its net assets and can substantially increase the volatility of the Fund's performance. Additional associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative and the Fund. Typically, the associated risks are not the risks that the Fund is attempting to increase or decrease exposure to, per its investment objectives, but are the additional risks from investing in derivatives. Examples of these associated risks are liquidity risk, which is the risk that the Fund will not be able to sell the derivative in the open market in a timely manner, and counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund. Associated risks can be different for each type of derivative and are discussed by each derivative type in the notes that follow. COUNTERPARTY CREDIT RISK. Certain derivative positions are subject to counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund. The Fund's derivative counterparties are financial institutions who are subject to market conditions that may weaken their financial position. The Fund intends to enter into financial transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction. As of September 30, 2009, the maximum amount of loss that the Fund would incur if the counterparties to its derivative transactions failed to perform would be $42,987,912, which represents gross payments to be received by the Fund on these derivative contracts were they to be unwound as of period end. To reduce this risk the Fund has entered into master netting arrangements, established within the Fund's International Swap and Derivatives Association, Inc. ("ISDA") master agreements, which allow the Fund to net unrealized appreciation and depreciation for positions in swaps, over-the-counter options, and forward currency exchange contracts for each individual counterparty. The amount of loss that the Fund would incur taking into account these master netting arrangements would be $19,959,705 as of September 30, 2009. CREDIT RELATED CONTINGENT FEATURES. The Fund has several credit related contingent features that if triggered would allow its derivatives counterparties to close out and demand payment or additional collateral to cover their exposure from the Fund. Credit related contingent features are established between the Fund and its derivatives counterparties to reduce the risk that the Fund will not fulfill its payment obligations to its counterparties. These triggering features include, but are not limited to, a percentage decrease in the Fund's net assets and or a percentage decrease in the Fund's Net Asset Value or NAV. The contingent features are established within the Fund's ISDA master agreements which govern positions in swaps, over-the-counter options, and forward currency exchange contracts for each individual counterparty. As of September 30, 2009, the total value of derivative positions with credit related contingent features in a net liability position was $29,102,984. If a contingent feature would have been triggered as of September 30, 2009, the Fund could have been required to pay this amount in cash to its counterparties. The Fund did not hold or post collateral for its derivative transactions. FOREIGN CURRENCY EXCHANGE CONTRACTS The Fund may enter into foreign currency exchange contracts ("forward contracts") for the purchase or sale of a foreign currency at a negotiated rate at a future date. Forward contracts are reported on a schedule following the Statement of Investments. Forward contracts will be valued daily based upon the closing prices of the forward currency rates determined at the close of the Exchange as provided by a bank, dealer or pricing service. The resulting unrealized appreciation (depreciation) is reported in the Statement of Assets and Liabilities in the annual and semiannual reports as a receivable or payable and in the Statement of Operations in the annual and semiannual reports within the change in unrealized appreciation (depreciation). At contract close, the difference between the original cost of the contract and the value at the close date is recorded as a realized gain (loss) in the Statement of Operations in the annual and semiannual reports. 56 | Oppenheimer Strategic Bond Fund/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED The Fund has entered into forward foreign currency exchange contracts with the obligation to purchase specified foreign currencies in the future at a currently negotiated forward rate in order to take a positive investment perspective on the related currency. These forward foreign currency exchange contracts seek to increase exposure to foreign exchange rate risk. The Fund has entered into forward foreign currency exchange contracts with the obligation to purchase specified foreign currencies in the future at a currently negotiated forward rate in order to decrease exposure to foreign exchange rate risk associated with foreign currency denominated securities held by the portfolio. The Fund has entered into forward foreign currency exchange contracts with the obligation to sell specified foreign currencies in the future at a currently negotiated forward rate in order to take a negative investment perspective on the related currency. These forward foreign currency exchange contracts seek to increase exposure to foreign exchange rate risk. The Fund has entered into forward foreign currency exchange contracts with the obligation to sell specified foreign currencies in the future at a currently negotiated forward rate in order to decrease exposure to foreign exchange rate risk associated with foreign currency denominated securities held by the portfolio. Additional associated risk to the Fund includes counterparty credit risk. Counterparty credit risk arises from the possibility that the counterparty will default. If the counterparty defaults, the Fund's loss will consist of the net amount of contractual payments that the Fund has not yet received. FUTURES A futures contract is a commitment to buy or sell a specific amount of a financial instrument at a negotiated price on a stipulated future date. The Fund may buy and sell futures contracts and may also buy or write put or call options on these futures contracts. Futures contracts traded on a commodities or futures exchange will be valued at the final settlement price or official closing price on the principal exchange as reported by such principal exchange at its trading session ending at, or most recently prior to, the time when the Fund's assets are valued. 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. Futures contracts are reported on a schedule following the Statement of Investments. Securities held in collateralized accounts to cover initial margin requirements on open futures contracts are noted in the Statement of Investments. Cash held by the broker to cover initial margin requirements on open futures contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted in the Statement of Assets and Liabilities in the annual and semiannual reports. The net change in unrealized appreciation and depreciation is reported in the Statement of Operations in the annual and semiannual reports. Realized gains (losses) are reported in the Statement of Operations in the annual and semiannual reports at the closing or expiration of futures contracts. The Fund has purchased futures contracts on various bonds and notes to increase exposure to interest rate risk. The Fund has sold futures contracts on various bonds and notes to decrease exposure to interest rate risk. The Fund has purchased futures contracts on various equity indexes to increase exposure to equity risk. The Fund has sold futures contracts on various equity indexes to decrease exposure to equity risk. The Fund has purchased futures contracts, which have values that are linked to the price movement of the related commodities, in order to increase exposure to commodity risk. 57 | Oppenheimer Strategic Bond Fund/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED The Fund has sold futures contracts, which have values that are linked to the price movement of the related commodities, in order to decrease exposure to commodity risk. Additional associated risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market where the Fund is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Fund's securities. OPTION ACTIVITY The Fund may buy and sell put and call options, or write put and covered call options. When an option is written, the Fund receives a premium and becomes obligated to sell or purchase the underlying security at a fixed price, upon exercise of the option. Options are valued daily based upon the last sale price on the principal exchange on which the option is traded. The difference between the premium received or paid, and market value of the option, is recorded as unrealized appreciation or depreciation. The net change in unrealized appreciation or depreciation is reported in the Statement of Operations in the annual and semiannual reports. When an option is exercised, the cost of the security purchased or the proceeds of the security sale are adjusted by the amount of premium received or paid. Upon the expiration or closing of the option transaction, a gain or loss is reported in the Statement of Operations in the annual and semiannual reports. Securities designated to cover outstanding call or put options are noted in the Statement of Investments where applicable. Options written are reported in a schedule following the Statement of Investments and as a liability in the Statement of Assets and Liabilities in the annual and semiannual reports. The Fund has written put options on currencies to increase exposure to foreign exchange rate risk. A written put option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price. The Fund has written call options on currencies to decrease exposure to foreign exchange rate risk. A written call option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price. The Fund has purchased call options on currencies to increase exposure to foreign exchange rate risk. A purchased call option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price. The Fund has purchased put options on currencies to decrease exposure to foreign exchange rate risk. A purchased put option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price. The risk in writing a call option is that the Fund gives up the opportunity for profit if the market price of the security increases and the option is exercised. The risk in writing a put option is that the Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying an option is that the Fund pays a premium whether or not the option is exercised. The Fund also has the additional risk that there may be an illiquid market where the Fund is unable to close the contract. Additional associated risks to the Fund include counterparty credit risk for over-the-counter options and liquidity risk. Written option activity for the period ended September 30, 2009 was as follows:
CALL OPTIONS PUT OPTIONS ------------------------ ------------------------ NUMBER OF AMOUNT OF NUMBER OF AMOUNT OF CONTRACTS PREMIUMS CONTRACTS PREMIUMS ------------ --------- ------------ --------- Options outstanding as of December 31, 2008 4,945,000 $ 78,520 4,945,000 $ 78,520 Options written 474,205,000 763,942 489,755,000 864,570 Options closed or expired (471,925,000) (704,776) (22,775,000) (238,313)
58 | Oppenheimer Strategic Bond Fund/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED Options exercised (7,225,000) (137,686) (471,925,000) (704,777) ------------ --------- ============ ========= Options outstanding as of September 30, 2009 -- $ -- -- $ -- ============ ========= ============ =========
SWAP CONTRACTS The Fund may enter into swap contract agreements with a counterparty to exchange a series of cash flows based on either specified reference rates, or the occurrence of a credit event, over a specified period. Such contracts may include interest rate, equity, debt, index, total return, credit and currency swaps. Swaps are marked to market daily using primarily quotations from pricing services, counterparties and brokers. Swap contracts are reported on a schedule following the Statement of Investments. Any upfront payment paid or received as well as any unrealized appreciation (depreciation) on swap contracts are separately disclosed on the Statement of Assets and Liabilities in the annual and semiannual reports. The unrealized appreciation (depreciation) related to the change in the valuation of the notional amount of the swap is combined with the accrued interest due to (owed by) the Fund at termination or settlement. The net change in this amount during the period is included on the Statement of Operations in the annual and semianuual reports. The Fund also records any periodic payments received from (paid to) the counterparty, including at termination, under such contracts as realized gain (loss) on the Statement of Operations in the annual and semiannual reports. Swap contract agreements are exposed to the market risk factor of the specific underlying reference asset. Swap contracts are typically more attractively priced compared to similar investments in related cash securities because they isolate the risk to one market risk factor and eliminate the other market risk factors. Investments in cash securities (for instance bonds) have exposure to multiple risk factors (credit and interest rate risk). Because swaps require little or no initial cash investment, they can expose the Fund to substantial risk in the isolated market risk factor. CREDIT DEFAULT SWAP CONTRACTS. A credit default swap is a bilateral contract that enables an investor to buy or sell protection on a debt security against a defined-issuer credit event, such as the issuer's failure to make timely payments of interest or principal on the debt security, bankruptcy or restructuring. The Fund may enter into credit default swaps either by buying or selling protection on a single security, sovereign debt, or a basket of securities (the "reference asset"). The buyer of protection pays a periodic fee to the seller of protection based on the notional amount of debt securities underlying the swap contract. The seller of protection agrees to compensate the buyer of protection for future potential losses as a result of a credit event on the reference asset. The contract effectively transfers the credit event risk of the reference asset from the buyer of protection to the seller of protection. The ongoing value of the contract will fluctuate throughout the term of the contract based primarily on the credit risk of the reference asset. If the credit quality of the reference asset improves relative to the credit quality at contract initiation, the buyer of protection may have an unrealized loss greater than the anticipated periodic fee owed. This unrealized loss would be the result of current credit protection being cheaper than the cost of credit protection at contract initiation. If the buyer elects to terminate the contract prior to its maturity, and there has been no credit event, this unrealized loss will become realized. If the contract is held to maturity, and there has been no credit event, the realized loss will be equal to the periodic fee paid over the life of the contract. If there is a credit event, the buyer of protection can exercise its rights under the contract and receive a payment from the seller of protection equal to the notional amount of the reference asset less the market value of the reference asset. Upon exercise of the contract the difference between the value of the underlying reference asset and the notional amount is recorded as realized gain (loss) and is included on the Statement of Operations in the annual and semiannual reports. The Fund has sold credit protection through credit default swaps to increase exposure to the credit risk of individual securities and, or, indexes that are either unavailable or considered to be less attractive in the bond market. 59 | Oppenheimer Strategic Bond Fund/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED The Fund has purchased credit protection through credit default swaps to decrease exposure to the credit risk of individual securities and, or, indexes. The Fund has also engaged in pairs trades by purchasing protection through a credit default swap referenced to the debt of an issuer, and simultaneously selling protection through a credit default swap referenced to the debt of a different issuer with the intent to realize gains from the pricing differences of the two issuers who are expected to have similar market risks. Pairs trades attempt to gain exposure to credit risk while hedging or offsetting the effects of overall market movements. The Fund has engaged in spread curve trades by simultaneously purchasing and selling protection through credit default swaps referenced to the same issuer but with different maturities. Spread curve trades attempt to gain exposure to credit risk on a forward basis by realizing gains on the expected differences in spreads. Additional associated risks to the Fund include counterparty credit risk and liquidity risk. INTEREST RATE SWAP CONTRACTS. An interest rate swap is an agreement between counterparties to exchange periodic payments based on interest rates. One cash flow stream will typically be a floating rate payment based upon a specified interest rate while the other is typically a fixed interest rate. The Fund has entered into interest rate swaps in which it pays a floating interest rate and receives a fixed interest rate in order to increase exposure to interest rate risk. Typically, if relative interest rates rise, payments made by the Fund under a swap agreement will be greater than the payments received by the Fund. The Fund has entered into interest rate swaps in which it pays a fixed interest rate and receives a floating interest rate in order to decrease exposure to interest rate risk. Typically, if relative interest rates rise, payments received by the Fund under the swap agreement will be greater than the payments made by the Fund. Additional associated risks to the Fund include counterparty credit risk and liquidity risk. TOTAL RETURN SWAP CONTRACTS. A total return swap is an agreement between counterparties to exchange periodic payments based on asset or non-asset references. One cash flow is typically based on a non-asset reference (such as an interest rate or index) and the other on the total return of a reference asset (such as a security or a basket of securities). The total return of the reference asset typically includes appreciation or depreciation on the reference asset, plus any interest or dividend payments. Total return swap contracts are exposed to the market risk factor of the specific underlying financial instrument or index. Total return swaps are less standard in structure than other types of swaps and can isolate and, or, include multiple types of market risk factors including equity risk, credit risk, and interest rate risk. The Fund has entered into total return swaps on various equity indexes to increase exposure to equity risk. These equity risk related total return swaps require the Fund to pay a floating reference interest rate, or an amount equal to the negative price movement of an index multiplied by the notional amount of the contract. The Fund will receive payments equal to the positive price movement of the same index multiplied by the notional amount of the contract. The Fund has entered into total return swaps on various equity indexes to decrease exposure to equity risk. These equity risk related total return swaps require the Fund to pay an amount equal to the positive price movement of an index multiplied by the notional amount of the contract. The Fund will receive payments of a floating reference interest rate or an amount equal to the negative price movement of the same index multiplied by the notional amount of the contract. The Fund has entered into total return swaps to increase exposure to the credit risk of various indexes or basket of securities. These credit risk related total return swaps require the Fund to pay, or receive payments, to, or from, the counterparty based on the movement of credit spreads of the related indexes. 60 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED The Fund has entered into total return swaps to decrease exposure to the credit risk of various indexes or basket of securities. These credit risk related total return swaps require the fund to pay, or receive payments, to, or from, the counterparty based on the movement of credit spreads of the related indexes. The Fund has entered into total return swaps on various commodity indexes to increase exposure to commodity risk. These commodity risk related total return swaps require the Fund to pay a floating reference interest rate, or an amount equal to the negative price movement of an index multiplied by the notional amount of the contract. The Fund will receive payments equal to the positive price movement of the same index multiplied by the notional amount of the contract. The Fund has entered into total return swaps on various commodity indexes to decrease exposure to commodity risk. These commodity risk related total return swaps require the Fund to pay an amount equal to the positive price movement of an index multiplied by the notional amount of the contract. The Fund will receive payments of a floating reference interest rate or an amount equal to the negative price movement of the same index multiplied by the notional amount of the contract. Additional associated risks to the Fund include counterparty credit risk and liquidity risk. CURRENCY SWAPS. A currency swap is an agreement between counterparties to exchange different currencies equivalent to the notional value at contract inception and reverse the exchange of the same notional values of those currencies at contract termination. The contract may also include periodic exchanges of cash flows based on a specified index or interest rate. The Fund has entered into currency swap contracts with the obligation to pay an interest rate on the dollar notional amount and receive an interest rate on various foreign currency notional amounts in order to take a positive investment perspective on the related currencies for which the Fund receives a payment. These currency swap contracts seek to increase exposure to foreign exchange rate risk. The Fund has entered into currency swap contracts with the obligation to pay an interest rate various foreign currency notional amounts and receive an interest rate on on the dollar notional amount in order to take a negative investment perspective on the related currencies for which the Fund receives a payment. These currency swap contracts seek to decrease exposure to foreign exchange rate risk. Additional associated risks to the Fund include counterparty credit risk and liquidity risk. SWAPTION TRANSACTIONS. The Fund may enter into a swaption contract which grants the purchaser the right, but not the obligation, to enter into an interest rate swap at a preset rate within a specified period of time. The purchaser pays a premium to the swaption writer who bears the risk of unfavorable changes in the preset rate on the underlying interest rate swap. Swaptions are marked to market daily using primarily quotations from counterparties and brokers. Written swaptions are reported on a schedule following the Statement of Investments. Written swaptions are reported as a liability in the Statement of Assets and Liabilities in the annual and semiannual reports. The difference between the premium received or paid, and market value of the swaption, is recorded as unrealized appreciation or depreciation. The net change in unrealized appreciation or depreciation is reported in the Statement of Operations in the annual and semiannual reports. When a swaption is exercised, the cost of the swap is adjusted by the amount of premium paid or received. Upon the expiration or closing of an unexercised swaption contract, a gain or loss is reported in the Statement of Operations in the annual and semiannual reports for the amount of the premium paid or received. Swaption contracts written by the Fund do not give rise to counterparty credit risk as they obligate the Fund, not its counterparty, to perform. The Fund generally will incur a greater risk when it writes a swaption than when it purchases a swaption. When the Fund writes a swaption it will become obligated, upon exercise of the option, according to the terms of the underlying agreement. When the Fund purchases a swaption it only risks losing the amount of the premium it paid if the option expires unexercised. However, when the Fund purchases a swaption there is a risk that the counterparty will fail to perform or otherwise default on its obligations under the swaption contract. 61 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Strategic Bond Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED The Fund has purchased swaptions which gives it the option to enter into an interest rate swap in which it pays a floating interest rate and receives a fixed interest rate in order to increase exposure to interest rate risk. A purchased swaption of this type becomes more valuable as the reference interest rate depreciates relative to the preset interest rate. As of September 30, 2009, the Fund had no written or purchased swaptions outstanding. 2. ILLIQUID OR RESTRICTED SECURITIES As of September 30, 2009, investments in securities included issues that are illiquid or restricted. Investments may be illiquid because they do not have an active trading market, making it difficult to value them or dispose of them promptly at an acceptable price. A restricted security may have a contractual restriction on its resale and is valued under methods approved by the Board of Directors as reflecting fair value. The Fund will not invest more than 15% of its net assets (determined at the time of purchase and reviewed periodically) in illiquid and restricted securities. Certain restricted securities, eligible for resale to qualified institutional purchasers, may not be subject to that limitation. Securities that are illiquid or restricted are marked with an applicable footnote on the Statement of Investments. Restricted securities are reported on a schedule following the Statement of Investments. UNFUNDED PURCHASE AGREEMENTS Pursuant to the terms of certain indenture agreements, the Fund has unfunded purchase agreements of $16,863,599 at September 30, 2009. The Fund generally will maintain with its custodian, liquid investments having an aggregate value at least equal to the amount of unfunded purchase agreements. The following agreements are subject to funding based on the borrower's discretion. The Fund is obligated to fund these agreements at the time of the request by the borrower. These agreements have been excluded from the Statement of Investments. As of September 30, 2009, the Fund had unfunded purchase agreements as follows:
AGREEMENT TERMINATION UNFUNDED DATE AMOUNT ----------- ---------- Deutsche Bank AG, Opic Reforma I Credit Linked Nts. 10/23/13 $9,208,388
AGREEMENT INTEREST TERMINATION UNFUNDED UNREALIZED RATE DATE AMOUNT DEPRECIATION -------- ----------- -------- ------------ Deutsche Bank AG; An unfunded agreement that the Fund receives 0.125% quarterly; and will pay out, upon request, up to 7,655,211 USD to a Peruvian Trust through Deutsche Bank's Global Note Program. Upon funding requests, the unfunded portion decreases and new structured securities will be created and held by the fund to maintain a consistent exposure level. 0.50% 9/20/10 $7,655,211 $454,288
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 September 30, 2009 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 $4,277,927,945 Federal tax cost of other investments 651,917,349 -------------- Total federal tax cost $4,929,845,294 ============== Gross unrealized appreciation $ 299,401,978 Gross unrealized depreciation (250,865,103) -------------- Net unrealized appreciation $ 48,536,875 ==============
62 | OPPENHEIMER STRATEGIC BOND FUND/VA Oppenheimer Value Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
SHARES VALUE ------- ---------- COMMON STOCKS--96.8% CONSUMER DISCRETIONARY--9.8% MEDIA--8.7% Cablevision Systems Corp. New York Group, Cl. A 3,368 $ 79,990 News Corp., Inc., Cl. A 20,668 247,809 Time Warner Cable, Inc. 5,760 248,198 ---------- 575,997 ---------- SPECIALTY RETAIL--1.1% Bed Bath & Beyond, Inc.(1) 1,920 72,077 CONSUMER STAPLES--7.6% BEVERAGES--1.5% Molson Coors Brewing Co., Cl. B, Non-Vtg. 2,002 97,457 FOOD & STAPLES RETAILING--6.1% Kroger Co. (The) 9,080 187,411 Walgreen Co. 5,824 218,225 ---------- 405,636 ---------- ENERGY--15.2% OIL, GAS & CONSUMABLE FUELS--15.2% Apache Corp. 1,136 104,319 Chevron Corp. 4,350 306,371 Devon Energy Corp. 1,472 99,110 EOG Resources, Inc. 410 34,239 Exxon Mobil Corp. 2,134 146,414 Marathon Oil Corp. 5,298 169,006 Petroleo Brasileiro SA, Sponsored ADR 2,950 115,965 Valero Energy Corp. 1,744 33,816 ---------- 1,009,240 ---------- FINANCIALS--20.8% CAPITAL MARKETS--3.0% Goldman Sachs Group, Inc. (The) 750 138,263 Morgan Stanley 2,024 62,501 ---------- 200,764 ---------- COMMERCIAL BANKS--3.4% Wells Fargo & Co. 8,010 225,722 CONSUMER FINANCE--0.6% SLM Corp.(1) 4,520 39,414 DIVERSIFIED FINANCIAL SERVICES--5.5% Bank of America Corp. 6,760 114,379 JPMorgan Chase & Co. 5,700 249,774 ---------- 364,153 ---------- INSURANCE--8.3% ACE Ltd. 620 33,145 Assurant, Inc. 4,810 154,209 Everest Re Group Ltd. 1,447 126,902 MetLife, Inc. 4,520 172,076 Prudential Financial, Inc. 1,260 62,887 ---------- 549,219 ----------
1 | OPPENHEIMER VALUE FUND/VA Oppenheimer Value Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
SHARES VALUE ------- ---------- HEALTH CARE--12.8% BIOTECHNOLOGY--0.6% Genzyme Corp. (General Division)(1) 650 $ 36,875 HEALTH CARE EQUIPMENT & SUPPLIES--3.1% Covidien plc 4,770 206,350 HEALTH CARE PROVIDERS & SERVICES--1.3% Aetna, Inc. 3,160 87,943 PHARMACEUTICALS--7.8% Biovail Corp. 2,420 37,341 Merck & Co., Inc. 8,610 272,334 Pfizer, Inc. 7,900 130,745 Shire Ltd., ADR 280 14,641 Wyeth 1,270 61,697 ---------- 516,758 ---------- INDUSTRIALS--10.8% AEROSPACE & DEFENSE--0.1% AerCap Holdings NV(1) 360 3,265 AIR FREIGHT & LOGISTICS--0.9% United Parcel Service, Inc., Cl. B 1,088 61,439 ELECTRICAL EQUIPMENT--1.0% General Cable Corp.(1) 1,620 63,423 INDUSTRIAL CONGLOMERATES--4.7% Tyco International Ltd. 9,070 312,734 MACHINERY--2.6% Navistar International Corp.(1) 4,573 171,122 ROAD & RAIL--0.4% Norfolk Southern Corp. 680 29,315 TRADING COMPANIES & DISTRIBUTORS--1.1% Aircastle Ltd. 7,100 68,657 Genesis Lease Ltd., ADS 600 5,370 ---------- 74,027 ---------- INFORMATION TECHNOLOGY--6.3% COMMUNICATIONS EQUIPMENT--2.1% Motorola, Inc. 13,020 111,842 QUALCOMM, Inc. 660 29,687 ---------- 141,529 ---------- COMPUTERS & PERIPHERALS--1.6% Dell, Inc.(1) 4,640 70,806 Hewlett-Packard Co. 750 35,408 ---------- 106,214 ---------- INTERNET SOFTWARE & SERVICES--1.4% Google, Inc., Cl. A(1) 180 89,253 SOFTWARE--1.2% Oracle Corp. 3,830 79,817 MATERIALS--4.4% CHEMICALS--4.4% Lubrizol Corp. (The) 2,947 210,593 Potash Corp. of Saskatchewan, Inc. 900 81,306 ---------- 291,899 ----------
2 | OPPENHEIMER VALUE FUND/VA Oppenheimer Value Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED
Shares Value ------- ---------- TELECOMMUNICATION SERVICES--3.5% DIVERSIFIED TELECOMMUNICATION SERVICES--3.1% AT&T, Inc. 7,782 $ 210,192 WIRELESS TELECOMMUNICATION SERVICES--0.4% Sprint Nextel Corp.(1) 6,400 25,280 UTILITIES--5.6% ELECTRIC UTILITIES--4.1% Edison International, Inc. 3,900 130,962 Exelon Corp. 2,816 139,730 ---------- 270,692 ---------- MULTI-UTILITIES--1.5% PG&E Corp. 2,474 100,170 ---------- Total Common Stocks (Cost $5,357,196) 6,417,976 ---------- INVESTMENT COMPANIES--3.5% JPMorgan U.S. Treasury Plus Money Market Fund, Agency Shares, 0.00%(2, 3) 3,244 3,244 Oppenheimer Institutional Money Market Fund, Cl. E, 0.27%(2, 4) 225,188 225,188 ---------- Total Investment Companies (Cost $228,432) 228,432 ---------- TOTAL INVESTMENTS, AT VALUE (COST $5,585,628) 100.3% 6,646,408 LIABILITIES IN EXCESS OF OTHER ASSETS (0.3) (18,273) ------- ---------- NET ASSETS 100.0% $6,628,135 ======= ==========
FOOTNOTES TO STATEMENT OF INVESTMENTS (1.) Non-income producing security. (2.) Rate shown is the 7-day yield as of September 30, 2009. (3.) Interest rate is less than 0.0005%. (4.) Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 30, 2009, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows:
SHARES GROSS GROSS SHARES DECEMBER 31, 2008 ADDITIONS REDUCTIONS SEPTEMBER 30, 2009 ----------------- --------- ---------- ------------------ Oppenheimer Institutional Money Market Fund, Cl. E 664,973 9,311,460 9,751,245 225,188
VALUE INCOME -------- ------ Oppenheimer Institutional Money Market Fund, Cl. E $225,188 $1,403
3 | OPPENHEIMER VALUE FUND/VA Oppenheimer Value Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED VALUATION INPUTS Various data inputs are used in determining the value of each of the Fund's investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards: 1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) 2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) 3) Level 3-significant unobservable inputs (including the Manager's own judgments about assumptions that market participants would use in pricing the asset). The table below categorizes amounts that are included in the Fund's Statement of Assets and Liabilities as of September 30, 2009 based on valuation input level:
LEVEL 3-- LEVEL 1-- LEVEL 2-- SIGNIFICANT UNADJUSTED OTHER SIGNIFICANT UNOBSERVABLE QUOTED PRICES OBSERVABLE INPUTS INPUTS VALUE ------------- ----------------- ------------ ---------- ASSETS TABLE INVESTMENTS, AT VALUE: Common Stocks Consumer Discretionary $ 648,074 $-- $-- $ 648,074 Consumer Staples 503,093 -- -- 503,093 Energy 1,009,240 -- -- 1,009,240 Financials 1,379,272 -- -- 1,379,272 Health Care 847,926 -- -- 847,926 Industrials 715,325 -- -- 715,325 Information Technology 416,813 -- -- 416,813 Materials 291,899 -- -- 291,899 Telecommunication Services 235,472 -- -- 235,472 Utilities 370,862 -- -- 370,862 Investment Companies 228,432 -- -- 228,432 ---------- --- --- ---------- Total Assets $6,646,408 $-- $-- $6,646,408 ---------- --- --- ----------
Currency contracts and forwards, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract's value from trade date. Futures, if any, are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. All additional assets and liabilities included in the above table are reported at their market value at measurement date. SEE THE ACCOMPANYING NOTES FOR FURTHER DISCUSSION OF THE METHODS USED IN DETERMINING VALUE OF THE FUND'S INVESTMENTS, AND A SUMMARY OF CHANGES TO THE VALUATION TECHNIQUES, IF ANY, DURING THE REPORTING PERIOD. NOTES TO 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 trading. Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Unadjusted quoted prices in active markets for identical securities are classified as "Level 1," inputs other than unadjusted quoted prices for an asset that are observable are classified as "Level 2" and significant unobservable inputs, including the Manager's judgment about the assumptions that a market participant would use in pricing an asset or liability are classified as "Level 3." The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. A table summarizing the Fund's investments under these levels of classification is included following the Statement of Investments. 4 | OPPENHEIMER VALUE FUND/VA Oppenheimer Value Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED Securities are valued using unadjusted quoted market prices, when available, as supplied primarily either by portfolio pricing services approved by the Board of Trustees or dealers. Securities traded on a registered U.S. securities exchange are valued based on the last sale price of the security reported on the principal exchange on which traded, prior to the time when the Fund's assets are valued. Securities whose principal exchange is NASDAQ(R) are valued based on the official closing prices reported 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 current day's closing "bid" and "asked" prices, and if not, at the current day's closing bid price. A foreign security traded on a foreign exchange is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the portfolio pricing service used by the Manager, prior to the time when the Fund's assets are valued. In the absence of a sale, the security is valued at the most recent official closing price on the principal exchange on which it is traded. Shares of a registered investment company that are not traded on an exchange are valued at that investment company's net asset value per share. Corporate, government and municipal debt instruments having a remaining maturity in excess of sixty days and all mortgage-backed securities, collateralized mortgage obligations and other asset-backed securities are valued at the mean between the "bid" and "asked" prices. "Money market-type" debt instruments with remaining maturities of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. In the absence of a readily available unadjusted quoted market price, including for 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 the securities' respective exchanges, the Manager, acting through its internal valuation committee, in good faith determines the fair valuation of that asset using consistently applied procedures under the supervision of the Board of Trustees (which reviews those fair valuations by the Manager). Those procedures include certain standardized methodologies to fair value securities. Such methodologies include, but are not limited to, pricing securities initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be adjusted for any discounts related to resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. There have been no significant changes to the fair valuation methodologies during the period. FOREIGN CURRENCY TRANSLATION. The Fund's accounting records are maintained in U.S. dollars. The values of securities denominated in foreign currencies and amounts related to the purchase and sale of foreign securities and foreign investment income are translated into U.S. dollars as of the close of the Exchange, normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading. Foreign exchange rates may be valued primarily using a reliable bank, dealer or service authorized by the Board of Trustees. Reported net realized gains and losses from foreign currency transactions arise from sales of portfolio securities, sales and maturities of short-term securities, sales of foreign currencies, exchange rate fluctuations between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund's books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized appreciation and depreciation on the translation of assets and liabilities denominated in foreign currencies arise from changes in the values of assets and liabilities, including investments in securities at fiscal period end, resulting from changes in exchange rates. The effect of changes in foreign currency exchange rates on investments is separately identified from the fluctuations arising from changes in market values of securities held and reported with all other foreign currency gains and losses in the Fund's Statement of Operations in the annual and semiannual reports. 5 | OPPENHEIMER VALUE FUND/VA Oppenheimer Value Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED INVESTMENT IN OPPENHEIMER INSTITUTIONAL MONEY MARKET FUND. The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund ("IMMF") to seek current income while preserving liquidity. IMMF is a registered open-end management investment company, regulated as a money market fund under the Investment Company Act of 1940, as amended. The Manager is also the investment adviser of IMMF. When applicable, the Fund's investment in IMMF is included in the Statement of Investments. Shares of IMMF are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of IMMF's Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund's investment in IMMF. RISK EXPOSURES AND THE USE OF DERIVATIVE INSTRUMENTS The Fund's investment objectives not only permit the Fund to purchase investment securities, they also allow the Fund to enter into various types of derivatives contracts, including, but not limited to, futures contracts, forward foreign currency exchange contracts, credit default swaps, interest rate swaps, total return swaps, and purchased and written options. In doing so, the Fund will employ strategies in differing combinations to permit it to increase, decrease, or change the level or types of exposure to market risk factors. Central to those strategies are features inherent to derivatives that make them more attractive for this purpose than equity and debt securities: they require little or no initial cash investment, they can focus exposure on only certain selected risk factors, and they may not require the ultimate receipt or delivery of the underlying security (or securities) to the contract. This may allow the Fund to pursue its objectives more quickly and efficiently than if it were to make direct purchases or sales of securities capable of effecting a similar response to market factors. MARKET RISK FACTORS. In pursuit of its investment objectives, the Fund may seek to use derivatives to increase or decrease its exposure to the following market risk factors: INTEREST RATE RISK. Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities. CREDIT RISK. Credit risk relates to the ability of the issuer to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield bonds are subject to credit risk to a greater extent than lower-yield, higher-quality bonds. FOREIGN EXCHANGE RATE RISK. Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency. EQUITY RISK. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market. RISKS OF INVESTING IN DERIVATIVES. The Fund's use of derivatives can result in losses due to unanticipated changes in the market risk factors and the overall market. In instances where the Fund is using derivatives to decrease, or hedge, exposures to market risk factors for securities held by the Fund, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions. Derivatives may have little or no initial cash investment relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost. This use of embedded leverage allows the Fund to increase its market value exposure relative to its net assets and can substantially increase the volatility of the Fund's performance. Additional associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative and the Fund. Typically, the associated risks are not the risks that the Fund is attempting to increase or decrease exposure to, per its investment objectives, but are the additional risks from investing in derivatives. Examples of these associated risks are 6 | OPPENHEIMER VALUE FUND/VA Oppenheimer Value Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED liquidity risk, which is the risk that the Fund will not be able to sell the derivative in the open market in a timely manner, and counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund. Associated risks can be different for each type of derivative and are discussed by each derivative type in the notes that follow. COUNTERPARTY CREDIT RISK. Certain derivative positions are subject to counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund. The Fund's derivative counterparties are financial institutions who are subject to market conditions that may weaken their financial position. The Fund intends to enter into financial transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction. To reduce this risk the Fund has entered into master netting arrangements, established within the Fund's International Swap and Derivatives Association, Inc. ("ISDA") master agreements, which allow the Fund to net unrealized appreciation and depreciation for positions in swaps, over-the-counter options, and forward currency exchange contracts for each individual counterparty. CREDIT RELATED CONTINGENT FEATURES. The Fund has several credit related contingent features that if triggered would allow its derivatives counterparties to close out and demand payment or additional collateral to cover their exposure from the Fund. Credit related contingent features are established between the Fund and its derivatives counterparties to reduce the risk that the Fund will not fulfill its payment obligations to its counterparties. These triggering features include, but are not limited to, a percentage decrease in the Fund's net assets and or a percentage decrease in the Fund's Net Asset Value or NAV. The contingent features are established within the Fund's ISDA master agreements which govern positions in swaps, over-the-counter options, and forward currency exchange contracts for each individual counterparty. FOREIGN CURRENCY EXCHANGE CONTRACTS The Fund may enter into current and forward foreign currency exchange contracts for the purchase or sale of a foreign currency at a negotiated rate at a future date. Foreign currency exchange contracts are reported on a schedule following the Statement of Investments. These contracts will be valued daily based upon the closing prices of the currency rates determined at the close of the Exchange as provided by a bank, dealer or pricing service. The resulting unrealized appreciation (depreciation) is reported in the Statement of Assets and Liabilities in the annual and semiannual reports as a receivable or payable and in the Statement of Operations in the annual and semiannual reports within the change in unrealized appreciation (depreciation). At contract close, the difference between the original cost of the contract and the value at the close date is recorded as a realized gain (loss) in the Statement of Operations in the annual and semiannual reports. The Fund has purchased and sold foreign currency exchange contracts of different currencies in order to acquire currencies to pay for related foreign securities purchase transactions, or to convert foreign currencies to U.S. dollars from related foreign securities sale transactions. These foreign currency exchange contracts are negotiated at the current spot exchange rate with settlement typically within two business days thereafter. Additional associated risk to the Fund includes counterparty credit risk. Counterparty credit risk arises from the possibility that the counterparty will default. If the counterparty defaults, the Fund's loss will consist of the net amount of contractual payments that the Fund has not yet received. As of September 30, 2009, the Fund held no outstanding forward contracts. OPTION ACTIVITY The Fund may buy and sell put and call options, or write put and covered call options. When an option is written, the Fund receives a premium and becomes obligated to sell or purchase the underlying security at a fixed price, upon exercise of the option. Options are valued daily based upon the last sale price on the principal exchange on which the option is traded. The difference between the premium received or paid, and market value of the option, is recorded as unrealized appreciation or depreciation. The net change in unrealized appreciation or depreciation is reported in the Statement of Operations in the annual and semiannual reports. When an option is exercised, the cost of the security purchased or the proceeds of the security sale are adjusted by the 7 | OPPENHEIMER VALUE FUND/VA Oppenheimer Value Fund/VA STATEMENT OF INVESTMENTS SEPTEMBER 30, 2009 / UNAUDITED amount of premium received or paid. Upon the expiration or closing of the option transaction, a gain or loss is reported in the Statement of Operations in the annual and semiannual reports. Securities designated to cover outstanding call or put options are noted in the Statement of Investments where applicable. Options written are reported in a schedule following the Statement of Investments and as a liability in the Statement of Assets and Liabilities in the annual and semiannual reports. The Fund has written put options on individual equity securities and, or, equity indexes to increase exposure to equity risk. A written put option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price. The Fund has written covered call options on individual equity securities and, or, equity indexes to decrease exposure to equity risk. A written covered call option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price. The Fund has purchased call options on individual equity securities and, or, equity indexes to increase exposure to equity risk. A purchased call option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price. The risk in writing a call option is that the Fund gives up the opportunity for profit if the market price of the security increases and the option is exercised. The risk in writing a put option is that the Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying an option is that the Fund pays a premium whether or not the option is exercised. The Fund also has the additional risk that there may be an illiquid market where the Fund is unable to close the contract. Additional associated risks to the Fund include counterparty credit risk for over-the-counter options and liquidity risk. Written option activity for the year ended September 30, 2009 was as follows:
CALL OPTIONS PUT OPTIONS --------------------- --------------------- NUMBER OF AMOUNT OF NUMBER OF AMOUNT OF CONTRACTS PREMIUMS CONTRACTS PREMIUMS --------- --------- --------- --------- Options outstanding as of December 31, 2008 -- $ -- -- $ -- Options written 168 11,721 17 1,895 Options closed or expired (160) (10,654) (17) (1,895) Options exercised (8) (1,067) -- -- ---- -------- --- ------- Options outstanding as of September 30, 2009 -- $ -- -- $ -- ==== ======== === =======
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 September 30, 2009 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 $5,931,345 ========== Gross unrealized appreciation $ 769,676 Gross unrealized depreciation (54,613) ---------- Net unrealized appreciation $ 715,063 ==========
8 | OPPENHEIMER VALUE FUND/VA ITEM 2. CONTROLS AND PROCEDURES. (a) Based on their evaluation of the 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 09/30/2009, the registrant's principal executive officer and principal financial officer found the registrant's disclosure controls and procedures to provide reasonable assurances that information required to be disclosed by the registrant in the reports that it files under the Securities Exchange Act of 1934 (a) is accumulated and communicated to the 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 the 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. Exhibits attached hereto. 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 Variable Account Funds By: /s/ John V. Murphy --------------------------------- John V. Murphy Principal Executive Officer Date: 11/10/2009 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: 11/10/2009 By: /s/ Brian W. Wixted --------------------------------- Brian W. Wixted Principal Financial Officer Date: 11/10/2009