0000950123-11-100293.txt : 20111123 0000950123-11-100293.hdr.sgml : 20111123 20111123162752 ACCESSION NUMBER: 0000950123-11-100293 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20110930 FILED AS OF DATE: 20111123 DATE AS OF CHANGE: 20111123 EFFECTIVENESS DATE: 20111123 FILER: COMPANY DATA: COMPANY CONFORMED NAME: OPPENHEIMER VARIABLE ACCOUNT FUNDS CENTRAL INDEX KEY: 0000752737 IRS NUMBER: 840974272 STATE OF INCORPORATION: MA FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: N-Q SEC ACT: 1940 Act SEC FILE NUMBER: 811-04108 FILM NUMBER: 111225594 BUSINESS ADDRESS: STREET 1: 6803 SOUTH TUCSON WAY CITY: CENTENNIAL STATE: CO ZIP: 80112-3924 BUSINESS PHONE: 3036713200 MAIL ADDRESS: STREET 1: 6803 SOUTH TUCSON WAY CITY: CENTENNIAL STATE: CO ZIP: 80112-3924 FORMER COMPANY: FORMER CONFORMED NAME: OPPENHEIMER VARIABLE LIFE FUNDS DATE OF NAME CHANGE: 19860609 0000752737 S000010331 Oppenheimer Balanced Fund/VA C000028586 Non-Service C000028587 Service 0000752737 S000010332 Oppenheimer Value Fund/VA C000028588 Non-Service C000028589 Service 0000752737 S000010333 Oppenheimer Small- & Mid-Cap Growth Fund/VA C000028590 Non-Service C000028591 Service 0000752737 S000010334 Oppenheimer Capital Appreciation Fund C000028592 Non-Service C000028593 Service 0000752737 S000010335 Oppenheimer Core Bond Fund/VA C000028594 Non-Service C000028595 Service 0000752737 S000010336 Oppenheimer Global Securities/VA C000028596 Non-Service C000028597 Service C000028916 Class 3 C000028917 Class4 0000752737 S000010337 Oppenheimer High Income Fund/VA C000028598 Non-Service C000028599 Service C000047467 3 C000047468 4 0000752737 S000010338 Oppenheimer Main Street Fund/VA C000028600 Non-Service C000028601 Service 0000752737 S000010339 Oppenheimer Main Street Small- & Mid Cap Fund/VA C000028602 Non-Service C000028603 Service 0000752737 S000010340 Oppenheimer Money Fund/VA C000028604 Non-Service 0000752737 S000010341 Oppenheimer Global Strategic Income Fund/VA C000028606 Non-Service C000028607 Service N-Q 1 g59871nvq.txt FORM 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: 9/30/2011 ================================================================================ ITEM 1. SCHEDULE OF INVESTMENTS. Oppenheimer Small & Mid-Cap Growth Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Shares Value ---------------------------------------------------------------------------------- COMMON STOCKS-93.1% ---------------------------------------------------------------------------------- CONSUMER DISCRETIONARY-16.7% ---------------------------------------------------------------------------------- AUTO COMPONENTS-0.4% BorgWarner, Inc.(1) 34,520 $ 2,089,496 ---------------------------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE-2.5% Chipotle Mexican Grill, Inc., Cl. A(1) 26,781 8,113,304 ---------------------------------------------------------------------------------- Panera Bread Co., Cl. A(1) 56,460 5,868,452 ----------- 13,981,756 ---------------------------------------------------------------------------------- HOUSEHOLD DURABLES-0.9% Tempur-Pedic International, Inc.(1) 90,470 4,759,627 ---------------------------------------------------------------------------------- INTERNET & CATALOG RETAIL-1.0% HomeAway, Inc.(1) 76,880 2,584,706 ---------------------------------------------------------------------------------- Priceline.com, Inc.(1) 6,740 3,029,360 ----------- 5,614,066 ---------------------------------------------------------------------------------- MULTILINE RETAIL-3.3% Dollar Tree, Inc.(1) 171,425 12,875,732 ---------------------------------------------------------------------------------- Nordstrom, Inc. 117,150 5,351,412 ----------- 18,227,144 ---------------------------------------------------------------------------------- SPECIALTY RETAIL-4.8% PetSmart, Inc. 76,430 3,259,740 ---------------------------------------------------------------------------------- Tiffany & Co. 94,460 5,745,057 ---------------------------------------------------------------------------------- Tractor Supply Co. 138,900 8,688,195 ---------------------------------------------------------------------------------- Ulta Salon, Cosmetics & Fragrance, Inc.(1) 140,480 8,742,070 ----------- 26,435,062 ---------------------------------------------------------------------------------- TEXTILES, APPAREL & LUXURY GOODS-3.8% Deckers Outdoor Corp.(1) 77,610 7,237,909 ---------------------------------------------------------------------------------- Fossil, Inc.(1) 53,860 4,365,892 ---------------------------------------------------------------------------------- lululemon athletica, Inc.(1) 118,890 5,783,999 ---------------------------------------------------------------------------------- Under Armour, Inc., Cl. A(1) 51,780 3,438,710 ----------- 20,826,510 ---------------------------------------------------------------------------------- CONSUMER STAPLES-8.6% ---------------------------------------------------------------------------------- BEVERAGES-2.1% Hansen Natural Corp.(1) 131,340 11,464,669 ---------------------------------------------------------------------------------- FOOD & STAPLES RETAILING-2.0% Fresh Market, Inc. (The)(1) 87,440 3,336,710 ---------------------------------------------------------------------------------- Whole Foods Market, Inc. 115,870 7,567,470 ----------- 10,904,180 ---------------------------------------------------------------------------------- FOOD PRODUCTS-2.2% Green Mountain Coffee, Inc.(1) 131,530 12,224,398 ---------------------------------------------------------------------------------- PERSONAL PRODUCTS-2.3% Estee Lauder Cos., Inc. (The), Cl. A 83,850 7,365,384 ---------------------------------------------------------------------------------- Herbalife Ltd. 106,190 5,691,784 ----------- 13,057,168 ---------------------------------------------------------------------------------- ENERGY-6.7% ---------------------------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES-4.4% Atwood Oceanics, Inc.(1) 90,650 3,114,734 ----------------------------------------------------------------------------------
1 | Oppenheimer Small & Mid-Cap Growth Fund/VA Oppenheimer Small & Mid-Cap Growth Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Shares Value ---------------------------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES CONTINUED ---------------------------------------------------------------------------------- Carbo Ceramics, Inc. 37,720 $ 3,867,432 ---------------------------------------------------------------------------------- Core Laboratories NV 64,760 5,817,391 ---------------------------------------------------------------------------------- Key Energy Services, Inc.(1) 332,480 3,155,235 ---------------------------------------------------------------------------------- Oil States International, Inc.(1) 81,170 4,133,176 ---------------------------------------------------------------------------------- Superior Energy Services, Inc.(1) 163,340 4,286,042 ----------- 24,374,010 ---------------------------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS-2.3% Berry Petroleum Co., Cl. A 110,550 3,911,259 ---------------------------------------------------------------------------------- Cabot Oil & Gas Corp., Cl. A 21,080 1,305,063 ---------------------------------------------------------------------------------- Concho Resources, Inc.(1) 104,820 7,456,895 ----------- 12,673,217 ---------------------------------------------------------------------------------- FINANCIALS-4.4% CAPITAL MARKETS-1.2% Affiliated Managers Group, Inc.(1) 49,770 3,884,549 ---------------------------------------------------------------------------------- LPL Investment Holdings, Inc.(1) 103,170 2,622,581 ----------- 6,507,130 ---------------------------------------------------------------------------------- COMMERCIAL BANKS-1.6% First Republic Bank(1) 122,400 2,834,784 ---------------------------------------------------------------------------------- Signature Bank(1) 130,540 6,230,674 ----------- 9,065,458 ---------------------------------------------------------------------------------- CONSUMER FINANCE-0.5% Cash America International, Inc. 53,170 2,720,171 ---------------------------------------------------------------------------------- INSURANCE-1.1% ProAssurance Corp. 80,380 5,788,968 ---------------------------------------------------------------------------------- HEALTH CARE-14.9% ---------------------------------------------------------------------------------- BIOTECHNOLOGY-2.2% Alexion Pharmaceuticals, Inc.(1) 191,860 12,290,552 ---------------------------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES-1.8% Cooper Cos., Inc. (The) 88,290 6,988,154 ---------------------------------------------------------------------------------- IDEXX Laboratories, Inc.(1) 38,690 2,668,449 ----------- 9,656,603 ---------------------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES-4.4% AmerisourceBergen Corp. 110,460 4,116,844 ---------------------------------------------------------------------------------- Catalyst Health Solutions, Inc.(1) 117,360 6,770,498 ---------------------------------------------------------------------------------- Healthspring, Inc.(1) 115,200 4,200,192 ---------------------------------------------------------------------------------- HMS Holdings Corp.(1) 322,910 7,875,775 ---------------------------------------------------------------------------------- Universal Health Services, Inc., Cl. B 41,450 1,409,300 ----------- 24,372,609 ---------------------------------------------------------------------------------- HEALTH CARE TECHNOLOGY-2.7% Cerner Corp.(1) 109,040 7,471,421 ---------------------------------------------------------------------------------- SXC Health Solutions Corp.(1) 132,320 7,370,224 ----------- 14,841,645 ---------------------------------------------------------------------------------- LIFE SCIENCES TOOLS & SERVICES-0.8% Waters Corp.(1) 59,710 4,507,508
2 | Oppenheimer Small & Mid-Cap Growth Fund/VA Oppenheimer Small & Mid-Cap Growth Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Shares Value ---------------------------------------------------------------------------------- PHARMACEUTICALS-3.0% Perrigo Co. 80,100 $7,778,511 ---------------------------------------------------------------------------------- Watson Pharmaceuticals, Inc.(1) 127,410 8,695,733 ---------- 16,474,244 ---------------------------------------------------------------------------------- INDUSTRIALS-15.0% ---------------------------------------------------------------------------------- AEROSPACE & DEFENSE-3.2% B/E Aerospace, Inc.(1) 177,890 5,889,938 ---------------------------------------------------------------------------------- Hexcel Corp.(1) 171,020 3,789,803 ---------------------------------------------------------------------------------- TransDigm Group, Inc.(1) 99,140 8,096,764 ---------- 17,776,505 ---------------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES-1.7% Stericycle, Inc.(1) 57,740 4,660,773 ---------------------------------------------------------------------------------- Waste Connections, Inc. 135,180 4,571,788 ---------- 9,232,561 ---------------------------------------------------------------------------------- ELECTRICAL EQUIPMENT-4.0% AMETEK, Inc. 173,905 5,733,648 ---------------------------------------------------------------------------------- Polypore International, Inc.(1) 138,350 7,819,542 ---------------------------------------------------------------------------------- Roper Industries, Inc. 90,610 6,243,935 ---------------------------------------------------------------------------------- Sensata Technologies Holding NV(1) 95,600 2,529,576 ---------- 22,326,701 ---------------------------------------------------------------------------------- MACHINERY-4.6% Gardner Denver, Inc. 123,451 7,845,311 ---------------------------------------------------------------------------------- Joy Global, Inc. 72,510 4,523,174 ---------------------------------------------------------------------------------- Robbins & Myers, Inc. 100,152 3,476,276 ---------------------------------------------------------------------------------- WABCO Holdings, Inc.(1) 107,420 4,066,921 ---------------------------------------------------------------------------------- Wabtec Corp. 99,240 5,246,819 ---------- 25,158,501 ---------------------------------------------------------------------------------- ROAD & RAIL-1.5% Kansas City Southern, Inc.(1) 166,290 8,307,848 ---------------------------------------------------------------------------------- INFORMATION TECHNOLOGY-20.0% ---------------------------------------------------------------------------------- COMMUNICATIONS EQUIPMENT-1.8% Acme Packet, Inc.(1) 101,320 4,315,219 ---------------------------------------------------------------------------------- Aruba Networks, Inc.(1) 146,130 3,055,578 ---------------------------------------------------------------------------------- Polycom, Inc.(1) 156,030 2,866,271 ---------- 10,237,068 ---------------------------------------------------------------------------------- INTERNET SOFTWARE & SERVICES-2.7% Rackspace Hosting, Inc.(1) 208,980 7,134,577 ---------------------------------------------------------------------------------- SINA Corp.(1) 48,260 3,455,899 ---------------------------------------------------------------------------------- VeriSign, Inc. 142,770 4,084,650 ---------- 14,675,126 ---------------------------------------------------------------------------------- IT SERVICES-1.9% Alliance Data Systems Corp.(1) 21,700 2,011,590 ---------------------------------------------------------------------------------- Teradata Corp.(1) 157,400 8,425,622 ---------- 10,437,212 ---------------------------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT-4.4% Avago Technologies Ltd. 197,330 6,466,504 ----------------------------------------------------------------------------------
3 | Oppenheimer Small & Mid-Cap Growth Fund/VA Oppenheimer Small & Mid-Cap Growth Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Shares Value -------------------------------------------------------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT CONTINUED -------------------------------------------------------------------------------------------------------------- Cavuim, Inc.(1) 183,170 $4,947,422 -------------------------------------------------------------------------------------------------------------- Cypress Semiconductor Corp. 233,010 3,488,160 -------------------------------------------------------------------------------------------------------------- Netlogic Microsystems, Inc.(1) 120,950 5,818,905 -------------------------------------------------------------------------------------------------------------- Xilinx, Inc. 121,450 3,332,588 ------------ 24,053,579 SOFTWARE-9.2% Ariba, Inc.(1) 184,240 5,105,290 -------------------------------------------------------------------------------------------------------------- Check Point Software Technologies Ltd.(1) 105,280 5,554,573 -------------------------------------------------------------------------------------------------------------- Citrix Systems, Inc.(1) 55,270 3,013,873 -------------------------------------------------------------------------------------------------------------- Fortinet, Inc.(1) 290,830 4,885,944 -------------------------------------------------------------------------------------------------------------- Informatica Corp.(1) 149,090 6,105,236 -------------------------------------------------------------------------------------------------------------- MICROS Systems, Inc.(1) 69,250 3,040,768 -------------------------------------------------------------------------------------------------------------- Nuance Communications, Inc.(1) 136,940 2,788,098 -------------------------------------------------------------------------------------------------------------- Red Hat, Inc.(1) 147,680 6,240,957 -------------------------------------------------------------------------------------------------------------- Salesforce.com, Inc.(1) 37,500 4,285,500 -------------------------------------------------------------------------------------------------------------- SuccessFactors, Inc.(1) 138,550 3,185,265 -------------------------------------------------------------------------------------------------------------- TIBCO Software, Inc.(1) 302,450 6,771,856 ------------ 50,977,360 -------------------------------------------------------------------------------------------------------------- MATERIALS-5.5% -------------------------------------------------------------------------------------------------------------- CHEMICALS-3.3% Airgas, Inc. 65,170 4,159,149 -------------------------------------------------------------------------------------------------------------- Albemarle Corp. 91,820 3,709,528 -------------------------------------------------------------------------------------------------------------- Celanese Corp., Series A 64,020 2,082,571 -------------------------------------------------------------------------------------------------------------- CF Industries Holdings, Inc. 43,560 5,374,868 -------------------------------------------------------------------------------------------------------------- Rockwood Holdings, Inc.(1) 88,960 2,997,062 ------------ 18,323,178 -------------------------------------------------------------------------------------------------------------- CONTAINERS & PACKAGING-0.5% Ball Corp. 80,310 2,491,216 -------------------------------------------------------------------------------------------------------------- METALS & MINING-1.7% Allied Nevada Gold Corp.(1) 86,420 3,094,700 -------------------------------------------------------------------------------------------------------------- Molycorp, Inc.(1) 93,750 3,081,563 -------------------------------------------------------------------------------------------------------------- Silver Wheaton Corp. 108,260 3,188,257 ------------ 9,364,520 -------------------------------------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES-0.7% -------------------------------------------------------------------------------------------------------------- WIRELESS TELECOMMUNICATION SERVICES-0.7% SBA Communications Corp.(1) 116,280 4,009,334 -------------------------------------------------------------------------------------------------------------- UTILITIES-0.6% -------------------------------------------------------------------------------------------------------------- ELECTRIC UTILITIES-0.6% ITC Holdings Corp. 39,160 3,032,159 ------------ Total Common Stocks (Cost $437,834,710) 513,259,059 -------------------------------------------------------------------------------------------------------------- INVESTMENT COMPANY-6.8% Oppenheimer Institutional Money Market Fund, Cl. E, 0.16% (2,3) (Cost $37,441,150) 37,441,150 37,441,150
4 | Oppenheimer Small & Mid-Cap Growth Fund/VA Oppenheimer Small & Mid-Cap Growth Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Value -------------------------------------------------------------------------------------------------------------- Total Investments, at Value (Cost $475,275,860) 99.9% $550,700,209 -------------------------------------------------------------------------------------------------------------- Other Assets Net of Liabilities 0.1 297,258 --------------------------------------- Net Assets 100.0% $550,997,467 =======================================
Footnotes to Statement of Investments 1. Non-income producing security. 2. Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 30, 2011, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows:
SHARES GROSS GROSS SHARES DECEMBER 31, 2010 ADDITIONS REDUCTIONS SEPTEMBER 30, 2011 ------------------------------------------------------------------------------------------------------------------- Oppenheimer Institutional Money Market Fund, Cl. E 2,477,343 243,722,609 208,758,802 37,441,150
VALUE INCOME ----------------------------------------------------------------------------- Oppenheimer Institutional Money Market Fund, Cl. E $37,441,150 $18,543
3. Rate shown is the 7-day yield as of September 30, 2011 5 | Oppenheimer Small & Mid-Cap Growth Fund/VA Oppenheimer Small & Mid-Cap Growth Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (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 or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) 3) Level 3-significant unobservable inputs (including the Manager's own judgments about assumptions that market participants would use in pricing the asset or liability). The table below categorizes amounts as of September 30, 2011 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 $ 91,933,661 $ -- $ -- $ 91,933,661 Consumer Staples 47,650,415 -- -- 47,650,415 Energy 37,047,227 -- -- 37,047,227 Financials 24,081,727 -- -- 24,081,727 Health Care 82,143,161 -- -- 82,143,161 Industrials 82,802,116 -- -- 82,802,116 Information Technology 110,380,345 -- -- 110,380,345 Materials 30,178,914 -- -- 30,178,914 Telecommunication Services 4,009,334 -- -- 4,009,334 Utilities 3,032,159 -- -- 3,032,159 Investment Company 37,441,150 -- -- 37,441,150 ---------------------------------------------------------------------- Total Assets $ 550,700,209 $ -- $ -- $550,700,209 ----------------------------------------------------------------------
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 methodologies, 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," observable market inputs other than unadjusted quoted prices 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 by portfolio pricing services approved by the Board of Trustees or dealers. 6 | Oppenheimer Small & Mid-Cap Growth Fund/VA Oppenheimer Small & Mid-Cap Growth Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) 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 it is traded, prior to the time when the Fund's assets are valued. Securities whose principal exchange is NASDAQ 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. U.S. domestic and international debt instruments (including corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and "money market-type" debt instruments with a remaining maturity in excess of sixty days are valued at the mean between the "bid" and "asked" prices utilizing price quotations obtained from independent pricing services or broker-dealers. Such prices are typically determined based upon information obtained from market participants including reported trade data, broker-dealer price quotations and inputs such as benchmark yields and issuer spreads from identical or similar securities. "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 current price quotation obtained from an independent pricing service or broker-dealer, 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 of the Fund 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 TAXES. 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, 2011 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. 7 | Oppenheimer Small & Mid-Cap Growth Fund/VA Oppenheimer Small & Mid-Cap Growth Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) Federal tax cost of securities $ 477,557,354 ============== Gross unrealized appreciation $ 110,472,271 Gross unrealized depreciation (37,329,416) -------------- Net unrealized appreciation $73,142,855 ==============
8 | Oppenheimer Small & Mid-Cap Growth Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Shares Value ------------------------------------------------------------------------------------------------------- COMMON STOCKS--49.1% CONSUMER DISCRETIONARY--4.0% ------------------------------------------------------------------------------------------------------- MEDIA--3.1% Central European Media Enterprises Ltd.(1) 56,740 $ 443,139 ------------------------------------------------------------------------------------------------------- Jupiter Telecommunications Co. Ltd. 5,487 5,899,511 --------------- 6,342,650 ------------------------------------------------------------------------------------------------------- MULTILINE RETAIL--0.9% Target Corp. 37,190 1,823,798 ------------------------------------------------------------------------------------------------------- CONSUMER STAPLES--4.3% ------------------------------------------------------------------------------------------------------- FOOD & STAPLES RETAILING--0.9% CVS Caremark Corp. 54,280 1,822,722 ------------------------------------------------------------------------------------------------------- FOOD PRODUCTS--2.3% Nestle SA 87,780 4,825,295 ------------------------------------------------------------------------------------------------------- TOBACCO--1.1% Altria Group, Inc. 83,010 2,225,498 ------------------------------------------------------------------------------------------------------- ENERGY--5.0% ------------------------------------------------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES--0.4% Schlumberger Ltd. 13,460 803,966 ------------------------------------------------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS--4.6% Chevron Corp. 59,670 5,520,663 ------------------------------------------------------------------------------------------------------- CONSOL Energy, Inc. 31,300 1,062,009 ------------------------------------------------------------------------------------------------------- Exxon Mobil Corp. 39,350 2,857,991 --------------- 9,440,663 ------------------------------------------------------------------------------------------------------- FINANCIALS--7.7% ------------------------------------------------------------------------------------------------------- CAPITAL MARKETS--0.7% Goldman Sachs Group, Inc. (The) 14,830 1,402,177 ------------------------------------------------------------------------------------------------------- COMMERCIAL BANKS--1.5% M&T Bank Corp. 23,750 1,660,125 ------------------------------------------------------------------------------------------------------- Wells Fargo & Co. 58,790 1,418,015 --------------- 3,078,140 ------------------------------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES--1.9% JPMorgan Chase & Co. 132,900 4,002,948 ------------------------------------------------------------------------------------------------------- INSURANCE--3.6% ACE Ltd. 30,820 1,867,692 ------------------------------------------------------------------------------------------------------- Everest Re Group Ltd. 34,210 2,715,590 ------------------------------------------------------------------------------------------------------- MetLife, Inc. 98,430 2,757,024 --------------- 7,340,306 ------------------------------------------------------------------------------------------------------- HEALTH CARE--7.3% ------------------------------------------------------------------------------------------------------- BIOTECHNOLOGY--3.6% Amgen, Inc. 55,110 3,028,295 ------------------------------------------------------------------------------------------------------- Gilead Sciences, Inc.(1) 83,360 3,234,368 ------------------------------------------------------------------------------------------------------- Vanda Pharmaceuticals, Inc.(1) 199,000 985,050 --------------- 7,247,713 ------------------------------------------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES--2.5% Humana, Inc. 38,000 2,763,740 ------------------------------------------------------------------------------------------------------- WellPoint, Inc. 36,200 2,363,136 --------------- 5,126,876 ------------------------------------------------------------------------------------------------------- PHARMACEUTICALS--1.2% Teva Pharmaceutical Industries Ltd., Sponsored ADR 65,950 2,454,659
1 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Shares Value ------------------------------------------------------------------------------------------------------- INDUSTRIALS--1.9% ------------------------------------------------------------------------------------------------------- AEROSPACE & DEFENSE--0.1% AerCap Holdings NV(1) 10,340 $ 102,573 ------------------------------------------------------------------------------------------------------- AIRLINES--0.6% United Continental Holdings, Inc.(1) 69,580 1,348,460 ------------------------------------------------------------------------------------------------------- ELECTRICAL EQUIPMENT--0.7% Cooper Industries plc 30,490 1,406,199 ------------------------------------------------------------------------------------------------------- MACHINERY--0.5% Ingersoll-Rand plc 38,170 1,072,195 ------------------------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY--16.2% ------------------------------------------------------------------------------------------------------- COMMUNICATIONS EQUIPMENT--2.3% Orbcomm, Inc.(1) 375 956 ------------------------------------------------------------------------------------------------------- QUALCOMM, Inc. 96,170 4,676,747 --------------- 4,677,703 ------------------------------------------------------------------------------------------------------- COMPUTERS & PERIPHERALS--0.6% Apple, Inc.(1) 3,170 1,208,341 ------------------------------------------------------------------------------------------------------- INTERNET SOFTWARE & SERVICES--5.0% eBay, Inc.(1) 128,390 3,786,221 ------------------------------------------------------------------------------------------------------- Google, Inc., Cl. A(1) 12,440 6,398,887 --------------- 10,185,108 ------------------------------------------------------------------------------------------------------- SOFTWARE--8.3% Oracle Corp. 64,350 1,849,419 ------------------------------------------------------------------------------------------------------- Take-Two Interactive Software, Inc.(1) 1,048,576 13,337,887 ------------------------------------------------------------------------------------------------------- THQ, Inc.(1) 1,078,630 1,866,030 --------------- 17,053,336 ------------------------------------------------------------------------------------------------------- MATERIALS--1.8% ------------------------------------------------------------------------------------------------------- CHEMICALS--1.8% Celanese Corp., Series A 33,330 1,084,225 ------------------------------------------------------------------------------------------------------- Mosaic Co. (The) 53,970 2,642,911 --------------- 3,727,136 ------------------------------------------------------------------------------------------------------- UTILITIES--0.9% ------------------------------------------------------------------------------------------------------- ELECTRIC UTILITIES--0.9% Edison International, Inc. 44,790 1,713,218 --------------- Total Common Stocks (Cost $109,664,633) 100,431,680
Principal Amount ------------------------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES--4.5% AESOP Funding II LLC, Automobile Receivables Nts., Series 2011-1A, Cl. A, 1.85%, 11/20/13(2) $ 125,000 125,370 ------------------------------------------------------------------------------------------------------- Ally Auto Receivables Trust 2010-4, Automobile Receivables Nts., Series 2010-4, Cl. A3, 0.91%, 11/17/14 30,000 30,092 ------------------------------------------------------------------------------------------------------- Ally Master Owner Trust 2010-3, Asset-Backed Certificates, Series 2010-3, Cl. A, 2.88%, 4/15/15(2) 200,000 205,080 ------------------------------------------------------------------------------------------------------- Ally Master Owner Trust, Automobile Receivables Nts., Series 2011-4, Cl. A2, 1%, 9/15/16 240,000 239,582 ------------------------------------------------------------------------------------------------------- AmeriCredit Automobile Receivables Trust 2009-1, Automobile Receivables-Backed Nts., Series 2009-1, Cl. A3, 3.04%, 10/15/13 93,428 94,233 -------------------------------------------------------------------------------------------------------
2 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ----------------------------------------------------------------------------------------- AmeriCredit Automobile Receivables Trust 2011-1, Automobile Receivables-Backed Nts., Series 2011-1, Cl. D, 4.26%, 2/8/17 $ 60,000 $ 60,846 ----------------------------------------------------------------------------------------- AmeriCredit Automobile Receivables Trust 2011-2, Automobile Receivables-Backed Nts.: Series 2011-2, Cl. A3, 1.61%, 10/8/15 70,000 70,505 Series 2011-2, Cl. D, 4%, 5/8/17 120,000 121,595 ----------------------------------------------------------------------------------------- AmeriCredit Automobile Receivables Trust 2011-4, Automobile Receivables-Backed Nts., Series 2011-4, Cl. D, 4.08%, 7/10/17 335,000 334,418 ----------------------------------------------------------------------------------------- AmeriCredit Prime Automobile Receivables Trust 2010-2, Automobile Receivables Nts., Series 2010-2, Cl. A2, 1.22%, 10/8/13 37,629 37,681 ----------------------------------------------------------------------------------------- CarMax Auto Owner Trust 2010-3, Automobile Asset-Backed Nts., Series 2010-3, Cl. A3, 0.99%, 2/17/15 65,000 65,207 ----------------------------------------------------------------------------------------- Carrington Mortgage Loan Trust, Asset-Backed Pass-Through Certificates, Series 2006-FRE1, Cl. A2, 0.345%, 7/25/36(3) 192,916 177,525 ----------------------------------------------------------------------------------------- Centre Point Funding LLC, Asset-Backed Nts., Series 2010-1A, Cl. 1, 5.43%, 7/20/15(2) 54,551 57,670 ----------------------------------------------------------------------------------------- Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15 180,000 189,962 ----------------------------------------------------------------------------------------- Citibank Omni Master Trust, Credit Card Receivables: Series 2009-A12, Cl. A12, 3.35%, 8/15/16(2) 230,000 234,225 Series 2009-A13, Cl. A13, 5.35%, 8/15/18(2) 220,000 241,282 Series 2009-A17, Cl. A17, 4.90%, 11/15/18(2) 370,000 403,174 Series 2009-A8, Cl. A8, 2.329%, 5/16/16(2,3) 325,000 327,817 ----------------------------------------------------------------------------------------- CNH Wholesale Master Note Trust 2011-1, Equipment Nts., Series 2011-1, Cl. 1A, 1.029%, 1/20/41(3) 240,000 240,661 ----------------------------------------------------------------------------------------- Countrywide Home Loans, Asset-Backed Certificates: Series 2002-4, Cl. A1, 0.975%, 2/25/33(3) 8,285 7,886 Series 2005-16, Cl. 2AF2, 5.382%, 5/1/36 236,499 184,182 Series 2005-17, Cl. 1AF2, 5.363%, 5/1/36 2,050 1,609 ----------------------------------------------------------------------------------------- CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates, Series 2006-25, Cl. 2A2,0.355%, 6/25/47(3) 471,746 423,135 ----------------------------------------------------------------------------------------- DSC Floorplan Master Owner Trust, Automobile Receivable Nts., Series 2011-1, Cl. A, 3.91%, 3/15/16 210,000 213,678 ----------------------------------------------------------------------------------------- DT Auto Owner Trust 2009-1, Automobile Receivable Nts., Series 2009-1, Cl. A1, 2.98%, 10/15/15(2) 152,126 153,217 ----------------------------------------------------------------------------------------- DT Auto Owner Trust 2011-1A, Automobile Receivable Nts., Series 2011-1A, Cl. C, 3.05%, 8/15/15(2) 290,000 291,130 ----------------------------------------------------------------------------------------- DT Auto Owner Trust 2011-2A, Automobile Receivable Nts., Series 2011-2A, Cl. C, 3.05%, 7/15/13(2) 70,000 70,217 ----------------------------------------------------------------------------------------- First Investors Auto Owner Trust 2011-1, Automobile Receivable Nts., Series 2011-1, Cl. A2, 1.47%, 3/16/15 189,143 188,821 ----------------------------------------------------------------------------------------- Ford Credit Floorplan Master Owner Trust 2009-2, Asset-Backed Nts., Series 2009-2, Cl. A, 1.779%, 9/15/14(3) 245,000 247,689 ----------------------------------------------------------------------------------------- Ford Credit Floorplan Master Owner Trust 2010-1, Asset-Backed Nts., Series 2010-1, Cl. A, 1.879%, 12/15/14(2,3) 250,000 253,695 ----------------------------------------------------------------------------------------- Ford Credit Floorplan Master Owner Trust 2011-1, Asset-Backed Nts., Series 2011-1, Cl. A1, 2.12%, 2/15/16 255,000 259,951
3 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ----------------------------------------------------------------------------------------- GE Capital Credit Card Master Note Trust, Asset-Backed Nts., Series 2009-2, Cl. A, 3.69%, 7/15/15 $ 105,000 $ 107,507 ----------------------------------------------------------------------------------------- GE Dealer Floorplan Master Note Trust, Asset-Backed Securities, Series 2009-2A, Cl. A, 1.757%, 10/20/14(2,3) 240,000 242,638 ----------------------------------------------------------------------------------------- GMAC Mortgage Servicer Advance Funding Ltd., Asset-Backed Nts., Series 2011-1A, Cl. A, 3.72%, 2/15/23(2) 230,000 232,405 ----------------------------------------------------------------------------------------- Hertz Vehicle Financing LLC, Automobile Receivable Nts., Series 2010-1A, Cl. A1, 2.60%, 2/25/15(2) 315,000 318,553 ----------------------------------------------------------------------------------------- MBNA Credit Card Master Note Trust, Credit Card Receivables, Series 2003-C7, Cl. C7, 1.579%, 3/15/16(3) 255,000 256,191 ----------------------------------------------------------------------------------------- Navistar Financial Dealer Note Master Owner Trust, Asset-Backed Nts., Series 2010-1, Cl. A, 1.885%, 1/26/15(2,3) 405,000 406,451 ----------------------------------------------------------------------------------------- Nissan Auto Lease Trust 2010-B, Automobile Asset-Backed Nts., Series 2010-B, Cl. A3, 1.12%, 12/15/13 220,000 221,022 ----------------------------------------------------------------------------------------- Nissan Master Owner Trust, Automobile Receivable Nts., Series 2010-AA, Cl. A, 1.379%, 1/15/15(2,3) 240,000 242,270 ----------------------------------------------------------------------------------------- Rental Car Finance Corp., Automobile Receivable Nts., Series 2011-1A, Cl. A1, 2.51%, 2/25/16(2) 180,000 182,795 ----------------------------------------------------------------------------------------- Santander Drive Auto Receivables Trust 2010-2, Automobile Receivables Nts., Series 2010-2, Cl. A2, 0.95%, 8/15/13 121,340 121,391 ----------------------------------------------------------------------------------------- Santander Drive Auto Receivables Trust 2010-3, Automobile Receivables Nts., Series 2010-3, Cl. C, 3.06%, 11/15/17 235,000 235,488 ----------------------------------------------------------------------------------------- Santander Drive Auto Receivables Trust 2010-A, Automobile Receivables Nts., Series 2010-A, Cl. A2, 1.37%, 8/15/13(2) 166,647 166,962 ----------------------------------------------------------------------------------------- Santander Drive Auto Receivables Trust 2011-1, Automobile Receivables Nts., Series 2011-1, Cl. D, 4.01%, 2/15/17 245,000 247,877 ----------------------------------------------------------------------------------------- Santander Drive Auto Receivables Trust 2011-S1A, Automobile Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/17(4) 262,233 261,158 ----------------------------------------------------------------------------------------- Santander Drive Auto Receivables Trust 2011-S2A, Automobile Receivables Nts., Series 2011-S2A, Cl. D, 3.35%, 6/15/17(2) 164,729 164,597 ----------------------------------------------------------------------------------------- Volkswagen Auto Lease Trust 2010-A, Automobile Receivable Nts., Series 2010-A, Cl. A3, 0.99%, 11/20/13 215,000 215,628 ----------------------------------------------------------------------------------------- Westlake Automobile Receivables Trust 2011-1, Automobile Receivables Nts., Series 2011-1, Cl. A3, 1.49%, 6/16/14(2) 105,000 105,039 ----------------------------------------------------------------------------------------- World Financial Network Credit Card Master Note Trust, Credit Card Receivables, Series 2009-A, Cl. A, 4.60%, 9/15/15 5,000 5,023 ----------- Total Asset-Backed Securities (Cost $9,343,428) 9,285,130 ----------------------------------------------------------------------------------------- MORTGAGE-BACKED OBLIGATIONS--27.4% ----------------------------------------------------------------------------------------- GOVERNMENT AGENCY--22.3% ----------------------------------------------------------------------------------------- FHLMC/FNMA/FHLB/SPONSORED--21.9% Federal Home Loan Mortgage Corp.: 5.50%, 9/1/39 1,087,721 1,178,885 7%, 10/1/37 814,939 937,012 ----------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Series 2006-11, Cl. PS, 23.707%, 3/25/36(3) 217,247 299,564 Series 2426, Cl. BG, 6%, 3/15/17 323,769 348,624 Series 2427, Cl. ZM, 6.50%, 3/15/32 373,519 415,084
4 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ------------------------------------------------------------------------------------------------------- FHLMC/FNMA/FHLB/SPONSORED CONTINUED Series 2626, Cl. TB, 5%, 6/1/33 $ 539,561 $ 595,406 Series 2663, Cl. BA, 4%, 8/1/16 154,631 155,627 Series 2686, Cl. CD, 4.50%, 2/1/17 48,611 48,779 Series 2907, Cl. GC, 5%, 6/1/27 26,849 26,974 Series 2952, Cl. GJ, 4.50%, 12/1/28 577 577 Series 3019, Cl. MD, 4.75%, 1/1/31 157,045 158,927 Series 3025, Cl. SJ, 23.91%, 8/15/35(3) 63,787 87,673 Series 3094, Cl. HS, 23.544%, 6/15/34(3) 126,477 163,219 Series 3242, Cl. QA, 5.50%, 3/1/30 73,999 74,795 Series 3822, Cl. JA, 5%, 6/1/40 413,917 452,462 Series 3848, Cl. WL, 4%, 4/1/40 297,215 315,252 Series R001, Cl. AE, 4.375%, 4/1/15 18,219 18,303 ------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 183, Cl. IO, 14.99%, 4/1/27(5) 152,021 28,682 Series 192, Cl. IO, 12.865%, 2/1/28(5) 43,552 9,136 Series 2130, Cl. SC, 50.576%, 3/15/29(5) 122,745 25,385 Series 243, Cl. 6, 25.34%, 12/15/32(5) 146,875 25,199 Series 2527, Cl. SG, 0%, 2/15/32(5,6) 23,752 439 Series 2531, Cl. ST, 47.192%, 2/15/30(5) 470,817 15,145 Series 2796, Cl. SD, 63.249%, 7/15/26(5) 179,122 34,944 Series 2802, Cl. AS, 66.556%, 4/15/33(5) 137,353 10,476 Series 2920, Cl. S, 63.885%, 1/15/35(5) 966,172 152,588 Series 3110, Cl. SL, 99.999%, 2/15/26(5) 131,529 17,536 Series 3451, Cl. SB, 26.449%, 5/15/38(5) 801,020 82,056 ------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 3.863%, 6/1/26(7) 43,980 40,508 ------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn.: 4.50%, 10/1/26-10/1/41(8) 8,112,000 8,613,254 5%, 10/1/41(8) 4,727,000 5,085,219 5.50%, 9/25/20 10,160 11,115 5.50%, 10/1/26-10/1/41(8) 3,459,000 3,753,521 6%, 3/1/37 692,792 763,089 6%, 10/1/41(8) 2,025,000 2,221,489 6.50%, 10/1/41(8) 805,000 887,387 7%, 11/1/17 137,076 146,514 7.50%, 1/1/33 184,218 214,955 8.50%, 7/1/32 5,721 6,526 ------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., 15 yr.: 3%, 10/1/26(8) 3,450,000 3,555,117 3.50%, 10/1/26(8) 1,970,000 2,057,419 4%, 10/1/26(8) 235,000 247,705 ------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., 30 yr., 4%, 10/1/41(8) 4,345,000 4,555,461 ------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Trust 1998-61, Cl. PL, 6%, 11/25/28 128,374 146,219 Trust 2004-101, Cl. BG, 5%, 1/25/20 800,556 857,732 Trust 2004-81, Cl. KC, 4.50%, 4/1/17 50,845 50,924 Trust 2004-9, Cl. AB, 4%, 7/1/17 126,529 128,387
5 | OPPENHEIMER BALANCED FUND/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ------------------------------------------------------------------------------------------------------- FHLMC/FNMA/FHLB/SPONSORED CONTINUED Trust 2005-104, Cl. MC, 5.50%, 12/25/25 $ 700,000 $ 778,611 Trust 2005-12, Cl. JC, 5%, 6/1/28 109,920 111,048 Trust 2005-22, Cl. EC, 5%, 10/1/28 44,924 45,417 Trust 2005-30, Cl. CU, 5%, 4/1/29 58,270 59,218 Trust 2005-69, Cl. LE, 5.50%, 11/1/33 310,413 327,330 Trust 2006-46, Cl. SW, 23.339%, 6/25/36(3) 160,878 217,506 Trust 2007-42, Cl. A, 6%, 2/1/33 385,176 406,532 Trust 2009-36, Cl. FA, 1.175%, 6/25/37(3) 378,069 384,763 Trust 2009-37, Cl. HA, 4%, 4/1/19 479,628 508,818 Trust 2009-70, Cl. PA, 5%, 8/1/35 570,174 594,442 Trust 2011-15, Cl. DA, 4%, 3/1/41 205,498 215,788 Trust 2011-3, Cl. KA, 5%, 4/1/40 287,035 310,565 ------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Trust 2001-65, Cl. S, 39.096%, 11/25/31(5) 358,592 66,410 Trust 2001-81, Cl. S, 33.412%, 1/25/32(5) 84,521 17,682 Trust 2002-47, Cl. NS, 34.307%, 4/25/32(5) 196,307 37,325 Trust 2002-51, Cl. S, 34.566%, 8/25/32(5) 180,256 34,269 Trust 2002-52, Cl. SD, 43.757%, 9/25/32(5) 225,907 47,191 Trust 2002-77, Cl. SH, 43.482%, 12/18/32(5) 122,212 24,999 Trust 2002-84, Cl. SA, 41.238%, 12/25/32(5) 327,017 55,026 Trust 2002-9, Cl. MS, 33.744%, 3/25/32(5) 130,221 26,272 Trust 2003-33, Cl. SP, 41.366%, 5/25/33(5) 377,426 61,996 Trust 2003-4, Cl. S, 37.656%, 2/25/33(5) 210,062 35,195 Trust 2003-46, Cl. IH, 0%, 6/1/23(5,6) 1,155,341 137,849 Trust 2003-89, Cl. XS, 33.09%, 11/25/32(5) 105,569 4,746 Trust 2004-54, Cl. DS, 54.54%, 11/25/30(5) 193,685 41,493 Trust 2005-14, Cl. SE, 40.768%, 3/25/35(5) 140,991 20,890 Trust 2005-40, Cl. SA, 62.723%, 5/25/35(5) 525,580 83,104 Trust 2005-71, Cl. SA, 63.581%, 8/25/25(5) 551,302 83,480 Trust 2005-93, Cl. SI, 16.973%, 10/25/35(5) 100,963 13,486 Trust 2006-129, Cl. SM, 33.301%, 1/25/37(5) 655,444 87,059 Trust 2006-60, Cl. DI, 39.061%, 4/25/35(5) 87,617 12,057 Trust 2007-88, Cl. XI, 30.965%, 6/25/37(5) 578,643 92,723 Trust 2008-55, Cl. SA, 27.309%, 7/25/38(5) 425,887 47,677 Trust 2008-67, Cl. KS, 41.649%, 8/25/34(5) 221,165 15,171 Trust 222, Cl. 2, 26.089%, 6/1/23(5) 335,579 50,354 Trust 233, Cl. 2, 41.863%, 8/1/23(5) 322,210 68,743 Trust 252, Cl. 2, 36.993%, 11/1/23(5) 280,941 50,520 Trust 319, Cl. 2, 5.817%, 2/1/32(5) 86,986 17,272 Trust 331, Cl. 9, 32.455%, 2/1/33(5) 269,201 50,454 Trust 334, Cl. 17, 40.766%, 2/1/33(5) 155,874 36,225 Trust 339, Cl. 12, 0.004%, 7/1/33(5) 261,295 45,075 Trust 339, Cl. 7, 0%, 7/1/33(5,6) 889,709 128,915 Trust 343, Cl. 13, 8.237%, 9/1/33(5) 246,998 38,102 Trust 345, Cl. 9, 14.968%, 1/1/34(5) 351,415 45,272 Trust 351, Cl. 10, 4.743%, 4/1/34(5) 37,683 5,626
6 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value --------------------------------------------------------------------------------------- FHLMC/FNMA/FHLB/SPONSORED CONTINUED Trust 351, Cl. 8, 2.811%, 4/1/34(5) $ 117,387 $ 17,671 Trust 356, Cl. 10, 0%, 6/1/35(5,6) 92,736 13,445 Trust 356, Cl. 12, 0%, 2/1/35(5,6) 48,677 7,156 Trust 362, Cl. 13, 4.155%, 8/1/35(5) 356,106 55,275 Trust 364, Cl. 16, 0%, 9/1/35(5,6) 256,502 38,708 --------------------------------------------------------------------------------------- Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Trust 1993-184, Cl. M, 4.177%, 9/25/23(7) 123,940 107,819 ----------- 44,804,060 --------------------------------------------------------------------------------------- GNMA/GUARANTEED--0.2% Government National Mortgage Assn., 8%, 4/15/23 53,675 63,012 --------------------------------------------------------------------------------------- Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Series 2001-21, Cl. SB, 92.788%, 1/16/27(5) 220,761 44,804 Series 2002-15, Cl. SM, 82.992%, 2/16/32(5) 258,128 54,606 Series 2002-76, Cl. SY, 82.677%, 12/16/26(5) 561,815 100,769 Series 2004-11, Cl. SM, 81.52%, 1/17/30(5) 206,362 54,415 Series 2007-17, Cl. AI, 20.241%, 4/16/37(5) 493,330 88,844 ----------- 406,450 --------------------------------------------------------------------------------------- OTHER AGENCY--0.2% NCUA Guaranteed Notes Trust 2010-R3, Gtd. Nts., Series 2010-R3, Cl. 2A, 0.784%, 12/8/20(3) 354,533 356,720 NON-AGENCY--5.1% --------------------------------------------------------------------------------------- COMMERCIAL--3.2% Banc of America Commercial Mortgage Trust 2007-1, Commercial Mtg. Pass-Through Certificates, Series 2007-1, Cl. A4, 5.451%, 1/1/49 355,000 380,096 --------------------------------------------------------------------------------------- Bear Stearns ARM Trust 2007-4, Mtg. Pass-Through Certificates, Series 2007-4, Cl. 22A1, 5.705%, 6/1/47(3) 252,215 192,573 --------------------------------------------------------------------------------------- CFCRE Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2011-C1, Cl. A1, 1.871%, 4/1/44(2) 70,252 69,380 --------------------------------------------------------------------------------------- CHL Mortgage Pass-Through Trust 2007-J3, Mtg. Pass-Through Certificates, Series 2007-J3, Cl. A9, 6%, 7/1/37 53,195 43,193 --------------------------------------------------------------------------------------- Citigroup, Inc./Deutsche Bank 2007-CD4 Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2007-CD4, Cl. A4, 5.322%, 12/1/49 290,000 300,130 --------------------------------------------------------------------------------------- Deutsche Alt-B Securities, Inc., Mtg. Pass-Through Certificates, Series 2006-AB4, Cl. A1A, 6.005%, 10/25/36 247,248 137,221 --------------------------------------------------------------------------------------- Deutsche Mortgage & Asset Receiving, Commercial Mtg. Pass-Through Certificates, Series 2010-C1, Cl. A1, 3.156%, 7/1/46(2) 279,983 283,252 --------------------------------------------------------------------------------------- Deutsche Mortgage & Asset Receiving, Commercial Mtg. Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security, Series 2010-C1, Cl. XPA, 4.852%, 9/1/20(2,5) 2,259,242 177,379 --------------------------------------------------------------------------------------- First Horizon Alternative Mortgage Securities Trust 2004-FA2, Mtg. Pass-Through Certificates, Series 2004-FA2, Cl. 3A1, 6%, 1/25/35 255,843 250,095 --------------------------------------------------------------------------------------- First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 460,170 306,527 ---------------------------------------------------------------------------------------
7 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value --------------------------------------------------------------------------------------------- COMMERCIAL CONTINUED --------------------------------------------------------------------------------------------- Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2007-GG11, Commercial Mtg. Pass-Through Certificates, Series 2007-GG11, Cl. A4, 5.736%, 12/1/49 $ 70,000 $ 72,983 --------------------------------------------------------------------------------------------- GS Mortgage Securities Corp. II, Commercial Mtg. Obligations, Series 2011-GC3, Cl. A1, 2.331%, 3/1/44 192,066 194,885 --------------------------------------------------------------------------------------------- Impac CMB Trust Series 2005-4 Collateralized Asset-Backed Bonds, Series 2005-4, Cl. 1A1A, 0.775%, 5/25/35(3) 151,782 107,703 -------------------------------------------------------------------------------------------- IndyMac Index Mortgage Loan Trust 2005-AR23, Mtg. Pass-Through Certificates, Series 2005-AR23, Cl. 6A1, 5.128%, 11/1/35(3) 325,382 228,396 --------------------------------------------------------------------------------------------- JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: Series 2011-C3, Cl. A1, 1.875%, 2/1/46(2) 218,174 219,221 Series 2010-C2, Cl. A2, 3.616%, 11/1/43(2) 340,000 333,493 Series 2007-LDPX, Cl. A2S2, 5.187%, 1/1/49(4) 140,000 140,588 Series 2007-LDP10, Cl. A3S, 5.317%, 1/1/49 355,000 364,113 Series 2007-LDPX, Cl. A3, 5.42%, 1/15/49 40,000 41,641 Series 2007-LD11, Cl. A2, 5.99%, 6/15/49(3) 269,899 274,130 --------------------------------------------------------------------------------------------- JPMorgan Mortgage Trust 2007-S3, Mtg. Pass-Through Certificates, Series 2007-S3, Cl. 1A90, 7%, 8/1/37 339,694 308,045 --------------------------------------------------------------------------------------------- LB-UBS Commercial Mortgage Trust 2007-C1, Commercial Mtg. Pass-Through Certificates, Series 2007-C1, Cl. A2, 5.318%, 2/11/40 165,423 166,069 --------------------------------------------------------------------------------------------- Mastr Adjustable Rate Mortgages Trust 2004-13, Mtg. Pass-Through Certificates, Series 2004-13, Cl. 2A2, 2.716%, 4/1/34(3) 205,090 197,814 --------------------------------------------------------------------------------------------- Mastr Alternative Loan Trust 2004-6, Mtg. Pass-Through Certificates, Series 2004-6, Cl. 10A1, 6%, 7/25/34 481,465 494,673 --------------------------------------------------------------------------------------------- Structured Adjustable Rate Mortgage Loan Trust, Mtg. Pass-Through Certificates, Series 2007-6, Cl. 3A1, 5.164%, 7/1/37(3) 307,232 186,707 --------------------------------------------------------------------------------------------- Wachovia Bank Commercial Mortgage Trust 2007-C34, Commercial Mtg. Pass-Through Certificates, Series 2007-C34, Cl. A3, 5.678%, 5/1/46 260,000 277,269 --------------------------------------------------------------------------------------------- WaMu Mortgage Pass-Through Certificates 2005-AR14 Trust, Mtg. Pass-Through Certificates, Series 2005-AR14, Cl. 1A4, 2.612%, 12/1/35(3) 159,929 130,898 --------------------------------------------------------------------------------------------- Wells Fargo Commercial Mortgage Trust 2010-C1, Commercial Mtg. Pass-Through Certificates, Series 2010-C1, Cl. A1, 3.349%, 11/1/43(2) 180,008 185,264 --------------------------------------------------------------------------------------------- Wells Fargo Mortgage-Backed Securities 2007-AR8 Trust, Mtg. Pass-Through Certificates, Series 2007-AR8, Cl. A1, 6.068%, 11/1/37(3) 226,472 174,976 --------------------------------------------------------------------------------------------- WFRBS Commercial Mortgage Trust 2011-C3, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2011-C3, Cl. XA, 7.245%, 3/1/44(5) 2,844,332 260,199 --------------- 6,498,913 --------------------------------------------------------------------------------------------- MULTIFAMILY--0.3% Citigroup Mortgage Loan Trust, Inc. 2006-AR3, Mtg. Pass-Through Certificates, Series 2006-AR3, Cl. 1A2A, 5.681%, 6/1/36(3) 212,057 184,210 ---------------------------------------------------------------------------------------------
8 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value -------------------------------------------------------------------------------------------- MULTIFAMILY CONTINUED -------------------------------------------------------------------------------------------- GE Capital Commercial Mortgage Corp., Commercial Mtg. Pass-Through Certificates, Series 2001-3, Cl. A2, 6.07%, 6/1/38 $ 35,418 $ 35,391 -------------------------------------------------------------------------------------------- JPMorgan Mortgage Trust 2007-A3, Mtg. Pass-Through Certificates, Series 2007-A3, Cl. 3A2M, 5.454%, 5/1/37(3) 44,238 37,112 -------------------------------------------------------------------------------------------- Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg. Pass-Through Certificates, Series 2006-AR6, Cl. 3A1, 2.795%, 3/25/36(3) 532,411 429,961 ------------- 686,674 -------------------------------------------------------------------------------------------- OTHER--0.2% Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2007-GG9, Commercial Mtg. Pass-Through Certificates, Series 2007-GG9, Cl. A4, 5.444%, 3/1/39 320,000 333,128 -------------------------------------------------------------------------------------------- RESIDENTIAL--1.4% Banc of America Funding 2007-C Trust, Mtg. Pass-Through Certificates, Series 2007-C, Cl. 1A4, 5.563%, 5/1/36(3) 80,000 71,731 -------------------------------------------------------------------------------------------- Banc of America Mortgage Securities, Inc., Mtg. Pass-Through Certificates, Series 2004-E, Cl. 2A6, 2.866%, 6/1/34(3) 136,737 118,522 -------------------------------------------------------------------------------------------- CHL Mortgage Pass-Through Trust 2005-29, Mtg. Pass-Through Certificates, Series 2005-29, Cl. A1, 5.75%, 12/1/35 64,749 56,594 -------------------------------------------------------------------------------------------- CHL Mortgage Pass-Through Trust 2005-HYB7, Mtg. Pass-Through Certificates, Series 2005-HYB7, Cl. 6A1, 5.363%, 11/1/35(3) 285,825 200,971 -------------------------------------------------------------------------------------------- CHL Mortgage Pass-Through Trust 2006-6, Mtg. Pass-Through Certificates, Series 2006-6, Cl. A3, 6%, 4/1/36 198,836 188,188 -------------------------------------------------------------------------------------------- Citigroup Commercial Mortgage Trust 2008-C7, Commercial Mtg. Pass-Through Certificates, Series 2008-C7, Cl. A4, 6.275%, 12/1/49(3) 300,000 328,224 -------------------------------------------------------------------------------------------- Countrywide Alternative Loan Trust 2005-29CB, Mtg. Pass-Through Certificates, Series 2005-29CB, Cl. A4, 5%, 7/1/35 715,493 581,234 -------------------------------------------------------------------------------------------- Countrywide Alternative Loan Trust 2007-19, Mtg. Pass-Through Certificates, Series 2007-19, Cl. 1A34, 6%, 8/1/37 200,811 151,125 -------------------------------------------------------------------------------------------- GSR Mortgage Loan Trust 2006-5F, Mtg. Pass-Through Certificates, Series 2006-5F, Cl. 2A1, 6%, 6/1/36 192,693 189,790 -------------------------------------------------------------------------------------------- JPMorgan Alternative Loan Trust 2006-S4, Mtg. Pass-Through Certificates, Series 2006-S4, Cl. A6, 5.71%, 12/1/36 121,894 106,937 -------------------------------------------------------------------------------------------- RALI Series 2003-QS1 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 124,887 128,948 -------------------------------------------------------------------------------------------- RALI Series 2006-QS13 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 24,897 14,731 -------------------------------------------------------------------------------------------- Residential Asset Securitization Trust 2005-A15, Mtg. Pass-Through Certificates, Series 2005-A15, Cl. 1A4, 5.75%, 2/1/36 40,907 32,943 -------------------------------------------------------------------------------------------- Thornburg Mortgage Securities Trust 2006-6, Mtg. Pass-Through Certificates, Series 2006-6, Cl. A2, 0.385%, 11/25/46(3) 228,751 225,740 -------------------------------------------------------------------------------------------- WaMu Mortgage Pass-Through Certificates 2007-HY5 Trust, Mtg. Pass-Through Certificates, Series 2007-HY5, Cl. 3A1, 5.591%, 5/1/37(3) 214,212 178,464 -------------------------------------------------------------------------------------------- Wells Fargo Alternative Loan 2007-PA5 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-PA5, Cl. 1A1, 6.25%, 11/1/37 180,893 149,908 --------------------------------------------------------------------------------------------
9 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ------------------------------------------------------------------------------------------- RESIDENTIAL CONTINUED ------------------------------------------------------------------------------------------- Wells Fargo Mortgage-Backed Securities 2004-R Trust, Mtg. Pass-Through Certificates, Series 2004-R, Cl. 2A1, 2.624%, 9/1/34(3) $ 87,908 $ 83,020 ------------------------------------------------------------------------------------------- Wells Fargo Mortgage-Backed Securities 2006-AR14 Trust, Mtg. Pass-Through Certificates, Series 2006-AR14, Cl. 1A2, 5.684%, 10/1/36(3) 209,642 180,337 --------------- 2,987,407 --------------- Total Mortgage-Backed Obligations (Cost $55,078,216) 56,073,352 ------------------------------------------------------------------------------------------- U.S. GOVERNMENT OBLIGATIONS--0.6% Federal Home Loan Mortgage Corp. Nts.: 2%, 8/25/16 65,000 67,435 2.50%, 5/27/16 100,000 106,103 5%, 2/16/17 115,000 136,261 5.25%, 4/18/16 195,000 230,577 5.50%, 7/18/16 110,000 132,125 ------------------------------------------------------------------------------------------- Federal National Mortgage Assn. Nts.: 190,000 200,656 2.375%, 4/11/16(9) 4.875%, 12/15/16(9) 160,000 188,337 5%, 3/15/16(9) 120,000 140,407 --------------- Total U.S. Government Obligations (Cost $1,131,263) 1,201,901 ------------------------------------------------------------------------------------------- NON-CONVERTIBLE CORPORATE BONDS AND NOTES--15.0% CONSUMER DISCRETIONARY--2.1% ------------------------------------------------------------------------------------------- AUTOMOBILES--0.1% Daimler Finance North America LLC, 1.875% Sr. Unsec. Nts., 9/15/14(2) 153,000 151,171 ------------------------------------------------------------------------------------------- DIVERSIFIED CONSUMER SERVICES--0.1% Service Corp. International, 6.75% Sr. Unsec. Nts., 4/1/15 230,000 240,350 ------------------------------------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE--0.3% Hyatt Hotels Corp., 5.75% Sr. Unsec. Unsub. Nts., 8/15/15(2) 340,000 362,841 ------------------------------------------------------------------------------------------- Marriott International, Inc., 6.20% Sr. Unsec. Unsub. Nts., 6/15/16 255,000 286,807 --------------- 649,648 ------------------------------------------------------------------------------------------- HOUSEHOLD DURABLES--0.3% Fortune Brands, Inc., 6.375% Sr. Unsec. Unsub. Nts., 6/15/14 55,000 60,967 ------------------------------------------------------------------------------------------- Newell Rubbermaid, Inc., 5.50% Sr. Unsec. Nts., 4/15/13 223,000 235,889 ------------------------------------------------------------------------------------------- Whirlpool Corp.: 90,000 94,121 5.50% Sr. Unsec. Unsub. Nts., 3/1/13 8% Sr. Unsec. Nts., 5/1/12 180,000 186,953 --------------- 577,930 ------------------------------------------------------------------------------------------- LEISURE EQUIPMENT & PRODUCTS--0.1% Mattel, Inc., 5.625% Sr. Unsec. Nts., 3/15/13 215,000 228,188 ------------------------------------------------------------------------------------------- MEDIA--0.9% Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22 138,000 199,786 ------------------------------------------------------------------------------------------- DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 6.375% Sr. Unsec. Nts., 3/1/41 182,000 204,868 ------------------------------------------------------------------------------------------- Historic TW, Inc., 9.125% Debs., 1/15/13 78,000 85,252 -------------------------------------------------------------------------------------------
10 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ------------------------------------------------------------------------------------------ MEDIA CONTINUED Interpublic Group of Cos., Inc. (The): 6.25% Sr. Unsec. Nts., 11/15/14 $ 80,000 $ 84,800 10% Sr. Unsec. Nts., 7/15/17 264,000 301,620 ------------------------------------------------------------------------------------------ Lamar Media Corp., 9.75% Sr. Unsec. Nts., 4/1/14 218,000 241,435 ------------------------------------------------------------------------------------------ Time Warner Entertainment Co. LP, 8.375% Sr. Nts., 7/15/33 122,000 159,876 ------------------------------------------------------------------------------------------ Viacom, Inc., 7.875% Sr. Unsec. Debs., 7/30/30 130,000 164,881 ------------------------------------------------------------------------------------------ Virgin Media Secured Finance plc: 5.25% Sr. Sec. Nts., 1/15/21 132,000 142,508 6.50% Sr. Sec. Nts., 1/15/18 282,000 301,035 --------------- 1,886,061 ------------------------------------------------------------------------------------------ MULTILINE RETAIL--0.2% Family Dollar Stores, Inc., 5% Sr. Unsec. Nts., 2/1/21 127,000 124,820 ------------------------------------------------------------------------------------------ Macy's Retail Holdings, Inc., 5.75% Sr. Unsec. Nts., 7/15/14 254,000 271,580 --------------- 396,400 ------------------------------------------------------------------------------------------ SPECIALTY RETAIL--0.1% Rent-A-Center, Inc., 6.625% Sr. Unsec. Nts., 11/15/20 240,000 231,600 ------------------------------------------------------------------------------------------ CONSUMER STAPLES--1.0% ------------------------------------------------------------------------------------------ FOOD & STAPLES RETAILING--0.2% Kroger Co.(The), 5% Sr. Nts., 4/15/13 199,000 209,249 ------------------------------------------------------------------------------------------ Wal-Mart Stores, Inc., 5.625% Sr. Unsec. Nts., 4/15/41 143,000 177,381 --------------- 386,630 ------------------------------------------------------------------------------------------ FOOD PRODUCTS--0.4% Bunge Ltd. Finance Corp.: 5.35% Sr. Unsec. Unsub. Nts., 4/15/14 29,000 30,635 8.50% Sr. Unsec. Nts., 6/15/19 155,000 193,624 ------------------------------------------------------------------------------------------ Kraft Foods, Inc., 6% Sr. Unsec. Nts., 2/11/13 207,000 219,361 ------------------------------------------------------------------------------------------ TreeHouse Foods, Inc., 7.75% Sr. Unsec. Nts., 3/1/18 240,000 249,000 --------------- 692,620 ------------------------------------------------------------------------------------------ HOUSEHOLD PRODUCTS--0.1% Energizer Holdings, Inc., 4.70% Sr. Nts., 5/19/21(2) 233,000 250,070 ------------------------------------------------------------------------------------------ TOBACCO--0.3% Altria Group, Inc., 10.20% Sr. Unsec. Nts., 2/6/39 177,000 257,845 ------------------------------------------------------------------------------------------ Lorillard Tobacco Co., 7% Sr. Unsec. Nts., 8/4/41 149,000 159,010 ------------------------------------------------------------------------------------------ Reynolds American, Inc., 7.25% Sr. Sec. Nts., 6/1/13 206,000 224,853 --------------- 641,708 ------------------------------------------------------------------------------------------ ENERGY--1.9% ------------------------------------------------------------------------------------------ ENERGY EQUIPMENT & SERVICES--0.5% Ensco plc, 4.70% Sr. Unsec. Nts., 3/15/21 235,000 240,322 ------------------------------------------------------------------------------------------ Nabors Industries, Inc., 6.15% Sr. Unsec. Unsub. Nts., 2/15/18 286,000 319,639 ------------------------------------------------------------------------------------------ Rowan Cos., Inc., 5% Sr. Unsec. Nts., 9/1/17 244,000 253,356 ------------------------------------------------------------------------------------------ Weatherford International Ltd. Bermuda, 5.125% Sr. Unsec. Unsub. Nts., 9/15/20 242,000 247,058 --------------- 1,060,375 ------------------------------------------------------------------------------------------ OIL, GAS & CONSUMABLE FUELS--1.4% Anadarko Petroleum Corp., 6.20% Sr. Unsec. Nts., 3/15/40 145,000 151,841 ------------------------------------------------------------------------------------------ Canadian Oil Sands Ltd., 5.80% Sr. Unsec. Nts., 8/15/13(2) 205,000 219,456 ------------------------------------------------------------------------------------------ Cloud Peak Energy Resources LLC, 8.25% Sr. Unsec. Unsub. Nts., 12/15/17 215,000 224,138 ------------------------------------------------------------------------------------------
11 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ------------------------------------------------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS CONTINUED ------------------------------------------------------------------------------------------------------- El Paso Pipeline Partners LP, 6.50% Sr. Unsec. Nts., 4/1/20 $ 330,000 $ 365,357 ------------------------------------------------------------------------------------------------------- Kaneb Pipe Line Operating Partnership LP, 5.875% Sr. Unsec. Nts., 6/1/13 383,000 407,357 ------------------------------------------------------------------------------------------------------- Nexen, Inc., 6.40% Sr. Unsec. Unsub. Bonds, 5/15/37 245,000 250,687 ------------------------------------------------------------------------------------------------------- Range Resources Corp., 8% Sr. Unsec. Sub. Nts., 5/15/19 212,000 233,200 ------------------------------------------------------------------------------------------------------- Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.50% Sr. Sec. Nts., 9/30/14(2) 140,000 152,950 ------------------------------------------------------------------------------------------------------- Rockies Express Pipeline LLC, 3.90% Sr. Unsec. Unsub. Nts., 4/15/15(2) 393,000 403,321 ------------------------------------------------------------------------------------------------------- Sunoco Logistics Partners Operations LP, 7.25% Sr. Unsec. Nts., 2/15/12 214,000 218,410 ------------------------------------------------------------------------------------------------------- Woodside Finance Ltd., 4.60% Sr. Unsec. Nts., 5/10/21(2) 165,000 171,035 --------------- 2,797,752 ------------------------------------------------------------------------------------------------------- FINANCIALS--5.1% ------------------------------------------------------------------------------------------------------- CAPITAL MARKETS--1.1% Blackstone Holdings Finance Co. LLC, 6.625% Sr. Unsec. Nts., 8/15/19(2) 405,000 439,535 ------------------------------------------------------------------------------------------------------- Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 232,000 211,115 ------------------------------------------------------------------------------------------------------- Goldman Sachs Group, Inc. (The), 5.25% Sr. Unsec. Nts., 7/27/21 71,000 70,276 ------------------------------------------------------------------------------------------------------- Macquarie Bank Ltd., 6.625% Unsec. Sub. Nts., 4/7/21(2) 314,000 295,883 ------------------------------------------------------------------------------------------------------- Morgan Stanley: 5.50% Sr. Unsec. Unsub. Nts., 7/24/20(2) 90,000 81,757 5.55% Sr. Unsec. Unsub. Nts., Series F, 4/27/17 570,000 549,970 ------------------------------------------------------------------------------------------------------- Nomura Holdings, Inc., 4.125% Sr. Unsec. Unsub. Nts., 1/19/16 223,000 226,646 ------------------------------------------------------------------------------------------------------- TD Ameritrade Holding Corp., 2.95% Sr. Unsec. Unsub. Nts., 12/1/12 225,000 228,509 ------------------------------------------------------------------------------------------------------- UBS AG Stamford CT, 2.25% Sr. Unsec. Nts., 8/12/13 94,000 92,366 ------------------------------------------------------------------------------------------------------- UBS Preferred Funding Trust V, 6.243% Jr. Sub. Perpetual Nts.(10) 52,000 39,130 --------------- 2,235,187 ------------------------------------------------------------------------------------------------------- COMMERCIAL BANKS--1.1% ANZ National International Ltd., 2.375% Sr. Unsec. Nts., 12/21/12(2) 258,000 259,602 ------------------------------------------------------------------------------------------------------- Fifth Third Cap Trust IV, 6.50% Jr. Unsec. Sub. Nts., 4/15/37 433,000 413,558 ------------------------------------------------------------------------------------------------------- HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/35(3) 510,000 425,850 ------------------------------------------------------------------------------------------------------- Huntington Bancshares, Inc., 7% Sub. Nts., 12/15/20 74,000 84,012 ------------------------------------------------------------------------------------------------------- Lloyds TSB Bank plc, 6.50% Unsec. Sub. Nts., 9/14/20(2) 174,000 148,280 ------------------------------------------------------------------------------------------------------- Mercantile Bankshares Corp., 4.625% Unsec. Sub. Nts., Series B, 4/15/13 147,000 152,627 ------------------------------------------------------------------------------------------------------- Sumitomo Mitsui Banking Corp., 8% Unsec. Sub. Nts., 6/15/12 227,000 235,937 ------------------------------------------------------------------------------------------------------- Wells Fargo & Co., 7.98% Jr. Sub. Perpetual Bonds, Series K(10) 162,000 167,670 ------------------------------------------------------------------------------------------------------- Zions Bancorp., 7.75% Sr. Unsec. Nts., 9/23/14 306,000 322,941 --------------- 2,210,477 ------------------------------------------------------------------------------------------------------- CONSUMER FINANCE--0.3% American Express Bank FSB, 5.50% Sr. Unsec. Nts., 4/16/13 223,000 235,528 ------------------------------------------------------------------------------------------------------- Capital One Financial Corp., 4.75% Sr. Nts., 7/15/21 110,000 110,558 -------------------------------------------------------------------------------------------------------
12 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value -------------------------------------------------------------------------------------------- CONSUMER FINANCE CONTINUED SLM Corp., 6.25% Sr. Nts., 1/25/16 $ 312,000 $ 306,694 --------------- 652,780 -------------------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES--0.7% Citigroup, Inc., 6.125% Sr. Unsec. Unsub. Nts., 11/21/17 409,000 437,941 -------------------------------------------------------------------------------------------- Glen Meadow Pass-Through Trust, 6.505% Bonds, 2/12/67(2,3) 275,000 193,875 -------------------------------------------------------------------------------------------- ING Groep State NV, 5.775% Jr. Unsec. Sub. Perpetual Bonds(10) 255,000 188,063 -------------------------------------------------------------------------------------------- Irish Life & Permanent Group Holdings plc, 3.60% Sr. Unsec. Unsub. Nts., 1/14/13(2) 120,000 103,841 -------------------------------------------------------------------------------------------- JPMorgan Chase & Co., 7.90% Perpetual Bonds, Series 1(10) 379,000 391,649 -------------------------------------------------------------------------------------------- Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Bonds, 5/14/38 156,000 145,618 --------------- 1,460,987 -------------------------------------------------------------------------------------------- INSURANCE--1.4% Burlington Northern Santa Fe LLC, 5.75% Sr. Unsec. Bonds, 5/1/40 60,000 71,047 -------------------------------------------------------------------------------------------- CNA Financial Corp.: 5.75% Sr. Unsec. Unsub. Nts., 8/15/21 197,000 199,438 5.875% Sr. Unsec. Unsub. Bonds, 8/15/20 114,000 117,490 -------------------------------------------------------------------------------------------- Gulf South Pipeline Co. LP, 5.75% Sr. Unsec. Nts., 8/15/12(2) 212,000 217,434 -------------------------------------------------------------------------------------------- Hartford Financial Services Group, Inc. (The), 5.25% Sr. Unsec. Nts., 10/15/11 205,000 205,245 -------------------------------------------------------------------------------------------- International Lease Finance Corp., 5.75% Sr. Unsec. Unsub. Nts., 5/15/16 228,000 202,967 -------------------------------------------------------------------------------------------- Liberty Mutual Group, Inc., 5% Sr. Nts., 6/1/21(2) 342,000 325,992 -------------------------------------------------------------------------------------------- Lincoln National Corp., 6.05% Jr. Unsec. Sub. Bonds, 4/20/67 466,000 380,955 -------------------------------------------------------------------------------------------- Prudential Financial, Inc., 3.625% Sr. Unsec. Unsub. Nts., 9/17/12 255,000 259,336 -------------------------------------------------------------------------------------------- Swiss Re Capital I LP, 6.854% Perpetual Bonds(2,10) 455,000 416,327 -------------------------------------------------------------------------------------------- Willis Group Holdings plc, 4.125% Sr. Unsec. Unsub. Nts., 3/15/16 241,000 245,376 -------------------------------------------------------------------------------------------- ZFS Finance USA Trust V, 6.50% Jr. Sub. Bonds, 5/9/37(3,4) 252,000 219,240 --------------- 2,860,847 -------------------------------------------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS--0.5% Brandywine Operating Partnership LP, 5.75% Sr. Unsec. Unsub. Nts., 4/1/12 123,000 124,731 -------------------------------------------------------------------------------------------- CommonWealth REIT, 6.95% Sr. Unsec. Nts., 4/1/12 54,000 54,942 -------------------------------------------------------------------------------------------- Duke Realty LP, 6.25% Sr. Unsec. Unsub. Nts., 5/15/13 212,000 221,477 -------------------------------------------------------------------------------------------- Mack-Cali Realty LP, 5.25% Sr. Unsec. Unsub. Nts., 1/15/12 93,000 93,879 -------------------------------------------------------------------------------------------- Simon Property Group LP, 5% Sr. Unsec. Unsub. Nts., 3/1/12 225,000 226,751 -------------------------------------------------------------------------------------------- WCI Finance LLC/WEA Finance LLC, 5.40% Sr. Unsec. Unsub. Nts., 10/1/12(2) 226,000 233,047 --------------- 954,827 -------------------------------------------------------------------------------------------- HEALTH CARE--0.4% -------------------------------------------------------------------------------------------- BIOTECHNOLOGY--0.1% Celgene Corp., 5.70% Sr. Unsec. Nts., 10/15/40 145,000 163,915 -------------------------------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES--0.2% McKesson Corp., 6% Sr. Unsec. Unsub. Nts., 3/1/41 124,000 157,588 -------------------------------------------------------------------------------------------- Quest Diagnostics, Inc., 5.75% Sr. Unsec. Nts., 1/30/40 145,000 157,718 --------------- 315,306 --------------------------------------------------------------------------------------------
13 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ------------------------------------------------------------------------------------------- PHARMACEUTICALS--0.1% Mylan, Inc., 6% Sr. Nts., 11/15/18(2) $ 245,000 $ 239,488 ------------------------------------------------------------------------------------------- INDUSTRIALS--0.7% ------------------------------------------------------------------------------------------- AEROSPACE & DEFENSE--0.2% Alliant Techsystems, Inc., 6.75% Sr. Sub. Nts., 4/1/16 230,000 231,725 ------------------------------------------------------------------------------------------- BE Aerospace, Inc., 8.50% Sr. Unsec. Nts., 7/1/18 205,000 220,375 --------------- 452,100 ------------------------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES--0.1% Corrections Corp. of America, 7.75% Sr. Nts., 6/1/17 235,000 249,394 ------------------------------------------------------------------------------------------- INDUSTRIAL CONGLOMERATES--0.3% General Electric Capital Corp.: 4.25% Sr. Unsec. Nts., Series A, 6/15/12 215,000 218,716 5.25% Sr. Unsec. Nts., 10/19/12 34,000 35,551 6.375% Unsec. Sub. Bonds, 11/15/67 428,000 403,390 --------------- 657,657 ------------------------------------------------------------------------------------------- ROAD & RAIL--0.1% CSX Corp., 5.50% Sr. Unsec. Nts., 4/15/41 62,000 71,437 ------------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY--0.9% ------------------------------------------------------------------------------------------- COMMUNICATIONS EQUIPMENT--0.2% Harris Corp., 6.15% Sr. Unsec. Nts., 12/15/40 71,000 83,376 ------------------------------------------------------------------------------------------- Juniper Networks, Inc., 5.95% Sr. Unsec. Unsub. Nts., 3/15/41 93,000 102,596 ------------------------------------------------------------------------------------------- Motorola, Inc., 8% Sr. Unsec. Nts., 11/1/11 220,000 221,107 --------------- 407,079 ------------------------------------------------------------------------------------------- COMPUTERS & PERIPHERALS--0.2% Hewlett-Packard Co., 2.35% Sr. Unsec. Unsub. Nts., 3/15/15 383,000 384,666 ------------------------------------------------------------------------------------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--0.2% Arrow Electronics, Inc., 3.375% Sr. Unsec. Unsub. Nts., 11/1/15 430,000 426,229 ------------------------------------------------------------------------------------------- OFFICE ELECTRONICS--0.1% Xerox Corp., 5.65% Sr. Unsec. Nts., 5/15/13 223,000 236,118 ------------------------------------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--0.1% KLA-Tencor Corp., 6.90% Sr. Unsec. Nts., 5/1/18 157,000 179,820 ------------------------------------------------------------------------------------------- SOFTWARE--0.1% Symantec Corp., 4.20% Sr. Unsec. Unsub. Nts., 9/15/20 264,000 258,519 ------------------------------------------------------------------------------------------- MATERIALS--1.0% ------------------------------------------------------------------------------------------- CHEMICALS--0.4% Agrium, Inc., 6.125% Sr. Unsec. Nts., 1/15/41 101,000 124,183 ------------------------------------------------------------------------------------------- Airgas, Inc., 3.25% Sr. Nts., 10/1/15 374,000 385,908 ------------------------------------------------------------------------------------------- Ashland, Inc., 9.125% Sr. Unsec. Nts., 6/1/17 210,000 233,363 ------------------------------------------------------------------------------------------- Potash Corp. of Saskatchewan, Inc., 5.625% Sr. Unsec. 140,000 165,249 Unsub. Nts., 12/1/40 --------------- 908,703 ------------------------------------------------------------------------------------------- CONTAINERS & PACKAGING--0.1% Sealed Air Corp., 7.875% Sr. Nts., 6/15/17 180,000 189,474 ------------------------------------------------------------------------------------------- METALS & MINING--0.5% Freeport-McMoRan Copper & Gold, Inc., 8.375% Sr. Nts., 4/1/17 330,000 354,315 ------------------------------------------------------------------------------------------- Teck Resources Ltd., 7% Sr. Unsec. Unsub. Nts., 9/15/12 212,000 222,244 ------------------------------------------------------------------------------------------- Vale Inco Ltd., 5.70% Sr. Unsec. Unsub. Nts., 10/15/15 14,000 15,503 ------------------------------------------------------------------------------------------- Xstrata Canada Corp.: 5.375% Sr. Unsec. Unsub. Nts., 6/1/15 75,000 81,641 6% Sr. Unsec. Unsub. Nts., 10/15/15 177,000 195,179 -------------------------------------------------------------------------------------------
14 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ---------------------------------------------------------------------------------------------- METALS & MINING CONTINUED ---------------------------------------------------------------------------------------------- 7.25% Sr. Unsec. Unsub. Nts., 7/15/12 $ 94,000 $ 98,081 ---------------------------------------------------------------------------------------------- Xstrata Finance Canada Ltd., 5.80% Sr. Unsec. Unsub. 35,000 38,550 Bonds, 11/15/16(2) --------------- 1,005,513 ---------------------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES--0.8% ---------------------------------------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES--0.5% AT&T, Inc., 6.30% Sr. Unsec. Bonds, 1/15/38 170,000 195,887 ---------------------------------------------------------------------------------------------- British Telecommunications plc, 9.875% Bonds, 12/15/30 142,000 206,361 ---------------------------------------------------------------------------------------------- CenturyLink, Inc., 7.60% Sr. Unsec. Unsub. Nts., Series P, 9/15/39 82,000 74,103 ---------------------------------------------------------------------------------------------- Frontier Communications Corp., 8.25% Sr. Unsec. Nts., 4/15/17 230,000 224,250 ---------------------------------------------------------------------------------------------- Qwest Corp., 7.625% Sr. Unsec. Unsub. Nts., 6/15/15 225,000 241,875 ---------------------------------------------------------------------------------------------- Verizon Communications, Inc., 6.40% Sr. Unsec. Nts., 134,000 165,238 2/15/38 --------------- 1,107,714 ---------------------------------------------------------------------------------------------- WIRELESS TELECOMMUNICATION SERVICES--0.3% America Movil SAB de CV, 2.375% Unsec. Unsub. Nts., 9/8/16 349,000 340,973 ---------------------------------------------------------------------------------------------- American Tower Corp., 7% Sr. Unsec. Nts., 10/15/17 162,000 183,555 --------------- 524,528 ---------------------------------------------------------------------------------------------- UTILITIES--1.1% ---------------------------------------------------------------------------------------------- ELECTRIC UTILITIES--1.0% Allegheny Energy Supply Co. LLC, 8.25% Bonds, 4/15/12(2) 205,000 212,220 ---------------------------------------------------------------------------------------------- Edison International, 3.75% Sr. Unsec. Unsub. Nts., 9/15/17 154,000 156,395 ---------------------------------------------------------------------------------------------- FirstEnergy Solutions Corp., 6.80% Sr. Unsec. Nts., 8/15/39 138,000 151,704 ---------------------------------------------------------------------------------------------- Great Plains Energy, Inc., 2.75% Sr. Unsec. Unsub. Nts., 8/15/13 239,000 243,253 ---------------------------------------------------------------------------------------------- Kansas City Power & Light Co., 5.30% Sr. Unsec. Nts., 10/1/41 173,000 178,089 ---------------------------------------------------------------------------------------------- Northeast Utilities Co., 7.25% Sr. Unsec. Nts., 4/1/12 230,000 236,621 ---------------------------------------------------------------------------------------------- Oncor Electric Delivery Co., 7% Debs., 9/1/22 198,000 250,395 ---------------------------------------------------------------------------------------------- PPL WEM Holdings plc, 5.375% Sr. Unsec. Nts., 5/1/21(2) 322,000 344,118 ---------------------------------------------------------------------------------------------- Texas-New Mexico Power Co., 9.50% Sec. Nts., 4/1/19(2) 235,000 309,315 --------------- 2,082,110 ---------------------------------------------------------------------------------------------- ENERGY TRADERS--0.1% TransAlta Corp., 5.75% Sr. Unsec. Nts., 12/15/13 192,000 207,838 --------------- Total Non-Convertible Corporate Bonds and Notes (Cost $30,109,827) 30,633,216 ---------------------------------------------------------------------------------------------- CONVERTIBLE CORPORATE BONDS AND NOTES--0.0% Standard Chartered plc, 6.409% Cv. Jr. Unsec. Sub. Bonds, 1/29/49(2) (Cost $96,875) 100,000 84,614 Shares ---------------------------------------------------------------------------------------------- INVESTMENT COMPANY--19.0% Oppenheimer Institutional Money Market Fund, Cl. E, 0.16% (11,12) (Cost $38,817,525) 38,817,525 38,817,525
15 | Oppenheimer Balanced Fund/VA ] Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Value ------------------------------------------------------------------------------------------------------- Total Investments, at Value (Cost $244,241,767) 115.6% $ 236,527,418 ------------------------------------------------------------------------------------------------------- Liabilities in Excess Of Other Assets (15.6) (31,876,223) --------------------------------- Net Assets 100.0% $ 204,651,195 =================================
Footnotes to Statement of Investments 1. Non-income producing security. 2. Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $11,347,298 or 5.54% of the Fund's net assets as of September 30, 2011. 3. Represents the current interest rate for a variable or increasing rate security. 4. Restricted security. The aggregate value of restricted securities as of September 30, 2011 was $620,986, which represents 0.30% of the Fund's net assets. See accompanying Notes. Information concerning restricted securities is as follows:
UNREALIZED ACQUISITION APPRECIATION SECURITY DATES COST VALUE (DEPRECIATION) ----------------------------------------------------------------------------------------------------------------------- JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 2007-LDPX, Cl. A2S2, 5.187%, 1/1/49 7/14/10 $ 138,250 $ 140,588 $ 2,338 Santander Drive Auto Receivables Trust 2011-S1A, Automobile Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/17 2/4/11-4/14/11 262,628 261,158 (1,470) ZFS Finance USA Trust V, 6.50% Jr. Sub. Bonds, 5/9/37 2/24/11-7/26/11 254,192 219,240 (34,952) --------------------------------------------- $ 655,070 $ 620,986 $ (34,084) =============================================
5. Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans or other receivables. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage or asset-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $2,897,515 or 1.42% of the Fund's net assets as of September 30, 2011. 6. 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. 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 $148,327 or 0.07% of the Fund's net assets as of September 30, 2011. 8. When-issued security or delayed delivery to be delivered and settled after September 30, 2011. See accompanying Notes. 9. All or a portion of the security position is held in collateralized accounts to cover initial margin requirements on open futures contracts and written options on futures, if applicable. The aggregate market value of such securities is $252,842. See accompanying Notes. 10. This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. Rate reported represents the current interest rate for this variable rate security. 11. Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 30, 2011, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows:
SHARES GROSS GROSS SHARES DECEMBER 31, 2010 ADDITIONS REDUCTIONS SEPTEMBER 30, 2011 ------------------------------------------------------------------------------------------------------------- Oppenheimer Institutional Money Market Fund, Cl. E 45,755,638 58,632,020 65,570,133 38,817,525
VALUE INCOME ------------------------------------------------------------------------------- Oppenheimer Institutional Money Market Fund, Cl. E $ 38,817,525 $ 57,268
12. Rate shown is the 7-day yield as of September 30, 2011. 16 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (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 or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) 3) Level 3-significant unobservable inputs (including the Manager's own judgments about assumptions that market participants would use in pricing the asset or liability). The table below categorizes amounts as of September 30, 2011 based on valuation input level: LEVEL 2-- LEVEL 3-- LEVEL 1-- OTHER SIGNIFICANT UNADJUSTED QUOTED SIGNIFICANT UNOBSERVABLE PRICES OBSERVABLE INPUTS INPUTS VALUE ---------------------------------------------------------------------------------------------------------------- ASSETS TABLE INVESTMENTS, AT VALUE: Common Stocks Consumer Discretionary $ 2,266,937 $ 5,899,511 $ -- $ 8,166,448 Consumer Staples 4,048,220 4,825,295 -- 8,873,515 Energy 10,244,629 -- -- 10,244,629 Financials 15,823,571 -- -- 15,823,571 Health Care 14,829,248 -- -- 14,829,248 Industrials 3,929,427 -- -- 3,929,427 Information Technology 33,124,488 -- -- 33,124,488 Materials 3,727,136 -- -- 3,727,136 Utilities 1,713,218 -- -- 1,713,218 Asset-Backed Securities -- 9,285,130 -- 9,285,130 Mortgage-Backed Obligations -- 56,073,352 -- 56,073,352 U.S. Government Obligations -- 1,201,901 -- 1,201,901 Non-Convertible Corporate Bonds and Notes -- 30,633,216 -- 30,633,216 Convertible Corporate Bonds and Notes -- 84,614 -- 84,614 Investment Company 38,817,525 -- -- 38,817,525 ---------------------------------------------------------------------------- Total Investments, at Value 128,524,399 108,003,019 -- 236,527,418 OTHER FINANCIAL INSTRUMENTS: Futures margins 64,117 -- -- 64,117 ---------------------------------------------------------------------------- Total Assets $ 128,588,516 $ 108,003,019 $ -- $ 236,591,535 ----------------------------------------------------------------------------
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. 17 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) The table below shows the significant transfers between Level 1 and Level 2. The Fund's policy is to recognize transfers in and transfers out as of the beginning of the reporting period.
TRANSFERS OUT OF LEVEL 1* TRANSFERS INTO LEVEL 2* ---------------------------------------------------------------------------------------------------------- ASSETS TABLE INVESTMENTS, AT VALUE: Common Stocks Consumer Discretionary $ (4,620,793) $ 4,620,793 Consumer Staples (5,140,059) 5,140,059 ------------------------- -------------------------- Total Assets $ (9,760,852) $ 9,760,852 ------------------------- --------------------------
----------- * Transferred from Level 1 to Level 2 because of the absence of a readily available unadjusted quoted market price due to a significant event occurring before the Fund's assets were valued but after the close of the securities' respective exchanges. 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 methodologies, if any, during the reporting period. Futures Contracts as of September 30, 2011 are as follows:
NUMBER OF EXPIRATION UNREALIZED CONTRACT DESCRIPTION BUY/SELL CONTRACTS DATE VALUE APPRECIATION --------------------------------------------------------------------------------------------------------------- U.S. Treasury Long Bonds, 20 yr. Buy 35 12/20/11 $ 4,991,875 $ 232,509 U.S. Treasury Nts., 2 yr. Sell 57 12/30/11 12,551,578 15,022 U.S. Treasury Nts., 5 yr. Sell 29 12/30/11 3,552,047 2,574 U.S. Treasury Nts., 10 yr. Buy 32 12/20/11 4,163,000 11,358 U.S. Treasury Ultra Bonds Buy 21 12/20/11 3,331,125 280,313 ------------ $ 541,776 ============
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," observable market inputs other than unadjusted quoted prices 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 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 it is 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 18 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (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. U.S. domestic and international debt instruments (including corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and "money market-type" debt instruments with a remaining maturity in excess of sixty days are valued at the mean between the "bid" and "asked" prices utilizing price quotations obtained from independent pricing services or broker-dealers. Such prices are typically determined based upon information obtained from market participants including reported trade data, broker-dealer price quotations and inputs such as benchmark yields and issuer spreads from identical or similar securities. "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 current price quotation obtained from an independent pricing service or broker-dealer, 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 of the Fund 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 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, 2011, 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 $ 31,010,710 Sold securities 77,085
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 19 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (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. 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 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. 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 accordance with its investment objectives, the Fund may use derivatives to increase or decrease its exposure to one or more of the following market risk factors: COMMODITY RISK. Commodity risk relates to the change in value of commodities or commodity indexes as they relate to increases or decreases in the commodities market. Commodities are physical assets that have tangible properties. Examples of these types of assets are crude oil, heating oil, metals, livestock, and agricultural products. 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. EQUITY RISK. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market. 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. 20 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (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. VOLATILITY RISK. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument's price over a defined time period. Large increases or decreases in a financial instrument's price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk. The Fund's actual exposures to these market risk factors during the period are discussed in further detail, by derivative type, below. 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. FUTURES CONTRACTS A futures contract is a commitment to buy or sell a specific amount of a financial instrument, or currency, 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. 21 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) During the period ended September 30, 2011, the Fund had an ending monthly average market value of $8,500,403 and $14,616,530 on futures contracts purchased and sold, respectively. 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. RESTRICTED SECURITIES As of September 30, 2011, investments in securities included issues that are restricted. A restricted security may have a contractual restriction on its resale and is valued under methods approved by the Board of Trustees as reflecting fair value. Securities that are restricted are marked with an applicable footnote on the Statement of Investments. Restricted securities are reported on a schedule following the Statement of Investments. FEDERAL TAXES. 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, 2011 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 $ 245,148,920 Federal tax cost of other investments (4,159,401) ----------------- Total federal tax cost $ 240,989,519 ================= Gross unrealized appreciation $ 16,156,647 Gross unrealized depreciation (24,236,373) ----------------- Net unrealized depreciation $ (8,079,726) =================
22 | Oppenheimer Balanced Fund/VA Oppenheimer Capital Appreciation Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Shares Value -------------------------------------------------------------------------------- COMMON STOCKS-99.3% -------------------------------------------------------------------------------- CONSUMER DISCRETIONARY-14.2% -------------------------------------------------------------------------------- AUTO COMPONENTS-0.9% Johnson Controls, Inc. 312,160 $ 8,231,659 -------------------------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE-2.2% McDonald's Corp. 244,260 21,450,913 -------------------------------------------------------------------------------- INTERNET & CATALOG RETAIL-1.8% Amazon.com, Inc.(1) 81,464 17,614,961 -------------------------------------------------------------------------------- MEDIA-1.4% Walt Disney Co. (The) 427,720 12,900,035 -------------------------------------------------------------------------------- SPECIALTY RETAIL-4.0% Bed Bath & Beyond, Inc.(1) 78,630 4,506,285 -------------------------------------------------------------------------------- O'Reilly Automotive, Inc.(1) 201,800 13,445,934 -------------------------------------------------------------------------------- Tiffany & Co. 156,010 9,488,528 -------------------------------------------------------------------------------- TJX Cos., Inc. (The) 198,290 10,999,146 ----------- 38,439,893 -------------------------------------------------------------------------------- TEXTILES, APPAREL & LUXURY GOODS-3.9% Coach, Inc. 234,850 12,172,276 -------------------------------------------------------------------------------- Nike, Inc., Cl. B 162,540 13,898,795 -------------------------------------------------------------------------------- Ralph Lauren Corp. 89,200 11,569,240 ----------- 37,640,311 -------------------------------------------------------------------------------- CONSUMER STAPLES-10.7% -------------------------------------------------------------------------------- BEVERAGES-4.0% Brown-Forman Corp., Cl. B 106,530 7,472,014 -------------------------------------------------------------------------------- Coca-Cola Co. (The) 274,920 18,573,595 -------------------------------------------------------------------------------- SABMiller plc 384,130 12,485,035 ----------- 38,530,644 -------------------------------------------------------------------------------- FOOD & STAPLES RETAILING-2.0% Costco Wholesale Corp. 237,440 19,498,573 -------------------------------------------------------------------------------- FOOD PRODUCTS-2.8% Mead Johnson Nutrition Co., Cl. A 13,600 936,088 -------------------------------------------------------------------------------- Nestle SA 276,492 15,198,855 -------------------------------------------------------------------------------- Unilever NV CVA 344,862 10,923,134 ----------- 27,058,077 -------------------------------------------------------------------------------- HOUSEHOLD PRODUCTS-1.6% Colgate-Palmolive Co. 172,050 15,257,394 -------------------------------------------------------------------------------- PERSONAL PRODUCTS-0.3% Estee Lauder Cos., Inc. (The), Cl. A 31,700 2,784,528 -------------------------------------------------------------------------------- ENERGY-10.4% -------------------------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES-4.8% Baker Hughes, Inc. 196,960 9,091,674 -------------------------------------------------------------------------------- Cameron International Corp.(1) 52,540 2,182,512 -------------------------------------------------------------------------------- Halliburton Co. 376,650 11,495,358 -------------------------------------------------------------------------------- National Oilwell Varco, Inc. 171,200 8,768,864 -------------------------------------------------------------------------------- Schlumberger Ltd. 251,210 15,004,773 ----------- 46,543,181 -------------------------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS-5.6% Apache Corp. 101,980 8,182,875 -------------------------------------------------------------------------------- Chevron Corp. 174,580 16,152,142 --------------------------------------------------------------------------------
1 | Oppenheimer Capital Appreciation Fund/VA Oppenheimer Capital Appreciation Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Shares Value -------------------------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS CONTINUED -------------------------------------------------------------------------------- ConocoPhillips 220,680 $13,973,458 -------------------------------------------------------------------------------- Occidental Petroleum Corp. 210,300 15,036,450 ----------- 53,344,925 -------------------------------------------------------------------------------- FINANCIALS-2.4% -------------------------------------------------------------------------------- CAPITAL MARKETS-0.2% Charles Schwab Corp. (The) 184,650 2,081,006 -------------------------------------------------------------------------------- COMMERCIAL BANKS-0.5% Standard Chartered plc 223,090 4,452,753 -------------------------------------------------------------------------------- CONSUMER FINANCE-1.0% American Express Co. 223,500 10,035,150 -------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES-0.7% JPMorgan Chase & Co. 207,620 6,253,514 -------------------------------------------------------------------------------- HEALTH CARE-14.2% -------------------------------------------------------------------------------- BIOTECHNOLOGY-1.0% Celgene Corp.(1) 154,240 9,550,541 -------------------------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES-2.7% Baxter International, Inc. 271,060 15,217,308 -------------------------------------------------------------------------------- Stryker Corp. 224,350 10,573,616 ----------- 25,790,924 -------------------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES-0.8% Express Scripts, Inc.(1) 204,500 7,580,815 -------------------------------------------------------------------------------- LIFE SCIENCES TOOLS & SERVICES-2.8% Illumina, Inc.(1) 113,330 4,637,464 -------------------------------------------------------------------------------- Mettler-Toledo International, Inc.(1) 49,860 6,978,406 -------------------------------------------------------------------------------- Thermo Fisher Scientific, Inc.(1) 296,650 15,022,356 ----------- 26,638,226 -------------------------------------------------------------------------------- PHARMACEUTICALS-6.9% Allergan, Inc. 261,320 21,527,542 -------------------------------------------------------------------------------- Bristol-Myers Squibb Co. 507,970 15,940,099 -------------------------------------------------------------------------------- Novo Nordisk AS, Cl. B 155,052 15,414,035 -------------------------------------------------------------------------------- Roche Holding AG 85,012 13,676,875 ----------- 66,558,551 -------------------------------------------------------------------------------- INDUSTRIALS-14.7% -------------------------------------------------------------------------------- AEROSPACE & DEFENSE-4.0% Goodrich Corp. 147,432 17,792,094 -------------------------------------------------------------------------------- Precision Castparts Corp. 66,500 10,338,090 -------------------------------------------------------------------------------- United Technologies Corp. 143,360 10,086,810 ----------- 38,216,994 -------------------------------------------------------------------------------- AIR FREIGHT & LOGISTICS-1.3% United Parcel Service, Inc., Cl. B 195,410 12,340,142 -------------------------------------------------------------------------------- ELECTRICAL EQUIPMENT-1.5% ABB Ltd. 155,190 2,650,289 -------------------------------------------------------------------------------- Emerson Electric Co. 283,690 11,719,234 ----------- 14,369,523 -------------------------------------------------------------------------------- INDUSTRIAL CONGLOMERATES-1.5% Danaher Corp. 338,240 14,185,786
2 | Oppenheimer Capital Appreciation Fund/VA Oppenheimer Capital Appreciation Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Shares Value -------------------------------------------------------------------------------- MACHINERY-4.7% Caterpillar, Inc. 154,010 $11,372,098 -------------------------------------------------------------------------------- Deere & Co. 138,930 8,970,710 -------------------------------------------------------------------------------- Joy Global, Inc. 197,887 12,344,191 -------------------------------------------------------------------------------- Parker-Hannifin Corp. 205,770 12,990,260 ----------- 45,677,259 -------------------------------------------------------------------------------- ROAD & RAIL-1.7% Union Pacific Corp. 199,660 16,306,232 -------------------------------------------------------------------------------- INFORMATION TECHNOLOGY-27.2% -------------------------------------------------------------------------------- COMMUNICATIONS EQUIPMENT-5.1% Juniper Networks, Inc.(1) 402,290 6,943,525 -------------------------------------------------------------------------------- QUALCOMM, Inc. 858,240 41,736,211 ----------- 48,679,736 -------------------------------------------------------------------------------- COMPUTERS & PERIPHERALS-6.6% Apple, Inc.(1) 165,440 63,062,419 -------------------------------------------------------------------------------- ELECTRONIC EQUIPMENT & INSTRUMENTS-1.1% Corning, Inc. 842,940 10,418,738 -------------------------------------------------------------------------------- INTERNET SOFTWARE & SERVICES-4.8% eBay, Inc.(1) 481,910 14,211,526 -------------------------------------------------------------------------------- Google, Inc., Cl. A(1) 62,570 32,184,757 ----------- 46,396,283 -------------------------------------------------------------------------------- IT SERVICES-2.6% International Business Machines Corp. 87,810 15,369,384 -------------------------------------------------------------------------------- Visa, Inc., Cl. A 115,237 9,878,116 ----------- 25,247,500 -------------------------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT-1.4% Broadcom Corp., Cl. A 402,510 13,399,558 -------------------------------------------------------------------------------- SOFTWARE-5.6% Intuit, Inc.(1) 305,660 14,500,510 -------------------------------------------------------------------------------- Oracle Corp. 860,190 24,721,861 -------------------------------------------------------------------------------- Vmware, Inc., Cl. A(1) 186,250 14,970,775 ----------- 54,193,146 -------------------------------------------------------------------------------- MATERIALS-5.0% -------------------------------------------------------------------------------- CHEMICALS-3.5% Albemarle Corp. 93,980 3,796,792 -------------------------------------------------------------------------------- Ecolab, Inc. 201,140 9,833,732 -------------------------------------------------------------------------------- Mosaic Co. (The) 79,020 3,869,609 -------------------------------------------------------------------------------- Praxair, Inc. 176,082 16,460,145 ----------- 33,960,278 -------------------------------------------------------------------------------- METALS & MINING-1.5% Freeport-McMoRan Copper & Gold, Inc., Cl. B 286,110 8,712,050 -------------------------------------------------------------------------------- Rio Tinto plc 115,938 5,120,406 ----------- 13,832,456 -------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES-0.5% -------------------------------------------------------------------------------- WIRELESS TELECOMMUNICATION SERVICES-0.5% NII Holdings, Inc.(1) 191,320 5,156,074 ----------- Total Common Stocks (Cost $766,015,682) 953,678,698
3 | Oppenheimer Capital Appreciation Fund/VA Oppenheimer Capital Appreciation Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Shares Value -------------------------------------------------------------------------------- INVESTMENT COMPANY-0.2% Oppenheimer Institutional Money Market Fund, Cl. E, 0.16% (2),(3) (Cost $2,385,557) 2,385,557 $2,385,557 --------------------------------------------------------------------------------- Total Investments, at Value (Cost $768,401,239) 99.5% 956,064,255 --------------------------------------------------------------------------------- Other Assets Net of Liabilities 0.5 4,579,177 ------------------------ Net Assets 100.0% $960,643,432 ========================
Footnotes to Statement of Investments 1. Non-income producing security. 2. Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 30, 2011, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows:
SHARES GROSS GROSS SHARES DECEMBER 31, 2010 ADDITIONS REDUCTIONS SEPTEMBER 30, 2011 --------------------------------------------------------------------------------------------------------------------- Oppenheimer Institutional Money Market Fund, Cl. E 72,534 111,043,069 108,730,046 2,385,557
VALUE INCOME --------------------------------------------------------------------------------------------------------------------- Oppenheimer Institutional Money Market Fund, Cl. E $ 2,385,557 $ 4,427
3. Rate shown is the 7-day yield as of September 30, 2011. 4 | Oppenheimer Capital Appreciation Fund/VA Oppenheimer Capital Appreciation Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (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 or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) 3) Level 3-significant unobservable inputs (including the Manager's own judgments about assumptions that market participants would use in pricing the asset or liability). The table below categorizes amounts as of September 30, 2011 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 $ 136,277,772 $ -- $ -- $ 136,277,772 Consumer Staples 64,522,192 38,607,024 -- 103,129,216 Energy 99,888,106 -- -- 99,888,106 Financials 18,369,670 4,452,753 -- 22,822,423 Health Care 107,028,147 29,090,910 -- 136,119,057 Industrials 138,445,647 2,650,289 -- 141,095,936 Information Technology 261,397,380 -- -- 261,397,380 Materials 42,672,328 5,120,406 -- 47,792,734 Telecommunication Services 5,156,074 -- -- 5,156,074 Investment Company 2,385,557 -- -- 2,385,557 ----------------------------------------------------------------- Total Assets $ 876,142,873 $ 79,921,382 $ -- $ 956,064,255 ----------------------------------------------------------------- LIABILITIES TABLE OTHER FINANCIAL INSTRUMENTS: Foreign currency exchange contracts $ -- $ (932) $ -- $ (932) ----------------------------------------------------------------- Total Liabilities $ -- $ (932) $ -- $ (932) -----------------------------------------------------------------
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. The table below shows the significant transfers between Level 1 and Level 2. The Fund's policy is to recognize transfers in and transfers out as of the beginning of the reporting period.
TRANSFERS OUT OF LEVEL 1* TRANSFERS INTO LEVEL 2* -------------------------------------------------------------------------------- ASSETS TABLE INVESTMENTS, AT VALUE: Common Stocks Consumer Staples $ (28,788,220) $ 28,788,220 Health Care (30,779,157) 30,779,157 Industrials (13,366,355) 13,366,355 ----------------------------------------------------- Total Assets $ (72,933,732) $ 72,933,732 -----------------------------------------------------
5 | Oppenheimer Capital Appreciation Fund/VA Oppenheimer Capital Appreciation Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) ---------- * Transferred from Level 1 to Level 2 because of the absence of a readily available unadjusted quoted market price due to a significant event occurring before the Fund's assets were valued but after the close of the securities' respective exchanges. 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 methodologies, if any, during the reporting period.
----------------------------------------------------------------------------------------------------------- FOREIGN CURRENCY EXCHANGE CONTRACTS AS OF SEPTEMBER 30, 2011 ARE AS FOLLOWS: COUNTERPARTY/CONTRACT CONTRACT AMOUNT EXPIRATION UNREALIZED DESCRIPTION BUY/SELL (000'S) DATE VALUE DEPRECIATION ----------------------------------------------------------------------------------------------------------- JP MORGAN CHASE British Pound Sterling (GBP) Buy 644 GBP 10/3/11 $1,003,702 $932
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," observable market inputs other than unadjusted quoted prices 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 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 it is 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. U.S. domestic and international debt instruments (including corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and "money market-type" debt instruments with a remaining maturity in excess of sixty days are valued at the mean between the "bid" and "asked" prices utilizing price quotations obtained from independent pricing services or broker-dealers. Such prices are typically determined based upon information obtained from market participants including reported trade data, broker-dealer price quotations and inputs such as benchmark yields and issuer spreads from identical or similar securities. Forward foreign currency exchange contracts are valued utilizing current and forward currency rates obtained from independent pricing services. "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. 6 | Oppenheimer Capital Appreciation Fund/VA Oppenheimer Capital Appreciation Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) In the absence of a current price quotation obtained from an independent pricing service or broker-dealer, 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 of the Fund 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. 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. 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 accordance with its investment objectives, the Fund may use derivatives to increase or decrease its exposure to one or more of the following market risk factors: COMMODITY RISK. Commodity risk relates to the change in value of commodities or commodity indexes as they relate to increases or decreases in the commodities market. Commodities are physical assets that have tangible properties. Examples of these types of assets are crude oil, heating oil, metals, livestock, and agricultural products. 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. EQUITY RISK. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market. 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. 7 | Oppenheimer Capital Appreciation Fund/VA Oppenheimer Capital Appreciation Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (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. VOLATILITY RISK. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument's price over a defined time period. Large increases or decreases in a financial instrument's price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk. The Fund's actual exposures to these market risk factors during the period are discussed in further detail, by derivative type, below. 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. CREDIT RELATED CONTINGENT FEATURES. The Fund's agreements with derivative counterparties have 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 International Swap and Derivatives Association, Inc. master agreements which govern certain positions in swaps, over-the-counter options and swaptions, and forward currency exchange contracts for each individual counterparty. 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 8 | Oppenheimer Capital Appreciation Fund/VA Oppenheimer Capital Appreciation Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) 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 certain forward foreign currency exchange contracts of different currencies in order to acquire currencies to pay for or sell currencies to acquire related foreign securities purchase and sale transactions, respectively, or to convert foreign currencies to U.S. dollars from related foreign securities transactions. These foreign currency exchange contracts are negotiated at the current spot exchange rate with settlement typically within two business days thereafter. During the period ended September 30, 2011, the Fund had daily average contract amounts on forward foreign currency contracts to buy and sell of $406,897 and $562,929 respectively. Additional associated risk to the Fund includes counterparty credit risk. Counterparty credit risk arises from the possibility that the counterparty will default. FEDERAL TAXES. 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, 2011 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 $ 773,889,740 ============== Gross unrealized appreciation $ 239,002,821 Gross unrealized depreciation (56,828,306) -------------- Net unrealized appreciation $ 182,174,515 ==============
9 | Oppenheimer Capital Appreciation Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ------------------------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES-10.4% AESOP Funding II LLC, Automobile Receivables Nts., Series 2011-1A, Cl. A, 1.85%, 11/20/13(1) $235,000 $235,696 ------------------------------------------------------------------------------------------------------- Ally Auto Receivables Trust 2010-4, Automobile Receivables Nts., Series 2010-4, Cl. A3, 0.91%, 11/17/14 280,000 280,868 ------------------------------------------------------------------------------------------------------- Ally Master Owner Trust 2010-3, Asset-Backed Certificates, Series 2010-3, Cl. A, 2.88%, 4/15/15(1) 660,000 676,764 ------------------------------------------------------------------------------------------------------- Ally Master Owner Trust, Automobile Receivables Nts., Series 2011-4, Cl. A2, 1%, 9/15/16 545,000 544,052 ------------------------------------------------------------------------------------------------------- AmeriCredit Automobile Receivables Trust 2009-1, Automobile Receivables-Backed Nts., Series 2009-1, Cl. A3, 3.04%, 10/15/13 20,437 20,613 ------------------------------------------------------------------------------------------------------- AmeriCredit Automobile Receivables Trust 2010-3, Automobile Receivables-Backed Nts., Series 2010-3, Cl. A2, 0.77%, 12/9/13 297,332 297,419 ------------------------------------------------------------------------------------------------------- AmeriCredit Automobile Receivables Trust 2011-1, Automobile Receivables-Backed Nts., Series 2011-1, Cl. D, 4.26%, 2/8/17 120,000 121,692 ------------------------------------------------------------------------------------------------------- AmeriCredit Automobile Receivables Trust 2011-2, Automobile Receivables-Backed Nts.: Series 2011-2, Cl. A3, 1.61%, 10/8/15 140,000 141,011 Series 2011-2, Cl. D, 4%, 5/8/17 235,000 238,123 ------------------------------------------------------------------------------------------------------- AmeriCredit Automobile Receivables Trust 2011-4, Automobile Receivables-Backed Nts., Series 2011-4, Cl. D, 4.08%, 7/10/17 650,000 648,871 ------------------------------------------------------------------------------------------------------- AmeriCredit Prime Automobile Receivables Trust 2010-2, Automobile Receivables Nts., Series 2010-2, Cl. A2, 1.22%, 10/8/13 73,377 73,478 ------------------------------------------------------------------------------------------------------- Argent Securities Trust 2006-M3, Asset-Backed Pass-Through Certificates, Series 2006-M3, Cl. A2B, 0.335%, 9/25/36(2) 20,004 5,577 ------------------------------------------------------------------------------------------------------- Carrington Mortgage Loan Trust, Asset-Backed Pass-Through Certificates, Series 2006-FRE1, Cl. A2, 0.345%, 7/25/36(2) 373,898 344,069 ------------------------------------------------------------------------------------------------------- Centre Point Funding LLC, Asset-Backed Nts., Series 2010-1A, Cl. 1, 5.43%, 7/20/15(1) 105,693 111,737 ------------------------------------------------------------------------------------------------------- Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15 310,000 327,157 ------------------------------------------------------------------------------------------------------- Citibank Omni Master Trust, Credit Card Receivables: Series 2009-A12, Cl. A12, 3.35%, 8/15/16(1) 445,000 453,175 Series 2009-A13, Cl. A13, 5.35%, 8/15/18(1) 420,000 460,630 Series 2009-A17, Cl. A17, 4.90%, 11/15/18(1) 725,000 790,004 Series 2009-A8, Cl. A8, 2.329%, 5/16/16(1,2) 620,000 625,375 ------------------------------------------------------------------------------------------------------- CNH Wholesale Master Note Trust 2011-1, Equipment Nts., Series 2011-1, Cl. 1A, 1.029%, 1/20/41(2) 465,000 466,281 ------------------------------------------------------------------------------------------------------- Countrywide Home Loans, Asset-Backed Certificates: Series 2002-4, Cl. A1, 0.975%, 2/25/33(2) 15,723 14,965 Series 2005-16, Cl. 2AF2, 5.382%, 5/1/36 459,859 358,132 Series 2005-17, Cl. 1AF2, 5.363%, 5/1/36 3,929 3,085 ------------------------------------------------------------------------------------------------------- CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 0.355%, 6/25/47(2) 39,312 35,261 ------------------------------------------------------------------------------------------------------- DSC Floorplan Master Owner Trust, Automobile Receivable Nts., Series 2011-1, Cl. A, 3.91%, 3/15/16 400,000 407,005 -------------------------------------------------------------------------------------------------------
1 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ------------------------------------------------------------------------------------------------------------------------- DT Auto Owner Trust 2009-1, Automobile Receivable Nts., Series 2009-1, Cl. A1, 2.98%, 10/15/15(1) $ 300,541 $ 302,697 ------------------------------------------------------------------------------------------------------------------------- DT Auto Owner Trust 2011-1A, Automobile Receivable Nts., Series 2011-1A, Cl. C, 3.05%, 8/15/15(1) 570,000 572,220 ------------------------------------------------------------------------------------------------------------------------ DT Auto Owner Trust 2011-2A, Automobile Receivable Nts., Series 2011-2A, Cl. C, 3.05%, 7/15/13(1) 134,000 134,416 ------------------------------------------------------------------------------------------------------------------------ First Franklin Mortgage Loan Trust 2006-FF9, Mtg. Pass- Through Certificates, Series 2006-FF9, Cl. 2A2, 0.345%, 6/25/36(2) 535 534 ------------------------------------------------------------------------------------------------------------------------ First Investors Auto Owner Trust 2011-1, Automobile Receivable Nts., Series 2011-1, Cl. A2, 1.47%, 3/16/15 370,566 369,936 ------------------------------------------------------------------------------------------------------------------------ Ford Credit Auto Lease Trust, Automobile Receivable Nts., Series 2010-B, Cl. A2, 0.75%, 10/15/12(1) 361,928 361,977 ------------------------------------------------------------------------------------------------------------------------ Ford Credit Auto Owner Trust, Automobile Receivable Nts., Series 2010-A, Cl. A4, 2.15%, 6/15/15 670,000 686,336 ------------------------------------------------------------------------------------------------------------------------ Ford Credit Floorplan Master Owner Trust 2009-2, Asset- Backed Nts., Series 2009-2, Cl. A, 1.779%, 9/15/14(2) 470,000 475,158 ------------------------------------------------------------------------------------------------------------------------ Ford Credit Floorplan Master Owner Trust 2010-1, Asset- Backed Nts., Series 2010-1, Cl. A, 1.879%, 12/15/14(1,2) 490,000 497,242 ------------------------------------------------------------------------------------------------------------------------ Ford Credit Floorplan Master Owner Trust 2011-1, Asset- Backed Nts., Series 2011-1, Cl. A1, 2.12%, 2/15/16 490,000 499,513 ------------------------------------------------------------------------------------------------------------------------ GE Dealer Floorplan Master Note Trust, Asset-Backed Securities, Series 2009-2A, Cl. A, 1.757%, 10/20/14(1,2) 460,000 465,056 ------------------------------------------------------------------------------------------------------------------------ GMAC Mortgage Servicer Advance Funding Ltd., Asset- Backed Nts., Series 2011-1A, Cl. A, 3.72%, 2/15/23(1) 445,000 449,654 ------------------------------------------------------------------------------------------------------------------------ Hertz Vehicle Financing LLC, Automobile Receivable Nts., Series 2010-1A, Cl. A1, 2.60%, 2/25/15(1) 1,015,000 1,026,449 ------------------------------------------------------------------------------------------------------------------------ Mastr Asset-Backed Securities Trust 2006-WMC3, Mtg. Pass- Through Certificates, Series 2006-WMC3, Cl. A3, 0.335%, 8/25/36(2) 64,210 20,014 ------------------------------------------------------------------------------------------------------------------------ Navistar Financial Dealer Note Master Owner Trust, Asset- Backed Nts., Series 2010-1, Cl. A, 1.885%, 1/26/15(1,2) 790,000 792,830 ------------------------------------------------------------------------------------------------------------------------ NC Finance Trust, Collateralized Mtg. Obligation Pass- Through Certificates, Series 1999-I, Cl. ECFD, 3.405%, 1/25/29(3,8) 3,370,016 269,601 ------------------------------------------------------------------------------------------------------------------------ Nissan Auto Lease Trust 2010-B, Automobile Asset-Backed Nts., Series 2010-B, Cl. A3, 1.12%, 12/15/13 440,000 442,044 ------------------------------------------------------------------------------------------------------------------------ Nissan Master Owner Trust, Automobile Receivable Nts., Series 2010-AA, Cl. A, 1.379%, 1/15/15(1,2) 485,000 489,588 ------------------------------------------------------------------------------------------------------------------------ Rental Car Finance Corp., Automobile Receivable Nts., Series 2011-1A, Cl. A1, 2.51%, 2/25/16(1) 365,000 370,667 ------------------------------------------------------------------------------------------------------------------------ Santander Drive Auto Receivables Trust 2010-2, Automobile Receivables Nts., Series 2010-2, Cl. A2, 0.95%, 8/15/13 261,555 261,665 ------------------------------------------------------------------------------------------------------------------------ Santander Drive Auto Receivables Trust 2010-3, Automobile Receivables Nts., Series 2010-3, Cl. C, 3.06%, 11/15/17 485,000 486,007 ------------------------------------------------------------------------------------------------------------------------ Santander Drive Auto Receivables Trust 2010-A, Automobile Receivables Nts., Series 2010-A, Cl. A2, 1.37%, 8/15/13(1) 320,669 321,275 ------------------------------------------------------------------------------------------------------------------------ Santander Drive Auto Receivables Trust 2011-1, Automobile Receivables Nts., Series 2011-1, Cl. D, 4.01%, 2/15/17 465,000 470,461 ------------------------------------------------------------------------------------------------------------------------
2 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ------------------------------------------------------------------------------------------------------------------------ Santander Drive Auto Receivables Trust 2011-S1A, Automobile Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/17(8) $ 497,068 $ 495,031 ------------------------------------------------------------------------------------------------------------------------ Santander Drive Auto Receivables Trust 2011-S2A, Automobile Receivables Nts., Series 2011-S2A, Cl. D, 3.35%, 6/15/17(1) 325,340 325,079 ------------------------------------------------------------------------------------------------------------------------ Volkswagen Auto Lease Trust 2010-A, Automobile Receivable Nts., Series 2010-A, Cl. A3, 0.99%, 11/20/13 440,000 441,284 ------------------------------------------------------------------------------------------------------------------------ Westlake Automobile Receivables Trust 2011-1, Automobile Receivables Nts., Series 2011-1, Cl. A3, 1.49%, 6/16/14(1) 205,000 205,076 ------------------------------------------------------------------------------------------------------------------------ World Financial Network Credit Card Master Note Trust, Credit Card Receivables, Series 2009-A, Cl. A, 4.60%, 9/15/15 340,000 341,554 ------------- Total Asset-Backed Securities (Cost $22,289,671) 19,254,404 ------------------------------------------------------------------------------------------------------------------------ MORTGAGE-BACKED OBLIGATIONS-67.3% ------------------------------------------------------------------------------------------------------------------------ GOVERNMENT AGENCY-56.0% ------------------------------------------------------------------------------------------------------------------------ FHLMC/FNMA/FHLB/SPONSORED-55.7% Federal Home Loan Mortgage Corp.: 5%, 12/15/34 21,533 23,222 5.50%, 9/1/39 1,373,963 1,489,118 6%, 5/15/18-10/15/29 2,743,370 3,016,935 6.50%, 4/15/18-4/1/34 613,597 685,314 7%, 8/15/16-10/1/37 764,563 876,340 8%, 4/1/16 179,208 196,577 9%, 8/1/22-5/1/25 66,291 75,288 10.50%, 11/14/20 2,725 3,159 ------------------------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Series 151, Cl. F, 9%, 5/15/21 15,858 18,349 Series 1674, Cl. Z, 6.75%, 2/15/24 51,303 58,384 Series 2006-11, Cl. PS, 23.707%, 3/25/36(2) 417,707 575,980 Series 2034, Cl. Z, 6.50%, 2/15/28 5,775 6,404 Series 2042, Cl. N, 6.50%, 3/15/28 18,125 20,820 Series 2043, Cl. ZP, 6.50%, 4/15/28 682,099 793,339 Series 2046, Cl. G, 6.50%, 4/15/28 48,123 50,756 Series 2053, Cl. Z, 6.50%, 4/15/28 7,065 7,966 Series 2066, Cl. Z, 6.50%, 6/15/28 812,641 943,003 Series 2195, Cl. LH, 6.50%, 10/15/29 594,913 704,090 Series 2220, Cl. PD, 8%, 3/15/30 2,824 3,399 Series 2326, Cl. ZP, 6.50%, 6/15/31 168,194 193,250 Series 2461, Cl. PZ, 6.50%, 6/15/32 814,034 932,318 Series 2470, Cl. LF, 1.229%, 2/15/32(2) 7,327 7,455 Series 2500, Cl. FD, 0.729%, 3/15/32(2) 157,427 157,927 Series 2526, Cl. FE, 0.629%, 6/15/29(2) 227,621 228,745 Series 2538, Cl. F, 0.829%, 12/15/32(2) 943,022 948,891 Series 2551, Cl. FD, 0.629%, 1/15/33(2) 151,199 151,775 Series 2663, Cl. BA, 4%, 8/1/16 143,893 144,819 Series 2686, Cl. CD, 4.50%, 2/1/17 72,443 72,695 Series 2907, Cl. GC, 5%, 6/1/27 62,883 63,175 Series 2936, Cl. PE, 5%, 2/1/35 69,000 78,826 Series 2952, Cl. GJ, 4.50%, 12/1/28 1,316 1,316 Series 3019, Cl. MD, 4.75%, 1/1/31 238,371 241,228
3 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ------------------------------------------------------------------------------------------------------------------------ FHLMC/FNMA/FHLB/SPONSORED CONTINUED Series 3025, Cl. SJ, 23.91%, 8/15/35(2) $ 80,797 $ 111,053 Series 3094, Cl. HS, 23.544%, 6/15/34(2) 233,496 301,328 Series 3242, Cl. QA, 5.50%, 3/1/30 153,283 154,932 Series 3822, Cl. JA, 5%, 6/1/40 60,460 66,090 Series 3848, Cl. WL, 4%, 4/1/40 67,113 71,186 Series R001, Cl. AE, 4.375%, 4/1/15 56,432 56,691 ------------------------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 205, Cl. IO, 12.565%, 9/1/29(4) 20,219 3,963 Series 206, Cl. IO, 0%, 12/1/29(4,5) 253,136 59,501 Series 2074, Cl. S, 63.785%, 7/17/28(4) 4,353 908 Series 2079, Cl. S, 75.25%, 7/17/28(4) 7,449 1,617 Series 2130, Cl. SC, 50.751%, 3/15/29(4) 287,573 59,473 Series 243, Cl. 6, 25.34%, 12/15/32(4) 286,918 49,226 Series 2526, Cl. SE, 40.262%, 6/15/29(4) 10,280 2,112 Series 2527, Cl. SG, 0%, 2/15/32(4,5) 276,285 5,101 Series 2531, Cl. ST, 45.328%, 2/15/30(4) 142,222 4,575 Series 2796, Cl. SD, 63.232%, 7/15/26(4) 466,693 91,046 Series 2802, Cl. AS, 67.901%, 4/15/33(4) 269,571 20,561 Series 2819, Cl. S, 53.326%, 6/15/34(4) 94,771 19,500 Series 2920, Cl. S, 63.946%, 1/15/35(4) 1,724,689 272,380 Series 3004, Cl. SB, 99.999%, 7/15/35(4) 100,964 17,719 Series 3110, Cl. SL, 99.999%, 2/15/26(4) 263,058 35,071 Series 3451, Cl. SB, 26.46%, 5/15/38(4) 302,472 30,985 ------------------------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 3.855%, 6/1/26(6) 109,951 101,270 ------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn.: 2.619%, 10/1/36(2) 193,471 203,907 4.50%, 10/1/26-10/1/41(7) 18,135,000 19,253,919 5%, 2/25/22-7/25/22 17,330 18,677 5%, 10/1/41(7) 10,893,000 11,718,488 5.50%, 10/1/26-10/1/41(7) 8,716,000 9,458,723 6%, 10/1/41(7) 3,815,000 4,185,175 6.50%, 5/25/17-1/1/34 1,140,093 1,248,279 6.50%, 10/1/41(7) 2,816,000 3,104,201 7%, 11/1/17-7/25/35 538,471 593,456 7.50%, 1/1/33 11,772 13,736 8.50%, 7/1/32 20,977 23,927 ------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn., 15 yr.: 3%, 10/1/26(7) 7,640,000 7,872,781 3.50%, 10/1/26(7) 3,520,000 3,676,200 4%, 10/1/26(7) 490,000 516,491 ------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn., 30 yr., 4%, 10/1/41(7) 10,000,000 10,484,375 ------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Trust 1989-17, Cl. E, 10.40%, 4/25/19 12,540 14,225 Trust 1993-87, Cl. Z, 6.50%, 6/25/23 592,718 666,012
4 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ------------------------------------------------------------------------------------------------------------------------ FHLMC/FNMA/FHLB/SPONSORED CONTINUED Trust 1998-58, Cl. PC, 6.50%, 10/25/28 $ 479,896 $ 538,963 Trust 1998-61, Cl. PL, 6%, 11/25/28 241,645 275,235 Trust 1999-54, Cl. LH, 6.50%, 11/25/29 390,073 452,674 Trust 2001-44, Cl. QC, 6%, 9/25/16 22,355 23,980 Trust 2001-51, Cl. OD, 6.50%, 10/25/31 29,724 34,884 Trust 2001-74, Cl. QE, 6%, 12/25/31 701,093 798,585 Trust 2002-12, Cl. PG, 6%, 3/25/17 11,503 12,386 Trust 2003-28, Cl. KG, 5.50%, 4/25/23 3,964,000 4,426,089 Trust 2004-101, Cl. BG, 5%, 1/25/20 1,581,098 1,694,021 Trust 2004-81, Cl. KC, 4.50%, 4/1/17 38,851 38,911 Trust 2004-9, Cl. AB, 4%, 7/1/17 337,127 342,078 Trust 2005-12, Cl. JC, 5%, 6/1/28 216,369 218,588 Trust 2005-22, Cl. EC, 5%, 10/1/28 91,170 92,171 Trust 2005-30, Cl. CU, 5%, 4/1/29 102,739 104,410 Trust 2006-110, Cl. PW, 5.50%, 5/25/28 5,120 5,120 Trust 2006-46, Cl. SW, 23.339%, 6/25/36(2) 313,532 423,894 Trust 2006-50, Cl. KS, 23.34%, 6/25/36(2) 466,751 626,026 Trust 2007-42, Cl. A, 6%, 2/1/33 788,742 832,475 Trust 2009-36, Cl. FA, 1.175%, 6/25/37(2) 594,924 605,457 ------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn., Interest-Only Stripped Mtg.- Backed Security: Trust 2001-61, Cl. SH, 41.304%, 11/18/31(4) 27,847 5,165 Trust 2001-63, Cl. SD, 37.21%, 12/18/31(4) 8,839 1,616 Trust 2001-65, Cl. S, 39.161%, 11/25/31(4) 698,674 129,392 Trust 2001-68, Cl. SC, 26.878%, 11/25/31(4) 5,825 1,092 Trust 2001-81, Cl. S, 33.644%, 1/25/32(4) 191,238 40,006 Trust 2002-28, Cl. SA, 38.346%, 4/25/32(4) 5,135 947 Trust 2002-38, Cl. SO, 57.38%, 4/25/32(4) 12,687 1,991 Trust 2002-39, Cl. SD, 46.179%, 3/18/32(4) 8,389 1,767 Trust 2002-47, Cl. NS, 34.355%, 4/25/32(4) 510,976 97,156 Trust 2002-48, Cl. S, 34.789%, 7/25/32(4) 8,444 1,575 Trust 2002-51, Cl. S, 34.614%, 8/25/32(4) 469,078 89,177 Trust 2002-52, Cl. SD, 43.441%, 9/25/32(4) 590,415 123,336 Trust 2002-52, Cl. SL, 36.523%, 9/25/32(4) 5,308 1,002 Trust 2002-53, Cl. SK, 44.194%, 4/25/32(4) 29,228 6,485 Trust 2002-56, Cl. SN, 36.982%, 7/25/32(4) 11,513 2,135 Trust 2002-60, Cl. SM, 38.746%, 8/25/32(4) 94,290 15,504 Trust 2002-7, Cl. SK, 39.275%, 1/25/32(4) 44,123 7,462 Trust 2002-77, Cl. BS, 33.96%, 12/18/32(4) 57,500 9,145 Trust 2002-77, Cl. IS, 52.12%, 12/18/32(4) 21,614 3,937 Trust 2002-77, Cl. JS, 31.79%, 12/18/32(4) 95,219 15,010 Trust 2002-77, Cl. SA, 32.919%, 12/18/32(4) 90,167 14,249 Trust 2002-77, Cl. SH, 44.163%, 12/18/32(4) 255,100 52,181 Trust 2002-84, Cl. SA, 41.333%, 12/25/32(4) 638,503 107,439 Trust 2002-9, Cl. MS, 34.045%, 3/25/32(4) 9,675 1,952 Trust 2002-90, Cl. SN, 40.135%, 8/25/32(4) 48,508 8,005 Trust 2002-90, Cl. SY, 44.061%, 9/25/32(4) 31,956 5,661 Trust 2003-26, Cl. DI, 13.438%, 4/25/33(4) 20,863 3,505
5 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ------------------------------------------------------------------------------------------------------------------------ FHLMC/FNMA/FHLB/SPONSORED CONTINUED Trust 2003-33, Cl. SP, 41.461%, 5/25/33(4) $ 693,551 $ 113,922 Trust 2003-4, Cl. S, 37.737%, 2/25/33(4) 442,366 74,116 Trust 2003-89, Cl. XS, 32.877%, 11/25/32(4) 309,755 13,926 Trust 2004-54, Cl. DS, 54.582%, 11/25/30(4) 430,658 92,260 Trust 2005-14, Cl. SE, 40.792%, 3/25/35(4) 336,289 49,826 Trust 2005-40, Cl. SA, 62.798%, 5/25/35(4) 947,394 149,801 Trust 2005-40, Cl. SB, 74.702%, 5/25/35(4) 45,358 9,321 Trust 2005-71, Cl. SA, 63.702%, 8/25/25(4) 1,137,847 172,296 Trust 2005-93, Cl. SI, 16.973%, 10/25/35(4) 895,206 119,578 Trust 2006-129, Cl. SM, 33.302%, 1/25/37(4) 389,481 51,733 Trust 2006-60, Cl. DI, 39.107%, 4/25/35(4) 234,688 32,295 Trust 2008-55, Cl. SA, 27.31%, 7/25/38(4) 160,315 17,947 Trust 2008-67, Cl. KS, 41.652%, 8/25/34(4) 2,061,704 141,429 Trust 221, Cl. 2, 37.853%, 5/1/23(4) 7,476 1,345 Trust 222, Cl. 2, 26.899%, 6/1/23(4) 847,435 127,159 Trust 252, Cl. 2, 37.07%, 11/1/23(4) 734,973 132,165 Trust 294, Cl. 2, 16.217%, 2/1/28(4) 80,876 14,717 Trust 301, Cl. 2, 2.211%, 4/1/29(4) 9,061 1,799 Trust 303, Cl. IO, 7.046%, 11/1/29(4) 127,296 28,905 Trust 320, Cl. 2, 13.149%, 4/1/32(4) 571,475 89,856 Trust 321, Cl. 2, 1.126%, 4/1/32(4) 1,763,654 332,640 Trust 324, Cl. 2, 0.127%, 7/1/32(4) 18,407 3,475 Trust 331, Cl. 5, 23.014%, 2/1/33(4) 25,182 4,480 Trust 331, Cl. 9, 32.539%, 2/1/33(4) 474,770 88,981 Trust 334, Cl. 12, 18.163%, 2/1/33(4) 44,912 7,578 Trust 334, Cl. 17, 40.891%, 2/1/33(4) 329,060 76,474 Trust 339, Cl. 12, 0.006%, 7/1/33(4) 626,656 108,101 Trust 339, Cl. 7, 0%, 7/1/33(4,5) 1,496,980 216,905 Trust 343, Cl. 13, 8.236%, 9/1/33(4) 589,328 90,910 Trust 343, Cl. 18, 3.52%, 5/1/34(4) 165,224 24,251 Trust 345, Cl. 9, 15.015%, 1/1/34(4) 668,153 86,077 Trust 351, Cl. 10, 4.743%, 4/1/34(4) 228,191 34,068 Trust 351, Cl. 8, 2.811%, 4/1/34(4) 357,356 53,795 Trust 356, Cl. 10, 0%, 6/1/35(4,5) 292,782 42,447 Trust 356, Cl. 12, 0%, 2/1/35(4,5) 146,032 21,469 Trust 362, Cl. 13, 4.155%, 8/1/35(4) 526,349 81,700 Trust 364, Cl. 15, 4.989%, 9/1/35(4) 31,920 4,615 Trust 364, Cl. 16, 0%, 9/1/35(4,5) 615,904 92,943 Trust 365, Cl. 16, 2.319%, 3/1/36(4) 947,794 146,319 ------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Trust 1993-184, Cl. M, 4.148%, 9/25/23(6) 262,243 228,133 --------------- 102,832,319 ------------------------------------------------------------------------------------------------------------------------ GNMA/GUARANTEED-0.3% Government National Mortgage Assn.: 7%, 12/29/23-3/15/26 26,274 30,448
6 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ------------------------------------------------------------------------------------------------------------------------ GNMA/GUARANTEED CONTINUED ------------------------------------------------------------------------------------------------------------------------ 8.50%, 8/1/17-12/15/17 $ 97,178 $ 109,820 ------------------------------------------------------------------------------------------------------------------------ Government National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Series 1999-32, Cl. ZB, 8%, 9/16/29 76,675 97,179 Series 2000-7, Cl. Z, 8%, 1/16/30 32,419 37,167 ------------------------------------------------------------------------------------------------------------------------ Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Series 1998-19, Cl. SB, 71.026%, 7/16/28(4) 16,018 3,437 Series 2001-21, Cl. SB, 93.026%, 1/16/27(4) 569,688 115,618 Series 2002-15, Cl. SM, 82.994%, 2/16/32(4) 598,420 126,594 Series 2004-11, Cl. SM, 77.008%, 1/17/30(4) 471,226 124,256 Series 2007-17, Cl. AI, 20.251%, 4/16/37(4) 176,813 31,842 ----------- 676,361 ------------------------------------------------------------------------------------------------------------------------ NON-AGENCY-11.3% COMMERCIAL-7.5% ------------------------------------------------------------------------------------------------------------------------ Asset Securitization Corp., Commercial Interest-Only Stripped Mtg.-Backed Security, Series 1997-D4, Cl. PS1, 0%, 4/14/29(4,5) 6,441,891 165,830 ------------------------------------------------------------------------------------------------------------------------ Banc of America Commercial Mortgage Trust 2007-1, Commercial Mtg. Pass-Through Certificates, Series 2007-1, Cl. A4, 5.451%, 1/1/49 710,000 760,193 ------------------------------------------------------------------------------------------------------------------------ Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed Pass-Through Certificates, Series 1997- CTL1, 0%, 6/22/24(1,4,5) 2,752,555 136,251 ------------------------------------------------------------------------------------------------------------------------ CFCRE Commercial Mortgage Trust, Commercial Mtg. Pass- Through Certificates, Series 2011-C1, Cl. A1, 1.871%, 4/1/44(1) 140,504 138,760 ------------------------------------------------------------------------------------------------------------------------ CHL Mortgage Pass-Through Trust 2005-17, Mtg. Pass- Through Certificates, Series 2005-17, Cl. 1A8, 5.50%, 9/1/35 69,826 64,121 ------------------------------------------------------------------------------------------------------------------------ CHL Mortgage Pass-Through Trust 2007-J3, Mtg. Pass- Through Certificates, Series 2007-J3, Cl. A9, 6%, 7/1/37 331,685 269,323 ------------------------------------------------------------------------------------------------------------------------ Citigroup, Inc./Deutsche Bank 2007-CD4 Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates: Series 2007-CD4, Cl. A2B, 5.205%, 12/11/49 380,000 382,915 Series 2007-CD4, Cl. A4, 5.322%, 12/1/49 875,000 905,565 ------------------------------------------------------------------------------------------------------------------------ Deutsche Mortgage & Asset Receiving, Commercial Mtg. Pass-Through Certificates, Series 2010-C1, Cl. A1, 3.156%, 7/1/46(1) 584,527 591,351 ------------------------------------------------------------------------------------------------------------------------ Deutsche Mortgage & Asset Receiving, Commercial Mtg. Pass- Through Certificates, Interest-Only Stripped Mtg.-Backed Security, Series 2010-C1, Cl. XPA, 4.852%, 9/1/20(1,4) 4,731,994 371,521 ------------------------------------------------------------------------------------------------------------------------ First Horizon Alternative Mortgage Securities Trust 2004-FA2, Mtg. Pass-Through Certificates, Series 2004-FA2, Cl. 3A1, 6%, 1/25/35 528,741 516,863 ------------------------------------------------------------------------------------------------------------------------ First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 204,737 136,378 ------------------------------------------------------------------------------------------------------------------------ First Horizon Mortgage Pass-Through Trust 2007-AR3, Mtg. Pass-Through Certificates, Series 2007-AR3, Cl. 1A1, 5.91%, 11/1/37(2) 405,459 279,903 ------------------------------------------------------------------------------------------------------------------------ Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2007-GG11, Commercial Mtg. Pass-Through Certificates, Series 2007-GG11, Cl. A4, 5.736%, 12/1/49 965,000 1,006,119 ------------------------------------------------------------------------------------------------------------------------
7 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ------------------------------------------------------------------------------------------------------------------------ COMMERCIAL CONTINUED ------------------------------------------------------------------------------------------------------------------------ GS Mortgage Securities Corp. II, Commercial Mtg. Obligations, Series 2011-GC3, Cl. A1, 2.331%, 3/1/44 $ 370,413 $ 375,849 ------------------------------------------------------------------------------------------------------------------------ GSR Mortgage Loan Trust 2005-AR4, Mtg. Pass-Through Certificates, Series 2005-AR4, Cl. 6A1, 5.25%, 7/1/35 415,946 400,595 ------------------------------------------------------------------------------------------------------------------------ Impac CMB Trust Series 2005-4, Collateralized Asset-Backed Bonds, Series 2005-4, Cl. 1A1A, 0.775%, 5/25/35(2) 577,776 409,987 ------------------------------------------------------------------------------------------------------------------------ IndyMac Index Mortgage Loan Trust 2005-AR23, Mtg. Pass- Through Certificates, Series 2005-AR23, Cl. 6A1, 5.128%, 11/1/35(2) 676,148 474,610 ------------------------------------------------------------------------------------------------------------------------ JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: Series 2011-C3, Cl. A1, 1.875%, 2/1/46(1) 413,138 415,120 Series 2010-C2, Cl. A2, 3.616%, 11/1/43(1) 710,000 696,411 Series 2007-LDPX, Cl. A2S2, 5.187%, 1/1/49(8) 1,395,000 1,400,859 ------------------------------------------------------------------------------------------------------------------------ JPMorgan Mortgage Trust 2007-S3, Mtg. Pass-Through Certificates, Series 2007-S3, Cl. 1A90, 7%, 8/1/37 660,516 598,976 ------------------------------------------------------------------------------------------------------------------------ Lehman Brothers Commercial Conduit Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 1998-C1, Cl. IO, 0%, 2/18/30(4,5) 3,320,913 64,955 ------------------------------------------------------------------------------------------------------------------------ Lehman Structured Securities Corp., Commercial Mtg. Pass- Through Certificates, Series 2002-GE1, Cl. A, 2.514%, 7/1/24(1) 140,038 114,978 ------------------------------------------------------------------------------------------------------------------------ Mastr Alternative Loan Trust 2004-6, Mtg. Pass-Through Certificates, Series 2004-6, Cl. 10A1, 6%, 7/25/34 926,559 951,976 ------------------------------------------------------------------------------------------------------------------------ Salomon Brothers Mortgage Securities VII, Inc., Interest-Only Commercial Mtg. Pass-Through Certificates, Series 1999-C1, Cl. X, 0%, 5/18/32(4,5) 43,100,317 117,405 ------------------------------------------------------------------------------------------------------------------------ Structured Adjustable Rate Mortgage Loan Trust, Mtg. Pass- Through Certificates, Series 2007-6, Cl. 3A1, 5.164%, 7/1/37(2) 596,391 362,431 ------------------------------------------------------------------------------------------------------------------------ Wachovia Bank Commercial Mortgage Trust 2007-C34, Commercial Mtg. Pass-Through Certificates, Series 2007-C34, Cl. A3, 5.678%, 5/1/46 520,000 554,538 ------------------------------------------------------------------------------------------------------------------------ WaMu Mortgage Pass-Through Certificates 2005-AR14 Trust, Mtg. Pass-Through Certificates, Series 2005-AR14, Cl. 1A4, 2.612%, 12/1/35(2) 374,690 306,675 ------------------------------------------------------------------------------------------------------------------------ Wells Fargo Commercial Mortgage Trust 2010-C1, Commercial Mtg. Pass-Through Certificates, Series 2010-C1, Cl. A1, 3.349%, 11/1/43(1) 364,754 375,403 ------------------------------------------------------------------------------------------------------------------------ Wells Fargo Mortgage-Backed Securities 2007-AR3 Trust, Mtg. Pass-Through Certificates, Series 2007-AR3, Cl. A4, 5.789%, 4/1/37(2) 187,892 158,003 ------------------------------------------------------------------------------------------------------------------------ Wells Fargo Mortgage-Backed Securities 2007-AR8 Trust, Mtg. Pass-Through Certificates, Series 2007-AR8, Cl. A1, 6.068%, 11/1/37(2) 482,959 373,141 ------------ 13,877,005 ------------------------------------------------------------------------------------------------------------------------ MULTIFAMILY-0.6% Citigroup Mortgage Loan Trust, Inc. 2006-AR3, Mtg. Pass- Through Certificates, Series 2006-AR3, Cl. 1A2A, 5.681%, 6/1/36(2) 433,646 376,699 ------------------------------------------------------------------------------------------------------------------------
8 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ------------------------------------------------------------------------------------------------------------------------ MULTIFAMILY CONTINUED ------------------------------------------------------------------------------------------------------------------------ GE Capital Commercial Mortgage Corp., Commercial Mtg. Pass-Through Certificates, Series 2001-3, Cl. A2, 6.07%, 6/1/38 $ 68,690 $ 68,637 ------------------------------------------------------------------------------------------------------------------------ JPMorgan Mortgage Trust 2007-A3, Mtg. Pass-Through Certificates, Series 2007-A3, Cl. 3A2M, 5.454%, 5/1/37(2) 162,207 136,076 ------------------------------------------------------------------------------------------------------------------------ Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg. Pass-Through Certificates, Series 2006-AR6, Cl. 3A1, 2.795%, 3/25/36(2) 519,425 419,474 ----------- 1,000,886 ------------------------------------------------------------------------------------------------------------------------ OTHER-0.2% Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2007-GG9, Commercial Mtg. Pass-Through Certificates, Series 2007-GG9, Cl. A4, 5.444%, 3/1/39 350,000 364,359 ------------------------------------------------------------------------------------------------------------------------ Salomon Brothers Mortgage Securities VI, Inc., Interest-Only Stripped Mtg.-Backed Security, Series 1987-3, Cl. B, 40.098%, 10/23/17(4) 645 67 ------------------------------------------------------------------------------------------------------------------------ Salomon Brothers Mortgage Securities VI, Inc., Principal-Only Stripped Mtg.-Backed Security, Series 1987-3, Cl. A, 3.693%, 10/23/17(6) 955 937 ----------- 365,363 ------------------------------------------------------------------------------------------------------------------------ RESIDENTIAL-3.0% Banc of America Funding 2007-C Trust, Mtg. Pass-Through Certificates, Series 2007-C, Cl. 1A4, 5.563%, 5/1/36(2) 155,000 138,980 ------------------------------------------------------------------------------------------------------------------------ CHL Mortgage Pass-Through Trust 2005-29, Mtg. Pass- Through Certificates, Series 2005-29, Cl. A1, 5.75%, 12/1/35 240,495 210,205 ------------------------------------------------------------------------------------------------------------------------ CHL Mortgage Pass-Through Trust 2005-30, Mtg. Pass- Through Certificates, Series 2005-30, Cl. A5, 5.50%, 1/1/36 374,601 362,743 ------------------------------------------------------------------------------------------------------------------------ CHL Mortgage Pass-Through Trust 2005-HYB7, Mtg. Pass- Through Certificates, Series 2005-HYB7, Cl. 6A1, 5.363%, 11/1/35(2) 562,503 395,512 ------------------------------------------------------------------------------------------------------------------------ CHL Mortgage Pass-Through Trust 2005-J4, Mtg. Pass- Through Certificates, Series 2005-J4, Cl. A7, 5.50%, 11/1/35 36,983 36,227 ------------------------------------------------------------------------------------------------------------------------ Countrywide Alternative Loan Trust 2007-19, Mtg. Pass- Through Certificates, Series 2007-19, Cl. 1A34, 6%, 8/1/37 384,008 288,993 ------------------------------------------------------------------------------------------------------------------------ GSR Mortgage Loan Trust 2006-5F, Mtg. Pass-Through Certificates, Series 2006-5F, Cl. 2A1, 6%, 6/1/36 432,933 426,412 ------------------------------------------------------------------------------------------------------------------------ JPMorgan Alternative Loan Trust 2006-S4, Mtg. Pass-Through Certificates, Series 2006-S4, Cl. A6, 5.71%, 12/1/36 532,723 467,354 ------------------------------------------------------------------------------------------------------------------------ Merrill Lynch Mortgage Investors Trust 2006-3, Mtg. Pass- Through Certificates, Series MLCC 2006-3, Cl. 2A1, 2.646%, 10/25/36(2) 45,932 41,401 ------------------------------------------------------------------------------------------------------------------------ RALI Series 2003-QS1 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 248,962 257,058 ------------------------------------------------------------------------------------------------------------------------ RALI Series 2006-QS13 Trust, Mtg. Asset-Backed Pass-Through Certificates: Series 2006-QS13, Cl. 1A5, 6%, 9/25/36 56,218 33,263 ------------------------------------------------------------------------------------------------------------------------ Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 1,970 1,166 RALI Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-QS6, Cl. A28, 5.75%, 4/25/37 24,899 15,002 ------------------------------------------------------------------------------------------------------------------------ Residential Asset Securitization Trust 2005-A15, Mtg. Pass- Through Certificates, Series 2005-A15, Cl. 1A4, 5.75%, 2/1/36 159,083 128,113 ------------------------------------------------------------------------------------------------------------------------
9 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ------------------------------------------------------------------------------------------------------------------------ RESIDENTIAL CONTINUED ------------------------------------------------------------------------------------------------------------------------ Structured Adjustable Rate Mortgage Loan Trust, Mtg. Pass- Through Certificates, Series 2004-5, Cl. 3A1, 2.539%, 5/1/34(2) $ 243,065 $ 223,579 ------------------------------------------------------------------------------------------------------------------------ Thornburg Mortgage Securities Trust 2006-6, Mtg. Pass- Through Certificates, Series 2006-6, Cl. A2, 0.385%, 11/25/46(2) 434,789 429,066 ------------------------------------------------------------------------------------------------------------------------ WaMu Mortgage Pass-Through Certificates 2007-HY1 Trust, Mtg. Pass-Through Certificates, Series 2007-HY1, Cl. 4A1, 2.643%, 2/1/37(2) 61,147 42,780 ------------------------------------------------------------------------------------------------------------------------ WaMu Mortgage Pass-Through Certificates 2007-HY5 Trust, Mtg. Pass-Through Certificates, Series 2007-HY5, Cl. 3A1, 5.591%, 5/1/37(2) 890,234 741,668 ------------------------------------------------------------------------------------------------------------------------ Wells Fargo Alternative Loan 2007-PA5 Trust, Mtg. Asset- Backed Pass-Through Certificates, Series 2007-PA5, Cl. 1A1, 6.25%, 11/1/37 368,486 305,368 ------------------------------------------------------------------------------------------------------------------------ Wells Fargo Mortgage-Backed Securities 2004-R Trust, Mtg. Pass-Through Certificates, Series 2004-R, Cl. 2A1, 2.624%, 9/1/34(2) 237,589 224,380 ------------------------------------------------------------------------------------------------------------------------ Wells Fargo Mortgage-Backed Securities 2005-9 Trust, Mtg. Pass-Through Certificates, Series 2005-9, Cl. 2A6, 5.25%, 10/25/35 479,992 463,788 ------------------------------------------------------------------------------------------------------------------------ Wells Fargo Mortgage-Backed Securities 2006-AR14 Trust, Mtg. Pass-Through Certificates, Series 2006-AR14, Cl. 1A2, 5.684%, 10/1/36(2) 410,009 352,694 ------------- 5,585,752 ------------- Total Mortgage-Backed Obligations (Cost $122,372,619) 124,337,686 ------------------------------------------------------------------------------------------------------------------------ U.S. GOVERNMENT OBLIGATIONS-1.7% Federal Home Loan Mortgage Corp. Nts.: 2%, 8/25/16 180,000 186,743 2.50%, 5/27/16 255,000 270,563 5%, 2/16/17 295,000 349,540 5.25%, 4/18/16 515,000 608,959 5.50%, 7/18/16 295,000 354,336 ------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn. Nts.: 2.375%, 4/11/16(9) 485,000 512,200 4.875%, 12/15/16(9) 415,000 488,499 5%, 3/15/16 320,000 374,418 ------------ Total U.S. Government Obligations (Cost $2,959,646) 3,145,258 ------------------------------------------------------------------------------------------------------------------------ CORPORATE BONDS AND NOTES-33.9% ------------------------------------------------------------------------------------------------------------------------ CONSUMER DISCRETIONARY-4.8% ------------------------------------------------------------------------------------------------------------------------ AUTOMOBILES-0.2% Daimler Finance North America LLC, 1.875% Sr. Unsec. Nts., 9/15/14(1) 348,000 343,840 ------------------------------------------------------------------------------------------------------------------------ DIVERSIFIED CONSUMER SERVICES-0.3% Service Corp. International, 6.75% Sr. Unsec. Nts., 4/1/15 475,000 496,375 ------------------------------------------------------------------------------------------------------------------------ HOTELS, RESTAURANTS & LEISURE-0.7% Hyatt Hotels Corp., 5.75% Sr. Unsec. Unsub. Nts., 8/15/15(1) 725,000 773,706 ------------------------------------------------------------------------------------------------------------------------
10 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ------------------------------------------------------------------------------------------------------------------------ HOTELS, RESTAURANTS & LEISURE CONTINUED Marriott International, Inc., 6.20% Sr. Unsec. Unsub. Nts., 6/15/16 $ 526,000 $ 591,611 ----------- 1,365,317 ------------------------------------------------------------------------------------------------------------------------ HOUSEHOLD DURABLES-0.6% Fortune Brands, Inc., 6.375% Sr. Unsec. Unsub. Nts., 6/15/14 119,000 131,911 ------------------------------------------------------------------------------------------------------------------------ Newell Rubbermaid, Inc., 5.50% Sr. Unsec. Nts., 4/15/13 429,000 453,794 ------------------------------------------------------------------------------------------------------------------------ Whirlpool Corp.: 5.50% Sr. Unsec. Unsub. Nts., 3/1/13 152,000 158,960 8% Sr. Unsec. Nts., 5/1/12 380,000 394,679 ----------- 1,139,344 ------------------------------------------------------------------------------------------------------------------------ LEISURE EQUIPMENT & PRODUCTS-0.2% Mattel, Inc., 5.625% Sr. Unsec. Nts., 3/15/13 395,000 419,229 ------------------------------------------------------------------------------------------------------------------------ MEDIA-2.0% Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22 292,000 422,736 ------------------------------------------------------------------------------------------------------------------------ DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 6.375% Sr. Unsec. Nts., 3/1/41 359,000 404,108 ------------------------------------------------------------------------------------------------------------------------ Historic TW, Inc., 9.125% Debs., 1/15/13 149,000 162,852 ------------------------------------------------------------------------------------------------------------------------ Interpublic Group of Cos., Inc. (The): 6.25% Sr. Unsec. Nts., 11/15/14 150,000 159,000 10% Sr. Unsec. Nts., 7/15/17 528,000 603,240 ------------------------------------------------------------------------------------------------------------------------ Lamar Media Corp., 9.75% Sr. Unsec. Nts., 4/1/14 438,000 485,085 ------------------------------------------------------------------------------------------------------------------------ Time Warner Entertainment Co. LP, 8.375% Sr. Nts., 7/15/33 257,000 336,788 ------------------------------------------------------------------------------------------------------------------------ Viacom, Inc., 7.875% Sr. Unsec. Debs., 7/30/30 270,000 342,445 ------------------------------------------------------------------------------------------------------------------------ Virgin Media Secured Finance plc: 5.25% Sr. Sec. Nts., 1/15/21 230,000 248,310 6.50% Sr. Sec. Nts., 1/15/18 555,000 592,463 ----------- 3,757,027 ------------------------------------------------------------------------------------------------------------------------ MULTILINE RETAIL-0.5% Family Dollar Stores, Inc., 5% Sr. Unsec. Nts., 2/1/21 261,000 256,520 ------------------------------------------------------------------------------------------------------------------------ Macy's Retail Holdings, Inc., 5.75% Sr. Unsec. Nts., 7/15/14 577,000 616,936 ----------- 873,456 ------------------------------------------------------------------------------------------------------------------------ SPECIALTY RETAIL-0.3% Rent-A-Center, Inc., 6.625% Sr. Unsec. Nts., 11/15/20 477,000 460,305 CONSUMER STAPLES-2.1% FOOD & STAPLES RETAILING-0.4% Kroger Co.(The), 5% Sr. Nts., 4/15/13 443,000 465,815 ------------------------------------------------------------------------------------------------------------------------ Wal-Mart Stores, Inc., 5.625% Sr. Unsec. Nts., 4/15/41 271,000 336,155 ----------- 801,970 ------------------------------------------------------------------------------------------------------------------------ FOOD PRODUCTS-0.7% Bunge Ltd. Finance Corp.: 5.35% Sr. Unsec. Unsub. Nts., 4/15/14 210,000 221,836 8.50% Sr. Unsec. Nts., 6/15/19 200,000 249,838 ------------------------------------------------------------------------------------------------------------------------ Kraft Foods, Inc., 6% Sr. Unsec. Nts., 2/11/13 410,000 434,482 ------------------------------------------------------------------------------------------------------------------------ TreeHouse Foods, Inc., 7.75% Sr. Unsec. Nts., 3/1/18 470,000 487,625 ----------- 1,393,781 ------------------------------------------------------------------------------------------------------------------------ HOUSEHOLD PRODUCTS-0.3% Energizer Holdings, Inc., 4.70% Sr. Nts., 5/19/21(1) 463,000 496,920
11 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ------------------------------------------------------------------------------------------------------------------------ TOBACCO-0.7% Altria Group, Inc., 10.20% Sr. Unsec. Nts., 2/6/39 $ 358,000 $ 521,517 ------------------------------------------------------------------------------------------------------------------------ Lorillard Tobacco Co., 7% Sr. Unsec. Nts., 8/4/41 311,000 331,893 ------------------------------------------------------------------------------------------------------------------------ Reynolds American, Inc., 7.25% Sr. Sec. Nts., 6/1/13 408,000 445,340 ----------- 1,298,750 ------------------------------------------------------------------------------------------------------------------------ ENERGY-4.2% ENERGY EQUIPMENT & SERVICES-1.2% Ensco plc, 4.70% Sr. Unsec. Nts., 3/15/21 524,000 535,866 ------------------------------------------------------------------------------------------------------------------------ Nabors Industries, Inc., 6.15% Sr. Unsec. Unsub. Nts., 2/15/18 593,000 662,748 ------------------------------------------------------------------------------------------------------------------------ Rowan Cos., Inc., 5% Sr. Unsec. Nts., 9/1/17 499,000 518,135 ------------------------------------------------------------------------------------------------------------------------ Weatherford International Ltd. Bermuda, 5.125% Sr. Unsec. Unsub. Nts., 9/15/20 496,000 506,366 ----------- 2,223,115 ------------------------------------------------------------------------------------------------------------------------ OIL, GAS & CONSUMABLE FUELS-3.0% Anadarko Petroleum Corp., 6.20% Sr. Unsec. Nts., 3/15/40 282,000 295,305 ------------------------------------------------------------------------------------------------------------------------ Canadian Oil Sands Ltd., 5.80% Sr. Unsec. Nts., 8/15/13(1) 430,000 460,323 ------------------------------------------------------------------------------------------------------------------------ Cloud Peak Energy Resources LLC, 8.25% Sr. Unsec. Unsub. Nts., 12/15/17 445,000 463,913 ------------------------------------------------------------------------------------------------------------------------ El Paso Pipeline Partners LP, 6.50% Sr. Unsec. Nts., 4/1/20 665,000 736,250 ------------------------------------------------------------------------------------------------------------------------ Kaneb Pipe Line Operating Partnership LP, 5.875% Sr. Unsec. Nts., 6/1/13 757,000 805,141 ------------------------------------------------------------------------------------------------------------------------ Nexen, Inc., 6.40% Sr. Unsec. Unsub. Bonds, 5/15/37 466,000 476,818 ------------------------------------------------------------------------------------------------------------------------ Range Resources Corp., 8% Sr. Unsec. Sub. Nts., 5/15/19 427,000 469,700 ------------------------------------------------------------------------------------------------------------------------ Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.50% Sr. Sec. Nts., 9/30/14(1) 270,000 294,975 ------------------------------------------------------------------------------------------------------------------------ Rockies Express Pipeline LLC, 3.90% Sr. Unsec. Unsub. Nts., 4/15/15(1) 764,000 784,064 ------------------------------------------------------------------------------------------------------------------------ Sunoco Logistics Partners Operations LP, 7.25% Sr. Unsec. Nts., 2/15/12 441,000 450,087 ------------------------------------------------------------------------------------------------------------------------ Woodside Finance Ltd., 4.60% Sr. Unsec. Nts., 5/10/21(1) 339,000 351,398 ----------- 5,587,974 ------------------------------------------------------------------------------------------------------------------------ FINANCIALS-11.5% ------------------------------------------------------------------------------------------------------------------------ CAPITAL MARKETS-2.5% Blackstone Holdings Finance Co. LLC, 6.625% Sr. Unsec. Nts., 8/15/19(1) 800,000 868,218 ------------------------------------------------------------------------------------------------------------------------ Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 477,000 434,060 ------------------------------------------------------------------------------------------------------------------------ Goldman Sachs Group, Inc. (The), 5.25% Sr. Unsec. Nts., 7/27/21 150,000 148,471 ------------------------------------------------------------------------------------------------------------------------ Macquarie Bank Ltd., 6.625% Unsec. Sub. Nts., 4/7/21(1) 598,000 563,497 ------------------------------------------------------------------------------------------------------------------------ Morgan Stanley: 5.50% Sr. Unsec. Unsub. Nts., 7/24/20(1) 178,000 161,698 ------------------------------------------------------------------------------------------------------------------------ 5.55% Sr. Unsec. Unsub. Nts., Series F, 4/27/17 1,205,000 1,162,656 Nomura Holdings, Inc., 4.125% Sr. Unsec. Unsub. Nts., 1/19/16 433,000 440,079 ------------------------------------------------------------------------------------------------------------------------ TD Ameritrade Holding Corp., 2.95% Sr. Unsec. Unsub. Nts., 12/1/12 475,000 482,409 ------------------------------------------------------------------------------------------------------------------------ UBS AG Stamford, CT, 2.25% Sr. Unsec. Nts., 8/12/13 181,000 177,854 ------------------------------------------------------------------------------------------------------------------------ UBS Preferred Funding Trust V, 6.243% Jr. Sub. Perpetual Nts.(10) 104,000 78,260 ----------- 4,517,202
12 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ------------------------------------------------------------------------------------------------------------------------ COMMERCIAL BANKS-2.5% ANZ National International Ltd., 2.375% Sr. Unsec. Nts., 12/21/12(1) $ 507,000 $ 510,148 ------------------------------------------------------------------------------------------------------------------------ Fifth Third Cap Trust IV, 6.50% Jr. Unsec. Sub. Nts., 4/15/37 845,000 807,060 ------------------------------------------------------------------------------------------------------------------------ HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/35(2) 1,090,000 910,150 ------------------------------------------------------------------------------------------------------------------------ Huntington Bancshares, Inc., 7% Sub. Nts., 12/15/20 143,000 162,348 ------------------------------------------------------------------------------------------------------------------------ Lloyds TSB Bank plc, 6.50% Unsec. Sub. Nts., 9/14/20(1) 356,000 303,378 ------------------------------------------------------------------------------------------------------------------------ Mercantile Bankshares Corp., 4.625% Unsec. Sub. Nts., Series B, 4/15/13 308,000 319,789 ------------------------------------------------------------------------------------------------------------------------ Standard Chartered plc, 6.409% Cv. Jr. Unsec. Sub. Bonds, 1/29/49(1) 100,000 84,614 ------------------------------------------------------------------------------------------------------------------------ Sumitomo Mitsui Banking Corp., 8% Unsec. Sub. Nts., 6/15/12 466,000 484,346 ------------------------------------------------------------------------------------------------------------------------ Wells Fargo & Co., 7.98% Jr. Sub. Perpetual Bonds, Series K(10) 367,000 379,845 ------------------------------------------------------------------------------------------------------------------------ Zions Bancorp., 7.75% Sr. Unsec. Nts., 9/23/14 581,000 613,165 ----------- 4,574,843 ------------------------------------------------------------------------------------------------------------------------ CONSUMER FINANCE-0.7% American Express Bank FSB, 5.50% Sr. Unsec. Nts., 4/16/13 441,000 465,776 ------------------------------------------------------------------------------------------------------------------------ Capital One Financial Corp., 4.75% Sr. Nts., 7/15/21 247,000 248,252 ------------------------------------------------------------------------------------------------------------------------ SLM Corp., 6.25% Sr. Nts., 1/25/16 602,000 591,762 ----------- 1,305,790 ------------------------------------------------------------------------------------------------------------------------ DIVERSIFIED FINANCIAL SERVICES-1.7% Citigroup, Inc., 6.125% Sr. Unsec. Unsub. Nts., 11/21/17 832,000 890,873 ------------------------------------------------------------------------------------------------------------------------ Glen Meadow Pass-Through Trust, 6.505% Bonds, 2/12/67(1,2) 535,000 377,175 ------------------------------------------------------------------------------------------------------------------------ ING Groep NV, 5.775% Jr. Unsec. Sub. Perpetual Bonds(10) 535,000 394,563 ------------------------------------------------------------------------------------------------------------------------ Irish Life & Permanent Group Holdings plc, 3.60% Sr. Unsec. Unsub. Nts., 1/14/13(1) 320,000 276,910 ------------------------------------------------------------------------------------------------------------------------ JPMorgan Chase & Co., 7.90% Perpetual Bonds, Series 1(10) 869,000 898,003 ------------------------------------------------------------------------------------------------------------------------ Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Bonds, 5/14/38 348,000 324,840 ----------- 3,162,364 ------------------------------------------------------------------------------------------------------------------------ INSURANCE-3.1% Burlington Northern Santa Fe LLC, 5.75% Sr. Unsec. Bonds, 5/1/40 125,000 148,014 ------------------------------------------------------------------------------------------------------------------------ CNA Financial Corp.: 5.75% Sr. Unsec. Unsub. Nts., 8/15/21 368,000 372,555 5.875% Sr. Unsec. Unsub. Bonds, 8/15/20 260,000 267,959 ------------------------------------------------------------------------------------------------------------------------ Gulf South Pipeline Co. LP, 5.75% Sr. Unsec. Nts., 8/15/12(1) 455,000 466,663 ------------------------------------------------------------------------------------------------------------------------ Hartford Financial Services Group, Inc. (The), 5.25% Sr. Unsec. Nts., 10/15/11 405,000 405,483 ------------------------------------------------------------------------------------------------------------------------ International Lease Finance Corp., 5.75% Sr. Unsec. Unsub. Nts., 5/15/16 441,000 392,580 ------------------------------------------------------------------------------------------------------------------------ Liberty Mutual Group, Inc., 5% Sr. Nts., 6/1/21(1) 685,000 652,938 ------------------------------------------------------------------------------------------------------------------------ Lincoln National Corp., 6.05% Jr. Unsec. Sub. Bonds, 4/20/67 945,000 772,538 ------------------------------------------------------------------------------------------------------------------------ Prudential Financial, Inc., 3.625% Sr. Unsec. Unsub. Nts., 9/17/12 499,000 507,485 ------------------------------------------------------------------------------------------------------------------------ Swiss Re Capital I LP, 6.854% Perpetual Bonds(1,10) 875,000 800,629 ------------------------------------------------------------------------------------------------------------------------ Willis Group Holdings plc, 4.125% Sr. Unsec. Unsub. Nts., 3/15/16 463,000 471,406 ------------------------------------------------------------------------------------------------------------------------
13 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ------------------------------------------------------------------------------------------------------------------------ INSURANCE CONTINUED ZFS Finance USA Trust V, 6.50% Jr. Sub. Bonds, 5/9/37(2,8) $ 513,000 $ 446,310 ----------- 5,704,560 ------------------------------------------------------------------------------------------------------------------------ REAL ESTATE INVESTMENT TRUSTS-1.0% Brandywine Operating Partnership LP, 5.75% Sr. Unsec. Unsub. Nts., 4/1/12 237,000 240,336 ------------------------------------------------------------------------------------------------------------------------ CommonWealth REIT, 6.95% Sr. Unsec. Nts., 4/1/12 103,000 104,796 ------------------------------------------------------------------------------------------------------------------------ Duke Realty LP, 6.25% Sr. Unsec. Unsub. Nts., 5/15/13 432,000 451,312 ------------------------------------------------------------------------------------------------------------------------ Mack-Cali Realty LP, 5.25% Sr. Unsec. Unsub. Nts., 1/15/12 180,000 181,701 ------------------------------------------------------------------------------------------------------------------------ Simon Property Group LP, 5% Sr. Unsec. Unsub. Nts., 3/1/12 470,000 473,658 ------------------------------------------------------------------------------------------------------------------------ WCI Finance LLC/WEA Finance LLC, 5.40% Sr. Unsec. Unsub. Nts., 10/1/12(1) 439,000 452,689 ----------- 1,904,492 ------------------------------------------------------------------------------------------------------------------------ HEALTH CARE-0.8% ------------------------------------------------------------------------------------------------------------------------ BIOTECHNOLOGY-0.2% Celgene Corp., 5.70% Sr. Unsec. Nts., 10/15/40 291,000 328,960 HEALTH CARE PROVIDERS & SERVICES-0.3% McKesson Corp., 6% Sr. Unsec. Unsub. Nts., 3/1/41 237,000 301,197 ------------------------------------------------------------------------------------------------------------------------ Quest Diagnostics, Inc., 5.75% Sr. Unsec. Nts., 1/30/40 300,000 326,314 ----------- 627,511 ------------------------------------------------------------------------------------------------------------------------ PHARMACEUTICALS-0.3% Mylan, Inc., 6% Sr. Nts., 11/15/18(1) 495,000 483,863 ------------------------------------------------------------------------------------------------------------------------ INDUSTRIALS-1.6% ------------------------------------------------------------------------------------------------------------------------ AEROSPACE & DEFENSE-0.5% Alliant Techsystems, Inc., 6.75% Sr. Sub. Nts., 4/1/16 477,000 480,578 ------------------------------------------------------------------------------------------------------------------------ BE Aerospace, Inc., 8.50% Sr. Unsec. Nts., 7/1/18 420,000 451,500 ----------- 932,078 ------------------------------------------------------------------------------------------------------------------------ COMMERCIAL SERVICES & SUPPLIES-0.3% Corrections Corp. of America, 7.75% Sr. Nts., 6/1/17 473,000 501,971 ------------------------------------------------------------------------------------------------------------------------ INDUSTRIAL CONGLOMERATES-0.7% General Electric Capital Corp.: 4.25% Sr. Unsec. Nts., Series A, 6/15/12 460,000 467,951 5.25% Sr. Unsec. Nts., 10/19/12 28,000 29,277 6.375% Unsec. Sub. Bonds, 11/15/67 852,000 803,010 ----------- 1,300,238 ------------------------------------------------------------------------------------------------------------------------ ROAD & RAIL-0.1% CSX Corp., 5.50% Sr. Unsec. Nts., 4/15/41 130,000 149,788 ------------------------------------------------------------------------------------------------------------------------ INFORMATION TECHNOLOGY-2.1% ------------------------------------------------------------------------------------------------------------------------ COMMUNICATIONS EQUIPMENT-0.4% Harris Corp., 6.15% Sr. Unsec. Nts., 12/15/40 144,000 169,100 ------------------------------------------------------------------------------------------------------------------------ Juniper Networks, Inc., 5.95% Sr. Unsec. Unsub. Nts., 3/15/41 179,000 197,470 ------------------------------------------------------------------------------------------------------------------------ Motorola, Inc., 8% Sr. Unsec. Nts., 11/1/11 450,000 452,265 ----------- 818,835 ------------------------------------------------------------------------------------------------------------------------ COMPUTERS & PERIPHERALS-0.5% Hewlett-Packard Co., 2.35% Sr. Unsec. Unsub. Nts., 3/15/15 867,000 870,771 ------------------------------------------------------------------------------------------------------------------------ ELECTRONIC EQUIPMENT & INSTRUMENTS-0.5% Arrow Electronics, Inc., 3.375% Sr. Unsec. Unsub. Nts., 11/1/15 875,000 867,326 ------------------------------------------------------------------------------------------------------------------------ OFFICE ELECTRONICS-0.2% Xerox Corp., 5.65% Sr. Unsec. Nts., 5/15/13 435,000 460,588
14 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ------------------------------------------------------------------------------------------------------------------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT-0.2% KLA-Tencor Corp., 6.90% Sr. Unsec. Nts., 5/1/18 $ 306,000 $ 350,477 ------------------------------------------------------------------------------------------------------------------------ SOFTWARE-0.3% Symantec Corp., 4.20% Sr. Unsec. Unsub. Nts., 9/15/20 517,000 506,267 ------------------------------------------------------------------------------------------------------------------------ MATERIALS-2.3% ------------------------------------------------------------------------------------------------------------------------ CHEMICALS-1.0% Agrium, Inc., 6.125% Sr. Unsec. Nts., 1/15/41 200,000 245,907 ------------------------------------------------------------------------------------------------------------------------ Airgas, Inc., 3.25% Sr. Nts., 10/1/15 842,000 868,808 ------------------------------------------------------------------------------------------------------------------------ Ashland, Inc., 9.125% Sr. Unsec. Nts., 6/1/17 440,000 488,950 ------------------------------------------------------------------------------------------------------------------------ Potash Corp. of Saskatchewan, Inc., 5.625% Sr. Unsec. Unsub. Nts., 12/1/40 285,000 336,400 ----------- 1,940,065 ------------------------------------------------------------------------------------------------------------------------ CONTAINERS & PACKAGING-0.2% Sealed Air Corp., 7.875% Sr. Nts., 6/15/17 370,000 389,475 ------------------------------------------------------------------------------------------------------------------------ METALS & MINING-1.1% Freeport-McMoRan Copper & Gold, Inc., 8.375% Sr. Nts., 4/1/17 698,000 749,429 ------------------------------------------------------------------------------------------------------------------------ Teck Resources Ltd., 7% Sr. Unsec. Unsub. Nts., 9/15/12 434,000 454,970 ------------------------------------------------------------------------------------------------------------------------ Vale Inco Ltd., 5.70% Sr. Unsec. Unsub. Nts., 10/15/15 28,000 31,006 ------------------------------------------------------------------------------------------------------------------------ Xstrata Canada Corp.: 5.375% Sr. Unsec. Unsub. Nts., 6/1/15 245,000 266,695 ------------------------------------------------------------------------------------------------------------------------ 6% Sr. Unsec. Unsub. Nts., 10/15/15 432,000 476,370 7.25% Sr. Unsec. Unsub. Nts., 7/15/12 49,000 51,127 ----------- 2,029,597 ------------------------------------------------------------------------------------------------------------------------ TELECOMMUNICATION SERVICES-1.9% ------------------------------------------------------------------------------------------------------------------------ DIVERSIFIED TELECOMMUNICATION SERVICES-1.3% AT&T, Inc., 6.30% Sr. Unsec. Bonds, 1/15/38 376,000 433,256 ------------------------------------------------------------------------------------------------------------------------ British Telecommunications plc, 9.875% Bonds, 12/15/30 298,000 433,067 ------------------------------------------------------------------------------------------------------------------------ CenturyLink, Inc., 7.60% Sr. Unsec. Unsub. Nts., Series P, 9/15/39 158,000 142,784 ------------------------------------------------------------------------------------------------------------------------ Frontier Communications Corp., 8.25% Sr. Unsec. Nts., 4/15/17 477,000 465,075 ------------------------------------------------------------------------------------------------------------------------ Qwest Corp., 7.625% Sr. Unsec. Unsub. Nts., 6/15/15 447,000 480,525 ------------------------------------------------------------------------------------------------------------------------ Verizon Communications, Inc., 6.40% Sr. Unsec. Nts., 2/15/38 286,000 352,671 ----------- 2,307,378 ------------------------------------------------------------------------------------------------------------------------ WIRELESS TELECOMMUNICATION SERVICES-0.6% America Movil SAB de CV, 2.375% Unsec. Unsub. Nts., 9/8/16 774,000 756,198 ------------------------------------------------------------------------------------------------------------------------ American Tower Corp., 7% Sr. Unsec. Nts., 10/15/17 337,000 381,840 ----------- 1,138,038 ------------------------------------------------------------------------------------------------------------------------ UTILITIES-2.6% ELECTRIC UTILITIES-2.4% Allegheny Energy Supply Co. LLC, 8.25% Bonds, 4/15/12(1) 447,000 462,743 ------------------------------------------------------------------------------------------------------------------------ Edison International, 3.75% Sr. Unsec. Unsub. Nts., 9/15/17 342,000 347,319 ------------------------------------------------------------------------------------------------------------------------ FirstEnergy Solutions Corp., 6.80% Sr. Unsec. Nts., 8/15/39 292,000 320,996 ------------------------------------------------------------------------------------------------------------------------ Great Plains Energy, Inc., 2.75% Sr. Unsec. Unsub. Nts., 8/15/13 464,000 472,258 ------------------------------------------------------------------------------------------------------------------------ Kansas City Power & Light Co., 5.30% Sr. Unsec. Nts., 10/1/41 386,000 397,354 ------------------------------------------------------------------------------------------------------------------------ Northeast Utilities Co., 7.25% Sr. Unsec. Nts., 4/1/12 470,000 483,530 ------------------------------------------------------------------------------------------------------------------------ Oncor Electric Delivery Co., 7% Debs., 9/1/22 409,000 517,231 ------------------------------------------------------------------------------------------------------------------------ PPL WEM Holdings plc, 5.375% Sr. Unsec. Nts., 5/1/21(1) 655,000 699,991 ------------------------------------------------------------------------------------------------------------------------
15 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ------------------------------------------------------------------------------------------------------------------------ ELECTRIC UTILITIES CONTINUED Texas-New Mexico Power Co., 9.50% Sec. Nts., 4/1/19(1) $ 510,000 $ 671,278 ----------- 4,372,700 ------------------------------------------------------------------------------------------------------------------------ ENERGY TRADERS-0.2% TransAlta Corp., 5.75% Sr. Unsec. Nts., 12/15/13 434,000 469,802 ----------- Total Corporate Bonds and Notes (Cost $61,733,469) 62,672,382
Shares --------------------------------------------------------------------------------------------------------------------------- INVESTMENT COMPANY-26.2% Oppenheimer Institutional Money Market Fund, Cl. E, 0.16%(11,12) (Cost $48,324,226) 48,324,226 48,324,226 --------------------------------------------------------------------------------------------------------------------------- Total Investments, at Value (Cost $257,679,631) 139.5% 257,733,956 --------------------------------------------------------------------------------------------------------------------------- Liabilities in Excess of Other Assets (39.5) (73,030,233) ---------------------------------- Net Assets 100.0% $184,703,723 ==================================
Footnotes to Statement of Investments 1. 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 $23,849,060 or 12.91% of the Fund's net assets as of September 30, 2011. 2. Represents the current interest rate for a variable or increasing rate security. 3. This security is not accruing income because the issuer has missed an interest payment on it and/or is not anticipated to make future interest and/or principal payments. The rate shown is the original contractual interest rate. See accompanying Notes. 4. Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans or other receivables. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage or asset-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $5,630,030 or 3.05% of the Fund's net assets as of September 30, 2011. 5. 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. 6. 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 $330,340 or 0.18% of the Fund's net assets as of September 30, 2011. 7. When-issued security or delayed delivery to be delivered and settled after September 30, 2011. See accompanying Notes. 8. Restricted security. The aggregate value of restricted securities as of September 30, 2011 was $2,611,801, which represents 1.41% of the Fund's net assets. See accompanying Notes. Information concerning restricted securities is as follows:
UNREALIZED ACQUISITION APPRECIATION SECURITY DATE COST VALUE (DEPRECIATION) -------------------------------------------------------------------------------------------------------------- JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 2007-LDPX, Cl. A2S2, 5.187%, 1/1/49 7/14/10 $1,377,563 $1,400,859 $ 23,296 NC Finance Trust, Collateralized Mtg. Obligation Pass-Through Certificates, Series 1999-I, Cl. ECFD, 3.405%, 1/25/29 8/10/10 3,281,116 269,601 (3,011,515) Santander Drive Auto Receivables Trust 2011- S1A, Automobile Receivables Nts., Series 2011- S1A, Cl. D, 3.10%, 5/15/17 2/4/11-4/14/11 497,745 495,031 (2,714) ZFS Finance USA Trust V, 6.50% Jr. Sub. Bonds, 5/9/37 2/24/11-7/26/11 517,182 446,310 (70,872) --------------------------------------- $5,673,606 $2,611,801 $ (3,061,805) =======================================
9. All or a portion of the security position is held in collateralized accounts to cover initial margin requirements on open futures contracts and written options on futures, if applicable. The aggregate market value of such securities is $726,118. See accompanying Notes. 10. This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. Rate reported represents the current interest rate for this variable rate security. 16 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) 11. Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 30, 2011, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows:
SHARES GROSS GROSS SHARES DECEMBER 31, 2010 ADDITIONS REDUCTIONS SEPTEMBER 30, 2011 ------------------------------------------------------------------------------------------------------------------ Oppenheimer Institutional Money Market Fund, Cl. E 25,899,825 79,555,936 57,131,535 48,324,226
VALUE INCOME --------------------------------------------------------------------------------------------------------- Oppenheimer Institutional Money Market Fund, Cl. E $48,324,226 $ 41,988
12. Rate shown is the 7-day yield as of September 30, 2011. 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 or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) 3) Level 3-significant unobservable inputs (including the Manager's own judgments about assumptions that market participants would use in pricing the asset or liability). The table below categorizes amounts as of September 30, 2011 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 $ -- $ 19,254,404 $ -- $ 19,254,404 Mortgage-Backed Obligations -- 124,337,686 -- 124,337,686 U.S. Government Obligations -- 3,145,258 -- 3,145,258 Corporate Bonds and Notes -- 62,672,382 -- 62,672,382 Investment Company 48,324,226 -- -- 48,324,226 --------------------------------------------------------------------- Total Investments, at Value 48,324,226 209,409,730 -- 257,733,956 OTHER FINANCIAL INSTRUMENTS: Futures margins 155,845 -- -- 155,845 --------------------------------------------------------------------- Total Assets $ 48,480,071 $ 209,409,730 $ -- $257,889,801 ---------------------------------------------------------------------
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 methodologies, if any, during the reporting period. 17 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) FUTURES CONTRACTS AS OF SEPTEMBER 30, 2011 ARE AS FOLLOWS:
UNREALIZED NUMBER OF EXPIRATION APPRECIATION CONTRACT DESCRIPTION BUY/SELL CONTRACTS DATE VALUE (DEPRECIATION) ---------------------------------------------------------------------------------------------- U.S. Treasury Long Bonds, 20 yr. Buy 80 12/20/11 $11,410,000 $ 488,718 U.S. Treasury Nts., 2 yr. Sell 96 12/30/11 21,139,500 23,332 U.S. Treasury Nts., 5 yr. Sell 60 12/30/11 7,349,063 2,294 U.S. Treasury Nts., 10 yr. Buy 90 12/20/11 11,708,438 (26,537) U.S. Treasury Ultra Bonds Buy 54 12/20/11 8,565,750 640,012 -------------- $ 1,127,819 ==============
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," observable market inputs other than unadjusted quoted prices 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 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 it is 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. U.S. domestic and international debt instruments (including corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and "money market-type" debt instruments with a remaining maturity in excess of sixty days are valued at the mean between the "bid" and "asked" prices utilizing price quotations obtained from independent pricing services or broker-dealers. Such prices are typically determined based upon information obtained from market participants including reported trade data, broker-dealer price quotations and inputs such as benchmark yields and issuer spreads from identical or similar securities. "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 current price quotation obtained from an independent pricing service or broker-dealer, 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 18 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) 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 of the Fund 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 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, 2011, 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 $ 70,388,488 --------------------------------------- Sold securities 176,195 ---------------------------------------
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. 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 that have missed an interest payment, and is not obligated to dispose of securities whose issuers or underlying 19 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) obligors subsequently miss an interest payment. Information concerning securities not accruing interest as of September 30, 2011 is as follows: Cost $3,281,116 --------------------------------------------- Market Value $ 269,601 --------------------------------------------- Market Value as a % of Net Assets 0.15% ---------------------------------------------
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 accordance with its investment objectives, the Fund may use derivatives to increase or decrease its exposure to one or more of the following market risk factors: COMMODITY RISK. Commodity risk relates to the change in value of commodities or commodity indexes as they relate to increases or decreases in the commodities market. Commodities are physical assets that have tangible properties. Examples of these types of assets are crude oil, heating oil, metals, livestock, and agricultural products. 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. EQUITY RISK. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market. 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. 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. VOLATILITY RISK. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument's price over a defined time period. Large increases or decreases in a financial instrument's price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk. The Fund's actual exposures to these market risk factors during the period are discussed in further detail, by derivative type, below. 20 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (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. FUTURES CONTRACTS A futures contract is a commitment to buy or sell a specific amount of a financial instrument, or currency, 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. During the period ended September 30, 2011, the Fund had an ending monthly average market value of $17,975,213 and $34,374,166 on futures contracts purchased and sold, respectively. 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. RESTRICTED SECURITIES As of September 30, 2011, investments in securities included issues that are restricted. A restricted security may have a contractual restriction on its resale and is valued under methods approved by the Board of Trustees as reflecting fair value. Securities that are 21 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) restricted are marked with an applicable footnote on the Statement of Investments. Restricted securities are reported on a schedule following the Statement of Investments. FEDERAL TAXES. 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, 2011 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 $257,732,556 Federal tax cost of other investments 2,067,806 ------------ Total federal tax cost $259,800,362 ============ Gross unrealized appreciation $ 7,736,672 Gross unrealized depreciation (6,607,453) ------------ Net unrealized appreciation $ 1,129,219 ============
22 | Oppenheimer Core Bond Fund/VA Oppenheimer Global Securities Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Shares Value --------------------------------------------------------------------------------------------------------------- COMMON STOCKS-97.8% --------------------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY-17.9% --------------------------------------------------------------------------------------------------------------- AUTOMOBILES-1.7% Bayerische Motoren Werke (BMW) AG 40,041 $ 2,653,121 --------------------------------------------------------------------------------------------------------------- Bayerische Motoren Werke (BMW) AG, Preference 766,911 35,757,292 ----------- 38,410,413 --------------------------------------------------------------------------------------------------------------- DIVERSIFIED CONSUMER SERVICES-0.0% Zee Learn Ltd.(1) 492,103 192,510 --------------------------------------------------------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE-4.1% Carnival Corp. 1,097,366 33,250,190 --------------------------------------------------------------------------------------------------------------- Lottomatica SpA(1) 552,870 8,627,671 --------------------------------------------------------------------------------------------------------------- McDonald's Corp. 561,630 49,322,347 --------------------------------------------------------------------------------------------------------------- Shuffle Master, Inc.(1) 400,880 3,371,401 ----------- 94,571,609 --------------------------------------------------------------------------------------------------------------- HOUSEHOLD DURABLES-0.6% Sony Corp. 755,200 14,493,271 --------------------------------------------------------------------------------------------------------------- LEISURE EQUIPMENT & PRODUCTS-0.4% Nintendo Co. Ltd. 60,600 8,826,889 --------------------------------------------------------------------------------------------------------------- MEDIA-4.2% Grupo Televisa SA, Sponsored GDR 1,358,076 24,975,018 --------------------------------------------------------------------------------------------------------------- McGraw-Hill Cos., Inc. (The) 630,620 25,855,420 --------------------------------------------------------------------------------------------------------------- Walt Disney Co. (The) 1,146,310 34,572,710 --------------------------------------------------------------------------------------------------------------- Wire & Wireless India Ltd.(1) 2,281,600 311,972 --------------------------------------------------------------------------------------------------------------- Zee Entertainment Enterprises Ltd. 3,936,820 9,386,203 ----------- 95,101,323 --------------------------------------------------------------------------------------------------------------- MULTILINE RETAIL-0.7% Pinault-Printemps-Redoute SA 124,440 16,052,812 --------------------------------------------------------------------------------------------------------------- SPECIALTY RETAIL-3.8% Industria de Diseno Textil SA 481,087 41,199,083 --------------------------------------------------------------------------------------------------------------- Kingfisher plc 1,913,300 7,334,028 --------------------------------------------------------------------------------------------------------------- Tiffany & Co. 636,810 38,730,784 ----------- 87,263,895 --------------------------------------------------------------------------------------------------------------- TEXTILES, APPAREL & LUXURY GOODS-2.4% LVMH Moet Hennessy Louis Vuitton SA 277,170 36,754,521 --------------------------------------------------------------------------------------------------------------- Tod's SpA 226,092 19,024,396 ----------- 55,778,917 --------------------------------------------------------------------------------------------------------------- CONSUMER STAPLES-9.2% --------------------------------------------------------------------------------------------------------------- BEVERAGES-3.9% Carlsberg AS, Cl. B 198,139 11,752,793 --------------------------------------------------------------------------------------------------------------- Companhia de Bebidas das Americas, Sponsored ADR, Preference 860,375 26,370,494 --------------------------------------------------------------------------------------------------------------- Fomento Economico Mexicano SA de CV, UBD 5,776,889 37,489,410 --------------------------------------------------------------------------------------------------------------- Grupo Modelo SA de CV, Series C 2,438,361 13,780,829 ----------- 89,393,526 --------------------------------------------------------------------------------------------------------------- FOOD & STAPLES RETAILING-0.7% E-Mart Co. Ltd.(1) 60,769 15,199,783 --------------------------------------------------------------------------------------------------------------- FOOD PRODUCTS-2.8% Nestle SA 525,225 28,871,788 ---------------------------------------------------------------------------------------------------------------
1 | Oppenheimer Global Securities Fund/VA Oppenheimer Global Securities Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Shares Value --------------------------------------------------------------------------------------------- FOOD PRODUCTS CONTINUED Unilever plc 1,126,403 $35,285,546 ----------- 64,157,334 --------------------------------------------------------------------------------------------- HOUSEHOLD PRODUCTS-1.8% Colgate-Palmolive Co. 468,050 41,506,674 --------------------------------------------------------------------------------------------- ENERGY-3.7% --------------------------------------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES-2.4% Technip SA 412,260 32,992,225 --------------------------------------------------------------------------------------------- Transocean Ltd. 443,212 21,158,941 ----------- 54,151,166 --------------------------------------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS-1.3% Total SA 536,770 23,666,486 --------------------------------------------------------------------------------------------- YPF Sociedad Anonima SA, Sponsored ADR 166,670 5,701,781 ----------- 29,368,267 --------------------------------------------------------------------------------------------- FINANCIALS-15.3% --------------------------------------------------------------------------------------------- CAPITAL MARKETS-3.8% Credit Suisse Group AG 1,246,672 32,350,115 --------------------------------------------------------------------------------------------- Goldman Sachs Group, Inc. (The) 257,740 24,369,317 --------------------------------------------------------------------------------------------- UBS AG(1) 2,699,598 30,730,253 ----------- 87,449,685 --------------------------------------------------------------------------------------------- COMMERCIAL BANKS-3.3% Banco Bilbao Vizcaya Argentaria SA 3,288,674 26,796,368 --------------------------------------------------------------------------------------------- HSBC Holdings plc 1,496,973 11,513,197 --------------------------------------------------------------------------------------------- Itau Unibanco Holding SA, ADR, Preference 574,740 8,919,965 --------------------------------------------------------------------------------------------- Societe Generale SA, Cl. A 421,539 11,044,919 --------------------------------------------------------------------------------------------- Sumitomo Mitsui Financial Group, Inc. 651,000 18,372,586 ----------- 76,647,035 --------------------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES-2.4% Bank of America Corp. 1,757,590 10,756,451 --------------------------------------------------------------------------------------------- BM&F BOVESPA SA 4,322,100 19,929,588 --------------------------------------------------------------------------------------------- Investor AB, B Shares 1,386,451 24,336,039 ----------- 55,022,078 --------------------------------------------------------------------------------------------- INSURANCE-5.3% Aflac, Inc. 479,390 16,754,681 --------------------------------------------------------------------------------------------- Allianz SE 305,932 28,788,359 --------------------------------------------------------------------------------------------- Dai-ichi Life Insurance Co. 21,083 21,781,896 --------------------------------------------------------------------------------------------- Fidelity National Financial, Inc., Cl. A 816,140 12,389,005 --------------------------------------------------------------------------------------------- Prudential plc 2,589,007 22,159,860 --------------------------------------------------------------------------------------------- XL Group plc 1,039,190 19,536,772 ----------- 121,410,573 --------------------------------------------------------------------------------------------- REAL ESTATE MANAGEMENT & DEVELOPMENT-0.5% DLF Ltd. 2,403,730 10,525,109 --------------------------------------------------------------------------------------------- HEALTH CARE-10.0% --------------------------------------------------------------------------------------------- BIOTECHNOLOGY-2.2% Amgen, Inc. 351,450 19,312,178 --------------------------------------------------------------------------------------------- Amylin Pharmaceuticals, Inc.(1) 1,095,038 10,107,194 --------------------------------------------------------------------------------------------- Gilead Sciences, Inc.(1) 240,500 9,331,400 ---------------------------------------------------------------------------------------------
2 | Oppenheimer Global Securities Fund/VA Oppenheimer Global Securities Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Shares Value --------------------------------------------------------------------------------------------- BIOTECHNOLOGY CONTINUED Theravance, Inc.(1) 569,100 $11,461,674 ----------- 50,212,446 --------------------------------------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES-1.2% Zimmer Holdings, Inc.(1) 537,690 28,766,415 --------------------------------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES-3.5% Aetna, Inc. 1,013,500 36,840,725 --------------------------------------------------------------------------------------------- WellPoint, Inc. 653,335 42,649,709 ----------- 79,490,434 --------------------------------------------------------------------------------------------- PHARMACEUTICALS-3.1% Allergan, Inc. 103,550 8,530,449 --------------------------------------------------------------------------------------------- Bayer AG 441,853 24,282,400 --------------------------------------------------------------------------------------------- Mitsubishi Tanabe Pharma Corp. 806,000 14,941,469 --------------------------------------------------------------------------------------------- Pfizer, Inc. 391,820 6,927,378 --------------------------------------------------------------------------------------------- Roche Holding AG 103,595 16,666,540 ----------- 71,348,236 --------------------------------------------------------------------------------------------- INDUSTRIALS-11.5% --------------------------------------------------------------------------------------------- AEROSPACE & DEFENSE-2.7% Embraer SA, ADR 880,703 22,343,435 European Aeronautic Defense & Space Co. 1,386,180 38,889,908 ----------- 61,233,343 --------------------------------------------------------------------------------------------- BUILDING PRODUCTS-1.3% Assa Abloy AB, Cl. B 1,481,904 30,507,645 --------------------------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES-0.2% Mulitplus SA 253,800 3,663,413 --------------------------------------------------------------------------------------------- ELECTRICAL EQUIPMENT-1.9% Emerson Electric Co. 443,340 18,314,375 --------------------------------------------------------------------------------------------- Nidec Corp. 207,000 16,651,949 --------------------------------------------------------------------------------------------- Prysmian SpA 679,000 8,905,985 ----------- 43,872,309 --------------------------------------------------------------------------------------------- INDUSTRIAL CONGLOMERATES-4.6% 3M Co. 390,020 27,999,536 --------------------------------------------------------------------------------------------- Koninklijke Philips Electronics NV 1,072,275 19,194,415 --------------------------------------------------------------------------------------------- Siemens AG 640,211 57,837,901 ----------- 105,031,852 --------------------------------------------------------------------------------------------- MACHINERY-0.7% Fanuc Ltd. 114,600 15,777,984 --------------------------------------------------------------------------------------------- ROAD & RAIL-0.1% All America Latina Logistica 732,200 3,290,568 --------------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY-27.3% --------------------------------------------------------------------------------------------- COMMUNICATIONS EQUIPMENT-4.8% Juniper Networks, Inc.(1) 1,256,350 21,684,601 --------------------------------------------------------------------------------------------- Telefonaktiebolaget LM Ericsson, B Shares 9,059,633 86,805,933 ----------- 108,490,534 --------------------------------------------------------------------------------------------- ELECTRONIC EQUIPMENT & INSTRUMENTS-4.4% Corning, Inc. 1,383,320 17,097,835 --------------------------------------------------------------------------------------------- Hoya Corp. 682,600 15,730,945 --------------------------------------------------------------------------------------------- Keyence Corp. 95,274 26,086,405 --------------------------------------------------------------------------------------------- Kyocera Corp. 166,700 13,925,348 ---------------------------------------------------------------------------------------------
3 | Oppenheimer Global Securities Fund/VA Oppenheimer Global Securities Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Shares Value ------------------------------------------------------------------------------------------------- ELECTRONIC EQUIPMENT & INSTRUMENTS CONTINUED Murata Manufacturing Co. Ltd. 529,800 $28,584,748 ----------- 101,425,281 ------------------------------------------------------------------------------------------------- INTERNET SOFTWARE & SERVICES-4.3% eBay, Inc.(1) 2,448,410 72,203,611 ------------------------------------------------------------------------------------------------- Google, Inc., Cl. A(1) 50,020 25,729,288 ----------- 97,932,899 ------------------------------------------------------------------------------------------------- IT SERVICES-2.4% Automatic Data Processing, Inc. 571,840 26,962,256 ------------------------------------------------------------------------------------------------- Infosys Ltd. 554,168 28,072,785 ----------- 55,035,041 ------------------------------------------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT-4.5% Altera Corp. 1,396,340 44,026,600 ------------------------------------------------------------------------------------------------- Maxim Integrated Products, Inc. 1,415,335 33,019,766 ------------------------------------------------------------------------------------------------- Taiwan Semiconductor Manufacturing Co. Ltd. 11,443,184 25,927,514 ----------- 102,973,880 ------------------------------------------------------------------------------------------------- SOFTWARE-6.9% Adobe Systems, Inc.(1) 1,074,443 25,969,287 ------------------------------------------------------------------------------------------------- Intuit, Inc.(1) 985,590 46,756,390 ------------------------------------------------------------------------------------------------- Microsoft Corp. 1,473,980 36,687,362 ------------------------------------------------------------------------------------------------- SAP AG 960,113 48,941,861 ----------- 158,354,900 ------------------------------------------------------------------------------------------------- MATERIALS-0.7% ------------------------------------------------------------------------------------------------- CHEMICALS-0.7% Linde AG 120,238 16,036,411 ------------------------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES-1.4% ------------------------------------------------------------------------------------------------- WIRELESS TELECOMMUNICATION SERVICES-1.4% KDDI Corp. 4,772 32,774,491 ------------------------------------------------------------------------------------------------- UTILITIES-0.8% ELECTRIC UTILITIES-0.8% Fortum OYJ 786,400 18,467,974 ----------- Total Common Stocks (Cost $1,963,774,405) 2,240,208,925
Units ------------------------------------------------------------------------------------------------- RIGHTS, WARRANTS AND CERTIFICATES-0.0% Banco Bilbao Vizcaya Argentaria SA Rts., Strike Price 0.001EUR, Exp. 10/14/11(1) (Cost $0) 3,288,674 484,659
Shares ------------------------------------------------------------------------------------------------- INVESTMENT COMPANY-1.6% Oppenheimer Institutional Money Market Fund, Cl. E, 0.16% (2,3) (Cost $36,160,183) 36,160,183 36,160,183
4 | Oppenheimer Global Securities Fund/VA Oppenheimer Global Securities Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Value ---------------------------------------------------------------------------------- Total Investments, at Value (Cost $1,999,934,588) 99.4% $2,276,853,767 ---------------------------------------------------------------------------------- Other Assets Net of Liabilities 0.6 13,291,441 ------------------------------- Net Assets 100.0% $2,290,145,208 ===============================
Footnotes to Statement of Investments Strike price is reported in U.S. Dollars, except for those denoted in the following currency: EUR Euro 1. Non-income producing security. 2. Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 30, 2011, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows:
SHARES GROSS GROSS SHARES DECEMBER 31, 2010 ADDITIONS REDUCTIONS SEPTEMBER 30, 2011 ------------------------------------------------------------------------------------------------------------------------- Oppenheimer Institutional Money Market Fund, Cl. E 32,313,050 216,652,670 212,805,537 36,160,183
VALUE INCOME ------------------------------------------------------------------------------------------------------------------------- Oppenheimer Institutional Money Market Fund, Cl. E $ 36,160,183 $ 35,007
3. Rate shown is the 7-day yield as of September 30, 2011. 5 | Oppenheimer Global Securities Fund/VA Oppenheimer Global Securities Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (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 or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) 3) Level 3-significant unobservable inputs (including the Manager's own judgments about assumptions that market participants would use in pricing the asset or liability). The table below categorizes amounts as of September 30, 2011 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 $ 210,077,870 $ 200,613,769 $ -- $410,691,639 Consumer Staples 119,147,407 91,109,910 -- 210,257,317 Energy 26,860,722 56,658,711 -- 83,519,433 Financials 112,655,779 238,398,701 -- 351,054,480 Health Care 173,927,122 55,890,409 -- 229,817,531 Industrials 75,611,327 187,765,787 -- 263,377,114 Information Technology 350,136,996 274,075,539 -- 624,212,535 Materials -- 16,036,411 -- 16,036,411 Telecommunication Services -- 32,774,491 -- 32,774,491 Utilities -- 18,467,974 -- 18,467,974 Rights, Warrants and Certificates 484,659 -- -- 484,659 Investment Company 36,160,183 -- -- 36,160,183 ----------------------------------------------------------------------- Total Assets $1,105,062,065 $ 1,171,791,702 $ -- $2,276,853,767 -----------------------------------------------------------------------
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. The table below shows the significant transfers between Level 1 and Level 2. The Fund's policy is to recognize transfers in and transfers out as of the beginning of the reporting period.
TRANSFERS OUT OF LEVEL 1* TRANSFERS INTO LEVEL 2* --------------------------------------------------------------------------------------- ASSETS TABLE INVESTMENTS, AT VALUE: Common Stocks Consumer Discretionary $ (240,813,373) $ 240,813,373 Consumer Staples (65,228,635) 65,228,635 Energy (69,110,826) 69,110,826 Financials (328,305,777) 328,305,777 Health Care (54,822,229) 54,822,229 Industrials (244,120,936) 244,120,936 Information Technology (234,181,866) 234,181,866 Materials (18,333,029) 18,333,029 Telecommunication Services (27,565,809) 27,565,809 ------------------------------------------------------- Total Assets $ (1,282,482,480) $ 1,282,482,480 -------------------------------------------------------
6 | Oppenheimer Global Securities Fund/VA Oppenheimer Global Securities Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) ---------- * Transferred from Level 1 to Level 2 because of the absence of a readily available unadjusted quoted market price due to a significant event occurring before the Fund's assets were valued but after the close of the securities' respective exchanges. 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 methodologies, if any, during the reporting period. Distribution of investments representing geographic holdings, as a percentage of total investments at value, is as follows:
Geographic Holdings Value Percent ----------------------------------------------------------- United States $ 918,576,133 40.3% Japan 227,947,981 10.0 Germany 214,297,345 9.4 France 159,400,871 7.0 Sweden 141,649,617 6.2 Switzerland 108,618,696 4.8 Brazil 84,517,463 3.7 United Kingdom 76,292,631 3.4 Mexico 76,245,257 3.4 Spain 68,480,110 3.0 India 48,488,579 2.1 Italy 36,558,052 1.6 Taiwan 25,927,514 1.1 Ireland 19,536,772 0.9 The Netherlands 19,194,415 0.8 Finland 18,467,974 0.8 Korea, Republic of South 15,199,783 0.7 Denmark 11,752,793 0.5 Argentina 5,701,781 0.3 -------------------------- Total $2,276,853,767 100.0% --------------------------
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," observable market inputs other than unadjusted quoted prices 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 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 it is 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 7 | Oppenheimer Global Securities Fund/VA Oppenheimer Global Securities Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) 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. U.S. domestic and international debt instruments (including corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and "money market-type" debt instruments with a remaining maturity in excess of sixty days are valued at the mean between the "bid" and "asked" prices utilizing price quotations obtained from independent pricing services or broker-dealers. Such prices are typically determined based upon information obtained from market participants including reported trade data, broker-dealer price quotations and inputs such as benchmark yields and issuer spreads from identical or similar securities. "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 current price quotation obtained from an independent pricing service or broker-dealer, 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 of the Fund 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. 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. 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. 8 | Oppenheimer Global Securities Fund/VA Oppenheimer Global Securities Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) 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 accordance with its investment objectives, the Fund may use derivatives to increase or decrease its exposure to one or more of the following market risk factors: COMMODITY RISK. Commodity risk relates to the change in value of commodities or commodity indexes as they relate to increases or decreases in the commodities market. Commodities are physical assets that have tangible properties. Examples of these types of assets are crude oil, heating oil, metals, livestock, and agricultural products. 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. EQUITY RISK. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market. 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. 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. VOLATILITY RISK. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument's price over a defined time period. Large increases or decreases in a financial instrument's price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk. The Fund's actual exposures to these market risk factors during the period are discussed in further detail, by derivative type, below. 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. 9 | Oppenheimer Global Securities Fund/VA Oppenheimer Global Securities Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) CREDIT RELATED CONTINGENT FEATURES. The Fund's agreements with derivative counterparties have 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 International Swap and Derivatives Association, Inc. master agreements which govern certain positions in swaps, over-the-counter options and swaptions, and forward currency exchange contracts for each individual counterparty. 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. The Fund has purchased and sold certain forward foreign currency exchange contracts of different currencies in order to acquire currencies to pay for or sell currencies to acquire related foreign securities purchase and sale transactions, respectively, or to convert foreign currencies to U.S. dollars from related foreign securities transactions. These foreign currency exchange contracts are negotiated at the current spot exchange rate with settlement typically within two business days thereafter. During the period ended September 30, 2011, the Fund had daily average contract amounts on forward foreign currency contracts to buy and sell of $2,048,957 and $3,517,323, respectively. Additional associated risk to the Fund includes counterparty credit risk. Counterparty credit risk arises from the possibility that the counterparty will default. As of September 30, 2011, the Fund had no outstanding forward contracts. FEDERAL TAXES. 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, 2011 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 $2,031,286,955 -------------- Gross unrealized appreciation $ 424,367,335 Gross unrealized depreciation (178,810,632) -------------- Net unrealized appreciation $ 245,556,703 --------------
10 | Oppenheimer Global Securities Fund/VA Oppenheimer High Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Value Amount ---------------------------------------------------------------------------------------------------------------------------------- LOAN PARTICIPATIONS--1.6% Brock Holdings III, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 10%, 2/15/18(1) $ 155,000 $ 141,825 ---------------------------------------------------------------------------------------------------------------------------------- Entegra Holdings LLC, Sr. Sec. Credit Facilities 3rd Lien Term Loan, Tranche B, 4.236%, 10/19/15(1,2) 1,457,276 907,155 ---------------------------------------------------------------------------------------------------------------------------------- Nuveen Investments, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 12.50%, 7/31/15 696,875 719,523 --------- Total Loan Participations (Cost $1,717,153) 1,768,503 ---------------------------------------------------------------------------------------------------------------------------------- CORPORATE BONDS AND NOTES--82.7% ---------------------------------------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY--16.6% ---------------------------------------------------------------------------------------------------------------------------------- AUTO COMPONENTS--2.5% Goodyear Tire & Rubber Co. (The), 8.25% Sr. Unsec. Unsub. Nts., 8/15/20 610,000 623,725 ---------------------------------------------------------------------------------------------------------------------------------- Tower Automotive Holdings USA LLC/TA Holdings Finance, Inc., 10.625% Sr. Sec. Nts., 9/1/17(3) 1,450,000 1,442,750 ---------------------------------------------------------------------------------------------------------------------------------- Visteon Corp., 6.75% Sr. Nts., 4/15/19(3) 690,000 624,450 ---------- 2,690,925 ---------------------------------------------------------------------------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE--5.9% Equinox Holdings, Inc., 9.50% Sr. Sec. Nts., 2/1/16(3) 440,000 442,200 ---------------------------------------------------------------------------------------------------------------------------------- Harrah's Operating Co., Inc., 10% Sr. Sec. Nts., 12/15/18 2,408,000 1,444,800 ---------------------------------------------------------------------------------------------------------------------------------- HOA Restaurants Group LLC/HOA Finance Corp., 11.25% Sr. Sec. Nts., 4/1/17(3) 660,000 610,500 ---------------------------------------------------------------------------------------------------------------------------------- Isle of Capri Casinos, Inc.: 435,000 397,481 ---------------------------------------------------------------------------------------------------------------------------------- 7% Sr. Unsec. Sub. Nts., 3/1/14 7.75% Sr. Unsec. Unsub. Nts., 3/15/19 470,000 431,225 Landry's Restaurants, Inc., 11.625% Sr. Sec. Nts., 12/1/15 455,000 459,550 ---------------------------------------------------------------------------------------------------------------------------------- MGM Mirage, Inc.: 430,000 394,525 ---------------------------------------------------------------------------------------------------------------------------------- 5.875% Sr. Nts., 2/27/14 6.625% Sr. Unsec. Nts., 7/15/15 855,000 728,888 Mohegan Tribal Gaming Authority, 8% Sr. Sub. Nts., 4/1/12 1,070,000 711,550 ---------------------------------------------------------------------------------------------------------------------------------- Penn National Gaming, Inc., 8.75% Sr. Unsec. Sub. Nts., 8/15/19 435,000 465,450 ---------------------------------------------------------------------------------------------------------------------------------- Travelport LLC, 11.875% Sr. Unsec. Sub. Nts., 9/1/16 750,000 300,000 --------- 6,386,169 ---------------------------------------------------------------------------------------------------------------------------------- HOUSEHOLD DURABLES--0.6% Beazer Homes USA, Inc.: 280,000 190,400 6.875% Sr. Unsec. Nts., 7/15/15 9.125% Sr. Unsec. Nts., 5/15/19 790,000 505,600 -------- 696,000 ---------------------------------------------------------------------------------------------------------------------------------- MEDIA--7.1% Affinion Group Holdings, Inc., 11.625% Sr. Unsec. Nts., 11/15/15 440,000 341,000 ---------------------------------------------------------------------------------------------------------------------------------- Affinion Group, Inc., 7.875% Sr. Unsec. Nts., 12/15/18 760,000 589,000 ---------------------------------------------------------------------------------------------------------------------------------- Belo (A.H.) Corp.: 115,000 95,738 7.25% Sr. Unsec. Unsub. Bonds, 9/15/27 7.75% Sr. Unsec. Unsub. Debs., 6/1/27 719,000 614,745 ---------------------------------------------------------------------------------------------------------------------------------- Cengage Learning Acquisitions, Inc., 10.50% Sr. Nts., 1/15/15(3) 740,000 477,300 ----------------------------------------------------------------------------------------------------------------------------------
1 | Oppenheimer High Income Fund/VA Oppenheimer High Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ------------------------------------------------------------------------------------------------------------------------------ MEDIA CONTINUED ------------------------------------------------------------------------------------------------------------------------------ Cequel Communications Holdings I LLC, 8.625% Sr. Unsec. Nts., 11/15/17(3) $620,000 $616,900 ------------------------------------------------------------------------------------------------------------------------------ Clear Channel Communications, Inc.: 300,000 268,500 5.75% Sr. Unsec. Unsub. Nts., 1/15/13 9% Sr. Sec. Nts., 3/1/21 335,000 250,413 10.75% Sr. Unsec. Unsub. Nts., 8/1/16 125,000 65,313 ------------------------------------------------------------------------------------------------------------------------------ Cumulus Media, Inc., 7.75% Sr. Nts., 5/1/19(3) 350,000 296,625 ------------------------------------------------------------------------------------------------------------------------------ Entravision Communications Corp., 8.75% Sr. Sec. Nts., 8/1/17 315,000 296,888 ------------------------------------------------------------------------------------------------------------------------------ Gray Television, Inc., 10.50% Sr. Sec. Nts., 6/29/15 1,235,000 1,123,850 ------------------------------------------------------------------------------------------------------------------------------ Interactive Data Corp., 10.25% Sr. Unsec. Nts., 8/1/18(4) 55,000 57,750 ------------------------------------------------------------------------------------------------------------------------------ Kabel BW Erste Beteiligungs GmbH/Kabel Baden-Wurttemberg GmbH & Co. KG, 7.50% Sr. Sec. Nts., 3/15/19(3) 395,000 386,113 ------------------------------------------------------------------------------------------------------------------------------ Newport Television LLC/NTV Finance Corp., 13.509% Sr. Nts., 3/15/17(2,3) 702,469 663,833 ------------------------------------------------------------------------------------------------------------------------------ Nexstar Broadcasting, Inc./Mission Broadcasting, Inc., 8.875% Sec. Nts., 4/15/17 535,000 530,988 ------------------------------------------------------------------------------------------------------------------------------ Sinclair Television Group, Inc., 8.375% Sr. Unsec. Nts., 10/15/18 705,000 697,950 ------------------------------------------------------------------------------------------------------------------------------ Visant Corp., 10% Sr. Unsec. Nts., 10/1/17 320,000 297,600 ---------- 7,670,506 ------------------------------------------------------------------------------------------------------------------------------ TEXTILES, APPAREL & LUXURY GOODS--0.5% Jones Group, Inc. (The)/Jones Apparel Group Holdings, Inc./Jones Apparel Group USA, Inc./JAG Footwear, Accessories & Retail Corp., 6.875% Sr. Unsec. Unsub. Nts., 3/15/19 600,000 546,000 ------------------------------------------------------------------------------------------------------------------------------ CONSUMER STAPLES--3.1% ------------------------------------------------------------------------------------------------------------------------------ FOOD PRODUCTS--3.1% American Seafoods Group LLC, 10.75% Sr. Sub. Nts., 5/15/16(3) 925,000 901,875 ------------------------------------------------------------------------------------------------------------------------------ ASG Consolidated LLC, 15% Sr. Nts., 5/15/17(2,3) 1,118,635 1,090,669 ------------------------------------------------------------------------------------------------------------------------------ Blue Merger Sub, Inc., 7.625% Sr. Nts., 2/15/19(3) 485,000 412,250 ------------------------------------------------------------------------------------------------------------------------------ Bumble Bee Acquisition Corp., 9% Sr. Sec. Nts., 12/15/17(3) 280,000 264,600 ------------------------------------------------------------------------------------------------------------------------------ Southern States Cooperative, Inc., 11.25% Sr. Nts., 5/15/15(4) 690,000 717,600 --------- 3,386,994 ------------------------------------------------------------------------------------------------------------------------------ ENERGY--9.9% ------------------------------------------------------------------------------------------------------------------------------ ENERGY EQUIPMENT & SERVICES--2.9% Forbes Energy Services Ltd., 9% Sr. Unsec. Nts., 6/15/19(4) 475,000 441,750 ------------------------------------------------------------------------------------------------------------------------------ Global Geophysical Services, Inc., 10.50% Sr. Unsec. Nts., 5/1/17 615,000 599,625 ------------------------------------------------------------------------------------------------------------------------------ Offshore Group Investments Ltd.: 160,000 165,600 11.50% Sr. Sec. Nts., 8/1/15(3) 11.50% Sr. Sec. Nts., 8/1/15 605,000 626,175 ------------------------------------------------------------------------------------------------------------------------------ Precision Drilling Corp., 6.625% Sr. Unsec. Nts., 11/15/20 575,000 563,500 ------------------------------------------------------------------------------------------------------------------------------ SESI LLC, 6.375% Sr. Nts., 5/1/19(3) 795,000 771,150 --------- 3,167,800 ------------------------------------------------------------------------------------------------------------------------------ OIL, GAS & CONSUMABLE FUELS--7.0% ATP Oil & Gas Corp., 11.875% Sr. Sec. Nts., 5/1/15 1,165,000 816,956 ------------------------------------------------------------------------------------------------------------------------------ Breitburn Energy Partners LP/Breitburn Finance Corp., 8.625% Sr. Unsec. Nts., 10/15/20 665,000 655,025 ------------------------------------------------------------------------------------------------------------------------------ Chaparral Energy, Inc., 9.875% Sr. Unsec. Nts., 10/1/20 640,000 643,200 ------------------------------------------------------------------------------------------------------------------------------ James River Coal Co., 7.875% Sr. Nts., 4/1/19(3) 160,000 135,200 ------------------------------------------------------------------------------------------------------------------------------
2 | Oppenheimer High Income Fund/VA Oppenheimer High Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ---------------------------------------------------------------------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS CONTINUED ---------------------------------------------------------------------------------------------------------------------------- Linn Energy LLC/Linn Energy Finance Corp., 8.625% Sr. Unsec. Nts., 4/15/20 $1,110,000 $1,148,850 ---------------------------------------------------------------------------------------------------------------------------- MEG Energy Corp., 6.50% Sr. Unsec. Nts., 3/15/21(3) 795,000 765,188 ---------------------------------------------------------------------------------------------------------------------------- Murray Energy Corp., 10.25% Sr. Sec. Nts., 10/15/15(3) 1,575,000 1,512,000 ---------------------------------------------------------------------------------------------------------------------------- Navios Maritime Acquisition Corp., 8.625% Sr. Sec. Nts., 11/1/17 195,000 163,313 ---------------------------------------------------------------------------------------------------------------------------- Quicksilver Resources, Inc., 11.75% Sr. Nts., 1/1/16 540,000 585,900 ---------------------------------------------------------------------------------------------------------------------------- SandRidge Energy, Inc.: 560,000 551,600 8.75% Sr. Unsec. Nts., 1/15/20 9.875% Sr. Unsec. Nts., 5/15/16(3) 305,000 315,675 ---------------------------------------------------------------------------------------------------------------------------- Venoco, Inc., 8.875% Sr. Unsec. Nts., 2/15/19 345,000 298,425 ---------- 7,591,332 ---------------------------------------------------------------------------------------------------------------------------- FINANCIALS--12.1% ---------------------------------------------------------------------------------------------------------------------------- CAPITAL MARKETS--6.5% Berry Plastics Holding Corp., 10.25% Sr. Unsec. Sub. Nts., 3/1/16 300,000 262,500 ---------------------------------------------------------------------------------------------------------------------------- Edgen Murray Corp., 12.25% Sr. Sec. Nts., 1/15/15 360,000 324,450 ---------------------------------------------------------------------------------------------------------------------------- Nationstar Mortgage/Nationstar Capital Corp., 10.875% Sr. Unsec. Nts., 4/1/15 2,180,000 2,190,889 ---------------------------------------------------------------------------------------------------------------------------- Nuveen Investments, Inc.: 535,000 436,025 5.50% Sr. Unsec. Nts., 9/15/15 10.50% Sr. Unsec. Unsub. Nts., 11/15/15 640,000 593,600 ---------------------------------------------------------------------------------------------------------------------------- Pinafore LLC/Pinafore, Inc., 9% Sr. Sec. Nts., 10/1/18(3) 1,125,000 1,158,750 ---------------------------------------------------------------------------------------------------------------------------- Springleaf Finance Corp., 6.90% Nts., Series J, 12/15/17 705,000 511,125 ---------------------------------------------------------------------------------------------------------------------------- Verso Paper Holdings LLC, 11.375% Sr. Unsec. Sub. Nts., Series B, 8/1/16 1,500,000 1,095,000 ---------------------------------------------------------------------------------------------------------------------------- Verso Paper Holdings LLC/Verso Paper, Inc., 8.75% Sr. Sec. Nts., 2/1/19 625,000 434,375 ---------- 7,006,714 ---------------------------------------------------------------------------------------------------------------------------- CONSUMER FINANCE--0.8% Speedy Cash, Inc., 10.75% Sr. Sec. Nts., 10/15/18(3) 430,000 435,375 ---------------------------------------------------------------------------------------------------------------------------- TMX Finance LLC/TitleMax Finance Corp., 13.25% Sr. Sec. Nts., 7/15/15 455,000 491,400 ---------- 926,775 ---------------------------------------------------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES--0.8% GMAC LLC, 8% Sr. Unsec. Nts., 11/1/31 375,000 330,938 ---------------------------------------------------------------------------------------------------------------------------- ING Groep NV, 5.775% Jr. Unsec. Sub. Perpetual Bonds(5) 695,000 512,563 ---------- 843,501 ---------------------------------------------------------------------------------------------------------------------------- INSURANCE--0.7% International Lease Finance Corp.: 410,000 408,463 8.625% Sr. Unsec. Unsub. Nts., 9/15/15 8.75% Sr. Unsec. Unsub. Nts., 3/15/17 350,000 352,625 ---------- 761,088 ---------------------------------------------------------------------------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS--2.1% FelCor Escrow Holdings LLC, 6.75% Sr. Sec. Nts., 6/1/19(3) 1,735,000 1,561,500 ---------------------------------------------------------------------------------------------------------------------------- OMEGA Healthcare Investors, Inc., 6.75% Sr. Unsec. Nts., 10/15/22 695,000 666,331 ---------- 2,227,831
3 | Oppenheimer High Income Fund/VA Oppenheimer High Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ---------------------------------------------------------------------------------------------------------------------------------- REAL ESTATE MANAGEMENT & DEVELOPMENT--1.2% Realogy Corp., 11.50% Sr. Unsec. Unsub. Nts., 4/15/17 $1,220,000 $817,400 ---------------------------------------------------------------------------------------------------------------------------------- Wallace Theater Holdings, Inc., 12.50% Sr. Sec. Nts., 6/15/13(1,3) 530,000 520,725 --------- 1,338,125 ---------------------------------------------------------------------------------------------------------------------------------- HEALTH CARE--5.4% ---------------------------------------------------------------------------------------------------------------------------------- BIOTECHNOLOGY--0.2% Grifols SA/Giant Funding Corp., 8.25% Sr. Nts., 2/1/18(3) 195,000 195,975 ---------------------------------------------------------------------------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES--1.9% Accellent, Inc., 10% Sr. Unsec. Sub. Nts., 11/1/17 570,000 488,775 ---------------------------------------------------------------------------------------------------------------------------------- Alere, Inc., 8.625% Sr. Unsec. Sub. Nts., 10/1/18 290,000 263,900 ---------------------------------------------------------------------------------------------------------------------------------- Biomet, Inc.: 305,000 314,150 10.375% Sr. Unsec. Nts., 10/15/17(2) 11.625% Sr. Unsec. Sub. Nts., 10/15/17 275,000 286,688 ---------------------------------------------------------------------------------------------------------------------------------- DJO Finance LLC/DJO Finance Corp., 9.75% Sr. Sub. Nts., 10/15/17(3) 520,000 436,800 ---------------------------------------------------------------------------------------------------------------------------------- Inverness Medical Innovations, Inc., 7.875% Sr. Unsec. Unsub. Nts., 2/1/16 290,000 275,500 --------- 2,065,813 ---------------------------------------------------------------------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES--2.9% Catalent Pharma Solutions, Inc., 9.50% Sr. Unsec. Nts., 4/15/15(2) 445,151 408,426 ---------------------------------------------------------------------------------------------------------------------------------- Gentiva Health Services, Inc., 11.50% Sr. Unsec. Unsub. Nts., 9/1/18 385,000 308,000 ---------------------------------------------------------------------------------------------------------------------------------- inVentiv Health, Inc., 10% Sr. Unsec. Nts., 8/15/18(3) 310,000 274,350 ---------------------------------------------------------------------------------------------------------------------------------- Kindred Healthcare, Inc., 8.25% Sr. Nts., 6/1/19(3) 860,000 661,125 ---------------------------------------------------------------------------------------------------------------------------------- Multiplan, Inc., 9.875% Sr. Nts., 9/1/18(3) 460,000 457,700 ---------------------------------------------------------------------------------------------------------------------------------- Oncure Holdings, Inc., 11.75% Sr. Sec. Nts., 5/15/17 315,000 280,350 ---------------------------------------------------------------------------------------------------------------------------------- Radiation Therapy Services, Inc., 9.875% Sr. Unsec. Sub. Nts., 4/15/17 335,000 287,263 ---------------------------------------------------------------------------------------------------------------------------------- STHI Holding Corp., 8% Sec. Nts., 3/15/18(3) 200,000 194,000 ---------------------------------------------------------------------------------------------------------------------------------- US Oncology, Inc., Escrow Shares (related to 9.125% Sr. Sec. Nts., 8/15/17(6) 435,000 5,438 ---------------------------------------------------------------------------------------------------------------------------------- Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc., 8% Sr. Nts., 2/1/18 375,000 345,938 ---------- 3,222,590 ---------------------------------------------------------------------------------------------------------------------------------- HEALTH CARE TECHNOLOGY--0.1% MedAssets, Inc., 8% Sr. Nts., 11/15/18(3) 75,000 71,813 ---------------------------------------------------------------------------------------------------------------------------------- PHARMACEUTICALS--0.3% Valeant Pharmaceuticals International, Inc., 6.875% Sr. Unsec. Nts., 12/1/18(3) 190,000 172,900 ---------------------------------------------------------------------------------------------------------------------------------- Warner Chilcott Co. LLC, 7.75% Sr. Nts., 9/15/18(3) 145,000 139,200 ---------- 312,100 ---------------------------------------------------------------------------------------------------------------------------------- INDUSTRIALS--11.4% ---------------------------------------------------------------------------------------------------------------------------------- AEROSPACE & DEFENSE--3.6% DynCorp International, Inc., 10.375% Sr. Unsec. Nts., 7/1/17 1,085,000 952,088 ---------------------------------------------------------------------------------------------------------------------------------- Hawker Beechcraft Acquisition Co. LLC: 1,405,000 604,150 8.50% Sr. Unsec. Nts., 4/1/15 9.75% Sr. Unsec. Sub. Nts., 4/1/17 240,000 79,200 ----------------------------------------------------------------------------------------------------------------------------------
4 | Oppenheimer High Income Fund/VA Oppenheimer High Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ---------------------------------------------------------------------------------------------------------------------------- AEROSPACE & DEFENSE CONTINUED ---------------------------------------------------------------------------------------------------------------------------- Kratos Defense & Security Solutions, Inc., 10% Sr. Sec. Nts., 6/1/17 $ 267,000 $ 267,000 ---------------------------------------------------------------------------------------------------------------------------- TransDigm, Inc., 7.75% Sr. Unsec. Sub. Nts., 12/15/18 1,245,000 1,273,013 ---------------------------------------------------------------------------------------------------------------------------- Triumph Group, Inc., 8.625% Sr. Unsec. Nts., 7/15/18 650,000 695,500 ---------- 3,870,951 ---------------------------------------------------------------------------------------------------------------------------- AIR FREIGHT & LOGISTICS--0.5% AMGH Merger Sub, Inc., 9.25% Sr. Sec. Nts., 11/1/18(3) 510,000 512,550 ---------------------------------------------------------------------------------------------------------------------------- BUILDING PRODUCTS--1.1% Associated Materials LLC, 9.125% Sr. Sec. Nts., 11/1/17(3) 265,000 215,975 ---------------------------------------------------------------------------------------------------------------------------- Ply Gem Industries, Inc., 13.125% Sr. Unsec. Sub. Nts., 7/15/14 930,000 886,988 ---------------------------------------------------------------------------------------------------------------------------- Roofing Supply Group LLC/Roofing Supply Finance, Inc., 8.625% Sr. Sec. Nts., 12/1/17(3) 75,000 71,063 -------- 1,174,026 ---------------------------------------------------------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES--1.3% R.R. Donnelley & Sons Co., 7.25% Sr. Nts., 5/15/18 560,000 506,240 ---------------------------------------------------------------------------------------------------------------------------- West Corp.: 305,000 288,225 7.875% Sr. Unsec. Nts., 1/15/19 8.625% Sr. Unsec. Nts., 10/1/18 635,000 620,713 --------- 1,415,178 ---------------------------------------------------------------------------------------------------------------------------- MACHINERY--2.4% Cleaver-Brooks, Inc., 12.25% Sr. Sec. Nts., 5/1/16(4) 680,000 656,200 ---------------------------------------------------------------------------------------------------------------------------- Manitowoc Co., Inc. (The), 8.50% Sr. Unsec. Nts., 11/1/20 685,000 623,350 ---------------------------------------------------------------------------------------------------------------------------- Terex Corp., 8% Sr. Unsec. Sub. Nts., 11/15/17 1,050,000 934,500 ---------------------------------------------------------------------------------------------------------------------------- Thermadyne Holdings Corp., 9% Sr. Sec. Nts., 12/15/17 335,000 329,975 --------- 2,544,025 ---------------------------------------------------------------------------------------------------------------------------- MARINE--0.8% Marquette Transportation Co./Marquette Transportation Finance Corp., 10.875% Sec. Nts., 1/15/17 780,000 755,625 ---------------------------------------------------------------------------------------------------------------------------- Navios Maritime Holdings, Inc./Navios Maritime Finance U.S., Inc., 8.875% Sr. Sec. Nts., 11/1/17 160,000 156,800 -------- 912,425 ---------------------------------------------------------------------------------------------------------------------------- PROFESSIONAL SERVICES--0.5% Altegrity, Inc., 10.50% Sr. Unsec. Sub. Nts., 11/1/15(3) 425,000 397,375 ---------------------------------------------------------------------------------------------------------------------------- TransUnion LLC/TransUnion Financing Corp., 11.375% Sr. Unsec. Nts., 6/15/18 150,000 163,875 --------- 561,250 ---------------------------------------------------------------------------------------------------------------------------- ROAD & RAIL--1.2% Hertz Corp., 7.50% Sr. Unsec. Nts., 10/15/18 670,000 643,200 ---------------------------------------------------------------------------------------------------------------------------- Western Express, Inc., 12.50% Sr. Sec. Nts., 4/15/15(3) 1,045,000 705,375 --------- 1,348,575 ---------------------------------------------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY--6.1% ---------------------------------------------------------------------------------------------------------------------------- COMPUTERS & PERIPHERALS--0.9% Seagate HDD Cayman: 650,000 601,250 6.875% Sr. Unsec. Nts., 5/1/20 7% Sr. Unsec. Nts., 11/1/21(3) 475,000 439,375 --------- 1,040,625
5 | Oppenheimer High Income Fund/VA Oppenheimer High Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ----------------------------------------------------------------------------------------------------------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--1.2% CDW LLC/CDW Finance Corp., 12.535% Sr. Unsec. Sub. Nts., 10/12/17 $1,310,000 $1,257,600 ----------------------------------------------------------------------------------------------------------------- INTERNET SOFTWARE & SERVICES--1.2% ITC DeltaCom, Inc., 10.50% Sr. Sec. Nts., 4/1/16 1,245,000 1,276,125 ----------------------------------------------------------------------------------------------------------------- IT SERVICES--1.6% Ceridian Corp., 11.25% Sr. Unsec. Nts., 11/15/15 535,000 444,050 ----------------------------------------------------------------------------------------------------------------- First Data Corp.: 395,000 373,275 8.875% Sr. Sec. Nts., 8/15/20(3) 9.875% Sr. Unsec. Nts., 9/24/15 1,075,000 905,688 ---------- 1,723,013 ----------------------------------------------------------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--1.2% Advanced Micro Devices, Inc., 7.75% Sr. Unsec. Nts., 8/1/20 600,000 591,000 ----------------------------------------------------------------------------------------------------------------- Freescale Semiconductor, Inc., 10.75% Sr. Unsec. Nts., 8/1/20 713,000 716,565 ---------- 1,307,565 ----------------------------------------------------------------------------------------------------------------- MATERIALS--10.1% ----------------------------------------------------------------------------------------------------------------- CHEMICALS--2.8% Ferro Corp., 7.875% Sr. Unsec. Nts., 8/15/18 635,000 638,175 ----------------------------------------------------------------------------------------------------------------- Hexion U.S. Finance Corp./Hexion Nova Scotia Finance ULC: 625,000 518,750 8.875% Sr. Sec. Nts., 2/1/18 9% Sec. Nts., 11/15/20 380,000 280,250 ----------------------------------------------------------------------------------------------------------------- Lyondell Chemical Co., 8% Sr. Sec. Nts., 11/1/17(3) 716,000 775,070 ----------------------------------------------------------------------------------------------------------------- Momentive Performance Materials, Inc., 9% Sec. Nts., 1/15/21 1,115,000 769,350 ---------- 2,981,595 ----------------------------------------------------------------------------------------------------------------- CONSTRUCTION MATERIALS--0.6% Building Materials Corp. of America, 6.75% Sr. Nts., 5/1/21(3) 435,000 414,338 ----------------------------------------------------------------------------------------------------------------- Ply Gem Industries, Inc., 8.25% Sr. Sec. Nts., 2/15/18 325,000 266,500 ---------- 680,838 ----------------------------------------------------------------------------------------------------------------- CONTAINERS & PACKAGING--1.8% Berry Plastics Corp., 9.75% Sec. Nts., 1/15/21 715,000 611,325 ----------------------------------------------------------------------------------------------------------------- Polymer Group, Inc., 7.75% Sr. Sec. Nts., 2/1/19(3) 650,000 651,625 ----------------------------------------------------------------------------------------------------------------- Solo Cup Co., 8.50% Sr. Sub. Nts., 2/15/14 755,000 660,625 ---------- 1,923,575 ----------------------------------------------------------------------------------------------------------------- METALS & MINING--0.9% Aleris International, Inc., 7.625% Sr. Nts., 2/15/18(3) 1,050,000 947,625 ----------------------------------------------------------------------------------------------------------------- PAPER & FOREST PRODUCTS--4.0% ABI Escrow Corp., 10.25% Sr. Sec. Nts., 10/15/18(3) 423,000 444,150 ----------------------------------------------------------------------------------------------------------------- Ainsworth Lumber Co. Ltd., 11% Sr. Unsec. Unsub. Nts., 7/29/15(2,3) 1,121,734 734,736 ----------------------------------------------------------------------------------------------------------------- Appleton Papers, Inc., 10.50% Sr. Sec. Nts., 6/15/15(3) 985,000 970,225 ----------------------------------------------------------------------------------------------------------------- Catalyst Paper Corp., 11% Sr. Sec. Nts., 12/15/16(3) 1,117,000 731,635 ----------------------------------------------------------------------------------------------------------------- Mercer International, Inc., 9.50% Sr. Unsec. Nts., 12/1/17 475,000 469,063 ----------------------------------------------------------------------------------------------------------------- NewPage Corp., 11.375% Sr. Sec. Nts., 12/31/14(6) 1,025,000 766,188 ----------------------------------------------------------------------------------------------------------------- Norske Skogindustrier ASA, 6.125% Unsec. Bonds, 10/15/15(3) 375,000 219,375 ---------- 4,335,372
6 | Oppenheimer High Income Fund/VA Oppenheimer High Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value --------------------------------------------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES--3.8% --------------------------------------------------------------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES--2.1% Broadview Networks Holdings, Inc., 11.375% Sr. Sec. Nts., 9/1/12 $ 340,000 $ 273,700 --------------------------------------------------------------------------------------------------------------------- Cincinnati Bell, Inc.: 335,000 326,625 8.25% Sr. Nts., 10/15/17 8.75% Sr. Unsec. Sub. Nts., 3/15/18 480,000 428,400 --------------------------------------------------------------------------------------------------------------------- Intelsat Bermuda Ltd.: 635,000 552,450 11.25% Sr. Unsec. Nts., 2/4/17 12.50% Sr. Unsec. Nts., 2/4/17(2) 328,710 283,512 --------------------------------------------------------------------------------------------------------------------- Level 3 Financing, Inc.: 80,000 79,400 9.25% Sr. Unsec. Unsub. Nts., 11/1/14 9.375% Sr. Unsec. Unsub. Nts., 4/1/19(3) 380,000 355,300 ---------- 2,299,387 --------------------------------------------------------------------------------------------------------------------- WIRELESS TELECOMMUNICATION SERVICES--1.7% Cricket Communications, Inc., 7.75% Sr. Unsec. Nts., 10/15/20 1,310,000 1,142,975 --------------------------------------------------------------------------------------------------------------------- MetroPCS Wireless, Inc., 6.625% Sr. Unsec. Nts., 11/15/20 780,000 688,350 ---------- 1,831,325 --------------------------------------------------------------------------------------------------------------------- UTILITIES--4.2% --------------------------------------------------------------------------------------------------------------------- ELECTRIC UTILITIES--2.1% Edison Mission Energy, 7% Sr. Unsec. Nts., 5/15/17 1,065,000 639,000 --------------------------------------------------------------------------------------------------------------------- Energy Future Intermediate Holding Co. LLC, 10% Sr. Sec. Nts., 12/1/20 557,000 545,860 --------------------------------------------------------------------------------------------------------------------- Texas Competitive Electric Holdings Co. LLC: 2,325,000 883,500 10.25% Sr. Unsec. Nts., Series A, 11/1/15 10.25% Sr. Unsec. Nts., Series B, 11/1/15 410,000 153,750 ---------- 2,222,110 --------------------------------------------------------------------------------------------------------------------- ENERGY TRADERS--2.0% Energy Future Holdings Corp., 10% Sr. Sec. Nts., 1/15/20 780,000 760,500 --------------------------------------------------------------------------------------------------------------------- First Wind Capital LLC, 10.25% Sr. Sec. Nts., 6/1/18(3) 75,000 71,625 --------------------------------------------------------------------------------------------------------------------- Foresight Energy LLC, 9.625% Sr. Unsec. Nts., 8/15/17(3) 900,000 913,500 --------------------------------------------------------------------------------------------------------------------- GenOn Energy, Inc., 9.875% Sr. Unsec. Nts., 10/15/20 415,000 390,100 --------------------------------------------------------------------------------------------------------------------- United Maritime Group LLC, 11.75% Sr. Sec. Nts., 6/15/15 15,000 15,225 ---------- 2,150,950 --------------------------------------------------------------------------------------------------------------------- GAS UTILITIES--0.1% Ferrellgas LP/Ferrellgas Finance Corp., 6.50% Sr. Unsec. Nts., 5/1/21 170,000 145,350 ---------- Total Corporate Bonds and Notes (Cost $99,969,349) 89,570,086
Shares --------------------------------------------------------------------------------------------------------------------- PREFERRED STOCKS--1.9% Ally Financial, Inc., 7%, Non-Vtg.(3) 1,479 990,514 --------------------------------------------------------------------------------------------------------------------- GMAC Capital Trust I, 8.125% Cum. 10,000 182,500 --------------------------------------------------------------------------------------------------------------------- Greektown Superholdings, Inc., Series A-1(7) 11,550 819,357 --------- Total Preferred Stocks (Cost $2,657,315) 1,992,371 --------------------------------------------------------------------------------------------------------------------- COMMON STOCKS--3.2% AbitibiBowater, Inc. (7) 27,638 414,570 ---------------------------------------------------------------------------------------------------------------------
7 | Oppenheimer High Income Fund/VA Oppenheimer High Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Shares Value ----------------------------------------------------------------------------------------------------------------------- American Media Operations, Inc. (7) 58,065 $929,040 ----------------------------------------------------------------------------------------------------------------------- Dana Holding Corp. (7) 19,738 207,249 ----------------------------------------------------------------------------------------------------------------------- Gaylord Entertainment Co., Cl. A (7) 21,382 413,528 ----------------------------------------------------------------------------------------------------------------------- Global Aviation Holdings, Inc. (7) 300 3,000 ----------------------------------------------------------------------------------------------------------------------- Greektown Superholdings, Inc. (7) 874 57,675 ----------------------------------------------------------------------------------------------------------------------- Huntsman Corp. 6,611 63,928 ----------------------------------------------------------------------------------------------------------------------- Kaiser Aluminum Corp. 458 20,280 ----------------------------------------------------------------------------------------------------------------------- Linn Energy LLC 3,380 120,531 ----------------------------------------------------------------------------------------------------------------------- LyondellBasell Industries NV, Cl. A 18,740 457,818 ----------------------------------------------------------------------------------------------------------------------- Orbcomm, Inc. (7) 1,127 2,874 ----------------------------------------------------------------------------------------------------------------------- Range Resources Corp. 1,965 114,874 ----------------------------------------------------------------------------------------------------------------------- Solutia, Inc. (7) 5,507 70,765 ----------------------------------------------------------------------------------------------------------------------- Visteon Corp. (7) 10,807 464,701 ----------------------------------------------------------------------------------------------------------------------- Walter Industries, Inc. 1,011 60,670 ----------------------------------------------------------------------------------------------------------------------- Whiting Petroleum Corp. (7) 2,034 71,353 --------- Total Common Stocks (Cost $6,425,224) 3,472,856
Units ----------------------------------------------------------------------------------------------------------------------- RIGHTS, WARRANTS AND CERTIFICATES--0.0% MediaNews Group, Inc. Wts., Strike Price $0.001, Exp. 3/19/17( 7) (Cost $0) 11,017 396
Expiration Strike Date Price Contracts ----------------------------------------------------------------------------------------------------------------------- OPTIONS PURCHASED--0.0% U.S. Treasury Nts. Futures, 10 yr., 12/20/11 Put(7) (Cost $2,378) 11/28/11 $ 129 2 1,875
Shares ----------------------------------------------------------------------------------------------------------------------- INVESTMENT COMPANY--7.5% Oppenheimer Institutional Money Market Fund, Cl. E, 0.16%(8,9) (Cost $8,158,984) 8,158,984 8,158,984 ----------------------------------------------------------------------------------------------------------------------- Total Investments, at Value (Cost $118,930,403) 96.9% 104,965,071 ----------------------------------------------------------------------------------------------------------------------- Other Assets Net of Liabilities 3.1 3,339,103 ----------------------------------------------------------------------------------------------------------------------- Net Assets 100.0% $108,304,174 -------------------------------------
Footnotes to Statement of Investments 1. Represents the current interest rate for a variable or increasing rate security. 2. Interest or dividend is paid-in-kind, when applicable. 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 $29,109,797 or 26.88% of the Fund's net assets as of September 30, 2011. 4. Restricted security. The aggregate value of restricted securities as of September 30, 2011 was $1,873,300, which represents 1.73% of the Fund's net assets. See accompanying Notes. Information concerning restricted securities is as follows: 8 | Oppenheimer High Income Fund/VA Oppenheimer High Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
UNREALIZED ACQUISITION APPRECIATION SECURITY DATES COST VALUE (DEPRECIATION) -------------------------------------------------------------------------------------------------------------------- Cleaver-Brooks, Inc., 12.25% Sr. Sec. Nts., 5/1/16 4/21/10-5/3/11 $ 688,440 $ 656,200 $ (32,240) Forbes Energy Services Ltd., 9% Sr. Unsec. Nts., 6/15/19 5/24/11 475,000 441,750 (33,250) Interactive Data Corp., 10.25% Sr. Unsec. Nts., 8/1/18 7/20/10 55,000 57,750 2,750 Southern States Cooperative, Inc., 11.25% Sr. Nts., 5/15/15 4/28/10-5/4/11 703,431 717,600 14,169 --------------------------------------- $1,921,871 $1,873,300 $ (48,571) =======================================
5. 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. 6. This security is not accruing income because the issuer has missed an interest payment on it and/or is not anticipated to make future interest and/or principal payments. The rate shown is the original contractual interest rate. See accompanying Notes. 7. Non-income producing security. 8. Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 30, 2011, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows:
SHARES GROSS GROSS SHARES DECEMBER 31, 2010 ADDITIONS REDUCTIONS SEPTEMBER 30, 2011 ------------------------------------------------------------------------------------------------------------------------ Oppenheimer Institutional Money Market Fund, Cl. E 4,033,152 45,802,458 41,676,626 8,158,984
VALUE INCOME --------------------------------------------------------------------------------------------------------- Oppenheimer Institutional Money Market Fund, Cl. E $8,158,984 $5,722
9. Rate shown is the 7-day yield as of September 30, 2011. 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 or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) 3) Level 3-significant unobservable inputs (including the Manager's own judgments about assumptions that market participants would use in pricing the asset or liability). 9 | Oppenheimer High Income Fund/VA Oppenheimer High Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) The table below categorizes amounts as of September 30, 2011 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: Loan Participations $ -- $ 1,768,503 $ -- $ 1,768,503 Corporate Bonds and Notes -- 89,570,086 -- 89,570,086 Preferred Stocks -- 1,173,014 819,357 1,992,371 Common Stocks 2,018,440 1,393,741 60,675 3,472,856 Rights, Warrants and Certificates -- -- 396 396 Options Purchased 1,875 -- -- 1,875 Investment Company 8,158,984 -- -- 8,158,984 --------------------------------------------------------------------- Total Assets $ 10,179,299 $ 93,905,344 $ 880,428 $104,965,071 ---------------------------------------------------------------------
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 methodologies, 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," observable market inputs other than unadjusted quoted prices 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 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 it is 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. 10 | Oppenheimer High Income Fund/VA Oppenheimer High Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) U.S. domestic and international debt instruments (including corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and "money market-type" debt instruments with a remaining maturity in excess of sixty days are valued at the mean between the "bid" and "asked" prices utilizing price quotations obtained from independent pricing services or broker-dealers. Such prices are typically determined based upon information obtained from market participants including reported trade data, broker-dealer price quotations and inputs such as benchmark yields and issuer spreads from identical or similar securities. "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 current price quotation obtained from an independent pricing service or broker-dealer, 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 of the Fund during the period. 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 that have missed an interest payment, and is not obligated to dispose of securities whose issuers or underlying obligors subsequently miss an interest payment. Information concerning securities not accruing interest as of September 30, 2011 is as follows: Cost $975,915 ----------------------------------------------- Market Value $771,626 ----------------------------------------------- Market Value as a % of Net Assets 0.71% -----------------------------------------------
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 11 | Oppenheimer High Income Fund/VA Oppenheimer High Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) 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 accordance with its investment objectives, the Fund may use derivatives to increase or decrease its exposure to one or more of the following market risk factors: COMMODITY RISK. Commodity risk relates to the change in value of commodities or commodity indexes as they relate to increases or decreases in the commodities market. Commodities are physical assets that have tangible properties. Examples of these types of assets are crude oil, heating oil, metals, livestock, and agricultural products. 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. EQUITY RISK. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market. 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. 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. VOLATILITY RISK. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument's price over a defined time period. Large increases or decreases in a financial instrument's price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk. The Fund's actual exposures to these market risk factors during the period are discussed in further detail, by derivative type, below. 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. CREDIT RELATED CONTINGENT FEATURES. The Fund's agreements with derivative counterparties have 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 12 | Oppenheimer High Income Fund/VA Oppenheimer High Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) 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 International Swap and Derivatives Association, Inc. master agreements which govern certain positions in swaps, over-the-counter options and swaptions, and forward currency exchange contracts for each individual counterparty. OPTION ACTIVITY The Fund may buy and sell put and call options, or write put and 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. The Fund has purchased put options on treasury futures to decrease exposure to interest rate risk. A purchased put option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price. During the period ended September 30, 2011, the Fund had an ending monthly average market value of $188 on purchased put options. Options written, if any, 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. Securities held in collateralized accounts to cover potential obligations with respect to outstanding written options are noted in the Statement of Investments. 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. During the period ending September 30, 2011, the Fund did not have any outstanding written options. 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. The values of swap contracts are aggregated by positive and negative values and disclosed separately on the Statement of Assets and Liabilities in the annual and semiannual reports by contracts in unrealized appreciation and depreciation positions. Upfront payments paid or received, if any, affect the value of the respective swap. Therefore, to determine the unrealized appreciation (depreciation) on swaps, upfront payments paid should be subtracted from, while upfront payments received should be added to, the value of contracts reported as an asset on the Statement of Assets and Liabilities in the annual and semiannual reports. Conversely, upfront payments paid should be added to, while upfront payments received should be subtracted from the value of contracts reported as a liability. 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 13 | Oppenheimer High Income Fund/VA Oppenheimer High Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) 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 purchased credit protection through credit default swaps to decrease exposure to the credit risk of individual securities and/or, indexes. For the period ended September 30, 2011, the Fund had ending monthly average notional amounts of $41,000 on credit default swaps to buy protection. Additional associated risks to the Fund include counterparty credit risk and liquidity risk. As of September 30, 2011, the Fund had no such credit default swaps outstanding. RESTRICTED SECURITIES As of September 30, 2011, investments in securities included issues that are restricted. A restricted security may have a contractual restriction on its resale and is valued under methods approved by the Board of Trustees as reflecting fair value. Securities that are restricted are marked with an applicable footnote on the Statement of Investments. Restricted securities are reported on a schedule following the Statement of Investments. FEDERAL TAXES. 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, 2011 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. 14 | Oppenheimer High Income Fund/VA Oppenheimer High Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) Federal tax cost of securities $ 119,364,946 ================= Gross unrealized appreciation $ 924,126 Gross unrealized depreciation (15,324,001) ----------------- Net unrealized depreciation $ (14,399,875) =================
15 | Oppenheimer High Income Fund/VA Oppenheimer Main Street Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Shares Value ------------------------------------------------------------- COMMON STOCKS-98.3% ------------------------------------------------------------- CONSUMER DISCRETIONARY-10.4% ------------------------------------------------------------- AUTOMOBILES-2.6% Ford Motor Co.(1) 3,634,600 $35,146,582 ------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE-2.0% Hyatt Hotels Corp., Cl. A(1) 524,038 16,439,072 ------------------------------------------------------------- McDonald's Corp. 109,716 9,635,259 ----------- 26,074,331 ------------------------------------------------------------- MEDIA-3.3% McGraw-Hill Cos., Inc. (The) 1,052,471 43,151,311 ------------------------------------------------------------- SPECIALTY RETAIL-2.5% AutoZone, Inc.(1) 43,150 13,773,049 ------------------------------------------------------------- TJX Cos., Inc. (The) 347,840 19,294,685 ----------- 33,067,734 ------------------------------------------------------------- CONSUMER STAPLES-11.9% ------------------------------------------------------------- BEVERAGES-2.6% Dr. Pepper Snapple Group, Inc. 871,590 33,800,260 ------------------------------------------------------------- FOOD PRODUCTS-5.8% General Mills, Inc. 497,300 19,131,131 ------------------------------------------------------------- J.M. Smucker Co. (The) 306,150 22,315,274 ------------------------------------------------------------- Mead Johnson Nutrition Co., Cl. A 331,752 22,834,490 ------------------------------------------------------------- Sara Lee Corp. 692,520 11,322,702 ----------- 75,603,597 ------------------------------------------------------------- TOBACCO-3.5% Philip Morris International, Inc. 747,759 46,645,206 ------------------------------------------------------------- ENERGY-11.8% ------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES-0.5% National Oilwell Varco, Inc. 125,150 6,410,183 ------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS-11.3% Chevron Corp. 671,799 62,154,843 ------------------------------------------------------------- Enterprise Products Partners LP 276,370 11,096,256 ------------------------------------------------------------- Kinder Morgan, Inc. 395,260 10,233,281 ------------------------------------------------------------- Noble Energy, Inc. 324,340 22,963,272 ------------------------------------------------------------- Occidental Petroleum Corp. 581,770 41,596,555 ------------------------------------------------------------- Plains All American Pipeline LP 4,670 275,156 ----------- 148,319,363 ------------------------------------------------------------- FINANCIALS-14.7% ------------------------------------------------------------- CAPITAL MARKETS-1.0% Blackstone Group LP (The) 1,135,000 13,597,300 ------------------------------------------------------------- COMMERCIAL BANKS-3.5% CIT Group, Inc.(1) 1,318,200 40,033,734 ------------------------------------------------------------- M&T Bank Corp. 89,500 6,256,050 ----------- 46,289,784 ------------------------------------------------------------- CONSUMER FINANCE-0.7% Discover Financial Services 366,650 8,410,951 ------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES-5.4% Citigroup, Inc. 1,115,179 28,570,886 ------------------------------------------------------------- CME Group, Inc. 33,760 8,318,464
1 | Oppenheimer Main Street Fund/VA Oppenheimer Main Street Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Shares Value ---------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES CONTINUED JPMorgan Chase & Co. 1,123,420 $33,837,410 ----------- 70,726,760 ---------------------------------------------------------------------- INSURANCE-4.1% Berkshire Hathaway, Inc., Cl. B(1) 97,520 6,927,821 ---------------------------------------------------------------------- Marsh & McLennan Cos., Inc. 775,980 20,594,509 ---------------------------------------------------------------------- Progressive Corp. 1,490,900 26,478,384 ----------- 54,000,714 ---------------------------------------------------------------------- HEALTH CARE-13.2% ---------------------------------------------------------------------- BIOTECHNOLOGY-2.5% Celgene Corp.(1) 504,622 31,246,194 ---------------------------------------------------------------------- Human Genome Sciences, Inc.(1) 174,210 2,210,725 ----------- 33,456,919 ---------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES-2.5% WellPoint, Inc. 502,750 32,819,520 ---------------------------------------------------------------------- LIFE SCIENCES TOOLS & SERVICES-1.3% Waters Corp.(1) 230,780 17,421,582 ---------------------------------------------------------------------- PHARMACEUTICALS-6.9% Abbott Laboratories 786,000 40,196,040 ---------------------------------------------------------------------- Allergan, Inc. 148,550 12,237,549 ---------------------------------------------------------------------- Bristol-Myers Squibb Co. 974,340 30,574,789 ---------------------------------------------------------------------- Hospira, Inc.(1) 206,600 7,644,200 ----------- 90,652,578 ---------------------------------------------------------------------- INDUSTRIALS-8.1% ---------------------------------------------------------------------- AEROSPACE & DEFENSE-1.5% Boeing Co. (The) 325,200 19,677,852 ---------------------------------------------------------------------- AIR FREIGHT & LOGISTICS-2.2% United Parcel Service, Inc., Cl. B 463,870 29,293,391 ---------------------------------------------------------------------- INDUSTRIAL CONGLOMERATES-2.6% Tyco International Ltd. 822,680 33,524,210 ---------------------------------------------------------------------- ROAD & RAIL-1.8% CSX Corp. 1,288,870 24,063,203 ---------------------------------------------------------------------- INFORMATION TECHNOLOGY-22.0% ---------------------------------------------------------------------- COMMUNICATIONS EQUIPMENT-2.4% QUALCOMM, Inc. 649,871 31,603,227 ---------------------------------------------------------------------- COMPUTERS & PERIPHERALS-7.1% Apple, Inc.(1) 229,282 87,397,713 ---------------------------------------------------------------------- Dell, Inc.(1) 464,090 6,566,874 ----------- 93,964,587 ---------------------------------------------------------------------- INTERNET SOFTWARE & SERVICES-6.4% eBay, Inc.(1) 1,637,985 48,304,178 ---------------------------------------------------------------------- Google, Inc., Cl. A(1) 69,970 35,991,169 ----------- 84,295,347 ---------------------------------------------------------------------- IT SERVICES-0.6% Visa, Inc., Cl. A 90,410 7,749,945 ---------------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT-1.6% Marvell Technology Group Ltd.(1) 1,420,740 20,643,352
2 | Oppenheimer Main Street Fund/VA Oppenheimer Main Street Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Shares Value ------------------------------------------------------------------------------------ SOFTWARE-3.9% Check Point Software Technologies Ltd.(1) 250,470 $ 13,214,797 ------------------------------------------------------------------------------------ Microsoft Corp. 1,228,287 30,572,063 ------------------------------------------------------------------------------------ Oracle Corp. 244,520 7,027,505 -------------- 50,814,365 ------------------------------------------------------------------------------------ MATERIALS-2.0% ------------------------------------------------------------------------------------ CHEMICALS-1.8% Praxair, Inc. 260,230 24,326,300 ------------------------------------------------------------------------------------ METALS & MINING-0.2% Glencore International plc 385,510 2,386,030 ------------------------------------------------------------------------------------ TELECOMMUNICATION SERVICES-2.2% ------------------------------------------------------------------------------------ WIRELESS TELECOMMUNICATION SERVICES-2.2% America Movil SAB de CV, ADR, Series L 1,315,962 29,056,441 ------------------------------------------------------------------------------------ UTILITIES-2.0% ------------------------------------------------------------------------------------ ENERGY TRADERS-2.0% AES Corp. (The)(1) 2,678,770 26,144,795 -------------- Total Common Stocks (Cost $1,140,118,265) 1,293,137,720 ------------------------------------------------------------------------------------ INVESTMENT COMPANY-1.6% Oppenheimer Institutional Money Market Fund, Cl. E, 20,919,293 20,919,293 0.16%(2,3) (Cost $20,919,293) ------------------------------------------------------------------------------------ Total Investments, at Value (Cost $1,161,037,558) 99.9% 1,314,057,013 ------------------------------------------------------------------------------------ Other Assets Net of Liabilities 0.1 790,240 ------------------------------ Net Assets 100.0% $1,314,847,253 ==============================
Footnotes to Statement of Investments 1. Non-income producing security. 2. Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 30, 2011, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows:
SHARES GROSS GROSS SHARES DECEMBER 31, 2010 ADDITIONS REDUCTIONS SEPTEMBER 30, 2011 ------------------------------------------------------------------------------------------------------------------- Oppenheimer Institutional Money Market Fund, Cl. E 21,709,488 269,184,595 269,974,790 20,919,293
VALUE INCOME ---------------------------------------------------------------------------- Oppenheimer Institutional Money Market Fund, Cl. E $20,919,293 $32,939
3. Rate shown is the 7-day yield as of September 30, 2011. 3 | Oppenheimer Main Street Fund/VA Oppenheimer Main Street Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (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 or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) 3) Level 3-significant unobservable inputs (including the Manager's own judgments about assumptions that market participants would use in pricing the asset or liability). The table below categorizes amounts as of September 30, 2011 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 $137,439,958 $ -- $ -- $137,439,958 Consumer Staples 156,049,063 -- -- 156,049,063 Energy 154,729,546 -- -- 154,729,546 Financials 193,025,509 -- -- 193,025,509 Health Care 174,350,599 -- -- 174,350,599 Industrials 106,558,656 -- -- 106,558,656 Information Technology 289,070,823 -- -- 289,070,823 Materials 24,326,300 2,386,030 -- 26,712,330 Telecommunication Services 29,056,441 -- -- 29,056,441 Utilities 26,144,795 -- -- 26,144,795 Investment Company 20,919,293 -- -- 20,919,293 -------------- ------------- ----------- -------------- Total Assets $1,311,670,983 $ 2,386,030 $ -- $1,314,057,013 -------------- ------------- ----------- --------------
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 methodologies, 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," observable market inputs other than unadjusted quoted prices 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 Main Street Fund/VA Oppenheimer Main Street Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) Securities are valued using unadjusted quoted market prices, when available, as supplied primarily 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 it is 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. U.S. domestic and international debt instruments (including corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and "money market-type" debt instruments with a remaining maturity in excess of sixty days are valued at the mean between the "bid" and "asked" prices utilizing price quotations obtained from independent pricing services or broker-dealers. Such prices are typically determined based upon information obtained from market participants including reported trade data, broker-dealer price quotations and inputs such as benchmark yields and issuer spreads from identical or similar securities. "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 current price quotation obtained from an independent pricing service or broker-dealer, 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 of the Fund 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. 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. 5 | Oppenheimer Main Street Fund/VA Oppenheimer Main Street Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) 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 accordance with its investment objectives, the Fund may use derivatives to increase or decrease its exposure to one or more of the following market risk factors: COMMODITY RISK. Commodity risk relates to the change in value of commodities or commodity indexes as they relate to increases or decreases in the commodities market. Commodities are physical assets that have tangible properties. Examples of these types of assets are crude oil, heating oil, metals, livestock, and agricultural products. 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. EQUITY RISK. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market. 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. 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. VOLATILITY RISK. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument's price over a defined time period. Large increases or decreases in a financial instrument's price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk. The Fund's actual exposures to these market risk factors during the period are discussed in further detail, by derivative type, below. 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. 6 | Oppenheimer Main Street Fund/VA Oppenheimer Main Street Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) 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. CREDIT RELATED CONTINGENT FEATURES. The Fund's agreements with derivative counterparties have 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 International Swap and Derivatives Association, Inc. master agreements which govern certain positions in swaps, over-the-counter options and swaptions, and forward currency exchange contracts for each individual counterparty. 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. The Fund has purchased and sold certain forward foreign currency exchange contracts of different currencies in order to acquire currencies to pay for or sell currencies to acquire related foreign securities purchase and sale transactions, respectively, or to convert foreign currencies to U.S. dollars from related foreign securities transactions. These foreign currency exchange contracts are negotiated at the current spot exchange rate with settlement typically within two business days thereafter. During the period ended September 30, 2011, the Fund had daily average contract amounts on forward foreign currency contracts to buy and sell of $49,040 and $363, respectively. Additional associated risk to the Fund includes counterparty credit risk. Counterparty credit risk arises from the possibility that the counterparty will default. As of September 30, 2011, the Fund had no outstanding forward contracts. FEDERAL TAXES. 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, 2011 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 $1,166,033,494 =============== Gross unrealized appreciation $ 229,359,569 Gross unrealized depreciation (81,336,050) --------------- Net unrealized appreciation $ 148,023,519 ===============
7 | Oppenheimer Main Street Fund/VA Oppenheimer Main Street Small- & Mid-Cap Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Shares Value ------------------------------------------------------------------------------------------------------- COMMON STOCKS--97.6% ------------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY--14.6% ------------------------------------------------------------------------------------------------------- AUTO COMPONENTS--1.0% American Axle & Manufacturing Holdings, Inc.(1) 109,870 $ 838,308 ------------------------------------------------------------------------------------------------------- Dana Holding Corp.(1) 552,790 5,804,295 ------------------------------------------------------------------------------------------------------- Drew Industries, Inc. 11,840 236,563 ------------------------------------------------------------------------------------------------------- Lear Corp. 550 23,595 ------------------------------------------------------------------------------------------------------- Standard Motor Products, Inc. 21,460 278,336 ------------------------------------------------------------------------------------------------------- Superior Industries International, Inc. 27,050 417,923 --------------- 7,599,020 ------------------------------------------------------------------------------------------------------- AUTOMOBILES--0.0% Thor Industries, Inc. 6,700 148,405 ------------------------------------------------------------------------------------------------------- DISTRIBUTORS--0.7% Pool Corp. 204,390 5,350,930 ------------------------------------------------------------------------------------------------------- DIVERSIFIED CONSUMER SERVICES--0.7% Bridgepoint Education, Inc.(1) 60,510 1,055,294 ------------------------------------------------------------------------------------------------------- Career Education Corp.(1) 106,260 1,386,693 ------------------------------------------------------------------------------------------------------- Coinstar, Inc.(1) 30,500 1,220,000 ------------------------------------------------------------------------------------------------------- DeVry, Inc. 15,050 556,248 ------------------------------------------------------------------------------------------------------- Education Management Corp.(1) 40,340 598,646 ------------------------------------------------------------------------------------------------------- Lincoln Educational Services Corp. 73,510 594,696 ------------------------------------------------------------------------------------------------------- Universal Technical Institute, Inc.(1) 11,110 150,985 --------------- 5,562,562 ------------------------------------------------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE--2.0% AFC Enterprises, Inc.(1) 15,072 178,302 ------------------------------------------------------------------------------------------------------- Ameristar Casinos, Inc. 70,900 1,137,945 ------------------------------------------------------------------------------------------------------- Bally Technologies, Inc.(1) 62,880 1,696,502 ------------------------------------------------------------------------------------------------------- Brinker International, Inc. 83,960 1,756,443 ------------------------------------------------------------------------------------------------------- Cheesecake Factory, Inc. (The)(1) 43,560 1,073,754 ------------------------------------------------------------------------------------------------------- Cracker Barrel Old Country Store, Inc. 96,600 3,871,728 ------------------------------------------------------------------------------------------------------- Dunkin' Brands Group, Inc.(1) 84,260 2,334,002 ------------------------------------------------------------------------------------------------------- Papa John's International, Inc.(1) 52,388 1,592,595 ------------------------------------------------------------------------------------------------------- Shuffle Master, Inc.(1) 100,130 842,093 ------------------------------------------------------------------------------------------------------- Texas Roadhouse, Inc., Cl. A 38,490 508,838 ------------------------------------------------------------------------------------------------------- Wyndham Worldwide Corp. 10,720 305,627 --------------- 15,297,829 ------------------------------------------------------------------------------------------------------- HOUSEHOLD DURABLES--1.2% American Greetings Corp., Cl. A 65,020 1,202,870 ------------------------------------------------------------------------------------------------------- CSS Industries, Inc. 12,490 208,333 ------------------------------------------------------------------------------------------------------- Helen of Troy Ltd.(1) 38,160 958,579 ------------------------------------------------------------------------------------------------------- Jarden Corp. 5,380 152,039 ------------------------------------------------------------------------------------------------------- Toll Brothers, Inc.(1) 446,750 6,446,603 --------------- 8,968,424 ------------------------------------------------------------------------------------------------------- INTERNET & CATALOG RETAIL--0.1% Expedia, Inc. 18,620 479,465 ------------------------------------------------------------------------------------------------------- LEISURE EQUIPMENT & PRODUCTS--0.1% JAKKS Pacific, Inc. 43,630 826,789
1 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA Oppenheimer Main Street Small- & Mid-Cap Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Shares Value ------------------------------------------------------------------------------------------------------- MEDIA--1.1% Belo Corp., Cl. A 99,740 $ 487,729 ------------------------------------------------------------------------------------------------------- CTC Media, Inc. 3,940 35,066 ------------------------------------------------------------------------------------------------------- Dish Network Corp., Cl. A(1) 15,710 393,693 ------------------------------------------------------------------------------------------------------- Global Sources Ltd.(1) 17,280 116,986 ------------------------------------------------------------------------------------------------------- Harte-Hanks, Inc. 3,470 29,426 ------------------------------------------------------------------------------------------------------- IMAX Corp.(1) 322,650 4,671,972 ------------------------------------------------------------------------------------------------------- Interpublic Group of Cos., Inc. (The) 169,950 1,223,640 ------------------------------------------------------------------------------------------------------- Journal Communications, Inc.(1) 56,800 168,696 ------------------------------------------------------------------------------------------------------- Sinclair Broadcast Group, Inc., Cl. A 158,513 1,136,538 ------------------------------------------------------------------------------------------------------- Valassis Communications, Inc.(1) 14,550 272,667 --------------- 8,536,413 ------------------------------------------------------------------------------------------------------- MULTILINE RETAIL--0.6% Big Lots, Inc.(1) 52,220 1,818,823 ------------------------------------------------------------------------------------------------------- Dillard's, Inc., Cl. A 49,620 2,157,478 ------------------------------------------------------------------------------------------------------- Fred's, Inc. 20,410 217,571 ------------------------------------------------------------------------------------------------------- Saks, Inc.(1) 66,390 580,913 --------------- 4,774,785 ------------------------------------------------------------------------------------------------------- SPECIALTY RETAIL--5.3% Aaron's, Inc. 33,370 842,593 ------------------------------------------------------------------------------------------------------- Advance Auto Parts, Inc. 260 15,106 ------------------------------------------------------------------------------------------------------- American Eagle Outfitters, Inc. 2,170 25,432 ------------------------------------------------------------------------------------------------------- AnnTaylor Stores Corp.(1) 49,750 1,136,290 ------------------------------------------------------------------------------------------------------- Ascena Retail Group, Inc.(1) 65,170 1,764,152 ------------------------------------------------------------------------------------------------------- Casual Male Retail Group, Inc.(1) 10,940 41,134 ------------------------------------------------------------------------------------------------------- Cato Corp., Cl. A 80,284 1,811,207 ------------------------------------------------------------------------------------------------------- Chico's FAS, Inc. 86,250 985,838 ------------------------------------------------------------------------------------------------------- Children's Place Retail Stores, Inc.(1) 146,790 6,830,139 ------------------------------------------------------------------------------------------------------- Cost Plus, Inc.(1) 10,380 65,394 ------------------------------------------------------------------------------------------------------- DSW, Inc., Cl. A 3,400 157,012 ------------------------------------------------------------------------------------------------------- Express, Inc. 106,150 2,153,784 ------------------------------------------------------------------------------------------------------- Finish Line, Inc. (The), Cl. A 100,680 2,012,593 ------------------------------------------------------------------------------------------------------- Foot Locker, Inc. 104,330 2,095,990 ------------------------------------------------------------------------------------------------------- GameStop Corp., Cl. A(1) 87,970 2,032,107 ------------------------------------------------------------------------------------------------------- Men's Wearhouse, Inc. (The) 56,110 1,463,349 ------------------------------------------------------------------------------------------------------- Monro Muffler Brake, Inc. 159,130 5,246,516 ------------------------------------------------------------------------------------------------------- Pep Boys-Manny, Moe & Jack 10,030 98,996 ------------------------------------------------------------------------------------------------------- PetSmart, Inc. 2,380 101,507 ------------------------------------------------------------------------------------------------------- Pier 1 Imports, Inc.(1) 105,410 1,030,910 ------------------------------------------------------------------------------------------------------- Sally Beauty Holdings, Inc.(1) 78,630 1,305,258 ------------------------------------------------------------------------------------------------------- Select Comfort Corp.(1) 79,990 1,117,460 ------------------------------------------------------------------------------------------------------- Stage Stores, Inc. 59,719 828,303 ------------------------------------------------------------------------------------------------------- Tractor Supply Co. 88,730 5,550,062 ------------------------------------------------------------------------------------------------------- Williams-Sonoma, Inc. 37,760 1,162,630 --------------- 39,873,762 ------------------------------------------------------------------------------------------------------- TEXTILES, APPAREL & LUXURY GOODS--1.8% Fossil, Inc.(1) 64,727 5,246,771 -------------------------------------------------------------------------------------------------------
2 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA Oppenheimer Main Street Small- & Mid-Cap Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Shares Value ------------------------------------------------------------------------------------------------------- TEXTILES, APPAREL & LUXURY GOODS CONTINUED ------------------------------------------------------------------------------------------------------- Iconix Brand Group, Inc.(1) 32,640 $ 515,712 ------------------------------------------------------------------------------------------------------- PVH Corp. 126,250 7,352,800 ------------------------------------------------------------------------------------------------------- Warnaco Group, Inc. (The)(1) 3,040 140,114 --------------- 13,255,397 ------------------------------------------------------------------------------------------------------- CONSUMER STAPLES--3.0% ------------------------------------------------------------------------------------------------------- BEVERAGES--0.0% National Beverage Corp. 4,740 71,858 ------------------------------------------------------------------------------------------------------- FOOD & STAPLES RETAILING--0.3% Casey's General Stores, Inc. 17,320 756,018 ------------------------------------------------------------------------------------------------------- Fresh Market, Inc. (The)(1) 1,890 72,122 ------------------------------------------------------------------------------------------------------- Ruddick Corp. 23,120 901,449 ------------------------------------------------------------------------------------------------------- Spartan Stores, Inc. 28,950 448,146 ------------------------------------------------------------------------------------------------------- Weis Markets, Inc. 2,350 87,091 --------------- 2,264,826 ------------------------------------------------------------------------------------------------------- FOOD PRODUCTS--1.3% B&G Foods, Inc., Cl. A 40 667 ------------------------------------------------------------------------------------------------------- Darling International, Inc.(1) 90,930 1,144,809 ------------------------------------------------------------------------------------------------------- Hormel Foods Corp. 51,460 1,390,449 ------------------------------------------------------------------------------------------------------- Omega Protein Corp.(1) 22,180 201,394 ------------------------------------------------------------------------------------------------------- Overhill Farms, Inc.(1) 41,360 153,032 ------------------------------------------------------------------------------------------------------- Smithfield Foods, Inc.(1) 3,110 60,645 ------------------------------------------------------------------------------------------------------- TreeHouse Foods, Inc.(1) 86,006 5,318,611 ------------------------------------------------------------------------------------------------------- Tyson Foods, Inc., Cl. A 99,690 1,730,618 --------------- 10,000,225 ------------------------------------------------------------------------------------------------------- HOUSEHOLD PRODUCTS--0.8% Church & Dwight Co., Inc. 137,620 6,082,804 ------------------------------------------------------------------------------------------------------- PERSONAL PRODUCTS--0.6% Elizabeth Arden, Inc.(1) 5,940 168,934 ------------------------------------------------------------------------------------------------------- Medifast, Inc.(1) 51,000 823,650 ------------------------------------------------------------------------------------------------------- Nu Skin Asia Pacific, Inc., Cl. A 40,090 1,624,447 ------------------------------------------------------------------------------------------------------- Prestige Brands Holdings, Inc.(1) 38,160 345,348 ------------------------------------------------------------------------------------------------------- Revlon, Inc., Cl. A(1) 19,250 237,160 ------------------------------------------------------------------------------------------------------- USANA Health Sciences, Inc.(1) 29,300 805,750 --------------- 4,005,289 ------------------------------------------------------------------------------------------------------- TOBACCO--0.0% Universal Corp. 1,300 46,618 ------------------------------------------------------------------------------------------------------- ENERGY--6.5% ------------------------------------------------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES--1.6% Basic Energy Services, Inc.(1) 3,940 55,790 ------------------------------------------------------------------------------------------------------- Bolt Technology Corp.(1) 23,780 238,751 ------------------------------------------------------------------------------------------------------- Complete Production Services, Inc.(1) 53,250 1,003,763 ------------------------------------------------------------------------------------------------------- Helix Energy Solutions Group, Inc.(1) 78,280 1,025,468 ------------------------------------------------------------------------------------------------------- ION Geophysical Corp.(1) 66,840 316,153 ------------------------------------------------------------------------------------------------------- Matrix Service Co.(1) 29,550 251,471 ------------------------------------------------------------------------------------------------------- Nabors Industries Ltd.(1) 73,880 905,769 -------------------------------------------------------------------------------------------------------
3 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA Oppenheimer Main Street Small- & Mid-Cap Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Shares Value ------------------------------------------------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES CONTINUED ------------------------------------------------------------------------------------------------------- Newpark Resources, Inc.(1) 267,820 $ 1,631,024 ------------------------------------------------------------------------------------------------------- Parker Drilling Co.(1) 135,680 595,635 ------------------------------------------------------------------------------------------------------- Patterson-UTI Energy, Inc. 65,560 1,136,810 ------------------------------------------------------------------------------------------------------- Pioneer Drilling Co.(1) 67,970 488,025 ------------------------------------------------------------------------------------------------------- Precision Drilling Corp.(1) 142,210 1,178,921 ------------------------------------------------------------------------------------------------------- RPC, Inc. 84,350 1,376,592 ------------------------------------------------------------------------------------------------------- Superior Energy Services, Inc.(1) 48,200 1,264,768 ------------------------------------------------------------------------------------------------------- Tesco Corp.(1) 40,820 473,512 --------------- 11,942,452 ------------------------------------------------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS--4.9% Alon USA Energy, Inc. 12,190 74,725 ------------------------------------------------------------------------------------------------------- Crosstex Energy, Inc. 5,730 77,240 ------------------------------------------------------------------------------------------------------- CVR Energy, Inc.(1) 95,404 2,016,841 ------------------------------------------------------------------------------------------------------- Delek US Holdings, Inc. 26,330 296,739 ------------------------------------------------------------------------------------------------------- Energy XXI (Bermuda) Ltd.(1) 121,560 2,607,462 ------------------------------------------------------------------------------------------------------- HollyFrontier Corp. 289,330 7,586,233 ------------------------------------------------------------------------------------------------------- Kosmos Energy Ltd.(1) 264,890 3,101,862 ------------------------------------------------------------------------------------------------------- MarkWest Energy Partners LP 179,078 8,228,634 ------------------------------------------------------------------------------------------------------- PAA Natural Gas Storage LP 234,200 3,817,460 ------------------------------------------------------------------------------------------------------- Petrobras Argentina SA, ADR 37,300 512,875 ------------------------------------------------------------------------------------------------------- PetroQuest Energy, Inc.(1) 159,360 876,480 ------------------------------------------------------------------------------------------------------- PrimeEnergy Corp.(1) 1,372 26,809 ------------------------------------------------------------------------------------------------------- Stone Energy Corp.(1) 75,040 1,216,398 ------------------------------------------------------------------------------------------------------- Tesoro Corp.(1) 81,320 1,583,300 ------------------------------------------------------------------------------------------------------- Ultrapar Participacoes SA, Sponsored ADR 73,850 1,169,046 ------------------------------------------------------------------------------------------------------- VAALCO Energy, Inc.(1) 209,110 1,016,275 ------------------------------------------------------------------------------------------------------- W&T Offshore, Inc. 85,720 1,179,507 ------------------------------------------------------------------------------------------------------- Warren Resources, Inc.(1) 110,360 264,864 ------------------------------------------------------------------------------------------------------- Western Refining, Inc.(1) 145,840 1,817,166 --------------- 37,469,916 ------------------------------------------------------------------------------------------------------- FINANCIALS--20.9% ------------------------------------------------------------------------------------------------------- CAPITAL MARKETS--1.0% Apollo Global Management LLC 141,470 1,448,653 ------------------------------------------------------------------------------------------------------- Arlington Asset Investment Corp. 2,140 51,467 ------------------------------------------------------------------------------------------------------- Artio Global Investors, Inc. 50,960 405,642 ------------------------------------------------------------------------------------------------------- Cohen & Steers, Inc. 4,380 125,925 ------------------------------------------------------------------------------------------------------- FXCM, Inc., Cl. A 4,270 59,865 ------------------------------------------------------------------------------------------------------- Janus Capital Group, Inc. 126,470 758,820 ------------------------------------------------------------------------------------------------------- KBW, Inc. 205,550 2,834,535 ------------------------------------------------------------------------------------------------------- LPL Investment Holdings, Inc.(1) 2,930 74,481 ------------------------------------------------------------------------------------------------------- MF Global Holdings Ltd.(1) 440,848 1,820,702 --------------- 7,580,090 ------------------------------------------------------------------------------------------------------- COMMERCIAL BANKS--2.3% BBVA Banco Frances SA, ADR 74,253 408,392 ------------------------------------------------------------------------------------------------------- CapitalSource, Inc. 1,129,650 6,936,051 ------------------------------------------------------------------------------------------------------- Cardinal Financial Corp. 1,540 13,275 -------------------------------------------------------------------------------------------------------
4 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA Oppenheimer Main Street Small- & Mid-Cap Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Shares Value ------------------------------------------------------------------------------------------------------- COMMERCIAL BANKS CONTINUED ------------------------------------------------------------------------------------------------------- Century Bancorp, Inc., Cl. A 11,390 $ 264,476 ------------------------------------------------------------------------------------------------------- Enterprise Financial Services Corp. 8,780 119,320 ------------------------------------------------------------------------------------------------------- First Midwest Bancorp, Inc. 116,910 855,781 ------------------------------------------------------------------------------------------------------- FirstMerit Corp. 354,130 4,022,917 ------------------------------------------------------------------------------------------------------- Fulton Financial Corp. 87,720 671,058 ------------------------------------------------------------------------------------------------------- Grupo Financiero Galicia SA, ADR 101,050 836,694 ------------------------------------------------------------------------------------------------------- IBERIABANK Corp. 48,322 2,274,033 ------------------------------------------------------------------------------------------------------- International Bancshares Corp. 9 118 ------------------------------------------------------------------------------------------------------- National Bankshares, Inc. 8,691 209,714 ------------------------------------------------------------------------------------------------------- Northrim BanCorp, Inc. 8,430 163,121 ------------------------------------------------------------------------------------------------------- Republic Bancorp, Inc., Cl. A 10,770 190,737 ------------------------------------------------------------------------------------------------------- Washington Banking Co. 11,460 111,506 --------------- 17,077,193 ------------------------------------------------------------------------------------------------------- CONSUMER FINANCE--0.3% Advance America Cash Advance Centers, Inc. 94,120 692,723 ------------------------------------------------------------------------------------------------------- World Acceptance Corp.(1) 30,057 1,681,689 --------------- 2,374,412 ------------------------------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES--2.1% Life Partners Holdings, Inc. 49,149 297,351 ------------------------------------------------------------------------------------------------------- Moody's Corp. 205,400 6,254,430 ------------------------------------------------------------------------------------------------------- MSCI, Inc., Cl. A(1) 302,800 9,183,924 --------------- 15,735,705 ------------------------------------------------------------------------------------------------------- INSURANCE--5.5% Alterra Capital Holdings Ltd. 112,230 2,129,003 ------------------------------------------------------------------------------------------------------- American Equity Investment Life Holding Co. 127,820 1,118,425 ------------------------------------------------------------------------------------------------------- American Financial Group, Inc. 65,890 2,047,202 ------------------------------------------------------------------------------------------------------- American Safety Insurance Holdings Ltd.(1) 18,090 332,856 ------------------------------------------------------------------------------------------------------- Amerisafe, Inc.(1) 17,280 318,125 ------------------------------------------------------------------------------------------------------- AmTrust Financial Services, Inc. 85,468 1,902,518 ------------------------------------------------------------------------------------------------------- Arch Capital Group Ltd.(1) 185,550 6,062,846 ------------------------------------------------------------------------------------------------------- Assured Guaranty Ltd. 54,010 593,570 ------------------------------------------------------------------------------------------------------- Berkley (W.R.) Corp. 4,212 125,054 ------------------------------------------------------------------------------------------------------- Brown & Brown, Inc. 268,260 4,775,028 ------------------------------------------------------------------------------------------------------- CNO Financial Group, Inc.(1) 184,970 1,000,688 ------------------------------------------------------------------------------------------------------- Crawford & Co. 21,340 114,382 ------------------------------------------------------------------------------------------------------- Delphi Financial Group, Inc., Cl. A 61,340 1,320,037 ------------------------------------------------------------------------------------------------------- FBL Financial Group, Inc., Cl. A 36,710 977,220 ------------------------------------------------------------------------------------------------------- Fidelity National Financial, Inc., Cl. A 148,140 2,248,765 ------------------------------------------------------------------------------------------------------- Global Indemnity plc(1) 2,560 43,725 ------------------------------------------------------------------------------------------------------- Hartford Financial Services Group, Inc. (The) 1,590 25,663 ------------------------------------------------------------------------------------------------------- HCC Insurance Holdings, Inc. 67,780 1,833,449 ------------------------------------------------------------------------------------------------------- Horace Mann Educators Corp. 69,599 794,125 ------------------------------------------------------------------------------------------------------- Lincoln National Corp. 16,420 256,645 ------------------------------------------------------------------------------------------------------- Maiden Holdings Ltd. 123,380 911,778 ------------------------------------------------------------------------------------------------------- Meadowbrook Insurance Group, Inc. 122,250 1,089,248 ------------------------------------------------------------------------------------------------------- National Interstate Corp. 11,390 250,352 ------------------------------------------------------------------------------------------------------- National Western Life Insurance Co., Cl. A 2,780 376,690 ------------------------------------------------------------------------------------------------------- OneBeacon Insurance Group Ltd. 54,420 742,289 -------------------------------------------------------------------------------------------------------
5 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA Oppenheimer Main Street Small- & Mid-Cap Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Shares Value ------------------------------------------------------------------------------------------------------- INSURANCE CONTINUED ------------------------------------------------------------------------------------------------------- Phoenix Cos., Inc. (The)(1) 52,970 $ 64,623 ------------------------------------------------------------------------------------------------------- Primerica, Inc. 102,240 2,204,294 ------------------------------------------------------------------------------------------------------- Principal Financial Group, Inc. (The) 27,320 619,344 ------------------------------------------------------------------------------------------------------- Protective Life Corp. 70,770 1,106,135 ------------------------------------------------------------------------------------------------------- Reinsurance Group of America, Inc. 35,500 1,631,225 ------------------------------------------------------------------------------------------------------- StanCorp Financial Group, Inc. 3,522 97,102 ------------------------------------------------------------------------------------------------------- Symetra Financial Corp. 127,150 1,036,273 ------------------------------------------------------------------------------------------------------- Torchmark Corp. 32,285 1,125,455 ------------------------------------------------------------------------------------------------------- Tower Group, Inc. 68,160 1,558,138 ------------------------------------------------------------------------------------------------------- Universal Insurance Holdings, Inc. 20,220 77,847 ------------------------------------------------------------------------------------------------------- Unum Group 51,710 1,083,842 --------------- 41,993,961 ------------------------------------------------------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS--9.2% American Assets Trust, Inc. 4,160 74,672 ------------------------------------------------------------------------------------------------------- American Campus Communities, Inc. 65,150 2,424,232 ------------------------------------------------------------------------------------------------------- Apartment Investment & Management Co. 46,190 1,021,723 ------------------------------------------------------------------------------------------------------- Associated Estates Realty Corp. 85,250 1,317,965 ------------------------------------------------------------------------------------------------------- BRE Properties, Inc., Cl. A 47,830 2,025,122 ------------------------------------------------------------------------------------------------------- Camden Property Trust 11,180 617,807 ------------------------------------------------------------------------------------------------------- CBL & Associates Properties, Inc. 77,410 879,378 ------------------------------------------------------------------------------------------------------- Chatham Lodging Trust 145,140 1,439,789 ------------------------------------------------------------------------------------------------------- Colonial Properties Trust 59,790 1,085,786 ------------------------------------------------------------------------------------------------------- CubeSmart 181,750 1,550,328 ------------------------------------------------------------------------------------------------------- CYS Investments, Inc. 231,870 2,803,308 ------------------------------------------------------------------------------------------------------- DDR Corp. 87,650 955,385 ------------------------------------------------------------------------------------------------------- Digital Realty Trust, Inc. 136,930 7,553,059 ------------------------------------------------------------------------------------------------------- Douglas Emmett, Inc. 15,880 271,548 ------------------------------------------------------------------------------------------------------- EastGroup Properties, Inc. 29,750 1,134,665 ------------------------------------------------------------------------------------------------------- Education Realty Trust, Inc. 26,570 228,236 ------------------------------------------------------------------------------------------------------- Equity Lifestyle Properties, Inc. 31,340 1,965,018 ------------------------------------------------------------------------------------------------------- Essex Property Trust, Inc. 17,100 2,052,684 ------------------------------------------------------------------------------------------------------- Extra Space Storage, Inc. 105,920 1,973,290 ------------------------------------------------------------------------------------------------------- Federal Realty Investment Trust 15,340 1,264,169 ------------------------------------------------------------------------------------------------------- Glimcher Realty Trust 71,350 505,158 ------------------------------------------------------------------------------------------------------- Hatteras Financial Corp. 181,640 4,570,062 ------------------------------------------------------------------------------------------------------- Highwoods Properties, Inc. 26,490 748,607 ------------------------------------------------------------------------------------------------------- Home Properties of New York, Inc. 39,030 2,215,343 ------------------------------------------------------------------------------------------------------- Hospitality Properties Trust 62,760 1,332,395 ------------------------------------------------------------------------------------------------------- LaSalle Hotel Properties 316,850 6,083,520 ------------------------------------------------------------------------------------------------------- Lexington Realty Trust 30,320 198,293 ------------------------------------------------------------------------------------------------------- Liberty Property Trust 30,930 900,372 ------------------------------------------------------------------------------------------------------- LTC Properties, Inc. 5,100 129,132 ------------------------------------------------------------------------------------------------------- Mid-America Apartment Communities, Inc. 79,629 4,795,258 ------------------------------------------------------------------------------------------------------- National Retail Properties, Inc. 54,120 1,454,204 ------------------------------------------------------------------------------------------------------- Post Properties, Inc. 34,590 1,201,657 ------------------------------------------------------------------------------------------------------- Realty Income Corp. 26,970 869,513 ------------------------------------------------------------------------------------------------------- Sovran Self Storage, Inc. 11,220 417,047 ------------------------------------------------------------------------------------------------------- Starwood Property Trust, Inc. 291,010 4,993,732 ------------------------------------------------------------------------------------------------------- Sun Communities, Inc. 33,000 1,161,270 ------------------------------------------------------------------------------------------------------- Tanger Factory Outlet Centers, Inc. 81,910 2,130,479 -------------------------------------------------------------------------------------------------------
6 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA Oppenheimer Main Street Small- & Mid-Cap Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Shares Value ------------------------------------------------------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS CONTINUED ------------------------------------------------------------------------------------------------------- Taubman Centers, Inc. 35,310 $ 1,776,446 ------------------------------------------------------------------------------------------------------- UDR, Inc. 14,350 317,709 ------------------------------------------------------------------------------------------------------- Weingarten Realty Investors 48,580 1,028,439 --------------- 69,466,800 ------------------------------------------------------------------------------------------------------- THRIFTS & MORTGAGE FINANCE--0.5% BankUnited, Inc. 154,400 3,205,344 ------------------------------------------------------------------------------------------------------- First Defiance Financial Corp.(1) 29,210 391,414 ------------------------------------------------------------------------------------------------------- OceanFirst Financial Corp. 11,660 136,072 ------------------------------------------------------------------------------------------------------- Walker & Dunlop, Inc.(1) 14,060 163,377 --------------- 3,896,207 ------------------------------------------------------------------------------------------------------- HEALTH CARE--12.3% ------------------------------------------------------------------------------------------------------- BIOTECHNOLOGY--1.5% Ariad Pharmaceuticals, Inc.(1) 119,110 1,046,977 ------------------------------------------------------------------------------------------------------- Aveo Pharmaceuticals, Inc.(1) 71,700 1,103,463 ------------------------------------------------------------------------------------------------------- Halozyme Therapeutics, Inc.(1) 254,990 1,565,639 ------------------------------------------------------------------------------------------------------- Indevus Pharmaceuticals, Inc.(1) 2,500 25 ------------------------------------------------------------------------------------------------------- Momenta Pharmaceuticals, Inc.(1) 87,750 1,009,125 ------------------------------------------------------------------------------------------------------- Myriad Genetics, Inc.(1) 85,210 1,596,835 ------------------------------------------------------------------------------------------------------- PDL BioPharma, Inc. 378,102 2,098,466 ------------------------------------------------------------------------------------------------------- Pharmasset, Inc.(1) 27,710 2,282,473 ------------------------------------------------------------------------------------------------------- SciClone Pharmaceuticals, Inc.(1) 145,670 555,003 --------------- 11,258,006 ------------------------------------------------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES--1.8% Align Technology, Inc.(1) 20,830 315,991 ------------------------------------------------------------------------------------------------------- ArthroCare Corp.(1) 14,990 431,262 ------------------------------------------------------------------------------------------------------- Atrion Corp. 2,363 490,063 ------------------------------------------------------------------------------------------------------- Cantel Medical Corp. 5,640 119,117 ------------------------------------------------------------------------------------------------------- ConMed Corp.(1) 3,890 89,509 ------------------------------------------------------------------------------------------------------- Dexcom, Inc.(1) 257,120 3,085,440 ------------------------------------------------------------------------------------------------------- Greatbatch, Inc.(1) 183,630 3,674,436 ------------------------------------------------------------------------------------------------------- Hill-Rom Holdings, Inc. 55,300 1,660,106 ------------------------------------------------------------------------------------------------------- Invacare Corp. 20,315 468,058 ------------------------------------------------------------------------------------------------------- Orthofix International NV(1) 53,030 1,830,065 ------------------------------------------------------------------------------------------------------- Vascular Solutions, Inc.(1) 500 5,725 ------------------------------------------------------------------------------------------------------- Wright Medical Group, Inc.(1) 47,730 853,412 ------------------------------------------------------------------------------------------------------- Young Innovations, Inc. 9,870 281,295 --------------- 13,304,479 ------------------------------------------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES--4.5% AMERIGROUP Corp.(1) 3,970 154,870 ------------------------------------------------------------------------------------------------------- AmSurg Corp.(1) 46,180 1,039,050 ------------------------------------------------------------------------------------------------------- Assisted Living Concepts, Inc. 4,090 51,820 ------------------------------------------------------------------------------------------------------- Bio-Reference Laboratories, Inc.(1) 5,120 94,259 ------------------------------------------------------------------------------------------------------- Brookdale Senior Living, Inc.(1) 10,620 133,175 ------------------------------------------------------------------------------------------------------- Centene Corp.(1) 58,510 1,677,482 -------------------------------------------------------------------------------------------------------
7 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA Oppenheimer Main Street Small- & Mid-Cap Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Shares Value ------------------------------------------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES CONTINUED ------------------------------------------------------------------------------------------------------- Chemed Corp. 1,260 $ 69,250 ------------------------------------------------------------------------------------------------------- Coventry Health Care, Inc.(1) 32,930 948,713 ------------------------------------------------------------------------------------------------------- Ensign Group, Inc. (The) 48,490 1,120,604 ------------------------------------------------------------------------------------------------------- ExamWorks Group, Inc.(1) 13,440 136,819 ------------------------------------------------------------------------------------------------------- Health Management Associates, Inc., Cl. A(1) 387,210 2,679,493 ------------------------------------------------------------------------------------------------------- Healthspring, Inc.(1) 349,168 12,730,665 ------------------------------------------------------------------------------------------------------- HMS Holdings Corp.(1) 185,820 4,532,150 ------------------------------------------------------------------------------------------------------- LifePoint Hospitals, Inc.(1) 10,780 394,979 ------------------------------------------------------------------------------------------------------- Lincare Holdings, Inc. 73,776 1,659,960 ------------------------------------------------------------------------------------------------------- MedQuist Holdings, Inc.(1) 80,080 605,405 ------------------------------------------------------------------------------------------------------- Metropolitan Health Networks, Inc.(1) 119,780 543,801 ------------------------------------------------------------------------------------------------------- Molina Healthcare, Inc.(1) 11,750 181,420 ------------------------------------------------------------------------------------------------------- National HealthCare Corp. 4,290 138,567 ------------------------------------------------------------------------------------------------------- Patterson Cos., Inc. 27,970 800,781 ------------------------------------------------------------------------------------------------------- Providence Service Corp.(1) 9,070 96,596 ------------------------------------------------------------------------------------------------------- PSS World Medical, Inc.(1) 67,320 1,325,531 ------------------------------------------------------------------------------------------------------- Select Medical Holdings Corp.(1) 71,300 475,571 ------------------------------------------------------------------------------------------------------- Team Health Holdings, Inc.(1) 56,050 920,341 ------------------------------------------------------------------------------------------------------- Tenet Healthcare Corp.(1) 186,450 770,039 ------------------------------------------------------------------------------------------------------- Triple-S Management Corp., Cl. B(1) 18,197 304,800 ------------------------------------------------------------------------------------------------------- U.S. Physical Therapy, Inc. 35,515 657,738 ------------------------------------------------------------------------------------------------------- Universal Health Services, Inc., Cl. B 6,410 217,940 --------------- 34,461,819 ------------------------------------------------------------------------------------------------------- HEALTH CARE TECHNOLOGY--0.3% HealthStream, Inc.(1) 7,780 99,817 ------------------------------------------------------------------------------------------------------- SXC Health Solutions Corp.(1) 37,980 2,115,486 ------------------------------------------------------------------------------------------------------- Transcend Services, Inc.(1) 16,880 380,475 --------------- 2,595,778 ------------------------------------------------------------------------------------------------------- LIFE SCIENCES TOOLS & SERVICES--1.5% Affymetrix, Inc.(1) 156,760 768,124 ------------------------------------------------------------------------------------------------------- Bruker Corp.(1) 78,520 1,062,376 ------------------------------------------------------------------------------------------------------- Cambrex Corp.(1) 97,060 489,182 ------------------------------------------------------------------------------------------------------- eResearch Technology, Inc.(1) 54,710 244,007 ------------------------------------------------------------------------------------------------------- Harvard Bioscience, Inc.(1) 70,920 299,282 ------------------------------------------------------------------------------------------------------- Pharmaceutical Product Development, Inc. 77,590 1,990,959 ------------------------------------------------------------------------------------------------------- Waters Corp.(1) 81,540 6,155,455 --------------- 11,009,385 ------------------------------------------------------------------------------------------------------- PHARMACEUTICALS--2.7% Hi-Tech Pharmacal Co., Inc.(1) 42,370 1,423,632 ------------------------------------------------------------------------------------------------------- Ista Pharmaceuticals, Inc.(1) 52,670 181,712 ------------------------------------------------------------------------------------------------------- Medicines Co. (The)(1) 129,610 1,928,597 ------------------------------------------------------------------------------------------------------- Obagi Medical Products, Inc.(1) 24,780 224,755 ------------------------------------------------------------------------------------------------------- Perrigo Co. 23,750 2,306,363 ------------------------------------------------------------------------------------------------------- Questcor Pharmaceuticals, Inc.(1) 324,683 8,850,859 -------------------------------------------------------------------------------------------------------
8 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA Oppenheimer Main Street Small- & Mid-Cap Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Shares Value ------------------------------------------------------------------------------------------------------- PHARMACEUTICALS CONTINUED ------------------------------------------------------------------------------------------------------- Salix Pharmaceuticals Ltd.(1) 85,930 $ 2,543,528 ------------------------------------------------------------------------------------------------------- ViroPharma, Inc.(1) 87,210 1,575,885 ------------------------------------------------------------------------------------------------------- Warner Chilcott plc, Cl. A(1) 110,340 1,577,862 --------------- 20,613,193 ------------------------------------------------------------------------------------------------------- INDUSTRIALS--14.4% ------------------------------------------------------------------------------------------------------- AEROSPACE & DEFENSE--1.3% AAR Corp. 640 10,669 ------------------------------------------------------------------------------------------------------- B/E Aerospace, Inc.(1) 190,548 6,309,044 ------------------------------------------------------------------------------------------------------- Ceradyne, Inc.(1) 9,120 245,237 ------------------------------------------------------------------------------------------------------- Cubic Corp. 14,610 570,813 ------------------------------------------------------------------------------------------------------- Curtiss-Wright Corp. 27,130 782,158 ------------------------------------------------------------------------------------------------------- Embraer SA, ADR 24,440 620,043 ------------------------------------------------------------------------------------------------------- LMI Aerospace, Inc.(1) 13,940 237,816 ------------------------------------------------------------------------------------------------------- Moog, Inc., Cl. A(1) 7,000 228,340 ------------------------------------------------------------------------------------------------------- Orbital Sciences Corp.(1) 45,430 581,504 --------------- 9,585,624 ------------------------------------------------------------------------------------------------------- AIR FREIGHT & LOGISTICS--0.7% Forward Air Corp. 1,430 36,394 ------------------------------------------------------------------------------------------------------- Hub Group, Inc., Cl. A(1) 182,220 5,151,359 ------------------------------------------------------------------------------------------------------- Park-Ohio Holdings Corp.(1) 6,410 76,984 --------------- 5,264,737 ------------------------------------------------------------------------------------------------------- AIRLINES--0.5% Alaska Air Group, Inc.(1) 38,650 2,175,609 ------------------------------------------------------------------------------------------------------- JetBlue Airways Corp.(1) 307,590 1,261,119 ------------------------------------------------------------------------------------------------------- Spirit Airlines, Inc.(1) 1,820 22,750 ------------------------------------------------------------------------------------------------------- US Airways Group, Inc.(1) 142,100 781,550 --------------- 4,241,028 ------------------------------------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES--1.9% Brink's Co. (The) 6,320 147,319 ------------------------------------------------------------------------------------------------------- Consolidated Graphics, Inc.(1) 26,850 980,831 ------------------------------------------------------------------------------------------------------- Corrections Corp. of America(1) 47,170 1,070,287 ------------------------------------------------------------------------------------------------------- Deluxe Corp. 93,316 1,735,678 ------------------------------------------------------------------------------------------------------- Ennis, Inc. 14,370 187,672 ------------------------------------------------------------------------------------------------------- Intersections, Inc. 18,220 234,127 ------------------------------------------------------------------------------------------------------- KAR Auction Services, Inc.(1) 85,480 1,035,163 ------------------------------------------------------------------------------------------------------- Knoll, Inc. 112,310 1,538,647 ------------------------------------------------------------------------------------------------------- Miller (Herman), Inc. 37,250 665,285 ------------------------------------------------------------------------------------------------------- Multi-Color Corp. 7,930 179,139 ------------------------------------------------------------------------------------------------------- Quad Graphics, Inc. 7,720 139,500 ------------------------------------------------------------------------------------------------------- R.R. Donnelley & Sons Co. 1,940 27,393 ------------------------------------------------------------------------------------------------------- Steelcase, Inc., Cl. A 110,660 698,265 ------------------------------------------------------------------------------------------------------- Sykes Enterprises, Inc.(1) 76,810 1,148,310 ------------------------------------------------------------------------------------------------------- Team, Inc.(1) 2,570 53,919 ------------------------------------------------------------------------------------------------------- Tetra Tech, Inc.(1) 71,640 1,342,534 ------------------------------------------------------------------------------------------------------- United Stationers, Inc. 7,980 217,455 -------------------------------------------------------------------------------------------------------
9 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA Oppenheimer Main Street Small- & Mid-Cap Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Shares Value ------------------------------------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES CONTINUED ------------------------------------------------------------------------------------------------------- Viad Corp. 10,650 $ 180,837 ------------------------------------------------------------------------------------------------------- Waste Connections, Inc. 87,015 2,942,847 --------------- 14,525,208 ------------------------------------------------------------------------------------------------------- CONSTRUCTION & ENGINEERING--2.3% Aecom Technology Corp.(1) 209,889 3,708,739 ------------------------------------------------------------------------------------------------------- Chicago Bridge & Iron Co. NV 45,490 1,302,379 ------------------------------------------------------------------------------------------------------- Great Lakes Dredge & Dock Co. 151,610 617,053 ------------------------------------------------------------------------------------------------------- KBR, Inc. 328,420 7,760,565 ------------------------------------------------------------------------------------------------------- MasTec, Inc.(1) 97,670 1,719,969 ------------------------------------------------------------------------------------------------------- Primoris Services Corp. 57,780 604,379 ------------------------------------------------------------------------------------------------------- Sterling Construction Co., Inc.(1) 510 5,697 ------------------------------------------------------------------------------------------------------- URS Corp.(1) 50,550 1,499,313 --------------- 17,218,094 ------------------------------------------------------------------------------------------------------- ELECTRICAL EQUIPMENT--1.0% Advanced Battery Technologies, Inc.(1) 346,260 349,723 ------------------------------------------------------------------------------------------------------- Belden, Inc. 16,140 416,251 ------------------------------------------------------------------------------------------------------- EnerSys, Inc.(1) 7,060 141,341 ------------------------------------------------------------------------------------------------------- Generac Holdings, Inc.(1) 172,820 3,250,744 ------------------------------------------------------------------------------------------------------- Regal-Beloit Corp. 77,260 3,506,059 --------------- 7,664,118 ------------------------------------------------------------------------------------------------------- INDUSTRIAL CONGLOMERATES--0.1% Seaboard Corp. 270 486,537 ------------------------------------------------------------------------------------------------------- Standex International Corp. 3,400 105,842 ------------------------------------------------------------------------------------------------------- Tredegar Corp. 41,044 608,683 --------------- 1,201,062 ------------------------------------------------------------------------------------------------------- MACHINERY--2.0% Actuant Corp., Cl. A 67,330 1,329,768 ------------------------------------------------------------------------------------------------------- AGCO Corp.(1) 36,030 1,245,557 ------------------------------------------------------------------------------------------------------- Alamo Group, Inc. 8,830 183,576 ------------------------------------------------------------------------------------------------------- Albany International Corp., Cl. A 34,820 635,465 ------------------------------------------------------------------------------------------------------- Blount International, Inc.(1) 60,430 807,345 ------------------------------------------------------------------------------------------------------- Briggs & Stratton Corp. 101,040 1,365,050 ------------------------------------------------------------------------------------------------------- Douglas Dynamics, Inc. 44,190 564,748 ------------------------------------------------------------------------------------------------------- Duoyuan Global Water, Inc., ADR(1) 19,520 18,934 ------------------------------------------------------------------------------------------------------- Flowserve Corp. 1,800 133,200 ------------------------------------------------------------------------------------------------------- Freightcar America, Inc.(1) 91,510 1,318,659 ------------------------------------------------------------------------------------------------------- Kadant, Inc.(1) 30,280 537,773 ------------------------------------------------------------------------------------------------------- Kennametal, Inc. 39,070 1,279,152 ------------------------------------------------------------------------------------------------------- Lincoln Electric Holdings, Inc. 9,340 270,953 ------------------------------------------------------------------------------------------------------- Miller Industries, Inc. 1,250 21,688 ------------------------------------------------------------------------------------------------------- NACCO Industries, Inc., Cl. A 2,935 186,079 ------------------------------------------------------------------------------------------------------- Navistar International Corp.(1) 17,360 557,603 ------------------------------------------------------------------------------------------------------- Sauer-Danfoss, Inc.(1) 28,610 826,829 ------------------------------------------------------------------------------------------------------- TriMas Corp.(1) 49,970 742,055 ------------------------------------------------------------------------------------------------------- Wabtec Corp. 58,380 3,086,551 --------------- 15,110,985
10 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA Oppenheimer Main Street Small- & Mid-Cap Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Shares Value ------------------------------------------------------------------------------------------------------- PROFESSIONAL SERVICES--2.3% CBIZ, Inc.(1) 146,340 $ 964,381 ------------------------------------------------------------------------------------------------------- GP Strategies Corp.(1) 33,880 338,461 ------------------------------------------------------------------------------------------------------- Huron Consulting Group, Inc.(1) 12,660 394,106 ------------------------------------------------------------------------------------------------------- ICF International, Inc.(1) 22,680 426,611 ------------------------------------------------------------------------------------------------------- Insperity, Inc. 1,800 40,050 ------------------------------------------------------------------------------------------------------- Kelly Services, Inc., Cl. A 8,260 94,164 ------------------------------------------------------------------------------------------------------- Korn-Ferry International(1) 340,200 4,147,038 ------------------------------------------------------------------------------------------------------- On Assignment, Inc.(1) 10,440 73,811 ------------------------------------------------------------------------------------------------------- Robert Half International, Inc. 501,800 10,648,196 ------------------------------------------------------------------------------------------------------- TrueBlue, Inc.(1) 3,330 37,729 --------------- 17,164,547 ------------------------------------------------------------------------------------------------------- ROAD & RAIL--1.9% Amerco(1) 9,890 617,631 ------------------------------------------------------------------------------------------------------- Genesee & Wyoming, Inc., Cl. A(1) 69,531 3,234,582 ------------------------------------------------------------------------------------------------------- Heartland Express, Inc. 11,430 154,991 ------------------------------------------------------------------------------------------------------- Knight Transportation, Inc. 85,500 1,138,005 ------------------------------------------------------------------------------------------------------- Old Dominion Freight Line, Inc.(1) 295,660 8,565,270 ------------------------------------------------------------------------------------------------------- RailAmerica, Inc.(1) 33,910 441,847 ------------------------------------------------------------------------------------------------------- Saia, Inc.(1) 23,720 249,534 --------------- 14,401,860 ------------------------------------------------------------------------------------------------------- TRADING COMPANIES & DISTRIBUTORS--0.4% Applied Industrial Technologies, Inc. 68,300 1,855,028 ------------------------------------------------------------------------------------------------------- Beacon Roofing Supply, Inc.(1) 7,020 112,250 ------------------------------------------------------------------------------------------------------- DXP Enterprises, Inc.(1) 20,767 391,043 ------------------------------------------------------------------------------------------------------- Houston Wire & Cable Co. 15,940 183,151 ------------------------------------------------------------------------------------------------------- Interline Brands, Inc.(1) 27,720 356,756 --------------- 2,898,228 ------------------------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY--15.7% ------------------------------------------------------------------------------------------------------- COMMUNICATIONS EQUIPMENT--2.2% Anaren Microwave, Inc.(1) 2,920 55,918 ------------------------------------------------------------------------------------------------------- Aruba Networks, Inc.(1) 303,720 6,350,785 ------------------------------------------------------------------------------------------------------- Finisar Corp.(1) 301,660 5,291,116 ------------------------------------------------------------------------------------------------------- Harris Corp. 4,000 136,680 ------------------------------------------------------------------------------------------------------- Ituran Location & Control Ltd. 21,241 247,458 ------------------------------------------------------------------------------------------------------- Plantronics, Inc. 41,344 1,176,237 ------------------------------------------------------------------------------------------------------- Polycom, Inc.(1) 192,990 3,545,226 ------------------------------------------------------------------------------------------------------- Riverbed Technology, Inc.(1) 6,520 130,139 --------------- 16,933,559 ------------------------------------------------------------------------------------------------------- COMPUTERS & PERIPHERALS--1.3% Cray, Inc.(1) 29,130 154,680 ------------------------------------------------------------------------------------------------------- Electronics for Imaging, Inc.(1) 57,630 776,276 ------------------------------------------------------------------------------------------------------- QLogic Corp.(1) 130,970 1,660,700 ------------------------------------------------------------------------------------------------------- STEC, Inc.(1) 16,460 166,904 ------------------------------------------------------------------------------------------------------- Synaptics, Inc.(1) 73,900 1,766,210 -------------------------------------------------------------------------------------------------------
11 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA Oppenheimer Main Street Small- & Mid-Cap Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Shares Value ------------------------------------------------------------------------------------------------------- COMPUTERS & PERIPHERALS CONTINUED Western Digital Corp.(1) 217,390 $ 5,591,271 --------------- 10,116,041 ------------------------------------------------------------------------------------------------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--1.2% Avnet, Inc.(1) 5,840 152,307 ------------------------------------------------------------------------------------------------------- AVX Corp. 108,900 1,292,643 ------------------------------------------------------------------------------------------------------- Brightpoint, Inc.(1) 36,720 338,191 ------------------------------------------------------------------------------------------------------- Daktronics, Inc. 26,510 227,456 ------------------------------------------------------------------------------------------------------- DDi Corp. 47,560 344,334 ------------------------------------------------------------------------------------------------------- Electro Scientific Industries, Inc.(1) 19,360 230,190 ------------------------------------------------------------------------------------------------------- Elster Group SE, ADR(1) 2,380 35,581 ------------------------------------------------------------------------------------------------------- Flextronics International Ltd.(1) 23,390 131,686 ------------------------------------------------------------------------------------------------------- Insight Enterprises, Inc.(1) 8,232 124,632 ------------------------------------------------------------------------------------------------------- Jabil Circuit, Inc. 68,840 1,224,664 ------------------------------------------------------------------------------------------------------- KEMET Corp.(1) 85,390 610,539 ------------------------------------------------------------------------------------------------------- Littlefuse, Inc. 14,100 566,961 ------------------------------------------------------------------------------------------------------- Molex, Inc. 64,850 1,320,995 ------------------------------------------------------------------------------------------------------- Newport Corp.(1) 54,850 592,929 ------------------------------------------------------------------------------------------------------- Power-One, Inc.(1) 92,380 415,710 ------------------------------------------------------------------------------------------------------- TTM Technologies, Inc.(1) 9,590 91,201 ------------------------------------------------------------------------------------------------------- Vishay Intertechnology, Inc.(1) 139,470 1,165,969 ------------------------------------------------------------------------------------------------------- X-Rite, Inc.(1) 27,680 103,246 ------------------------------------------------------------------------------------------------------- Zygo Corp.(1) 3,590 41,500 --------------- 9,010,734 ------------------------------------------------------------------------------------------------------- INTERNET SOFTWARE & SERVICES--0.8% AOL, Inc.(1) 11,140 133,680 ------------------------------------------------------------------------------------------------------- Demand Media, Inc.(1) 21,320 170,560 ------------------------------------------------------------------------------------------------------- Dice Holdings, Inc.(1) 16,580 129,656 ------------------------------------------------------------------------------------------------------- Digital River, Inc.(1) 7,740 160,450 ------------------------------------------------------------------------------------------------------- j2 Global Communications, Inc. 109,855 2,955,100 ------------------------------------------------------------------------------------------------------- QuinStreet, Inc.(1) 6,150 63,653 ------------------------------------------------------------------------------------------------------- United Online, Inc. 66,430 347,429 ------------------------------------------------------------------------------------------------------- ValueClick, Inc.(1) 121,330 1,887,895 ------------------------------------------------------------------------------------------------------- WebMD Health Corp., Cl. A(1) 4,940 148,941 --------------- 5,997,364 ------------------------------------------------------------------------------------------------------- IT SERVICES--1.7% Acxiom Corp.(1) 20,240 215,354 ------------------------------------------------------------------------------------------------------- Amdocs Ltd.(1) 11,710 317,575 ------------------------------------------------------------------------------------------------------- Booz Allen Hamilton Holding Corp.(1) 12,740 189,444 ------------------------------------------------------------------------------------------------------- CACI International, Inc., Cl. A(1) 100,100 4,998,994 ------------------------------------------------------------------------------------------------------- Cardtronics, Inc.(1) 57,930 1,327,756 ------------------------------------------------------------------------------------------------------- CGI Group, Inc., Cl. A(1) 75,920 1,428,055 ------------------------------------------------------------------------------------------------------- CSG Systems International, Inc.(1) 60,496 764,669 ------------------------------------------------------------------------------------------------------- Euronet Worldwide, Inc.(1) 14,880 234,211 ------------------------------------------------------------------------------------------------------- FleetCor Technologies, Inc.(1) 5,680 149,157 -------------------------------------------------------------------------------------------------------
12 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA Oppenheimer Main Street Small- & Mid-Cap Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Shares Value ------------------------------------------------------------------------------------------------------- IT SERVICES CONTINUED ------------------------------------------------------------------------------------------------------- ManTech International Corp. 15,870 $ 498,001 ------------------------------------------------------------------------------------------------------- NeuStar, Inc., Cl. A(1) 59,010 1,483,511 ------------------------------------------------------------------------------------------------------- SAIC, Inc.(1) 122,680 1,448,851 --------------- 13,055,578 ------------------------------------------------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--5.8% Amtech Systems, Inc.(1) 19,760 158,080 ------------------------------------------------------------------------------------------------------- ASM International NV 18,670 461,709 ------------------------------------------------------------------------------------------------------- Atmel Corp.(1) 161,540 1,303,628 ------------------------------------------------------------------------------------------------------- ATMI, Inc.(1) 35,870 567,463 ------------------------------------------------------------------------------------------------------- Brooks Automation, Inc. 161,860 1,319,159 ------------------------------------------------------------------------------------------------------- Cirrus Logic, Inc.(1) 111,120 1,637,909 ------------------------------------------------------------------------------------------------------- Cohu, Inc. 9,810 96,923 ------------------------------------------------------------------------------------------------------- Cypress Semiconductor Corp. 88,290 1,321,701 ------------------------------------------------------------------------------------------------------- Entegris, Inc.(1) 140,830 898,495 ------------------------------------------------------------------------------------------------------- Entropic Communications, Inc.(1) 137,180 566,553 ------------------------------------------------------------------------------------------------------- Fairchild Semiconductor International, Inc., Cl. A(1) 146,320 1,580,256 ------------------------------------------------------------------------------------------------------- GSI Technology, Inc.(1) 68,550 337,266 ------------------------------------------------------------------------------------------------------- GT Advanced Technologies, Inc.(1) 206,320 1,448,366 ------------------------------------------------------------------------------------------------------- Himax Technologies, Inc., ADR 152,740 169,541 ------------------------------------------------------------------------------------------------------- Integrated Device Technology, Inc.(1) 165,930 854,540 ------------------------------------------------------------------------------------------------------- Intersil Corp., Cl. A 6,510 66,988 ------------------------------------------------------------------------------------------------------- IXYS Corp.(1) 31,400 341,632 ------------------------------------------------------------------------------------------------------- KLA-Tencor Corp. 560 21,437 ------------------------------------------------------------------------------------------------------- Kulicke & Soffa Industries, Inc.(1) 117,310 875,133 ------------------------------------------------------------------------------------------------------- Lattice Semiconductor Corp.(1) 305,890 1,605,923 ------------------------------------------------------------------------------------------------------- LSI Corp.(1) 178,570 924,993 ------------------------------------------------------------------------------------------------------- Magnachip Semiconductor Corp., Depositary Shares(1) 6,590 44,285 ------------------------------------------------------------------------------------------------------- Maxim Integrated Products, Inc. 14,030 327,320 ------------------------------------------------------------------------------------------------------- Micrel, Inc. 182,967 1,732,697 ------------------------------------------------------------------------------------------------------- MKS Instruments, Inc. 80,020 1,737,234 ------------------------------------------------------------------------------------------------------- Nanometrics, Inc.(1) 92,108 1,335,566 ------------------------------------------------------------------------------------------------------- Netlogic Microsystems, Inc.(1) 42,480 2,043,713 ------------------------------------------------------------------------------------------------------- Novellus Systems, Inc.(1) 64,360 1,754,454 ------------------------------------------------------------------------------------------------------- OmniVision Technologies, Inc.(1) 59,810 839,732 ------------------------------------------------------------------------------------------------------- ON Semiconductor Corp.(1) 189,010 1,355,202 ------------------------------------------------------------------------------------------------------- Photronics, Inc.(1) 144,650 720,357 ------------------------------------------------------------------------------------------------------- Rudolph Technologies, Inc.(1) 48,970 327,609 ------------------------------------------------------------------------------------------------------- Semtech Corp.(1) 390,139 8,231,933 ------------------------------------------------------------------------------------------------------- Skyworks Solutions, Inc.(1) 237,490 4,260,571 ------------------------------------------------------------------------------------------------------- Standard Microsystems Corp.(1) 9,170 177,898 ------------------------------------------------------------------------------------------------------- Teradyne, Inc.(1) 126,850 1,396,619 ------------------------------------------------------------------------------------------------------- Veeco Instruments, Inc.(1) 43,550 1,062,620 --------------- 43,905,505
13 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA Oppenheimer Main Street Small- & Mid-Cap Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Shares Value ------------------------------------------------------------------------------------------------------- SOFTWARE--2.7% Cadence Design Systems, Inc.(1) 165,170 $ 1,526,171 ------------------------------------------------------------------------------------------------------- FactSet Research Systems, Inc. 49,822 4,432,663 ------------------------------------------------------------------------------------------------------- JDA Software Group, Inc.(1) 32,290 756,878 ------------------------------------------------------------------------------------------------------- Manhattan Associates, Inc.(1) 5,770 190,872 ------------------------------------------------------------------------------------------------------- Monotype Imaging Holdings, Inc.(1) 32,770 397,500 ------------------------------------------------------------------------------------------------------- Solarwinds, Inc.(1) 157,170 3,460,883 ------------------------------------------------------------------------------------------------------- Synopsys, Inc.(1) 12,260 298,654 ------------------------------------------------------------------------------------------------------- TIBCO Software, Inc.(1) 340,186 7,616,765 ------------------------------------------------------------------------------------------------------- Vasco Data Security International, Inc.(1) 21,180 108,230 ------------------------------------------------------------------------------------------------------- Websense, Inc.(1) 85,850 1,485,205 --------------- 20,273,821 ------------------------------------------------------------------------------------------------------- MATERIALS--4.9% ------------------------------------------------------------------------------------------------------- CHEMICALS--1.8% American Vanguard Corp. 2,210 24,664 ------------------------------------------------------------------------------------------------------- Cabot Corp. 45,500 1,127,490 ------------------------------------------------------------------------------------------------------- Cytec Industries, Inc. 141,376 4,967,953 ------------------------------------------------------------------------------------------------------- Ferro Corp.(1) 252,530 1,553,060 ------------------------------------------------------------------------------------------------------- Fuller (H.B.) Co. 10,830 197,323 ------------------------------------------------------------------------------------------------------- Georgia Gulf Corp.(1) 36,400 503,412 ------------------------------------------------------------------------------------------------------- Huntsman Corp. 40,290 389,604 ------------------------------------------------------------------------------------------------------- Innospec, Inc.(1) 32,950 797,720 ------------------------------------------------------------------------------------------------------- Koppers Holdings, Inc. 12,590 322,430 ------------------------------------------------------------------------------------------------------- Kronos Worldwide, Inc. 560 9,005 ------------------------------------------------------------------------------------------------------- LSB Industries, Inc.(1) 16,450 471,622 ------------------------------------------------------------------------------------------------------- Olin Corp. 48,700 877,087 ------------------------------------------------------------------------------------------------------- PolyOne Corp. 75,530 808,926 ------------------------------------------------------------------------------------------------------- TPC Group, Inc.(1) 28,570 573,686 ------------------------------------------------------------------------------------------------------- Westlake Chemical Corp. 28,560 979,037 --------------- 13,603,019 ------------------------------------------------------------------------------------------------------- CONTAINERS & PACKAGING--1.3% Boise, Inc. 196,310 1,014,923 ------------------------------------------------------------------------------------------------------- Graphic Packaging Holding Co.(1) 189,570 654,017 ------------------------------------------------------------------------------------------------------- Myers Industries, Inc. 12,580 127,687 ------------------------------------------------------------------------------------------------------- Packaging Corp. of America 281,710 6,563,843 ------------------------------------------------------------------------------------------------------- Sealed Air Corp. 68,790 1,148,793 ------------------------------------------------------------------------------------------------------- Silgan Holdings, Inc. 4,320 158,717 --------------- 9,667,980 ------------------------------------------------------------------------------------------------------- METALS & MINING--1.2% Century Aluminum Co.(1) 247,980 2,216,941 ------------------------------------------------------------------------------------------------------- Coeur d'Alene Mines Corp.(1) 47,940 1,027,834 ------------------------------------------------------------------------------------------------------- Compass Minerals International, Inc. 43,000 2,871,540 ------------------------------------------------------------------------------------------------------- Horsehead Holding Corp.(1) 8,990 66,706 ------------------------------------------------------------------------------------------------------- Noranda Aluminum Holding Corp.(1) 48,330 403,556 ------------------------------------------------------------------------------------------------------- Silvercorp Metals, Inc. 4,290 33,934 ------------------------------------------------------------------------------------------------------- Stillwater Mining Co.(1) 98,100 833,850 -------------------------------------------------------------------------------------------------------
14 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA Oppenheimer Main Street Small- & Mid-Cap Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Shares Value ------------------------------------------------------------------------------------------------------- METALS & MINING CONTINUED Worthington Industries, Inc. 103,010 $ 1,439,050 --------------- 8,893,411 ------------------------------------------------------------------------------------------------------- PAPER & FOREST PRODUCTS--0.6% Buckeye Technologies, Inc. 95,130 2,293,584 ------------------------------------------------------------------------------------------------------- Glatfelter 113,960 1,505,412 ------------------------------------------------------------------------------------------------------- MeadWestvaco Corp. 19,120 469,587 ------------------------------------------------------------------------------------------------------- Mercer International, Inc.(1) 42,600 289,680 ------------------------------------------------------------------------------------------------------- Neenah Paper, Inc. 5,110 72,460 --------------- 4,630,723 ------------------------------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES--1.2% ------------------------------------------------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES--0.8% Brasil Telecom SA, ADR 34,240 597,830 ------------------------------------------------------------------------------------------------------- Cincinnati Bell, Inc.(1) 313,102 967,485 ------------------------------------------------------------------------------------------------------- General Communication, Inc., Cl. A(1) 22,310 182,942 ------------------------------------------------------------------------------------------------------- Nortel Inversora SA, Sponsored ADR(1) 16,960 391,776 ------------------------------------------------------------------------------------------------------- Telecom Argentina SA, Sponsored ADR 69,600 1,296,648 ------------------------------------------------------------------------------------------------------- Telecom Corp. of New Zealand Ltd., Sponsored ADR 89,240 881,691 ------------------------------------------------------------------------------------------------------- Vonage Holdings Corp.(1) 486,520 1,264,952 --------------- 5,583,324 ------------------------------------------------------------------------------------------------------- WIRELESS TELECOMMUNICATION SERVICES--0.4% Cellcom Israel Ltd. 76,350 1,594,952 ------------------------------------------------------------------------------------------------------- Partner Communications Co. Ltd., Sponsored ADR 32,550 307,598 ------------------------------------------------------------------------------------------------------- USA Mobility, Inc. 96,982 1,280,162 --------------- 3,182,712 ------------------------------------------------------------------------------------------------------- UTILITIES--4.1% ------------------------------------------------------------------------------------------------------- ELECTRIC UTILITIES--1.0% Cleco Corp. 2,040 69,646 ------------------------------------------------------------------------------------------------------- Companhia Energetica de Minas Gerais, Sponsored ADR 93,800 1,391,992 ------------------------------------------------------------------------------------------------------- Companhia Paranaense de Energia-Copel, Sponsored ADR 85,041 1,548,597 ------------------------------------------------------------------------------------------------------- Empire District Electric Co. 3,460 67,055 ------------------------------------------------------------------------------------------------------- Empresa Distribuidora y Comercializadora Norte SA, ADR(1) 31,150 190,015 ------------------------------------------------------------------------------------------------------- NV Energy, Inc. 17,430 256,395 ------------------------------------------------------------------------------------------------------- Pampa Energia SA, Sponsored ADR 32,020 369,831 ------------------------------------------------------------------------------------------------------- PNM Resources, Inc. 5,040 82,807 ------------------------------------------------------------------------------------------------------- Portland General Electric Co. 85,220 2,018,862 ------------------------------------------------------------------------------------------------------- UniSource Energy Corp. 54,620 1,971,236 --------------- 7,966,436 ------------------------------------------------------------------------------------------------------- ENERGY TRADERS--1.2% AES Corp. (The)(1) 969,010 9,457,538 ------------------------------------------------------------------------------------------------------- GAS UTILITIES--0.3% Atmos Energy Corp. 45,190 1,466,416 ------------------------------------------------------------------------------------------------------- Laclede Group, Inc. (The) 2,750 106,563 ------------------------------------------------------------------------------------------------------- UGI Corp. 20,020 525,925 --------------- 2,098,904 ------------------------------------------------------------------------------------------------------- MULTI-UTILITIES--1.1% Alliant Energy Corp. 33,600 1,299,648 ------------------------------------------------------------------------------------------------------- Avista Corp. 44,590 1,063,472 -------------------------------------------------------------------------------------------------------
15 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA ================================================================================ Oppenheimer Main Street Small- & Mid-Cap Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Shares Value ------------------------------------------------------------------------------------------------------- MULTI-UTILITIES CONTINUED ------------------------------------------------------------------------------------------------------- CMS Energy Corp. 112,340 $ 2,223,209 ------------------------------------------------------------------------------------------------------- NorthWestern Corp. 33,090 1,056,895 ------------------------------------------------------------------------------------------------------- Teco Energy, Inc. 125,090 2,142,760 ------------------------------------------------------------------------------------------------------- Vectren Corp. 7,420 200,934 --------------- 7,986,918 ------------------------------------------------------------------------------------------------------- WATER UTILITIES--0.5% Aqua America, Inc. 179,500 3,871,815 --------------- Total Common Stocks (Cost $758,262,982) 739,435,670 ------------------------------------------------------------------------------------------------------- INVESTMENT COMPANIES--2.5% Oppenheimer Institutional Money Market Fund, Cl. E, 0.16%(2,3) 18,624,588 18,624,588 ------------------------------------------------------------------------------------------------------- Prospect Capital Corp. 18,200 153,062 --------------- Total Investment Companies (Cost $18,786,624) 18,777,650 ------------------------------------------------------------------------------------------------------- Total Investments, at Value (Cost $777,049,606) 100.1% 758,213,320 ------------------------------------------------------------------------------------------------------- Liabilities in Excess of Other Assets (0.1) (993,534) ----------------------------------------- Net Assets 100.0% $ 757,219,786 =========================================
Footnotes to Statement of Investments 1. Non-income producing security. 2. Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 30, 2011, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows:
SHARES GROSS GROSS SHARES DECEMBER 31, 2010 ADDITIONS REDUCTIONS SEPTEMBER 30, 2011 ------------------------------------------------------------------------------------------------------------------------------- Oppenheimer Institutional Money Market Fund, Cl. E 13,940,550 190,244,676 185,560,638 18,624,588
VALUE INCOME ---------------------------------------------------------------------------- Oppenheimer Institutional Money Market Fund, Cl. E $18,624,588 $ 17,910
3. Rate shown is the 7-day yield as of September 30, 2011. 16 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA Oppenheimer Main Street Small- & Mid-Cap Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (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 or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) 3) Level 3-significant unobservable inputs (including the Manager's own judgments about assumptions that market participants would use in pricing the asset or liability). The table below categorizes amounts as of September 30, 2011 based on valuation input level:
LEVEL 2-- LEVEL 3-- LEVEL 1-- OTHER SIGNIFICANT UNADJUSTED QUOTED SIGNIFICANT UNOBSERVABLE PRICES OBSERVABLE INPUTS INPUTS VALUE ----------------------------------------------------------------------------------------------------------------- ASSETS TABLE INVESTMENTS, AT VALUE: Common Stocks Consumer Discretionary $ 110,673,781 $ -- $ -- $ 110,673,781 Consumer Staples 22,471,620 -- -- 22,471,620 Energy 49,412,368 -- -- 49,412,368 Financials 158,124,368 -- -- 158,124,368 Health Care 93,242,635 -- 25 93,242,660 Industrials 109,256,557 -- 18,934 109,275,491 Information Technology 119,292,602 -- -- 119,292,602 Materials 36,795,133 -- -- 36,795,133 Telecommunication Services 8,766,036 -- -- 8,766,036 Utilities 31,381,611 -- -- 31,381,611 Investment Companies 18,777,650 -- -- 18,777,650 ----------------------------------------------------------------------------- Total Assets $ 758,194,361 $ -- $ 18,959 $ 758,213,320 -----------------------------------------------------------------------------
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 methodologies, if any, during the reporting period. NOTES TO STATEMENT OF INVESTMENTS Effective April 29, 2011 the Fund changed its name from Oppenheimer Main Street Small Cap Fund/VA to Oppenheimer Main Street Small- & Mid-Cap Fund/VA. 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," observable market inputs other than unadjusted quoted prices 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. 17 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA Oppenheimer Main Street Small- & Mid-Cap Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) Securities are valued using unadjusted quoted market prices, when available, as supplied primarily 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 it is 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. U.S. domestic and international debt instruments (including corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and "money market-type" debt instruments with a remaining maturity in excess of sixty days are valued at the mean between the "bid" and "asked" prices utilizing price quotations obtained from independent pricing services or broker-dealers. Such prices are typically determined based upon information obtained from market participants including reported trade data, broker-dealer price quotations and inputs such as benchmark yields and issuer spreads from identical or similar securities. "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 current price quotation obtained from an independent pricing service or broker-dealer, 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 of the Fund 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. 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 18 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA Oppenheimer Main Street Small- & Mid-Cap Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) 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. FEDERAL TAXES. 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, 2011 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 $ 788,142,103 ================ Gross unrealized appreciation $ 80,677,770 Gross unrealized depreciation (110,606,553) ---------------- Net unrealized depreciation $ (29,928,783) ================
19 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA Oppenheimer Money Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Final Legal Maturity Maturity Principal Date* Date** Amount Value ----------------------------------------------------------------------------------------------------------------------------- CERTIFICATES OF DEPOSIT-25.1% ----------------------------------------------------------------------------------------------------------------------------- YANKEE CERTIFICATES OF DEPOSIT-25.1% Bank of Nova Scotia, Houston TX: 0.05% 10/5/11 10/5/11 $ 1,000,000 $ 1,000,000 0.28% 11/28/11 11/28/11 3,700,000 3,700,000 0.28% 11/29/11 11/29/11 2,700,000 2,700,000 ----------------------------------------------------------------------------------------------------------------------------- DnB NOR Bank ASA NY: 0.07% 10/5/11 10/5/11 1,000,000 1,000,000 0.09% 10/4/11 10/4/11 5,000,000 5,000,000 ----------------------------------------------------------------------------------------------------------------------------- National Australia Bank, New York: 0.22% 10/27/11 10/27/11 2,500,000 2,500,000 0.22% 10/28/11 10/28/11 1,800,000 1,800,000 0.31% 1/9/12 1/9/12 3,100,000 3,100,000 ----------------------------------------------------------------------------------------------------------------------------- Rabobank Nederland NV, New York: 0.27% 11/7/11 11/7/11 4,300,000 4,299,955 0.29%(1) 11/16/11 5/16/12 2,500,000 2,500,000 ----------------------------------------------------------------------------------------------------------------------------- Royal Bank of Canada, New York: 0.24%(1) 10/1/11 11/10/11 3,500,000 3,500,000 0.46%(1) 10/1/11 9/10/12 4,000,000 4,000,000 ----------------------------------------------------------------------------------------------------------------------------- Toronto Dominion Bank, New York, 0.31%(1) 10/12/11 1/12/12 1,000,000 1,000,000 ----------------------------------------------------------------------------------------------------------------------------- Westpac Banking Corp., New York, 0.22% 11/4/11 11/4/11 5,000,000 5,000,000 ----------- Total Certificates of Deposit (Cost $41,099,955) 41,099,955 ----------------------------------------------------------------------------------------------------------------------------- DIRECT BANK OBLIGATIONS-23.6% Barclays US Funding LLC: 0.29% 11/3/11 11/3/11 4,000,000 3,998,937 0.29% 11/4/11 11/4/11 2,000,000 1,999,452 0.35% 11/16/11 11/16/11 2,500,000 2,498,882 ----------------------------------------------------------------------------------------------------------------------------- Credit Suisse, New York Branch: 0.22% 10/18/11 10/18/11 3,850,000 3,849,600 0.24% 10/20/11 10/20/11 2,000,000 1,999,757 ----------------------------------------------------------------------------------------------------------------------------- ING (US) Funding LLC: 0.10% 10/5/11 10/5/11 300,000 299,997 0.32% 11/1/11 11/1/11 2,000,000 1,999,449 ----------------------------------------------------------------------------------------------------------------------------- Nordea North America, Inc.: 0.24% 10/14/11 10/14/11 3,400,000 3,399,705 0.25% 11/21/11 11/21/11 3,000,000 2,998,938 ----------------------------------------------------------------------------------------------------------------------------- Skandinaviska Enskilda Banken AB: 0.27%(2) 10/4/11 10/4/11 1,950,000 1,949,956 0.33%(2) 11/1/11 11/1/11 1,500,000 1,499,574 ----------------------------------------------------------------------------------------------------------------------------- Svenska Handelsbanken, Inc.: 0.20%(2) 10/11/11 10/11/11 2,700,000 2,699,850 0.30% 11/28/11 11/28/11 1,000,000 999,517 ----------------------------------------------------------------------------------------------------------------------------- Swedbank AB: 0.33% 11/2/11 11/2/11 5,500,000 5,498,387 0.34% 11/7/11 11/7/11 500,000 499,830 ----------------------------------------------------------------------------------------------------------------------------- Westpac Banking Corp., 0.30%(2) 1/9/12 1/9/12 2,500,000 2,497,917 ----------- Total Direct Bank Obligations (Cost $38,689,748) 38,689,748
1 | Oppenheimer Money Fund/VA Oppenheimer Money Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Final Legal Maturity Maturity Principal Date* Date** Amount Value -------------------------------------------------------------------------------------------------------------------- SHORT-TERM NOTES-44.7% -------------------------------------------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES-4.3% General Electric Capital Services, 0.20% 10/7/11 10/7/11 $ 7,100,000 $ 7,099,763 -------------------------------------------------------------------------------------------------------------------- ELECTRIC UTILITIES-3.4% Electricite De France: 0.30%(2) 11/4/11 11/4/11 2,400,000 2,399,320 0.35%(2) 12/6/11 12/6/11 3,100,000 3,098,011 ----------- 5,497,331 -------------------------------------------------------------------------------------------------------------------- LEASING & FACTORING-6.7% American Honda Finance Corp.: 0.47%(1) 12/29/11 6/29/12 1,500,000 1,500,000 0.61%(1,3) 12/26/11 9/26/12 1,500,000 1,500,000 -------------------------------------------------------------------------------------------------------------------- Toyota Motor Credit Corp.: 0.29% 11/29/11 11/29/11 3,000,000 2,998,574 0.35% 2/2/12 2/2/12 3,000,000 2,996,383 0.36% 1/26/12 1/26/12 2,000,000 1,997,660 ----------- 10,992,617 -------------------------------------------------------------------------------------------------------------------- MUNICIPAL-11.9% Austin Cnty, TX Industrial Development Corp. Revenue Bonds, Justin Industries, Inc., Series 1984, 0.17%(1) 10/7/11 10/7/11 5,000,000 5,000,000 -------------------------------------------------------------------------------------------------------------------- Carroll Cnty., KY Solid Waste Disposal Revenue Bonds, North American Stainless Project, Series 2006, 0.20%(1) 10/7/11 10/7/11 4,300,000 4,300,000 -------------------------------------------------------------------------------------------------------------------- Chicago, IL Industrial Development Revenue Bonds, Freedman Seating Co. Project, Series 1998, 0.30%(1) 10/7/11 10/7/11 1,215,000 1,215,000 -------------------------------------------------------------------------------------------------------------------- Cobb Cnty., GA Development Authority Revenue Bonds, Presbyterian Village-Austell, Inc., 0.30%(1) 10/7/11 10/7/11 2,570,000 2,570,000 -------------------------------------------------------------------------------------------------------------------- Health Care Revenue Bonds, SFO Associates Project, Series 1994, 0.26%(1) 10/7/11 10/7/11 1,500,000 1,500,000 -------------------------------------------------------------------------------------------------------------------- IL Finance Authority, Freedman Seating Co. Project, Series 2005, 0.30%(1) 10/7/11 10/7/11 1,085,000 1,085,000 -------------------------------------------------------------------------------------------------------------------- San Antonio, TX Industrial Development Authority Revenue Bonds, Tindall Corp. Project, 0.27%(1) 10/7/11 10/7/11 3,000,000 3,000,000 -------------------------------------------------------------------------------------------------------------------- Valdosta-Lowndes Cnty., GA Industrial Authority, Steeda Autosports, Inc. Project, Series 2008, 0.51%(1) 10/7/11 10/7/11 880,000 880,000 ----------- 19,550,000 -------------------------------------------------------------------------------------------------------------------- PERSONAL PRODUCTS-4.1% Reckitt Benckiser Treasury Services plc: 0.42%(2) 1/30/12 1/30/12 4,000,000 3,994,353 0.50%(2) 3/9/12 3/9/12 2,800,000 2,793,778 ----------- 6,788,131
2 | Oppenheimer Money Fund/VA Oppenheimer Money Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Final Legal Maturity Maturity Principal Date* Date** Amount Value ----------------------------------------------------------------------------------------------------------------------- RECEIVABLES FINANCE-8.9% Alpine Securitization Corp.: 0.05% 10/3/11 10/3/11 $ 2,700,000 $ 2,699,993 0.18% 10/19/11 10/19/11 2,000,000 1,999,820 ----------------------------------------------------------------------------------------------------------------------- Barton Capital Corp., 0.57%(2) 10/3/11 10/3/11 7,900,000 7,899,750 ----------------------------------------------------------------------------------------------------------------------- Mont Blanc Capital Corp., 0.35%(2) 10/31/11 10/31/11 2,000,000 1,999,417 ------------- 14,598,980 ----------------------------------------------------------------------------------------------------------------------- SPECIAL PURPOSE FINANCIAL-5.4% FCAR Owner Trust II, 0.21% 10/21/11 10/21/11 1,500,000 1,499,825 ----------------------------------------------------------------------------------------------------------------------- Lexington Parker Capital Co. LLC: 0.25%(2) 11/14/11 11/14/11 800,000 799,756 0.25%(2) 11/21/11 11/21/11 1,500,000 1,499,469 0.25%(2) 11/22/11 11/22/11 3,200,000 3,198,844 0.30%(2) 12/1/11 12/1/11 1,800,000 1,799,085 ------------- 8,796,979 ------------- Total Short-Term Notes (Cost $73,323,801) 73,323,801 ----------------------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT OBLIGATIONS-5.5% U.S. Treasury Nts.: 0.75% 5/31/12 5/31/12 2,000,000 2,006,121 1.00% 4/30/12 4/30/12 1,000,000 1,003,998 1.13% 12/15/11 12/15/11 3,000,000 3,004,779 1.38% 2/15/12 2/15/12 2,000,000 2,007,788 4.50% 3/31/12 3/31/12 1,000,000 1,020,707 ------------- Total U.S. Government Obligations (Cost $9,043,393) 9,043,393 ----------------------------------------------------------------------------------------------------------------------- Total Investments, at Value (Cost $162,156,897) 98.9% 162,156,897 ----------------------------------------------------------------------------------------------------------------------- Other Assets Net of Liabilities 1.1 1,788,998 ------------------------------- Net Assets 100.0% $ 163,945,895 ===============================
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. * The Maturity Date represents the date used to calculate the Fund's weighted average maturity as determined under Rule 2a-7. ** If different from the Maturity Date, the Final Legal Maturity Date includes any maturity date extensions which may be affected at the option of the issuer or unconditional payments of principal by the issuer which may be affected at the option of the Fund, and represents the date used to calculate the Fund's weighted average life as determined under Rule 2a-7. 1. Represents the current interest rate for a variable or increasing rate security. 2. Security issued in an exempt transaction without registration under the Securities Act of 1933. Such securities amount to $38,129,080 or 23.26% of the Fund's net assets, and have been determined to be liquid pursuant to guidelines adopted by the Board of Trustees. 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 $1,500,000 or 0.91% of the Fund's net assets as of September 30, 2011. 3 | Oppenheimer Money Fund/VA Oppenheimer Money Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (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 or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) 3) Level 3-significant unobservable inputs (including the Manager's own judgments about assumptions that market participants would use in pricing the asset or liability). The table below categorizes amounts as of September 30, 2011 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: Certificates of Deposit $ -- $ 41,099,955 $ -- $ 41,099,955 Direct Bank Obligations -- 38,689,748 -- 38,689,748 Short-Term Notes -- 73,323,801 -- 73,323,801 U.S. Government Obligations -- 9,043,393 -- 9,043,393 --------------------------------------------------------------------- Total Assets $ -- $ 162,156,897 $ -- $ 162,156,897 ---------------------------------------------------------------------
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 methodologies, if any, during the reporting period. 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," observable market inputs other than unadjusted quoted prices 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 current price quotation obtained from an independent pricing service or broker-dealer, 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 4 | Oppenheimer Money Fund/VA Oppenheimer Money Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) 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 of the Fund during the period. 5 | Oppenheimer Money Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ----------- ----------- ASSET-BACKED SECURITIES--1.0% Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl. A2, 1.195%, 5/25/34 (1) $ 924,857 $ 779,880 Argent Securities Trust 2006-M3, Asset-Backed Pass-Through Certificates, Series 2006-M3, Cl. A2B, 0.335%, 9/25/36 (1) 353,404 98,525 Capital Auto Receivables Asset Trust 2007-1, Automobile Asset-Backed Securities, Series 2007-1, Cl. B, 5.15%, 9/17/12 206,084 207,866 Countrywide Home Loans, Asset-Backed Certificates: Series 2005-16, Cl. 2AF2, 5.382%, 5/1/36 1,005,120 782,775 Series 2005-17, Cl. 1AF2, 5.363%, 5/1/36 2,135 1,676 CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 0.355%, 6/25/47 (1) 5,228,520 4,689,742 CWHEQ Revolving Home Equity Loan Trust, Asset-Backed Certificates: Series 2005-G, Cl. 2A, 0.459%, 12/15/35 (1) 175,865 96,997 Series 2006-H, Cl. 2A1A, 0.379%, 11/15/36 (1) 67,368 18,280 DSC Floorplan Master Owner Trust, Automobile Receivable Nts., Series 2011-1, Cl. A, 3.91%, 3/15/16 520,000 529,107 DT Auto Owner Trust 2011-1A, Automobile Receivable Nts., Series 2011-1A, Cl. C, 3.05%, 8/15/15 (2) 720,000 722,804 Embarcadero Aircraft Securitization Trust, Airplane Receivable Nts., Series 2000-A, Cl. B, 0.656%, 8/15/25 (3,4) 1,820,063 -- First Franklin Mortgage Loan Trust 2006-FF9, Mtg. Pass-Through Certificates, Series 2006-FF9, Cl. 2A2, 0.345%, 6/25/36 (1) 7,670 7,648 GE Dealer Floorplan Master Note Trust, Asset-Backed Securities, Series 2009-2A, Cl. A, 1.757%, 10/20/14 (1,2) 270,000 272,968 GMAC Mortgage Servicer Advance Funding Ltd., Asset-Backed Nts., Series 2011-1A, Cl. A, 3.72%, 2/15/23 (2) 580,000 586,066 Home Equity Mortgage Trust 2005-1, Mtg. Pass-Through Certificates, Series 2005-1, Cl. M6, 5.863%, 6/1/35 1,046,000 545,600 Ice 1 Em CLO Ltd./Ice 1 Em CLO Corp., Sr. Sec. Sub. Term Nts.: Series 2007-1A, Cl. B, 2.152%, 8/15/22 (1,4) 7,870,000 5,194,200 Series 2007-1A, Cl. C, 3.452%, 8/15/22 (1,4) 5,270,000 3,320,100 Series 2007-1A, Cl. D, 5.452%, 8/15/22 (1,4) 5,270,000 3,162,000 Mastr Asset-Backed Securities Trust 2006-WMC3, Mtg. Pass-Through Certificates, Series 2006-WMC3, Cl. A3, 0.335%, 8/25/36 (1) 1,201,635 374,550 NC Finance Trust, Collateralized Mtg. Obligation Pass-Through Certificates, Series 1999-I, Cl. ECFD, 3.405%, 1/25/29 (3,4) 66,744 5,340 Popular ABS Mortgage Pass-Through Trust 2005-6, Mtg. Pass-Through Certificates, Series 2005-6, Cl. A3, 5.68%, 1/1/36 198,673 171,246 Santander Drive Auto Receivables Trust 2011-S1A, Automobile Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/17 (4) 258,319 257,260 SLM Student Loan Trust, Student Loan Receivables, Series 2005-B, Cl. B, 0.747%, 6/15/39 (1) 2,487,000 1,220,349
1 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ----------- ------------ Terwin Mortgage Trust, Home Equity Asset-Backed Securities, Series 2006-4SL, Cl. A1, 3.524%, 5/1/37 (1,2,5) $ 172,746 $ 95,003 ------------ Total Asset-Backed Securities (Cost $32,691,249) 23,139,982 MORTGAGE-BACKED OBLIGATIONS--19.9% GOVERNMENT AGENCY--7.1% FHLMC/FNMA/FHLB/SPONSORED--6.7% Federal Home Loan Mortgage Corp.: 5%, 9/15/33 1,695,987 1,829,033 5.50%, 9/1/39 1,495,616 1,620,967 6%, 5/15/18-10/1/37 825,084 903,760 6.50%, 3/15/18-8/15/32 1,827,451 2,039,110 7%, 10/1/31-10/1/37 478,125 549,862 7.50%, 1/1/32 741,508 862,814 Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Series 1360, Cl. PZ, 7.50%, 9/15/22 876,609 999,714 Series 151, Cl. F, 9%, 5/15/21 23,787 27,523 Series 1674, Cl. Z, 6.75%, 2/15/24 692,584 788,190 Series 1897, Cl. K, 7%, 9/15/26 1,502,748 1,744,863 Series 2006-11, Cl. PS, 23.707%, 3/25/36 (1) 483,869 667,211 Series 2043, Cl. ZP, 6.50%, 4/15/28 606,310 705,190 Series 2106, Cl. FG, 0.679%, 12/15/28 (1) 1,070,869 1,074,758 Series 2122, Cl. F, 0.679%, 2/15/29 (1) 32,083 32,144 Series 2148, Cl. ZA, 6%, 4/15/29 895,917 958,614 Series 2195, Cl. LH, 6.50%, 10/15/29 475,614 562,897 Series 2326, Cl. ZP, 6.50%, 6/15/31 64,690 74,327 Series 2344, Cl. FP, 1.179%, 8/15/31 (1) 321,701 326,038 Series 2368, Cl. PR, 6.50%, 10/15/31 267,446 293,772 Series 2412, Cl. GF, 1.179%, 2/15/32 (1) 606,160 615,877 Series 2449, Cl. FL, 0.779%, 1/15/32 (1) 416,795 419,251 Series 2451, Cl. FD, 1.229%, 3/15/32 (1) 213,834 217,485 Series 2453, Cl. BD, 6%, 5/15/17 93,738 100,480 Series 2461, Cl. PZ, 6.50%, 6/15/32 980,561 1,123,041 Series 2464, Cl. FI, 1.229%, 2/15/32 (1) 202,708 205,582 Series 2470, Cl. AF, 1.229%, 3/15/32 (1) 366,887 375,817 Series 2470, Cl. LF, 1.229%, 2/15/32 (1) 207,442 211,056 Series 2471, Cl. FD, 1.229%, 3/15/32 (1) 310,371 315,452 Series 2477, Cl. FZ, 0.779%, 6/15/31 (1) 824,127 827,888 Series 2500, Cl. FD, 0.729%, 3/15/32 (1) 26,441 26,525 Series 2517, Cl. GF, 1.229%, 2/15/32 (1) 180,360 183,413 Series 2526, Cl. FE, 0.629%, 6/15/29 (1) 50,297 50,545 Series 2551, Cl. FD, 0.629%, 1/15/33 (1) 23,392 23,481 Series 2676, Cl. KY, 5%, 9/15/23 3,843,000 4,218,025 Series 2907, Cl. GC, 5%, 6/1/27 282,621 283,933 Series 3019, Cl. MD, 4.75%, 1/1/31 560,874 567,595 Series 3025, Cl. SJ, 23.91%, 8/15/35 (1) 540,062 742,301 Series 3094, Cl. HS, 23.544%, 6/15/34 (1) 311,328 401,770 Series 3822, Cl. JA, 5%, 6/1/40 176,729 193,186 Series 3848, Cl. WL, 4%, 4/1/40 790,977 838,977
2 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ------------ ------------ FHLMC/FNMA/FHLB/SPONSORED CONTINUED Series 3917, Cl. BA, 4%, 6/1/38 $ 1,432,468 $ 1,498,897 Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 192, Cl. IO, 12.832%, 2/1/28 (6) 23,405 4,909 Series 205, Cl. IO, 12.551%, 9/1/29 (6) 124,908 24,485 Series 2074, Cl. S, 63.441%, 7/17/28 (6) 33,371 6,962 Series 2079, Cl. S, 75.131%, 7/17/28 (6) 56,003 12,158 Series 2136, Cl. SG, 79.314%, 3/15/29 (6) 1,525,804 308,528 Series 2399, Cl. SG, 73.012%, 12/15/26 (6) 878,343 175,488 Series 243, Cl. 6, 25.331%, 12/15/32 (6) 348,401 59,774 Series 2437, Cl. SB, 83.444%, 4/15/32 (6) 2,609,893 593,618 Series 2526, Cl. SE, 39.311%, 6/15/29 (6) 63,146 12,974 Series 2795, Cl. SH, 13.63%, 3/15/24 (6) 1,317,651 205,874 Series 2802, Cl. AS, 69.844%, 4/15/33 (6) 353,009 26,926 Series 2920, Cl. S, 63.965%, 1/15/35 (6) 562,061 88,766 Series 3110, Cl. SL, 17.819%, 2/15/26 (6) 333,635 44,481 Series 3451, Cl. SB, 26.46%, 5/15/38 (6) 1,045,734 107,124 Federal National Mortgage Assn.: 2.619%, 10/1/36 (1) 4,479,298 4,720,927 4.50%, 10/1/26-10/1/41 (7) 20,540,000 21,808,911 5%, 11/25/21-7/25/33 2,298,513 2,484,883 5%, 10/1/41 (7) 8,230,000 8,853,682 5.50%, 4/25/21-1/1/36 855,906 932,462 5.50%, 10/1/26-10/1/41 (7) 9,913,000 10,756,668 6%, 10/25/16-1/25/19 497,771 539,701 6%, 10/1/41 (7) 7,060,000 7,745,042 6.50%, 4/25/17-1/1/34 2,344,594 2,648,712 7%, 11/1/17-6/25/34 2,472,319 2,832,541 7.50%, 2/25/27-3/25/33 2,714,544 3,165,274 8.50%, 7/1/32 3,072 3,505 Federal National Mortgage Assn., 15 yr.: 3%, 10/1/26 (7) 9,360,000 9,645,187 3.50%, 10/1/26 (7) 4,665,000 4,872,009 4%, 10/1/26 (7) 355,000 374,192 Federal National Mortgage Assn., 30 yr., 4%, 10/1/41 (7) 11,255,000 11,800,164 Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Trust 1999-54, Cl. LH, 6.50%, 11/25/29 469,680 545,057 Trust 2001-51, Cl. OD, 6.50%, 10/25/31 252,656 296,515 Trust 2001-69, Cl. PF, 1.235%, 12/25/31 (1) 462,595 472,765 Trust 2001-80, Cl. ZB, 6%, 1/25/32 537,147 609,023 Trust 2002-12, Cl. PG, 6%, 3/25/17 311,730 335,672 Trust 2002-29, Cl. F, 1.235%, 4/25/32 (1) 225,883 230,882 Trust 2002-60, Cl. FH, 1.235%, 8/25/32 (1) 462,077 470,577 Trust 2002-64, Cl. FJ, 1.235%, 4/25/32 (1) 69,557 71,096 Trust 2002-68, Cl. FH, 0.73%, 10/18/32 (1) 156,916 157,604 Trust 2002-84, Cl. FB, 1.235%, 12/25/32 (1) 951,918 973,065
3 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ------------ ----------- FHLMC/FNMA/FHLB/SPONSORED CONTINUED Trust 2002-9, Cl. PC, 6%, 3/25/17 $ 315,100 $ 345,114 Trust 2002-9, Cl. PR, 6%, 3/25/17 385,825 415,567 Trust 2002-90, Cl. FH, 0.735%, 9/25/32 (1) 532,600 534,984 Trust 2003-11, Cl. FA, 1.235%, 9/25/32 (1) 951,940 973,088 Trust 2003-116, Cl. FA, 0.635%, 11/25/33 (1) 73,023 73,390 Trust 2004-101, Cl. BG, 5%, 1/25/20 1,461,014 1,565,361 Trust 2005-109, Cl. AH, 5.50%, 12/25/25 2,160,000 2,424,765 Trust 2005-12, Cl. JC, 5%, 6/1/28 479,021 483,933 Trust 2005-25, Cl. PS, 27.128%, 4/25/35 (1) 509,166 758,899 Trust 2005-31, Cl. PB, 5.50%, 4/25/35 560,000 675,170 Trust 2005-71, Cl. DB, 4.50%, 8/25/25 480,000 524,531 Trust 2006-46, Cl. SW, 23.339%, 6/25/36 (1) 826,492 1,117,413 Trust 2007-42, Cl. A, 6%, 2/1/33 1,009,427 1,065,395 Trust 2009-36, Cl. FA, 1.175%, 6/25/37 (1) 406,603 413,802 Trust 2011-15, Cl. DA, 4%, 3/1/41 1,002,327 1,052,515 Trust 2011-3, Cl. KA, 5%, 4/1/40 592,892 641,496 Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Trust 2001-61, Cl. SH, 40.51%, 11/18/31 (6) 255,846 47,450 Trust 2001-63, Cl. SD, 36.506%, 12/18/31 (6) 63,481 11,603 Trust 2001-68, Cl. SC, 26.675%, 11/25/31 (6) 41,745 7,824 Trust 2001-81, Cl. S, 33.691%, 1/25/32 (6) 52,027 10,884 Trust 2002-28, Cl. SA, 38.12%, 4/25/32 (6) 32,622 6,014 Trust 2002-38, Cl. SO, 57.168%, 4/25/32 (6) 178,589 28,026 Trust 2002-48, Cl. S, 34.581%, 7/25/32 (6) 50,990 9,512 Trust 2002-52, Cl. SL, 36.362%, 9/25/32 (6) 32,780 6,189 Trust 2002-56, Cl. SN, 36.761%, 7/25/32 (6) 70,067 12,994 Trust 2002-77, Cl. IS, 51.423%, 12/18/32 (6) 304,263 55,418 Trust 2002-77, Cl. SH, 44.20%, 12/18/32 (6) 73,254 14,984 Trust 2002-9, Cl. MS, 33.884%, 3/25/32 (6) 67,987 13,716 Trust 2003-13, Cl. IO, 15.195%, 3/25/33 (6) 568,078 95,364 Trust 2003-26, Cl. DI, 13.596%, 4/25/33 (6) 423,106 71,074 Trust 2003-33, Cl. SP, 41.564%, 5/25/33 (6) 451,950 74,237 Trust 2003-38, Cl. SA, 39.116%, 3/25/23 (6) 670,338 68,767 Trust 2003-4, Cl. S, 37.796%, 2/25/33 (6) 132,215 22,152 Trust 2004-56, Cl. SE, 16.377%, 10/25/33 (6) 1,935,095 286,019 Trust 2005-14, Cl. SE, 40.878%, 3/25/35 (6) 1,820,344 269,713 Trust 2005-40, Cl. SA, 62.91%, 5/25/35 (6) 1,542,987 243,976 Trust 2005-40, Cl. SB, 96.054%, 5/25/35 (6) 2,591,521 532,575 Trust 2005-63, Cl. SA, 66.391%, 10/25/31 (6) 106,561 20,677 Trust 2005-71, Cl. SA, 63.805%, 8/25/25 (6) 362,500 54,891 Trust 2006-129, Cl. SM, 33.302%, 1/25/37 (6) 713,219 94,733 Trust 2006-51, Cl. SA, 17.893%, 6/25/36 (6) 9,121,515 1,220,706 Trust 2006-60, Cl. DI, 39.204%, 4/25/35 (6) 1,655,336 227,789 Trust 2006-90, Cl. SX, 99.999%, 9/25/36 (6) 1,609,926 340,702 Trust 2007-77, Cl. SB, 31.856%, 12/25/31 (6) 796,457 36,521 Trust 2007-88, Cl. XI, 30.927%, 6/25/37 (6) 2,631,018 421,598
4 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ------------ ------------- FHLMC/FNMA/FHLB/SPONSORED CONTINUED Trust 2008-55, Cl. SA, 27.31%, 7/25/38 (6) $ 557,054 $ 62,361 Trust 2011-84, Cl. IG, 5.587%, 8/1/13 (6) 5,531,051 166,018 Trust 214, Cl. 2, 39.74%, 3/1/23 (6) 387,561 69,262 Trust 221, Cl. 2, 37.75%, 5/1/23 (6) 44,792 8,061 Trust 254, Cl. 2, 30.411%, 1/1/24 (6) 734,218 137,646 Trust 2682, Cl. TQ, 99.999%, 10/15/33 (6) 594,076 129,010 Trust 2981, Cl. BS, 99.999%, 5/15/35 (6) 1,048,444 205,345 Trust 301, Cl. 2, 2.173%, 4/1/29 (6) 165,962 32,958 Trust 313, Cl. 2, 27.216%, 6/1/31 (6) 1,751,383 366,078 Trust 319, Cl. 2, 3.027%, 2/1/32 (6) 813,445 161,519 Trust 321, Cl. 2, 6.221%, 4/1/32 (6) 214,552 40,466 Trust 324, Cl. 2, 0%, 7/1/32 (6,8) 224,720 42,418 Trust 328, Cl. 2, 0%, 12/1/32 (6,8) 550,202 94,370 Trust 331, Cl. 5, 23.059%, 2/1/33 (6) 823,704 146,548 Trust 332, Cl. 2, 0%, 3/1/33 (6,8) 4,807,621 791,579 Trust 334, Cl. 12, 18.189%, 2/1/33 (6) 721,496 121,742 Trust 339, Cl. 15, 9.734%, 7/1/33 (6) 2,136,597 364,280 Trust 345, Cl. 9, 14.998%, 1/1/34 (6) 935,492 120,517 Trust 351, Cl. 10, 4.771%, 4/1/34 (6) 448,008 66,886 Trust 351, Cl. 8, 2.839%, 4/1/34 (6) 728,216 109,624 Trust 356, Cl. 10, 0%, 6/1/35 (6,8) 598,811 86,814 Trust 356, Cl. 12, 0%, 2/1/35 (6,8) 299,367 44,011 Trust 362, Cl. 13, 4.192%, 8/1/35 (6) 363,785 56,467 ------------- 149,315,058 GNMA/GUARANTEED--0.2% Government National Mortgage Assn.: 2.125%, 12/9/25 (1) 5,379 5,576 7%, 3/29/28-7/29/28 237,823 277,179 7.50%, 3/1/27 12,859 15,045 8%, 11/29/25-5/29/26 50,191 57,104 Government National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Series 1999-32, Cl. ZB, 8%, 9/16/29 968,022 1,226,884 Series 2000-12, Cl. ZA, 8%, 2/16/30 2,165,882 2,488,014 Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Series 1998-19, Cl. SB, 70.527%, 7/16/28 (6) 120,273 25,805 Series 1998-6, Cl. SA, 81.995%, 3/16/28 (6) 70,469 14,613 Series 2001-21, Cl. SB, 93.856%, 1/16/27 (6) 533,339 108,241 Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Series 2007-17, Cl. AI, 20.251%, 4/16/37 (6) 630,851 113,610 Series 2010-111, Cl. GI, 16.164%, 9/1/13 (6) 13,567,706 395,302 ------------- 4,727,373 OTHER AGENCY--0.2% NCUA Guaranteed Notes Trust 2010-C1, Gtd. Nts.: Series 2010-C1, Cl. A1, 1.60%, 10/29/20 530,332 536,081
5 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ------------ ----------- OTHER AGENCY CONTINUED Series 2010-C1, Cl. A2, 2.90%, 10/29/20 $ 1,015,000 $ 1,065,262 Series 2010-C1, Cl. APT, 2.65%, 10/29/20 1,171,042 1,216,703 NCUA Guaranteed Notes Trust 2010-R1, Gtd. Nts., Series 2010-R1, Cl. 1A, 0.674%, 10/7/20 (1) 1,078,287 1,079,969 NCUA Guaranteed Notes Trust 2010-R3, Gtd. Nts., Series 2010-R3, Cl. 3A, 2.40%, 12/8/20 880,349 898,510 ----------- 4,796,525 NON-AGENCY--12.8% COMMERCIAL--7.3% Banc of America Commercial Mortgage Trust 2006-3, Commercial Mtg. Pass-Through Certificates, Series 2006-3, Cl. AM, 6.072%, 7/10/44 (1) 4,192,000 3,891,090 Banc of America Commercial Mortgage Trust 2006-5, Commercial Mtg. Pass-Through Certificates, Series 2006-5, Cl. AM, 5.448%, 9/1/47 6,055,000 5,203,900 Banc of America Commercial Mortgage Trust 2007-1, Commercial Mtg. Pass-Through Certificates, Series 2007-1, Cl. AMFX, 5.482%, 1/1/49 4,159,386 3,651,540 Banc of America Commercial Mortgage Trust 2007-5, Commercial Mtg. Pass-Through Certificates, Series 2007-5, Cl. AM, 5.772%, 2/1/51 8,090,000 7,075,502 Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2008-1, Cl. AM, 6.438%, 2/10/51 (1) 3,415,000 3,154,331 Bear Stearns Commercial Mortgage Securities Trust 2006-PWR13, Commercial Mtg. Pass-Through Certificates, Series 2006-PWR13, Cl. AJ, 5.611%, 9/1/41 6,630,000 5,189,231 Bear Stearns Commercial Mortgage Securities Trust 2007-PWR17, Commercial Mtg. Pass-Through Certificates: Series 2007-PWR17, Cl. AJ, 6.137%, 6/1/50 (1) 7,400,000 4,715,317 Series 2007-PWR17, Cl. AM, 5.915%, 6/1/50 2,330,000 2,139,433 CHL Mortgage Pass-Through Trust 2005-17, Mtg. Pass-Through Certificates, Series 2005-17, Cl. 1A8, 5.50%, 9/1/35 3,264,379 2,997,650 CHL Mortgage Pass-Through Trust 2005-HYB8, Mtg. Pass-Through Certificates, Series 2005-HYB8, Cl. 4A1, 5.068%, 12/20/35 (1) 172,244 132,995 CHL Mortgage Pass-Through Trust 2007-J3, Mtg. Pass-Through Certificates, Series 2007-J3, Cl. A9, 6%, 7/1/37 9,415,484 7,645,208 Citigroup Commercial Mortgage Trust 2008-C7, Commercial Mtg. Pass-Through Certificates, Series 2008-C7, Cl. AM, 6.275%, 12/1/49 (1) 4,270,000 3,797,051 Citigroup, Inc./Deutsche Bank 2007-CD4 Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2007-CD4, Cl. A4, 5.322%, 12/1/49 955,000 988,359 DBUBS Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2011-LC1, Cl. E, 5.729%, 11/1/46 (1,2) 2,515,000 1,990,780 Deutsche Alt-A Securities, Inc., Mtg. Pass-Through Certificates, Series 2007-RS1, Cl. A2, 0.736%, 1/27/37 (1,4) 1,360,621 625,886 Deutsche Alt-B Securities, Inc., Mtg. Pass-Through Certificates: Series 2006-AB2, Cl. A1, 5.885%, 6/25/36 147,793 109,077
6 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ------------ ----------- COMMERCIAL CONTINUED Series 2006-AB4, Cl. A1A, 6.005%, 10/25/36 $ 677,895 $ 376,227 Deutsche Mortgage & Asset Receiving, Commercial Mtg. Pass-Through Certificates, Series 2010-C1, Cl. A1, 3.156%, 7/1/46 (2) 717,151 725,523 Deutsche Mortgage & Asset Receiving, Commercial Mtg. Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security, Series 2010-C1, Cl. XPA, 4.852%, 9/1/20 (2,6) 5,784,652 454,167 First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 627,859 418,227 First Horizon Mortgage Pass-Through Trust 2007-AR3, Mtg. Pass-Through Certificates, Series 2007-AR3, Cl. 1A1, 5.91%, 11/1/37 (1) 3,546,544 2,448,305 GMAC Commercial Mortgage Securities, Inc., Commercial Mtg. Pass-Through Certificates, Series 1998-C1, Cl. F, 7.115%, 5/15/30 (1) 1,567,000 1,519,015 Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2006-GG7, Commercial Mtg. Pass-Through Certificates, Series 2006-GG7, Cl. AJ, 6.074%, 7/10/38 (1) 6,150,000 4,827,584 Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2007-GG11, Commercial Mtg. Pass-Through Certificates, Series 2007-GG11, Cl. AM, 5.867%, 12/1/49 5,550,000 4,494,179 GS Mortgage Securities Corp. II, Commercial Mtg. Obligations, Series 2011-GC3, Cl. D, 5.728%, 3/1/44 (1,2) 3,130,000 2,304,531 GSR Mortgage Loan Trust 2005-AR4, Mtg. Pass-Through Certificates, Series 2005-AR4, Cl. 6A1, 5.25%, 7/1/35 87,297 84,075 Impac CMB Trust Series 2005-4, Collateralized Asset-Backed Bonds, Series 2005-4, Cl. 1A1A, 0.775%, 5/25/35 (1) 5,372,733 3,812,465 IndyMac Index Mortgage Loan Trust 2005-AR23, Mtg. Pass-Through Certificates, Series 2005-AR23, Cl. 6A1, 5.128%, 11/1/35 (1) 1,656,910 1,163,038 JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: Series 2006-CIBC15, Cl. AM, 5.855%, 6/1/43 775,000 702,340 Series 2007-CB15, Cl. AJ, 5.502%, 6/1/47 8,281,000 4,836,009 Series 2007-CB18, Cl. A4, 5.44%, 6/1/47 2,315,000 2,413,882 Series 2007-CB18, Cl. AM, 5.466%, 6/1/47 6,400,000 5,743,613 Series 2008-C2, Cl. AM, 6.785%, 2/1/51 (1) 4,990,000 4,131,046 Series 2010-C2, Cl. A2, 3.616%, 11/1/43 (2) 860,000 843,540 JPMorgan Chase Commercial Mortgage Securities Trust 2006-CIBC16, Commercial Mtg. Pass-Through Certificates, Series 2006-CIBC16, Cl. AJ, 5.623%, 5/1/45 2,175,000 1,556,796 JPMorgan Chase Commercial Mortgage Securities Trust 2006-LDP7, Commercial Mtg. Pass-Through Certificates, Series 2006-LDP7, 6.072%, 4/1/45 (1) 120,000 115,759 JPMorgan Chase Commercial Mortgage Securities Trust 2007-CB19, Commercial Mtg. Pass-Through Certificates, Series 2007-CB19, Cl. AM, 5.932%, 2/1/49 (1) 5,850,000 5,134,726 JPMorgan Chase Commercial Mortgage Securities Trust 2007-LDP11, Commercial Mtg. Pass-Through Certificates, Series 2007-LDP11, Cl. ASB, 6.005%, 6/1/49 (1) 570,000 604,236
7 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ------------ ----------- COMMERCIAL CONTINUED JPMorgan Mortgage Trust 2006-A7, Mtg. Pass-Through Certificates, Series 2006-A7, Cl. 2A2, 4.441%, 1/1/37 (1) $ 351,722 $ 243,898 LB-UBS Commercial Mortgage Trust 2007-C2, Commercial Mtg. Pass-Through Certificates, Series 2007-C2, Cl. AM, 5.493%, 2/11/40 2,950,000 2,508,450 LB-UBS Commercial Mortgage Trust 2007-C6, Commercial Mtg. Pass-Through Certificates, Series 2007-C6, Cl. AM, 6.114%, 7/11/40 5,855,000 4,951,266 LB-UBS Commercial Mortgage Trust 2008-C1, Commercial Mtg. Pass-Through Certificates, Series 2008-C1, Cl. AM, 6.312%, 4/11/41 (1) 2,610,000 2,341,589 Lehman Structured Securities Corp., Mtg.-Backed Security, 6%, 5/1/29 79,137 12,648 Mastr Alternative Loan Trust 2004-6, Mtg. Pass-Through Certificates, Series 2004-6, Cl. 10A1, 6%, 7/25/34 265,738 273,028 Merrill Lynch Mortgage Trust 2006-C1, Commercial Mtg. Pass-Through Certificates, Series 2006-C1, Cl. AJ, 5.855%, 5/1/39 (1) 3,845,000 3,092,912 ML-CFC Commercial Mortgage Trust 2006-3, Commercial Mtg. Pass-Through Certificates, Series 2006-3, Cl. AJ, 5.485%, 7/1/46 3,745,000 2,856,128 Morgan Stanley Capital I Trust 2006-IQ12, Commercial Mtg. Pass-Through Certificates, Series 2006-IQ12, Cl. AJ, 5.399%, 12/1/43 7,734,000 4,439,053 Morgan Stanley Capital I Trust 2007-IQ15, Commercial Mtg. Pass-Through Certificates, Series 2007-IQ15, Cl. AM, 6.08%, 6/1/49 (1) 5,875,000 4,867,902 Morgan Stanley Capital I Trust, Commercial Mtg. Pass-Through Certificates, Series 2006-HQ10, Cl. AM, 5.36%, 11/1/41 8,500,000 7,838,692 RALI Series 2005-QA4 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2005-QA4, Cl. A32, 3.216%, 4/25/35 (1) 118,552 15,910 Residential Asset Securitization Trust 2006-A12, Mtg. Pass-Through Certificates, Series 2006-A12, Cl. 1A, 6.25%, 11/1/36 731,813 490,575 STARM Mortgage Loan Trust 2007-1, Mtg. Pass-Through Certificates, Series 2007-1, Cl. 2A1, 5.816%, 2/1/37 (1) 9,778,360 6,614,425 Structured Adjustable Rate Mortgage Loan Trust, Mtg. Pass-Through Certificates, Series 2007-6, Cl. 3A1, 5.164%, 7/1/37 (1) 7,048,263 4,283,275 Wachovia Bank Commercial Mortgage Trust 2006-C23, Commercial Mtg. Pass-Through Certificates, Series 2006-C23, Cl. AJ, 5.515%, 1/1/45 4,510,000 3,732,983 Wachovia Bank Commercial Mortgage Trust 2006-C25, Commercial Mtg. Pass-Through Certificates, Series 2006-C25, Cl. AJ, 5.923%, 5/1/43 (1) 4,220,000 3,362,631 Wachovia Bank Commercial Mortgage Trust 2006-C28, Commercial Mtg. Pass-Through Certificates, Series 2006-C28, Cl. A4, 5.572%, 10/1/48 810,000 862,748 WaMu Mortgage Pass-Through Certificates 2006-AR15 Trust, Mtg. Pass-Through Certificates, Series 2006-AR15, Cl. 1A, 1.082%, 11/1/46 (1) 1,210,267 707,816
8 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ------------ ------------- COMMERCIAL CONTINUED WaMu Mortgage Pass-Through Certificates 2007-OA3 Trust, Mtg. Pass-Through Certificates, Series 2007-OA3, Cl. 5A, 2.60%, 4/1/47 (1) $ 848,375 $ 456,777 Wells Fargo Mortgage-Backed Securities 2004-W Trust, Mtg. Pass-Through Certificates, Series 2004-W, Cl. B2, 2.708%, 11/1/34 (1) 985,106 90,055 Wells Fargo Mortgage-Backed Securities 2005-AR1 Trust, Mtg. Pass-Through Certificates, Series 2005-AR1, Cl. 1A1, 2.734%, 2/1/35 (1) 3,817,730 3,429,024 Wells Fargo Mortgage-Backed Securities 2007-AR3 Trust, Mtg. Pass-Through Certificates, Series 2007-AR3, Cl. A4, 5.789%, 4/1/37 (1) 2,508,759 2,109,680 WFRBS Commercial Mortgage Trust 2011-C3, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2011-C3, Cl. XA, 7.407%, 3/1/44 (6) 6,132,001 560,955 ------------- 162,159,053 MULTIFAMILY--0.9% Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2006-2, Cl. AJ, 5.956%, 5/1/45 (1) 4,295,000 3,529,775 Citigroup Commercial Mortgage Trust 2006-C5, Commercial Mtg. Pass-Through Certificates, Series 2006-C5, Cl. AJ, 5.482%, 10/1/49 5,792,000 4,715,661 Citigroup Mortgage Loan Trust, Inc. 2006-AR3, Mtg. Pass-Through Certificates, Series 2006-AR3, Cl. 1A2A, 5.681%, 6/1/36 (1) 6,366,489 5,530,435 JPMorgan Mortgage Trust 2007-A3, Mtg. Pass-Through Certificates, Series 2007-A3, Cl. 3A2M, 5.454%, 5/1/37 (1) 4,910,454 4,119,387 Wells Fargo Mortgage-Backed Securities 2005-AR15 Trust, Mtg. Pass-Through Certificates, Series 2005-AR15, Cl. 1A2, 5.039%, 9/1/35 (1) 449,628 405,242 Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg. Pass-Through Certificates, Series 2006-AR6, Cl. 3A1, 2.795%, 3/25/36 (1) 3,389,251 2,737,070 ------------- 21,037,570 OTHER--0.1% Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2007-GG9, Commercial Mtg. Pass-Through Certificates, Series 2007-GG9, Cl. A4, 5.444%, 3/1/39 2,315,000 2,409,972 RESIDENTIAL--4.5% Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2007-4, Cl. AM, 5.983%, 2/1/51 (1) 3,960,000 3,538,872 Banc of America Funding 2007-C Trust, Mtg. Pass-Through Certificates, Series 2007-C, Cl. 1A4, 5.563%, 5/1/36 (1) 2,025,000 1,815,702 Bear Stearns ARM Trust 2004-2, Mtg. Pass-Through Certificates, Series 2004-2, Cl. 12A2, 2.771%, 5/1/34 (1) 3,076,862 2,507,494 Bear Stearns ARM Trust 2004-9, Mtg. Pass-Through Certificates, Series 2004-9, Cl. 23A1, 3.98%, 11/1/34 (1) 916,055 867,684
9 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ------------ ----------- RESIDENTIAL CONTINUED Chase Mortgage Finance Trust 2007-A1, Multiclass Mtg. Pass-Through Certificates, Series 2007-A1, Cl. 9A1, 2.753%, 2/1/37 (1) $ 1,325,805 $ 1,274,506 CHL Mortgage Pass-Through Trust 2005-29, Mtg. Pass-Through Certificates, Series 2005-29, Cl. A1, 5.75%, 12/1/35 6,262,122 5,473,408 CHL Mortgage Pass-Through Trust 2005-HYB7, Mtg. Pass-Through Certificates, Series 2005-HYB7, Cl. 6A1, 5.363%, 11/1/35 (1) 7,173,056 5,043,580 CHL Mortgage Pass-Through Trust 2005-J4, Mtg. Pass-Through Certificates, Series 2005-J4, Cl. A7, 5.50%, 11/1/35 1,950,831 1,910,962 CHL Mortgage Pass-Through Trust 2006-6, Mtg. Pass-Through Certificates, Series 2006-6, Cl. A3, 6%, 4/1/36 777,500 735,863 CHL Mortgage Pass-Through Trust 2007-HY3, Mtg. Pass-Through Certificates, Series 2007-HY3, Cl. 1A1, 2.981%, 6/1/47 (1) 2,169,450 1,479,264 CHL Mortgage Pass-Through Trust 2007-HY4, Mtg. Pass-Through Certificates, Series 2007-HY4, Cl. 1A1, 5.631%, 9/1/47 (1) 1,930,032 1,304,324 Citigroup Mortgage Loan Trust, Inc. 2005-2, Mtg. Pass-Through Certificates, Series 2005-2, Cl. 1A3, 4.787%, 5/1/35 (1) 2,508,268 2,142,566 Citigroup Mortgage Loan Trust, Inc. 2005-3, Mtg. Pass-Through Certificates, Series 2005-3, Cl. 2A4, 5.079%, 8/1/35 (1) 5,105,654 3,727,952 Citigroup, Inc./Deutsche Bank 2007-CD4 Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2007-CD4, Cl. AMFX, 5.366%, 12/1/49 6,060,000 5,026,028 CitiMortgage Alternative Loan Trust 2006-A5, Real Estate Mtg. Investment Conduit Pass-Through Certificates, Series 2006-A5, Cl. 2A1, 5.50%, 10/1/21 1,567,563 1,476,087 Countrywide Alternative Loan Trust 2006-43CB, Mtg. Pass-Through Certificates, Series 2006-43CB, Cl. 1A10, 6%, 2/1/37 10,336,401 6,680,142 Countrywide Alternative Loan Trust 2007-19, Mtg. Pass-Through Certificates, Series 2007-19, Cl. 1A4, 6%, 8/1/37 2,868,000 2,052,732 GSR Mortgage Loan Trust 2004-5, Mtg. Pass-Through Certificates, Series 2004-5, Cl. 2A1, 2.775%, 5/1/34 (1) 3,155,947 2,633,499 GSR Mortgage Loan Trust 2005-AR7, Mtg. Pass-Through Certificates, Series 2005-AR7, Cl. 4A1, 5.252%, 11/1/35 (1) 3,309,500 2,507,400 GSR Mortgage Loan Trust 2006-5F, Mtg. Pass-Through Certificates, Series 2006-5F, Cl. 2A1, 6%, 6/1/36 1,203,704 1,185,572 JPMorgan Alternative Loan Trust 2006-S4, Mtg. Pass-Through Certificates, Series 2006-S4, Cl. A6, 5.71%, 12/1/36 311,507 273,283 LB-UBS Commercial Mortgage Trust 2007-C7, Commercial Mtg. Pass-Through Certificates, Series 2007-C7, Cl. AM, 6.375%, 9/11/45 (1) 10,430,000 8,625,036 Merrill Lynch Mortgage Investors Trust 2006-3, Mtg. Pass-Through Certificates, Series MLCC 2006-3, Cl. 2A1, 2.646%, 10/25/36 (1) 1,718,959 1,549,400 RALI Series 2006-QS13 Trust, Mtg. Asset-Backed Pass-Through Certificates: Series 2006-QS13, Cl. 1A5, 6%, 9/25/36 1,971,394 1,166,440 Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 39,406 23,316 RALI Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-QS6, Cl. A28, 5.75%, 4/25/37 971,047 585,088
10 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ------------ ------------- RESIDENTIAL CONTINUED Residential Asset Securitization Trust 2005-A14, Mtg. Pass-Through Certificates, Series 2005-A14, Cl. A1, 5.50%, 12/1/35 $ 3,552,309 $ 2,945,239 Residential Asset Securitization Trust 2005-A15, Mtg. Pass-Through Certificates, Series 2005-A15, Cl. 1A4, 5.75%, 2/1/36 4,222,505 3,400,485 Residential Asset Securitization Trust 2005-A6CB, Mtg. Pass-Through Certificates, Series 2005-A6CB, Cl. A7, 6%, 6/1/35 4,710,515 4,106,427 WaMu Mortgage Pass-Through Certificates 2005-AR12 Trust, Mtg. Pass-Through Certificates, Series 2007-AR12, Cl. 1A8, 2.501%, 10/1/35 (1) 2,488,127 1,990,084 WaMu Mortgage Pass-Through Certificates 2006-AR10 Trust, Mtg. Pass-Through Certificates, Series 2006-AR10, Cl. 1A2, 5.837%, 9/1/36 (1) 1,058,474 859,317 WaMu Mortgage Pass-Through Certificates 2007-HY1 Trust, Mtg. Pass-Through Certificates: Series 2007-HY1, Cl. 4A1, 2.643%, 2/1/37 (1) 14,259,551 9,976,417 Series 2007-HY1, Cl. 5A1, 5.344%, 2/1/37 (1) 8,631,020 6,480,450 WaMu Mortgage Pass-Through Certificates 2007-HY5 Trust, Mtg. Pass-Through Certificates, Series 2007-HY5, Cl. 3A1, 5.591%, 5/1/37 (1) 1,154,522 961,851 Wells Fargo Mortgage-Backed Securities 2005-9 Trust, Mtg. Pass-Through Certificates, Series 2005-9, Cl. 2A6, 5.25%, 10/25/35 425,136 410,784 Wells Fargo Mortgage-Backed Securities 2006-AR14 Trust, Mtg. Pass-Through Certificates, Series 2006-AR14, Cl. 1A2, 5.684%, 10/1/36 (1) 3,730,892 3,209,353 ------------- 99,946,607 ------------- Total Mortgage-Backed Obligations (Cost $475,364,601) 444,392,158 U.S. GOVERNMENT OBLIGATIONS--5.9% Federal Home Loan Mortgage Corp. Nts.: 1.125%, 7/27/12 (9) 17,545,000 17,663,832 2.50%, 5/27/16 1,000,000 1,061,030 5%, 2/16/17 6,500,000 7,701,733 5.125%, 11/17/17 4,000,000 4,824,924 Federal National Mortgage Assn. Nts.: 1.125%, 7/30/12 16,180,000 16,295,946 2.375%, 4/11/16 1,000,000 1,056,083 4.375%, 10/15/15 4,000,000 4,544,492 4.875%, 12/15/16 1,000,000 1,177,106 5.375%, 6/12/17 6,500,000 7,900,685 U.S. Treasury Bills, 0.01%, 12/1/11 (9,10) 66,800,000 66,798,664 U.S. Treasury Bonds, STRIPS, 4.833%, 2/15/16 (10,11) 2,116,000 2,041,722 ------------- Total U.S. Government Obligations (Cost $128,834,758) 131,066,217 FOREIGN GOVERNMENT OBLIGATIONS--20.7% ARGENTINA--0.7% Argentina (Republic of) Bonds: 2.50%, 12/31/38 (1) 4,155,000 1,412,700 7%, 10/3/15 10,135,000 8,665,425 Argentina (Republic of) Sr. Unsec. Bonds, Series X, 7%, 4/17/17 3,600,000 2,814,200
11 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value --------------- ------------ Provincia de Buenos Aires Sr. Unsec. Unsub. Nts., 10.875%, 1/26/21 (2) $ 1,675,000 $ 1,509,083 ------------ 14,401,408 AUSTRALIA--0.3% New South Wales Treasury Corp., Series 22, 6%, 3/1/22 460,000 AUD 485,369 Queensland Treasury Corp.: Series 20, 6.25%, 2/21/20 2,210,000 AUD 2,316,826 Series 22, 6%, 7/21/22 1,300,000 AUD 1,341,907 Series 24, 5.75%, 7/22/24 790,000 AUD 798,645 Victoria Treasury Corp., Series 1224, 5.50%, 12/17/24 1,330,000 AUD 1,351,801 ------------ 6,294,548 AUSTRIA--0.1% Austria (Republic of) Bonds, 4.35%, 3/15/19 (2) 1,135,000 EUR 1,714,432 BELGIUM--0.1% Belgium (Kingdom of) Bonds, Series 52, 4%, 3/28/18 1,735,000 EUR 2,421,250 Belgium (Kingdom of) Sr. Bonds, Series 40, 5.50%, 9/28/17 210,000 EUR 315,713 ------------ 2,736,963 BRAZIL--2.4% Brazil (Federal Republic of) Nota Do Tesouro Nacional Nts.: 9.762%, 1/1/17 (12) 47,838,000 BRR 23,239,053 9.762%, 1/1/21 (12) 33,538,000 BRR 15,607,366 12.065%, 5/15/45 (12) 6,470,000 BRR 7,395,810 Series NTNB, 12.12%, 5/15/15 (12) 6,025,000 BRR 6,912,768 ------------ 53,154,997 CANADA--0.1% Canada (Government of) Nts.: 3.75%, 6/1/19 1,420,000 CAD 1,536,145 4%, 6/1/17 1,230,000 CAD 1,330,581 ------------ 2,866,726 COLOMBIA--0.6% Bogota Distrio Capital Sr. Bonds, 9.75%, 7/26/28 (2) 3,058,000,000 COP 1,996,415 Colombia (Republic of) Bonds: 4.375%, 7/12/21 2,045,000 2,091,013 7.375%, 9/18/37 2,715,000 3,560,723 Colombia (Republic of) Sr. Nts., 7.375%, 3/18/19 845,000 1,046,533 Colombia (Republic of) Sr. Unsec. Bonds, 6.125%, 1/18/41 4,085,000 4,648,730 ------------ 13,343,414 DENMARK--0.0% Denmark (Kingdom of) Bonds, 4%, 11/15/19 4,275,000 DKK 896,046 DOMINICAN REPUBLIC--0.1% Dominican Republic Bonds, 7.50%, 5/6/21 (2) 1,700,000 1,674,500 FINLAND--0.0% Finland (Republic of) Sr. Unsec. Unsub. Nts., 3.875%, 9/15/17 460,000 EUR 686,784
12 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value --------------- ------------ FRANCE--0.1% France (Government of) Bonds: 3.75% 10/25/19 750,000 EUR $ 1,106,984 4%, 4/25/60 395,000 EUR 589,438 ------------ 1,696,422 GERMANY--0.3% Germany (Federal Republic of) Bonds: 3.25%, 7/4/42 340,000 EUR 513,719 3.50%, 7/4/19 515,000 EUR 785,075 Series 07, 4.25%, 7/4/39 770,000 EUR 1,348,473 Series 157, 2.25%, 4/10/15 1,995,000 EUR 2,805,439 Germany (Federal Republic of) Treasury Bills: 0.194%, 10/12/11 (11) 375,000 EUR 502,375 0.303% 1/25/12 (11) 1,135,000 EUR 1,516,227 ------------ 7,471,308 GHANA--0.1% Ghana (Republic of) Bonds, 8.50%, 10/4/17 (2) 1,375,000 1,443,750 GREECE--0.1% Hellenic Republic Sr. Unsec. Unsub. Bonds, 30 yr., 4.50%, 9/20/37 2,600,000 EUR 1,156,817 HUNGARY--0.9% Hungary (Republic of) Bonds: Series 12/B, 7.25%, 6/12/12 525,000,000 HUF 2,413,391 Series 19/A, 6.50%, 6/24/19 927,000,000 HUF 3,859,586 Series 20/A, 7.50%, 11/12/20 1,308,000,000 HUF 5,760,093 Hungary (Republic of) Sr. Unsec. Bonds, 7.625%, 3/29/41 1,500,000 1,470,000 Hungary (Republic of) Sr. Unsec. Unsub. Nts., 6.375%, 3/29/21 5,865,000 5,735,970 ------------ 19,239,040 INDONESIA--0.9% Indonesia (Republic of) Nts., 6.875%, 1/17/18 (2) 5,270,000 5,941,925 Indonesia (Republic of) Sr. Unsec. Bonds, 4.875%, 5/5/21 (2) 3,730,000 3,785,950 Indonesia (Republic of) Sr. Unsec. Nts., 7.75%, 1/17/38 (2) 5,235,000 6,596,100 Indonesia (Republic of) Sr. Unsec. Unsub. Bonds, 6.625% 2/17/37 (2) 1,360,000 1,533,400 Indonesia (Republic of) Unsec. Nts., 8.50%, 10/12/35 (2) 2,030,000 2,750,650 ------------ 20,608,025 ITALY--0.3% Italy (Republic of) Bonds: 3.10%, 9/15/26 (12) 580,000 EUR 641,715 4%, 9/1/20 (12) 1,760,000 EUR 2,136,509 5%, 9/1/40 (12) 765,000 EUR 849,555 Italy (Republic of) Sr. Unsec. Bonds, 2.839%, 9/15/23 (12) 2,100,000 EUR 2,480,493 ------------ 6,108,272 IVORY COAST--0.0% Ivory Coast (Republic of) Sr. Unsec. Bonds, 2.50%, 12/31/32 (2,3) 415,000 209,575
13 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value --------------- ------------ JAPAN--2.1% Japan (Government of) Bonds, 20 yr., Series 112, 2.10%, 6/20/29 (7) 1,028,000,000 JPY $ 14,264,076 Japan (Government of) Sr. Unsec. Unsub. Bonds: 2 yr., Series 304, 0.20%, 5/15/13 (7) 596,000,000 JPY 7,735,606 5 yr., Series 96, 0.50%, 3/20/16 (7) 1,268,000,000 JPY 16,559,179 10 yr., Series 307, 1.30%, 3/20/20 (7) 652,000,000 JPY 8,792,651 ----------- 47,351,512 KOREA, REPUBLIC OF SOUTH--0.4% Korea (Republic of) Sr. Unsec. Treasury Bonds: Series 1406, 3.50%, 6/10/14 5,134,000,000 KRW 4,356,450 Series 1603, 4%, 3/10/16 3,086,000,000 KRW 2,661,091 Korea (Republic of) Sr. Unsec. Unsub. Nts., 5.125%, 12/7/16 1,635,000 1,777,206 ----------- 8,794,747 MALAYSIA--0.4% Malaysia (Government of) Sr. Unsec. Bonds: Series 1/06, 4.262%, 9/15/16 1,710,000 MYR 556,006 Series 0309, 2.711%, 2/14/12 20,900,000 MYR 6,549,369 Wakala Global Sukuk Bhd Bonds, 4.646%, 7/6/21 (2) 2,060,000 2,149,476 ----------- 9,254,851 MEXICO--2.1% United Mexican States Bonds: 5.625%, 1/15/17 1,220,000 1,365,180 Series M, 6.50%, 6/10/21 (1) 108,470,000 MXN 7,859,518 Series M20, 7.50%, 6/3/27 (1) 129,280,000 MXN 9,608,134 Series M10, 7.75%, 12/14/17 10,850,000 MXN 871,635 Series M10, 8%, 12/17/15 44,000,000 MXN 3,506,922 Series M20, 8.50%, 5/31/29 (1) 47,100,000 MXN 3,747,640 Series MI10, 9%, 12/20/12 (1) 30,300,000 MXN 2,300,138 Series M20, 10%, 12/5/24 (1) 181,400,000 MXN 16,713,660 United Mexican States Nts., 6.75%, 9/27/34 610,000 753,350 United Mexican States Sr. Nts., 5.75%, 10/12/2110 1,170,000 1,158,300 ----------- 47,884,477 NEW ZEALAND--0.3% New Zealand (Government of) Sr. Unsec. Bonds: Series 413, 6.50%, 4/15/13 5,320,000 NZD 4,276,335 Series 415, 6%, 4/15/15 2,120,000 NZD 1,758,047 ----------- 6,034,382 NORWAY--0.0% Norway (Kingdom of) Bonds, Series 471, 5%, 5/15/15 1,645,000 NOK 312,845 PANAMA--0.3% Panama (Republic of) Bonds: 7.25%, 3/15/15 2,740,000 3,146,890 8.875%, 9/30/27 110,000 157,850 9.375%, 4/1/29 1,100,000 1,658,250
14 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ------------- ------------ Panama (Republic of) Unsec. Bonds, 7.125%, 1/29/26 $ 1,175,000 $ 1,476,388 ------------ 6,439,378 PERU--0.4% Peru (Republic of) Sr. Unsec. Nts., 7.84%, 8/12/20 (2) 20,980,000 PEN 8,581,868 Peru (Republic of) Sr. Unsec. Unsub. Bonds, 5.625%, 11/18/50 410,000 412,050 ------------ 8,993,918 POLAND--1.4% Poland (Republic of) Bonds: 5.25%, 10/25/20 14,100,000 PLZ 4,083,055 Series 0415, 5.50%, 4/25/15 1,680,000 PLZ 515,908 Series 0416, 5%, 4/25/16 53,215,000 PLZ 15,968,967 Series 1015, 6.25%, 10/24/15 16,725,000 PLZ 5,249,317 Series 1017, 5.25%, 10/25/17 905,000 PLZ 269,393 Poland (Republic of) Sr. Unsec. Nts.: 5.125%, 4/21/21 3,240,000 3,240,000 6.375%, 7/15/19 2,085,000 2,298,713 ------------ 31,625,353 QATAR--0.1% Qatar (State of) Sr. Nts., 5.25%, 1/20/20 (2) 1,595,000 1,762,475 Qatar (State of) Sr. Unsec. Nts., 6.40%, 1/20/40 (2) 750,000 916,875 ------------ 2,679,350 RUSSIA--0.1% Russian Federation Bonds, 5%, 4/29/20 (2) 1,250,000 1,231,250 SINGAPORE--0.0% Singapore (Republic of) Sr. Unsec. Bonds, 2.375%, 4/1/17 520,000 SGD 432,445 SOUTH AFRICA--2.2% South Africa (Republic of) Bonds: 5.50%, 3/9/20 1,795,000 1,972,256 Series R209, 6.25%, 3/31/36 57,350,000 ZAR 5,209,052 Series R208, 6.75%, 3/31/21 73,570,000 ZAR 8,168,707 Series R213, 7%, 2/28/31 68,375,000 ZAR 6,913,289 Series R207, 7.25%, 1/15/20 115,470,000 ZAR 13,440,296 Series R186, 10.50%, 12/21/26 85,840,000 ZAR 12,299,640 ------------ 48,003,240 SPAIN--0.2% Spain (Kingdom of) Sr. Unsec. Bonds, 4.65%, 7/30/25 1,230,000 EUR 1,499,990 Spain (Kingdom of) Sr. Unsub. Bonds, 4.70%, 7/30/41 870,000 EUR 962,139 Spain (Kingdom of) Treasury Bills, 1.71%, 12/16/11 (11) 1,145,000 EUR 1,530,251 ------------ 3,992,380 SRI LANKA--0.1% Sri Lanka (Democratic Socialist Republic of) Sr. Unsec. Nts.: 6.25%, 10/4/20 (2) 1,330,000 1,296,750 6.25% 7/27/21 (2) 1,690,000 1,627,865 ------------ 2,924,615
15 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ------------- ------------ SWEDEN--0.0% Sweden (Kingdom of) Bonds, Series 1051, 3.75%, 8/12/17 4,560,000 SEK $ 744,604 THE NETHERLANDS--0.3% Netherlands (Kingdom of the) Bonds: 2.50%, 1/15/17 940,000 EUR 1,315,035 3.25%, 7/15/21 1,450,000 EUR 2,105,852 4%, 7/15/18 600,000 EUR 911,757 4%, 7/15/19 1,925,000 EUR 2,946,861 ------------ 7,279,505 TURKEY--1.0% Turkey (Republic of) Bonds: 6.875%, 3/17/36 2,645,000 2,830,150 7%, 3/11/19 1,360,000 1,530,000 8.68%, 2/20/13 (11) 17,180,000 TRY 8,272,257 10.50%, 1/15/20 (1) 1,120,000 TRY 645,760 11%, 8/6/14 6,590,000 TRY 3,781,874 14.689%, 8/14/13 (1,12) 2,200,000 TRY 1,692,248 Turkey (Republic of) Nts., 7.50%, 7/14/17 1,780,000 2,033,650 Turkey (Republic of) Unsec. Nts., 6%, 1/14/41 2,440,000 2,336,300 ------------ 23,122,239 UKRAINE--0.5% City of Kyiv Via Kyiv Finance plc Sr. Unsec. Bonds, 9.375%, 7/11/16 (4) 985,000 856,950 Financing of Infrastructural Projects State Enterprise Gtd. Nts., 8.375%, 11/3/17 (2) 1,980,000 1,841,400 Ukraine (Republic of) Bonds, 7.75%, 9/23/20 (2) 2,010,000 1,819,050 Ukraine (Republic of) Sr. Unsec. Nts.: 6.25%, 6/17/16 (2) 2,470,000 2,201,388 6.75%, 11/14/17 (2) 330,000 298,980 7.95%, 2/23/21 (2) 3,745,000 3,407,950 ------------ 10,425,718 UNITED KINGDOM--0.5% United Kingdom Treasury Bonds: 3.25%, 12/7/11 1,645,000 GBP 2,577,730 4.25%, 3/7/36 2,140,000 GBP 3,782,941 4.75%, 3/7/20 685,000 GBP 1,282,850 4.75%, 12/7/38 2,340,000 GBP 4,462,749 ------------ 12,106,270 URUGUAY--0.4% Uruguay (Oriental Republic of) Bonds, 7.625%, 3/21/36 2,325,000 2,883,000 Uruguay (Oriental Republic of) Sr. Nts., 6.875%, 9/28/25 1,950,000 2,301,000 Uruguay (Oriental Republic of) Unsec. Bonds, 8%, 11/18/22 3,615,000 4,518,750 ------------ 9,702,750 VENEZUELA--0.8% Venezuela (Republic of) Bonds: 9%, 5/7/23 2,800,000 1,750,000
16 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ------------- ------------- 11.95%, 8/5/31 $ 1,605,000 $ 1,179,675 Venezuela (Republic of) Nts.: 8.25%, 10/13/24 1,160,000 690,200 8.50%, 10/8/14 1,875,000 1,659,375 Venezuela (Republic of) Sr. Unsec. Unsub. Nts.: 7.75%, 10/13/19 4,635,000 2,966,400 12.75%, 8/23/22 390,000 311,025 Venezuela (Republic of) Unsec. Bonds: 7%, 3/31/38 2,115,000 1,126,238 7.65%, 4/21/25 5,725,000 3,263,250 Venezuela (Republic of) Unsec. Nts., 13.625%, 8/15/18 (2) 5,465,000 4,973,150 ------------- 17,919,313 ------------- Total Foreign Government Obligations (Cost $482,183,365) 462,958,169 LOAN PARTICIPATIONS--0.4% Brock Holdings III, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 10%, 2/15/18 (1) 620,000 567,300 Entegra Holdings LLC, Sr. Sec. Credit Facilities 3rd Lien Term Loan, Tranche B, 4.236%, 10/19/15 (1,13) 9,361,638 5,827,620 Nuveen Investments, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 12.50%, 7/31/15 3,186,875 3,290,448 ------------- Total Loan Participations (Cost $9,485,496) 9,685,368 CORPORATE BONDS AND NOTES--26.7% CONSUMER DISCRETIONARY--3.4% AUTO COMPONENTS--0.4% Goodyear Tire & Rubber Co. (The), 8.25% Sr. Unsec. Unsub. Nts., 8/15/20 2,190,000 2,239,275 Tower Automotive Holdings USA LLC/TA Holdings Finance, Inc., 10.625% Sr. Sec. Nts., 9/1/17 (2) 5,172,000 5,146,140 Visteon Corp., 6.75% Sr. Nts., 4/15/19 (2) 2,470,000 2,235,350 ------------- 9,620,765 HOTELS, RESTAURANTS & LEISURE--1.3% Equinox Holdings, Inc., 9.50% Sr. Sec. Nts., 2/1/16 (2) 1,845,000 1,854,225 Grupo Posadas SAB de CV, 9.25% Sr. Unsec. Nts., 1/15/15 (2) 1,285,000 1,162,925 Harrah's Operating Co., Inc., 10% Sr. Sec. Nts., 12/15/18 10,027,000 6,016,200 HOA Restaurants Group LLC/HOA Finance Corp., 11.25% Sr. Sec. Nts., 4/1/17 (2) 2,635,000 2,437,375 Isle of Capri Casinos, Inc.: 7% Sr. Unsec. Sub. Nts., 3/1/14 1,785,000 1,631,044 7.75% Sr. Unsec. Unsub. Nts., 3/15/19 1,890,000 1,734,075 Landry's Restaurants, Inc., 11.625% Sr. Sec. Nts., 12/1/15 2,500,000 2,525,000 MGM Mirage, Inc.: 5.875% Sr. Nts., 2/27/14 1,885,000 1,729,488 6.625% Sr. Unsec. Nts., 7/15/15 3,885,000 3,311,963 Mohegan Tribal Gaming Authority, 8% Sr. Sub. Nts., 4/1/12 4,070,000 2,706,550 Penn National Gaming, Inc., 8.75% Sr. Unsec. Sub. Nts., 8/15/19 1,550,000 1,658,500 Premier Cruise Ltd., 11% Sr. Nts., 3/15/08 (3,4) 250,000 --
17 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ------------- ------------ HOTELS, RESTAURANTS & LEISURE CONTINUED Travelport LLC, 11.875% Sr. Unsec. Sub. Nts., 9/1/16 $ 2,545,000 $ 1,018,000 ------------ 27,785,345 HOUSEHOLD DURABLES--0.2% Beazer Homes USA, Inc.: 6.875% Sr. Unsec. Nts., 7/15/15 995,000 676,600 9.125% Sr. Unsec. Nts., 5/15/19 2,825,000 1,808,000 Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Luxembourg SA: 8.50% Sr. Nts., 5/15/18 (2) 995,000 845,750 9% Sr. Nts., 4/15/19 (2) 1,635,000 1,397,925 ------------ 4,728,275 MEDIA--1.4% Affinion Group Holdings, Inc., 11.625% Sr. Unsec. Nts., 11/15/15 1,850,000 1,433,750 Affinion Group, Inc., 7.875% Sr. Unsec. Nts., 12/15/18 3,055,000 2,367,625 Belo (A.H.) Corp.: 7.25% Sr. Unsec. Unsub. Bonds, 9/15/27 465,000 387,113 7.75% Sr. Unsec. Unsub. Debs., 6/1/27 2,983,000 2,550,465 Cengage Learning Acquisitions, Inc., 10.50% Sr. Nts., 1/15/15 (2) 4,495,000 2,899,275 Cequel Communications Holdings I LLC, 8.625% Sr. Unsec. Nts., 11/15/17 (2) 2,350,000 2,338,250 Clear Channel Communications, Inc.: 5.75% Sr. Unsec. Unsub. Nts., 1/15/13 1,240,000 1,109,800 9% Sr. Sec. Nts., 3/1/21 1,200,000 897,000 10.75% Sr. Unsec. Unsub. Nts., 8/1/16 2,470,000 1,290,575 Cumulus Media, Inc., 7.75% Sr. Nts., 5/1/19 (2) 1,230,000 1,042,425 Entravision Communications Corp., 8.75% Sr. Sec. Nts., 8/1/17 1,130,000 1,065,025 Gray Television, Inc., 10.50% Sr. Sec. Nts., 6/29/15 4,245,000 3,862,950 Interactive Data Corp., 10.25% Sr. Unsec. Nts., 8/1/18 (4) 965,000 1,013,250 Kabel BW Erste Beteiligungs GmbH/Kabel Baden-Wurttemberg GmbH & Co. KG, 7.50% Sr. Sec. Nts., 3/15/19 (2) 1,595,000 1,559,113 Newport Television LLC/NTV Finance Corp., 13.509% Sr. Nts., 3/15/17 (2,13) 2,545,261 2,405,272 Nexstar Broadcasting, Inc./Mission Broadcasting, Inc., 8.875% Sec. Nts., 4/15/17 1,850,000 1,836,125 Sinclair Television Group, Inc., 8.375% Sr. Unsec. Nts., 10/15/18 2,505,000 2,479,950 Univision Communications, Inc., 7.875% Sr. Sec. Nts., 11/1/20 (2) 695,000 655,038 Visant Corp., 10% Sr. Unsec. Nts., 10/1/17 1,135,000 1,055,550 ------------ 32,248,551 TEXTILES, APPAREL & LUXURY GOODS--0.1% Jones Group, Inc. (The)/Jones Apparel Group Holdings, Inc./Jones Apparel Group USA, Inc./JAG Footwear, Accessories & Retail Corp., 6.875% Sr. Unsec. Unsub. Nts., 3/15/19 2,390,000 2,174,900 CONSUMER STAPLES--0.9% BEVERAGES--0.1% AmBev International Finance Co. Ltd., 9.50% Sr. Unsec. Unsub. Nts., 7/24/17 (1) 2,080,000 BRR 1,130,628 FOOD & STAPLES RETAILING--0.1% Cencosud SA, 5.50% Sr. Unsec. Nts., 1/20/21 (2) 2,065,000 2,081,394
18 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ------------- ------------ FOOD PRODUCTS--0.7% American Seafoods Group LLC, 10.75% Sr. Sub. Nts., 5/15/16 (2) $ 3,680,000 $ 3,588,000 ASG Consolidated LLC, 15% Sr. Nts., 5/15/17 (2,13) 4,665,812 4,549,167 Blue Merger Sub, Inc., 7.625% Sr. Nts., 2/15/19 (2) 1,895,000 1,610,750 Bumble Bee Acquisition Corp., 9% Sr. Sec. Nts., 12/15/17 (2) 2,275,000 2,149,875 MHP SA, 10.25% Sr. Unsec. Nts., 4/29/15 (2) 3,798,000 3,380,220 Southern States Cooperative, Inc., 11.25% Sr. Nts., 5/15/15 (4) 2,465,000 2,563,600 ------------ 17,841,612 ENERGY--4.5% ENERGY EQUIPMENT & SERVICES--0.4% Forbes Energy Services Ltd., 9% Sr. Unsec. Nts., 6/15/19 (4) 1,695,000 1,576,350 Global Geophysical Services, Inc., 10.50% Sr. Unsec. Nts., 5/1/17 2,200,000 2,145,000 Offshore Group Investments Ltd.: 11.50% Sr. Sec. Nts., 8/1/15 2,540,000 2,628,900 11.50% Sr. Sec. Nts., 8/1/15 (2) 565,000 584,775 Precision Drilling Corp., 6.625% Sr. Unsec. Nts., 11/15/20 2,420,000 2,371,600 ------------ 9,306,625 OIL, GAS & CONSUMABLE FUELS--4.1% Afren plc, 11.50% Sr. Sec. Nts., 2/1/16 (2) 1,705,000 1,619,750 Alliance Oil Co. Ltd., 9.875% Sr. Unsec. Nts., 3/11/15 (2) 1,500,000 1,395,000 Antero Resources Finance Corp., 9.375% Sr. Unsec. Nts., 12/1/17 2,955,000 3,087,975 ATP Oil & Gas Corp., 11.875% Sr. Sec. Nts., 5/1/15 4,420,000 3,099,525 Breitburn Energy Partners LP/Breitburn Finance Corp., 8.625% Sr. Unsec. Nts., 10/15/20 2,805,000 2,762,925 Chaparral Energy, Inc., 9.875% Sr. Unsec. Nts., 10/1/20 2,715,000 2,728,575 Empresa Nacional del Petroleo, 5.25% Unsec. Nts., 8/10/20 (2) 815,000 847,704 Gaz Capital SA: 7.288% Sr. Sec. Nts., 8/16/37 (2) 5,105,000 4,996,519 8.146% Sr. Sec. Nts., 4/11/18 (2) 2,680,000 2,968,100 8.625% Sr. Sec. Nts., 4/28/34 (2) 1,680,000 1,948,800 9.25% Sr. Unsec. Unsub. Nts., 4/23/19 (2) 3,175,000 3,714,750 James River Coal Co., 7.875% Sr. Nts., 4/1/19 (2) 640,000 540,800 KazMunayGaz National Co., 6.375% Sr. Unsec. Bonds, 4/9/21 (2) 1,775,000 1,726,188 KMG Finance Sub BV: 7% Sr. Unsec. Bonds, 5/5/20 (2) 1,150,000 1,154,313 9.125% Sr. Unsec. Unsub. Nts., 7/2/18 (2) 3,580,000 4,063,300 Linn Energy LLC/Linn Energy Finance Corp., 8.625% Sr. Unsec. Nts., 4/15/20 3,950,000 4,088,250 Lukoil International Finance BV: 6.125% Sr. Unsec. Nts., 11/9/20 (2) 3,560,000 3,346,400 6.656% Sr. Unsec. Unsub. Bonds, 6/7/22 (2) 610,000 577,975 7.25% Sr. Unsec. Unsub. Nts., 11/5/19 (2) 595,000 606,900 MEG Energy Corp., 6.50% Sr. Unsec. Nts., 3/15/21 (2) 3,195,000 3,075,188 Murray Energy Corp., 10.25% Sr. Sec. Nts., 10/15/15 (2) 5,450,000 5,232,000 Nak Naftogaz Ukraine, 9.50% Unsec. Nts., 9/30/14 4,715,000 4,526,400
19 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ------------- ------------ OIL, GAS & CONSUMABLE FUELS CONTINUED Navios Maritime Acquisition Corp., 8.625% Sr. Sec. Nts., 11/1/17 $ 695,000 $ 582,063 Odebrecht Drilling Norbe VIII/IX Ltd., 6.35% Sr. Sec. Nts., 6/30/21 (2) 1,190,000 1,190,000 Pemex Project Funding Master Trust: 6.625% Sr. Unsec. Unsub. Nts., 6/15/38 680,000 737,800 6.625% Unsec. Unsub. Bonds, 6/15/35 4,465,000 4,833,363 Pertamina PT (Persero): 5.25% Nts., 5/23/21 (2) 2,250,000 2,182,500 6.50% Sr. Unsec. Nts., 5/27/41 (2) 995,000 955,200 Petrobras International Finance Co.: 5.75% Sr. Unsec. Unsub. Nts., 1/20/20 1,120,000 1,173,760 7.875% Sr. Unsec. Nts., 3/15/19 1,590,000 1,860,300 Petroleos de Venezuela SA, 8.50% Sr. Nts., 11/2/17 (2) 3,265,000 2,179,388 Petroleos Mexicanos: 5.50% Sr. Unsec. Unsub. Nts., 1/21/21 1,650,000 1,749,000 6% Sr. Unsec. Unsub. Nts., 3/5/20 1,380,000 1,523,520 Petroleum Co. of Trinidad & Tobago Ltd., 9.75% Sr. Unsec. Nts., 8/14/19 (2) 2,380,000 2,838,150 PT Adaro Indonesia, 7.625% Nts., 10/22/19 (2) 2,060,000 2,039,400 Quicksilver Resources, Inc., 11.75% Sr. Nts., 1/1/16 2,300,000 2,495,500 Range Resources Corp., 8% Sr. Unsec. Sub. Nts., 5/15/19 1,230,000 1,353,000 SandRidge Energy, Inc.: 8.75% Sr. Unsec. Nts., 1/15/20 2,925,000 2,881,125 9.875% Sr. Unsec. Nts., 5/15/16 (2) 1,290,000 1,335,150 Tengizchevroil LLP, 6.124% Nts., 11/15/14 (2) 934,849 947,703 Venoco, Inc., 8.875% Sr. Unsec. Nts., 2/15/19 1,375,000 1,189,375 ------------ 92,153,634 FINANCIALS--5.1% CAPITAL MARKETS--1.0% Berry Plastics Holding Corp., 10.25% Sr. Unsec. Sub. Nts., 3/1/16 900,000 787,500 Credit Suisse First Boston International, 6.80% Export-Import Bank of Ukraine Nts., 10/4/12 830,000 819,625 Edgen Murray Corp., 12.25% Sr. Sec. Nts., 1/15/15 1,420,000 1,279,775 Nationstar Mortgage/Nationstar Capital Corp., 10.875% Sr. Unsec. Nts., 4/1/15 6,115,000 6,145,575 Nuveen Investments, Inc.: 5.50% Sr. Unsec. Nts., 9/15/15 1,095,000 892,425 10.50% Sr. Unsec. Unsub. Nts., 11/15/15 2,565,000 2,379,038 Pinafore LLC/Pinafore, Inc., 9% Sr. Sec. Nts., 10/1/18 (2) 2,646,000 2,725,380 Springleaf Finance Corp., 6.90% Nts., Series J, 12/15/17 2,510,000 1,819,750 Verso Paper Holdings LLC, 11.375% Sr. Unsec. Sub. Nts., Series B, 8/1/16 5,310,000 3,876,300 Verso Paper Holdings LLC/Verso Paper, Inc., 8.75% Sr. Sec. Nts., 2/1/19 2,495,000 1,734,025 ------------ 22,459,393 COMMERCIAL BANKS--2.3% Akbank TAS, 5.125% Sr. Unsec. Nts., 7/22/15 (2) 2,050,000 1,998,750 Alfa Bank/Alfa Bond Issuance plc, 7.875% Nts., 9/25/17 (2) 1,610,000 1,465,100
20 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ------------- ------------ COMMERCIAL BANKS CONTINUED Banco BMG SA: 9.15% Nts., 1/15/16 (2) $ 2,660,000 $ 2,606,800 9.95% Unsec. Unsub. Nts., 11/5/19 (2) 1,150,000 1,121,250 Banco Cruzeiro do Sul SA, 8.25% Sr. Unsec. Nts., 1/20/16 (2) 830,000 738,700 Banco de Credito del Peru: 5.375% Sr. Nts., 9/16/20 (2) 480,000 458,400 6.95% Sub. Nts., 11/7/21 (1,2) 1,510,000 1,574,175 9.75% Jr. Sub. Nts., 11/6/69 (2) 800,000 904,000 Banco Do Brasil SA: 5.875% Unsec. Sub. Nts., 1/26/22 (2) 825,000 794,063 8.50% Jr. Sub. Perpetual Bonds (2,14) 1,195,000 1,341,388 Banco PanAmericano SA, 8.50% Sr. Unsec. Sub. Nts., 4/23/20 (2) 900,000 945,000 Banco Votorantim SA, 5.25% Sr. Unsec. Unsub. Nts., 2/11/16 (2) 830,000 827,925 Bancolombia SA, 4.25% Sr. Unsec. Nts., 1/12/16 (2) 1,630,000 1,613,700 Bank of Scotland plc: 4.375% Sr. Sec. Nts., 7/13/16 2,050,000 EUR 2,891,502 4.50% Sr. Sec. Nts., 7/13/21 1,404,000 EUR 1,957,064 BOM Capital plc, 6.699% Sr. Unsec. Nts., 3/11/15 (2) 3,310,000 3,177,600 CIT Group, Inc., 7% Sec. Bonds, 5/2/17 (2) 1,625,000 1,578,281 Halyk Savings Bank of Kazakhstan JSC: 7.25% Unsec. Unsub. Nts., 5/3/17 (2) 710,000 668,834 9.25% Sr. Nts., 10/16/13 (2) 8,420,000 8,756,800 ICICI Bank Ltd.: 5.50% Sr. Unsec. Nts., 3/25/15 (2) 3,050,000 3,041,573 6.375% Bonds, 4/30/22 (1,2) 3,060,000 2,555,100 Lloyds TSB Bank plc, 4.875% Sec. Nts., 1/13/23 170,000 EUR 243,332 PrivatBank JSC/UK SPV Credit Finance plc, 8% Sr. Sec. Nts., 2/6/12 (2) 1,240,000 1,205,125 Turkiye Is Bankasi (Isbank), 5.10% Sr. Unsec. Nts., 2/1/16 (2) 1,240,000 1,199,700 VEB Finance Ltd., 6.902% Sr. Unsec. Unsub. Nts., 7/9/20 (2) 3,530,000 3,477,050 VTB Capital SA: 6.315% Nts., 2/22/18 (2) 2,080,000 1,948,430 6.465% Sr. Sec. Unsub. Nts., 3/4/15 (2) 1,560,000 1,571,700 6.551% Sr. Unsec. Nts., 10/13/20 (2) 1,185,000 1,096,125 ------------ 51,757,467 CONSUMER FINANCE--0.2% JSC Astana Finance, 9.16% Nts., 3/14/12 (3) 7,200,000 864,000 Speedy Cash, Inc., 10.75% Sr. Sec. Nts., 10/15/18 (2) 1,540,000 1,559,250 TMX Finance LLC/TitleMax Finance Corp., 13.25% Sr. Sec. Nts., 7/15/15 1,925,000 2,079,000 ------------ 4,502,250 DIVERSIFIED FINANCIAL SERVICES--0.6% Autopistas del Nordeste Cayman Ltd., 9.39% Nts., 1/15/26 (2) 2,809,723 2,556,847 BA Covered Bond Issuer, 4.25% Sec. Nts., 4/5/17 435,000 EUR 601,808 Banco Invex SA, 29.582% Mtg.-Backed Certificates, Series 062U, 3/13/34 (1,12) 4,830,734 MXN 466,660
21 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ------------- ------------ DIVERSIFIED FINANCIAL SERVICES CONTINUED GMAC LLC, 8% Sr. Unsec. Nts., 11/1/31 $ 1,260,000 $ 1,111,950 ING Groep NV, 5.775% Jr. Unsec. Sub. Perpetual Bonds (14) 2,935,000 2,164,563 JPMorgan Hipotecaria su Casita: 7.809% Sec. Nts., 8/26/35 (1,4) 5,808,600 MXN 460,719 27.977% Mtg.-Backed Certificates, Series 06U, 9/25/35 (1) 1,723,609 MXN 240,905 Korea Development Bank (The), 4% Sr. Unsec. Unsub. Nts., 9/9/16 1,465,000 1,457,247 Tiers-BSP, 0%/8.60% Collateralized Trust, Cl. A, 6/15/97 (2,15) 6,360,000 4,259,546 ------------ 13,320,245 INSURANCE--0.1% International Lease Finance Corp., 8.75% Sr. Unsec. Unsub. Nts., 3/15/17 1,475,000 1,486,063 REAL ESTATE INVESTMENT TRUSTS--0.3% FelCor Escrow Holdings LLC, 6.75% Sr. Sec. Nts., 6/1/19 (2) 6,160,000 5,544,000 OMEGA Healthcare Investors, Inc., 6.75% Sr. Unsec. Nts., 10/15/22 2,470,000 2,368,113 ------------ 7,912,113 REAL ESTATE MANAGEMENT & DEVELOPMENT--0.3% Country Garden Holdings Co., 11.125% Sr. Unsec. Nts., 2/23/18 (2) 1,665,000 1,282,050 Realogy Corp., 11.50% Sr. Unsec. Unsub. Nts., 4/15/17 4,355,000 2,917,850 Wallace Theater Holdings, Inc., 12.50% Sr. Sec. Nts., 6/15/13 (1,2) 2,230,000 2,190,975 ------------ 6,390,875 THRIFTS & MORTGAGE FINANCE--0.3% Banco Hipotecario SA, 9.75% Sr. Unsec. Nts., 4/27/16 (2) 785,000 730,050 WM Covered Bond Program: 4% Sec. Mtg. Nts., Series 2, 9/27/16 3,250,000 EUR 4,563,285 4.375% Sec. Nts., 5/19/14 745,000 EUR 1,042,732 ------------ 6,336,067 HEALTH CARE--1.1% BIOTECHNOLOGY--0.0% Grifols SA/Giant Funding Corp., 8.25% Sr. Nts., 2/1/18 (2) 800,000 804,000 HEALTH CARE EQUIPMENT & SUPPLIES--0.3% Accellent, Inc., 10% Sr. Unsec. Sub. Nts., 11/1/17 2,305,000 1,976,538 Alere, Inc., 8.625% Sr. Unsec. Sub. Nts., 10/1/18 1,030,000 937,300 Biomet, Inc., 11.625% Sr. Unsec. Sub. Nts., 10/15/17 1,911,000 1,992,218 DJO Finance LLC/DJO Finance Corp., 9.75% Sr. Sub. Nts., 10/15/17 (2) 735,000 617,400 Inverness Medical Innovations, Inc., 7.875% Sr. Unsec. Unsub. Nts., 2/1/16 1,045,000 992,750 ------------ 6,516,206 HEALTH CARE PROVIDERS & SERVICES--0.6% Catalent Pharma Solutions, Inc., 9.50% Sr. Unsec. Nts., 4/15/15 (13) 1,593,400 1,461,945 Gentiva Health Services, Inc., 11.50% Sr. Unsec. Unsub. Nts., 9/1/18 1,600,000 1,280,000 inVentiv Health, Inc., 10% Sr. Unsec. Nts., 8/15/18 (2) 1,280,000 1,132,800
22 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ------------- ------------ HEALTH CARE PROVIDERS & SERVICES CONTINUED Kindred Healthcare, Inc., 8.25% Sr. Nts., 6/1/19 (2) $ 3,080,000 $ 2,367,750 Multiplan, Inc., 9.875% Sr. Nts., 9/1/18 (2) 1,920,000 1,910,400 Oncure Holdings, Inc., 11.75% Sr. Sec. Nts., 5/15/17 1,130,000 1,005,700 Radiation Therapy Services, Inc., 9.875% Sr. Unsec. Sub. Nts., 4/15/17 1,205,000 1,033,288 STHI Holding Corp., 8% Sec. Nts., 3/15/18 (2) 795,000 771,150 US Oncology, Inc., Escrow Shares (related to 9.125% Sr. Sec. Nts., 8/15/17) (3) 1,730,000 21,625 Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc., 8% Sr. Nts., 2/1/18 1,595,000 1,471,388 ------------ 12,456,046 HEALTH CARE TECHNOLOGY--0.0% MedAssets, Inc., 8% Sr. Nts., 11/15/18 (2) 305,000 292,038 PHARMACEUTICALS--0.2% Mylan, Inc., 6% Sr. Nts., 11/15/18 (2) 810,000 791,775 Valeant Pharmaceuticals International, Inc., 6.875% Sr. Unsec. Nts., 12/1/18 (2) 765,000 696,150 Warner Chilcott Co. LLC, 7.75% Sr. Nts., 9/15/18 (2) 2,320,000 2,227,200 ------------ 3,715,125 INDUSTRIALS--2.7% AEROSPACE & DEFENSE--0.6% DynCorp International, Inc., 10.375% Sr. Unsec. Nts., 7/1/17 4,005,000 3,514,388 Hawker Beechcraft Acquisition Co. LLC: 8.50% Sr. Unsec. Nts., 4/1/15 4,815,000 2,070,450 9.75% Sr. Unsec. Sub. Nts., 4/1/17 955,000 315,150 Huntington Ingalls Industries, Inc., 7.125% Sr. Unsec. Nts., 3/15/21 (2) 1,410,000 1,314,825 Kratos Defense & Security Solutions, Inc., 10% Sr. Sec. Nts., 6/1/17 1,040,000 1,040,000 TransDigm, Inc., 7.75% Sr. Unsec. Sub. Nts., 12/15/18 4,445,000 4,545,013 ------------ 12,799,826 AIR FREIGHT & LOGISTICS--0.0% AMGH Merger Sub, Inc., 9.25% Sr. Sec. Nts., 11/1/18 (2) 770,000 773,850 AIRLINES--0.2% Delta Air Lines, Inc., 12.25% Sr. Sec. Nts., 3/15/15 (2) 3,630,000 3,875,025 BUILDING PRODUCTS--0.3% Associated Materials LLC, 9.125% Sr. Sec. Nts., 11/1/17 (2) 1,105,000 900,575 Ply Gem Industries, Inc., 13.125% Sr. Unsec. Sub. Nts., 7/15/14 3,945,000 3,762,544 Roofing Supply Group LLC/Roofing Supply Finance, Inc., 8.625% Sr. Sec. Nts., 12/1/17 (2) 1,100,000 1,042,250 ------------ 5,705,369 COMMERCIAL SERVICES & SUPPLIES--0.3% R.R. Donnelley & Sons Co., 7.25% Sr. Nts., 5/15/18 2,000,000 1,808,000 West Corp.: 7.875% Sr. Unsec. Nts., 1/15/19 1,220,000 1,152,900 8.625% Sr. Unsec. Nts., 10/1/18 2,665,000 2,605,038 ------------ 5,565,938
23 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ------------- ------------ CONSTRUCTION & ENGINEERING--0.2% IIRSA Norte Finance Ltd., 8.75% Sr. Nts., 5/30/24 (2) $ 3,790,761 $ 4,378,329 Odebrecht Finance Ltd., 7% Sr. Unsec. Nts., 4/21/20 (2) 780,000 820,950 ------------ 5,199,279 ELECTRICAL EQUIPMENT--0.1% Thermon Industries, Inc., 9.50% Sr. Sec. Nts., 5/1/17 1,646,000 1,720,070 MACHINERY--0.5% Cleaver-Brooks, Inc., 12.25% Sr. Sec. Nts., 5/1/16 (4) 2,675,000 2,581,375 Manitowoc Co., Inc. (The), 8.50% Sr. Unsec. Nts., 11/1/20 2,805,000 2,552,550 Terex Corp., 8% Sr. Unsec. Sub. Nts., 11/15/17 4,370,000 3,889,300 Thermadyne Holdings Corp., 9% Sr. Sec. Nts., 12/15/17 1,325,000 1,305,125 ------------ 10,328,350 MARINE--0.1% Marquette Transportation Co./Marquette Transportation Finance Corp., 10.875% Sec. Nts., 1/15/17 2,790,000 2,702,813 Navios Maritime Holdings, Inc./Navios Maritime Finance U.S., Inc., 8.875% Sr. Sec. Nts., 11/1/17 565,000 553,700 ------------ 3,256,513 PROFESSIONAL SERVICES--0.1% Altegrity, Inc., 10.50% Sr. Unsec. Sub. Nts., 11/1/15 (2) 1,745,000 1,631,575 TransUnion LLC/TransUnion Financing Corp., 11.375% Sr. Unsec. Nts., 6/15/18 660,000 721,050 ------------ 2,352,625 ROAD & RAIL--0.3% Hertz Corp., 7.50% Sr. Unsec. Nts., 10/15/18 4,495,000 4,315,200 Kazakhstan Temir Zholy Finance BV, 6.375% Sr. Unsec. Nts., 10/6/20 (2) 785,000 779,113 Western Express, Inc., 12.50% Sr. Sec. Nts., 4/15/15 (2) 3,730,000 2,517,750 ------------ 7,612,063 INFORMATION TECHNOLOGY--1.3% COMPUTERS & PERIPHERALS--0.2% Seagate HDD Cayman: 6.875% Sr. Unsec. Nts., 5/1/20 2,740,000 2,534,500 7% Sr. Unsec. Nts., 11/1/21 (2) 1,695,000 1,567,875 ------------ 4,102,375 ELECTRONIC EQUIPMENT & INSTRUMENTS--0.2% CDW LLC/CDW Finance Corp., 12.535% Sr. Unsec. Sub. Nts., 10/12/17 4,630,000 4,444,800 INTERNET SOFTWARE & SERVICES--0.2% ITC DeltaCom, Inc., 10.50% Sr. Sec. Nts., 4/1/16 5,135,000 5,263,375 IT SERVICES--0.4% Ceridian Corp., 11.25% Sr. Unsec. Nts., 11/15/15 2,145,000 1,780,350 First Data Corp.: 8.875% Sr. Sec. Nts., 8/15/20 (2) 2,390,000 2,258,550 9.875% Sr. Unsec. Nts., 9/24/15 4,695,000 3,955,538 SunGard Data Systems, Inc., 7.625% Sr. Unsec. Nts., 11/15/20 765,000 715,275 ------------ 8,709,713
24 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ------------- ------------ SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--0.3% Advanced Micro Devices, Inc., 7.75% Sr. Unsec. Nts., 8/1/20 $ 2,520,000 $ 2,482,200 Freescale Semiconductor, Inc.: 9.25% Sr. Sec. Nts., 4/15/18 (2) 1,710,000 1,765,575 10.75% Sr. Unsec. Nts., 8/1/20 2,690,000 2,703,450 ------------ 6,951,225 MATERIALS--3.0% CHEMICALS--0.7% Braskem America Finance Co., 7.125% Sr. Unsec. Nts., 7/22/41 (2) 570,000 525,825 Braskem Finance Ltd., 5.75% Sr. Unsec. Nts., 4/15/21 (2) 2,500,000 2,306,500 Ferro Corp., 7.875% Sr. Unsec. Nts., 8/15/18 2,270,000 2,281,350 Hexion U.S. Finance Corp./Hexion Nova Scotia Finance ULC: 8.875% Sr. Sec. Nts., 2/1/18 2,860,000 2,373,800 9% Sec. Nts., 11/15/20 1,340,000 988,250 Lyondell Chemical Co., 8% Sr. Sec. Nts., 11/1/17 (2) 2,862,000 3,098,115 Momentive Performance Materials, Inc., 9% Sec. Nts., 1/15/21 4,480,000 3,091,200 ------------ 14,665,040 CONSTRUCTION MATERIALS--0.3% Building Materials Corp. of America, 6.75% Sr. Nts., 5/1/21 (2) 1,540,000 1,466,850 CEMEX Espana SA, 9.25% Sr. Sec. Nts., 5/12/20 (2) 872,000 575,520 CEMEX Finance LLC, 9.50% Sr. Sec. Bonds, 12/14/16 (2) 1,275,000 937,125 CEMEX SAB de CV, 9% Sr. Sec. Nts., 1/11/18 (2) 1,950,000 1,340,625 Ply Gem Industries, Inc., 8.25% Sr. Sec. Nts., 2/15/18 1,355,000 1,111,100 Rearden G Holdings Eins GmbH, 7.875% Sr. Unsec. Nts., 3/30/20 (2) 990,000 970,200 West China Cement Ltd., 7.50% Sr. Nts., 1/25/16 (2) 1,075,000 741,750 ------------ 7,143,170 CONTAINERS & PACKAGING--0.3% Berry Plastics Corp., 9.75% Sec. Nts., 1/15/21 2,975,000 2,543,625 Polymer Group, Inc., 7.75% Sr. Sec. Nts., 2/1/19 (2) 2,075,000 2,080,188 Solo Cup Co., 8.50% Sr. Sub. Nts., 2/15/14 3,140,000 2,747,500 ------------ 7,371,313 METALS & MINING--0.9% Aleris International, Inc., 7.625% Sr. Nts., 2/15/18 (2) 4,425,000 3,993,563 Alrosa Finance SA, 7.75% Nts., 11/3/20 (2) 1,580,000 1,504,950 Consolidated Minerals Ltd., 8.875% Sr. Sec. Nts., 5/1/16 (2) 1,245,000 1,067,588 CSN Islands XI Corp., 6.875% Sr. Unsec. Nts., 9/21/19 (2) 750,000 796,875 Ferrexpo Finance plc, 7.875% Sr. Unsec. Bonds, 4/7/16 (2) 2,165,000 1,894,375 JSC Severstal, 6.70% Nts., 10/25/17 (2) 1,940,000 1,653,850 Metinvest BV, 8.75% Sr. Unsec. Unsub. Nts., 2/14/18 (2) 1,665,000 1,405,593 Vedanta Resources plc: 8.25% Sr. Unsec. Nts., 6/7/21 (2) 2,500,000 1,950,000 9.50% Sr. Unsec. Nts., 7/18/18 (2) 7,715,000 6,789,200 ------------ 21,055,994 PAPER & FOREST PRODUCTS--0.8% ABI Escrow Corp., 10.25% Sr. Sec. Nts., 10/15/18 (2) 1,779,000 1,867,950
25 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ------------ ----------- PAPER & FOREST PRODUCTS CONTINUED Ainsworth Lumber Co. Ltd., 11% Sr. Unsec. Unsub. Nts., 7/29/15 (2,13) $ 4,002,496 $ 2,621,635 Appleton Papers, Inc., 10.50% Sr. Sec. Nts., 6/15/15 (2) 4,085,000 4,023,725 Catalyst Paper Corp., 11% Sr. Sec. Nts., 12/15/16 (2) 3,981,000 2,607,555 Mercer International, Inc., 9.50% Sr. Unsec. Nts., 12/1/17 2,005,000 1,979,938 NewPage Corp., 11.375% Sr. Sec. Nts., 12/31/14 (3) 4,855,000 3,629,113 Norske Skogindustrier ASA, 6.125% Unsec. Bonds, 10/15/15 (2) 1,500,000 877,500 ----------- 17,607,416 TELECOMMUNICATION SERVICES--1.9% DIVERSIFIED TELECOMMUNICATION SERVICES--1.0% Axtel SAB de CV, 9% Sr. Unsec. Nts., 9/22/19 (2) 2,490,000 2,116,500 Brasil Telecom SA, 9.75% Sr. Unsec. Nts., 9/15/16 (2) 2,990,000 BRR 1,447,095 Broadview Networks Holdings, Inc., 11.375% Sr. Sec. Nts., 9/1/12 1,485,000 1,195,425 Cincinnati Bell, Inc.: 8.25% Sr. Nts., 10/15/17 1,410,000 1,374,750 8.75% Sr. Unsec. Sub. Nts., 3/15/18 2,010,000 1,793,925 Intelsat Bermuda Ltd.: 11.25% Sr. Unsec. Nts., 2/4/17 2,755,000 2,396,850 12.50% Sr. Unsec. Nts., 2/4/17 (13) 1,424,414 1,228,557 Intelsat Jackson Holdings SA, 7.25% Sr. Unsec. Nts., 10/15/20 (2) 755,000 698,375 Level 3 Financing, Inc.: 9.25% Sr. Unsec. Unsub. Nts., 11/1/14 320,000 317,600 9.375% Sr. Unsec. Unsub. Nts., 4/1/19 (2) 3,460,000 3,235,100 Telemar Norte Leste SA, 5.50% Sr. Unsec. Nts., 10/23/20 (2) 4,162,000 3,995,520 Wind Acquisition Finance SA, 7.25% Sr. Sec. Nts., 2/15/18 (2) 1,190,000 1,018,938 ----------- 20,818,635 WIRELESS TELECOMMUNICATION SERVICES--0.9% America Movil SAB de CV: 6.125% Sr. Unsec. Unsub. Nts., 3/30/40 925,000 971,250 8.46% Sr. Unsec. Unsub. Bonds, 12/18/36 52,700,000 MXN 3,595,913 Cricket Communications, Inc., 7.75% Sr. Unsec. Nts., 10/15/20 5,285,000 4,611,126 MetroPCS Wireless, Inc., 6.625% Sr. Unsec. Nts., 11/15/20 2,770,000 2,444,525 MTS International Funding Ltd., 8.625% Sr. Unsec. Nts., 6/22/20 (2) 2,335,000 2,335,000 Vimpel Communications/VIP Finance Ireland Ltd. OJSC, 7.748% Nts., 2/2/21 (2) 1,245,000 1,047,294 VimpelCom Holdings BV, 7.504% Sr. Unsec. Unsub. Nts., 3/1/22 (2) 2,055,000 1,659,413 VIP Finance Ireland Ltd., 9.125% Bonds, 4/30/18 (2) 4,190,000 4,085,250 ----------- 20,749,771 UTILITIES--2.8% ELECTRIC UTILITIES--1.7% Centrais Eletricas Brasileiras SA, 6.875% Sr. Unsec. Unsub. Nts., 7/30/19 (2) 2,185,000 2,469,050 Edison Mission Energy, 7% Sr. Unsec. Nts., 5/15/17 3,780,000 2,268,000
26 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value ------------ ------------ ELECTRIC UTILITIES CONTINUED Empresa Distribuidora y Comercializadora Norte SA, 9.75% Nts., 10/25/22 (2) $ 840,000 $ 714,000 Empresas Publicas de Medellin ESP, 7.625% Sr. Unsec. Nts., 7/29/19 (2) 1,435,000 1,653,838 Energy Future Intermediate Holding Co. LLC, 10% Sr. Sec. Nts., 12/1/20 2,687,000 2,633,260 Eskom Holdings Ltd.: 5.75% Sr. Unsec. Bonds, 1/26/21 (2) 2,900,000 2,958,000 7.85% Sr. Unsec. Unsub. Nts., Series ES26, 4/2/26 31,000,000 ZAR 3,505,759 10% Nts., Series ES23, 1/25/23 44,000,000 ZAR 5,955,473 Israel Electric Corp. Ltd., 7.25% Nts., 1/15/19 (2) 4,550,000 4,852,584 Majapahit Holding BV: 7.75% Nts., 10/17/16 (2) 2,250,000 2,505,938 8% Sr. Unsec. Nts., 8/7/19 (2) 1,150,000 1,299,500 National Power Corp., 5.875% Unsec. Unsub. Bonds, 12/19/16 109,600,000 PHP 2,762,276 Texas Competitive Electric Holdings Co. LLC: 10.25% Sr. Unsec. Nts., Series A, 11/1/15 8,270,000 3,142,600 10.25% Sr. Unsec. Nts., Series B, 11/1/15 1,460,000 547,500 ------------ 37,267,778 ENERGY TRADERS--0.9% Colbun SA, 6% Sr. Unsec. Nts., 1/21/20 (2) 1,640,000 1,684,759 Comision Federal de Electricidad, 4.875% Sr. Nts., 5/26/21 (2) 1,665,000 1,689,975 Energy Future Holdings Corp., 10% Sr. Sec. Nts., 1/15/20 2,770,000 2,700,750 First Wind Capital LLC, 10.25% Sr. Sec. Nts., 6/1/18 (2) 270,000 257,850 Foresight Energy LLC, 9.625% Sr. Unsec. Nts., 8/15/17 (2) 3,755,000 3,811,325 GenOn Energy, Inc.: 9.50% Sr. Unsec. Nts., 10/15/18 1,465,000 1,384,425 9.875% Sr. Unsec. Nts., 10/15/20 1,465,000 1,377,100 Power Sector Assets & Liabilities Management Corp.: 7.25% Sr. Gtd. Unsec. Nts., 5/27/19 (2) 1,280,000 1,465,600 7.39% Sr. Gtd. Unsec. Nts., 12/2/24 (2) 1,270,000 1,460,500 PT Cikarang Listindo/Listindo Capital BV, 9.25% Sr. Nts., 1/29/15 (2) 1,150,000 1,129,490 United Maritime Group LLC, 11.75% Sr. Sec. Nts., 6/15/15 3,630,000 3,684,450 ------------ 20,646,224 GAS UTILITIES--0.1% Ferrellgas LP/Ferrellgas Finance Corp., 6.50% Sr. Unsec. Nts., 5/1/21 680,000 581,400 TGI International Ltd., 9.50% Nts., 10/3/17 (2) 1,442,000 1,557,360 ------------ 2,138,760 WATER UTILITIES--0.1% Cia de Saneamento Basico do Estado de Sao Paulo, 6.25% Sr. Unsec. Nts., 12/16/20 (2) 1,475,000 1,482,375 ------------ Total Corporate Bonds and Notes (Cost $649,913,229) 596,626,489
27 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Shares Value --------------- ----------- PREFERRED STOCKS--0.3% Ally Financial, Inc., 7%, Non-Vtg. (2) 5,231 $ 3,503,299 GMAC Capital Trust I, 8.125% Cum. 30,000 547,500 Greektown Superholdings, Inc., Series A-1 (16) 45,600 3,234,864 ----------- Total Preferred Stocks (Cost $9,847,060) 7,285,663 COMMON STOCKS--0.6% AbitibiBowater, Inc. (16) 88,383 1,325,745 American Media Operations, Inc. (16) 161,731 2,587,696 Arco Capital Corp. Ltd. (4,16) 690,638 1,381,276 Dana Holding Corp. (16) 72,775 764,138 Gaylord Entertainment Co., Cl. A (16) 76,364 1,476,880 Global Aviation Holdings, Inc. (16) 100 1,000 Greektown Superholdings, Inc. (16) 3,450 227,666 Huntsman Corp. 25,585 247,407 Kaiser Aluminum Corp. 229 10,140 Linn Energy LLC 12,080 430,773 LyondellBasell Industries NV, Cl. A 74,839 1,828,317 MHP SA, GDR (2,16) 56,610 693,378 Orbcomm, Inc. (16) 375 956 Premier Holdings Ltd. (16) 18,514 -- Range Resources Corp. 7,593 443,887 Solutia, Inc. (16) 21,182 272,189 Visteon Corp. (16) 36,636 1,575,348 Walter Industries, Inc. 3,907 234,459 Whiting Petroleum Corp. (16) 7,858 275,659 ----------- Total Common Stocks (Cost $30,061,552) 13,776,914
Units --------------- RIGHTS, WARRANTS AND CERTIFICATES--0.0% MediaNews Group, Inc. Wts., Strike Price $0.001, Exp. 3/19/17 (16) (Cost $0) 11,668 420
Principal Amount --------------- STRUCTURED SECURITIES--6.5% Barclays Bank plc: Indonesia (Republic of) Total Return Linked Bonds, 10.50%, 8/19/30 13,870,000,000 IDR 1,973,911 Indonesia (Republic of) Total Return Linked Bonds, Series 22, 11%, 9/17/25 10,380,000,000 IDR 1,499,286 Indonesia (Republic of) Total Return Linked Nts., Series 51, 10.50%, 8/19/30 2,650,000,000 IDR 377,135 Indonesia (Republic of) Total Return Linked Nts., Series 51, 11%, 9/17/25 2,650,000,000 IDR 382,766 Russian Federation Total Return Linked Bonds, 7.15%, 1/25/13 (1) 57,980,000 RUR 1,800,677 Russian Federation Total Return Linked Bonds, 6.70%, 2/8/13 (1) 59,410,000 RUR 1,838,631
28 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value --------------- ----------- Citigroup Funding, Inc.: ALROSA Russia Corporate Bond Credit Linked Unsec. Nts., 8.25%, 6/25/15 (1,4) 19,220,000 RUR $ 613,328 Indonesia (Republic of) Credit Linked Nts., Series 8, 8.25%, 7/19/21 (2) 7,990,000,000 IDR 963,904 Indonesia (Republic of) Total Return Linked Nts., 11%, 9/17/25 2,100,000,000 IDR 303,324 Instituto Costarricense De Eletricidad Total Return Linked Nts., 2.253%, 10/25/11 (1) 1,960,000 1,969,511 Russian Federation Credit Linked Bonds, 6.70%, 2/8/13 (1,4) 39,820,000 RUR 1,246,825 Ukraine (Republic of) Credit Linked Nts., 5.50%, 9/1/15 (1,4) 15,632,000 UAH 1,597,424 Citigroup Global Markets Holdings, Inc.: Adira Dinamika Multi Finance Credit Linked Nts., 6.75%, 1/5/12 (4) 34,400,000,000 IDR 3,758,940 Colombia (Republic of) Credit Linked Bonds, 11.25%, 10/25/18 (4) 3,255,000,000 COP 2,067,899 Colombia (Republic of) Credit Linked Nts., Series 2, 10%, 7/25/24 10,368,000,000 COP 6,406,773 Colombia (Republic of) Total Return Linked Bonds, Series 2, 11%, 7/27/20 2,665,000,000 COP 1,688,712 Dominican Republic Unsec. Credit Linked Nts., 15%, 3/12/12 (4) 49,300,000 DOP 1,301,026 Credit Suisse First Boston International: Moitk Total Return Linked Nts., 21%, 3/30/11 (3) 53,910,000 RUR 5,023 Russian Oreniz Total Return Linked Nts., 9.24%, 2/24/12 (1) 81,784,500 RUR 2,476,725 Credit Suisse First Boston, Inc. (Nassau Branch), Russian Specialized Construction & Installation Administration Total Return Linked Nts., 13%, 5/20/10 (3) 97,250,000 RUR 302 Credit Suisse Group AG, Russian Moscoblgaz Finance Total Return Linked Nts., 9.25%, 6/27/12 42,600,000 RUR 1,283,332 Credit Suisse International: OAO Gazprom Total Return Linked Nts., 13.12%, 6/28/12 (1) 44,460,000 RUR 1,436,020 OAO Gazprom Total Return Linked Nts., 13.12%, 6/28/12 (1) 41,550,000 RUR 1,342,029 OAO Gazprom Total Return Linked Nts., 13.12%, 6/28/12 (1) 30,880,000 RUR 997,397 Deutsche Bank AG: Coriolanus Ltd. Sec. Credit Linked Bonds, Series 128, 3.006%, 5/6/25 (4,11) 1,899,154 1,326,402 Coriolanus Ltd. Sec. Credit Linked Bonds, 3.061%, 5/6/25 (4,11) 2,419,815 1,690,040 Coriolanus Ltd. Sec. Credit Linked Bonds, 3.10%, 5/6/25 (4,11) 2,089,123 1,459,079 Coriolanus Ltd. Sec. Credit Linked Bonds, 3.134%, 5/6/25 (4,11) 1,867,412 1,304,233 Coriolanus Ltd. Sec. Credit Linked Bonds, 3.187%, 5/6/25 (4,11) 2,325,080 1,623,875 Coriolanus Ltd. Sec. Credit Linked Bonds, 3.239%, 5/6/25 (4,11) 2,653,725 1,853,407 Coriolanus Ltd. Sec. Credit Linked Bonds, 3.266%, 5/6/25 (4,11) 2,120,016 1,480,655 Coriolanus Ltd. Sec. Credit Linked Bonds, 3.343%, 5/6/25 (4,11) 1,992,725 1,391,753 Coriolanus Ltd. Sec. Credit Linked Nts., 12.061%, 12/31/17 (4,12) 15,420,000 BRR 7,941,338 Indonesia (Republic of) Credit Linked Nts., Series 4, 8.25%, 7/19/21 4,920,000,000 IDR 593,543 JSC Gazprom Total Return Linked Nts., 13.12%, 6/28/12 (1) 38,600,000 RUR 1,257,536 JSC Gazprom Total Return Linked Nts., Series 4, 13.12%, 6/28/12 (1) 45,990,000 RUR 1,498,292 JSC VTB Bank Credit Linked Nts., 12%, 6/19/12 (1,4) 20,500,000 UAH 2,493,651
29 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value --------------- ----------- Opic Reforma I Credit Linked Nts., Cl. 2A, 8.25%, 5/22/15 (1,4) 697,693 MXN $ 49,021 Opic Reforma I Credit Linked Nts., Cl. 2B, 8.25%, 5/22/15 (1,4) 1,220,632 MXN 85,763 Opic Reforma I Credit Linked Nts., Cl. 2C, 8.25%, 5/22/15 (1,4) 18,404,162 MXN 1,293,104 Opic Reforma I Credit Linked Nts., Cl. 2D, 8.25%, 5/22/15 (1,4) 1,341,270 MXN 94,240 Opic Reforma I Credit Linked Nts., Cl. 2E, 8.25%, 5/22/15 (1,4) 974,458 MXN 68,467 Opic Reforma I Credit Linked Nts., Cl. 2F, 8.25%, 5/22/15 (1,4) 622,337 MXN 43,726 Opic Reforma I Credit Linked Nts., Cl. 2G, 8.25%, 5/22/15 (1,4) 114,609 MXN 8,053 Ukraine (Republic of) 6.5 yr. Total Return Linked Nts., 4.05%, 2/29/12 885,000 794,429 Ukraine (Republic of) 7 yr. Total Return Linked Nts., 4.05%, 8/30/12 885,000 702,938 Eirles Two Ltd. Sec. Nts.: Series 324, 3.635%, 4/30/12 (1,4) 4,100,000 3,720,750 Series 335, 2.085%, 4/30/12 (1,4) 6,300,000 5,992,560 Goldman Sachs Capital Markets LP, Colombia (Republic of) Credit Linked Nts., 10.476%, 2/8/37 (4,11) 63,720,800,000 COP 1,125,844 Hallertau SPC Credit Linked Nts.: Series 2007-01, 2.445%, 12/20/17 (1,4) 6,250,000 4,821,875 Series 2008-01, 9.888%, 8/2/10 (3,4,11) 14,337,604 BRR 762,537 Series 2008-2A, 7.937%, 9/17/13 (1,4) 12,143,750 12,362,338 HSBC Bank USA NA: Indonesia (Republic of) Credit Linked Nts., Series 2, 8.25%, 7/15/21 (2) 13,360,000,000 IDR 1,611,735 Indonesia (Republic of) Credit Linked Nts., Series 2, 9.50%, 7/15/31 (2) 13,330,000,000 IDR 1,743,449 JPMorgan Chase & Co.: Colombia (Republic of) Credit Linked Nts., 11%, 7/28/20 (4) 1,315,000,000 COP 833,492 Indonesia (Republic of) Credit Linked Bonds, 8.25%, 7/19/21 (2) 15,945,000,000 IDR 1,923,587 Indonesia (Republic of) Credit Linked Bonds, Series 10, 8.25%, 7/19/21 (2) 5,350,000,000 IDR 645,418 Indonesia (Republic of) Credit Linked Bonds, Series 11, 8.25%, 7/19/21 (2,7) 3,070,000,000 IDR 370,361 Indonesia (Republic of) Credit Linked Bonds, Series 6, 8.25%, 7/19/21 (2) 10,090,000,000 IDR 1,217,246 Indonesia (Republic of) Credit Linked Bonds, Series 7, 8.25%, 7/19/21 (2,7) 22,680,000,000 IDR 2,736,089 Indonesia (Republic of) Credit Linked Bonds, Series 9, 8.25%, 7/19/21 (2,7) 3,970,000,000 IDR 478,936 Indonesia (Republic of) Credit Linked Nts., Series 04, 10.50%, 8/19/30 (2) 6,700,000,000 IDR 953,511 Indonesia (Republic of) Credit Linked Nts., Series 4, 11%, 9/17/25 32,670,000,000 IDR 4,718,850 Indonesia (Republic of) Total Return Linked Nts., 10.50%, 8/19/30 (2) 1,190,000,000 IDR 169,355 Indonesia (Republic of) Total Return Linked Nts., Series 53, 11%, 9/17/25 (2) 2,100,000,000 IDR 303,324 JPMorgan Chase Bank NA: Indonesia (Republic of) Credit Linked Nts., Series 1, 9.50%, 7/17/31 (2) 4,222,000,000 IDR 552,201
30 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Principal Amount Value --------------- ------------ Indonesia (Republic of) Credit Linked Nts., Series 2, 10.50%, 8/19/30 (2,7) 21,270,000,000 IDR $ 3,027,043 Indonesia (Republic of) Credit Linked Nts., Series 3, 11%, 9/17/25 (2) 7,420,000,000 IDR 1,071,744 Russian Federation Credit Linked Bonds, 6.70%, 2/8/13 (1,4) 39,840,000 RUR 1,237,306 Russian Federation Credit Linked Bonds, Series 2, 7.15%, 1/25/13 (1,4) 48,970,000 RUR 1,513,250 LB Peru Trust II Certificates, Series 1998-A, 4.534%, 2/28/16 (3,11) 363,871 36,387 Lehman Brothers Treasury Co. BV, Microvest Capital Management LLC Credit Linked Nts., 7.55%, 5/24/12 (4) 1,490,521 690,111 Merrill Lynch, Colombia (Republic of) Credit Linked Nts., 10%, 11/17/16 (4) 1,784,000,000 COP 874,252 Morgan Stanley: 4,885,000 PEN 1,419,472 Peru (Republic of) Credit Linked Nts., 6.25%, 3/23/17 (2) Russian Federation Total Return Linked Bonds, Series 007, Cl. VR, 5%, 8/22/34 66,207,577 RUR 970,200 Morgan Stanley Capital Services, Inc.: 28,914,000 BRR 2,702,223 Brazil (Federal Republic of) Credit Linked Nts., 12.551%, 1/5/22 (2,11) United Mexican States Credit Linked Nts., 5.64%, 11/20/15 (4) 2,000,000 1,700,000 Standard Bank Group Ltd.: 1,710,000 GHS 1,033,465 Ghana (Republic of) Credit Linked Bonds, 10.038%, 1/25/12 (4,11) Ghana (Republic of) Credit Linked Bonds, 10.268%, 12/7/11 (4,11) 1,870,000 GHS 1,146,257 UBS AG: 1,222,052 GHS 760,210 Ghana (Republic of) Credit Linked Nts., 14.47%, 12/28/11 (4) Indonesia (Republic of) Total Return Linked Nts., 8.25%, 7/19/21 29,720,000,000 IDR 3,585,387 Indonesia (Republic of) Total Return Linked Nts., Series 1, 9.50%, 7/17/31 25,870,000,000 IDR 3,383,573 Indonesia (Republic of) Total Return Linked Nts., Series 3, 8.25%, 7/19/21 2,970,000,000 IDR 358,297 Indonesia (Republic of) Total Return Linked Nts., Series 5, 8.25%, 7/19/21 23,105,000,000 IDR 2,787,361 Indonesia (Republic of) Total Return Linked Nts., Series 999, 9.50%, 7/17/31 18,212,000,000 IDR 2,381,973 ------------ Total Structured Securities (Cost $171,075,491) 144,106,414
Expiration Strike Date Price Contracts ---------- --------- -------------- OPTIONS PURCHASED--0.7% Australian Dollar (AUD) Call (16) 11/10/11 $ 1.050 950,000 2,031 Australian Dollar (AUD) Call (16) 1/13/12 1.040 1,905,000 15,249 Australian Dollar (AUD) Call (16) 1/13/12 1.040 1,905,000 16,870 Australian Dollar (AUD) Call (16) 1/13/12 1.040 2,930,000 23,278 Australian Dollar (AUD) Call (16) 1/17/12 1.040 950,000 8,905
31 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Expiration Strike Date Price Contracts Value ---------- --------- -------------- ----------- Brazilian Real (BRR) Put (16) 11/22/11 $ 1.700 5,650,000 $ 337,229 Brazilian Real (BRR) Put (16) 11/22/11 1.700 16,960,000 970,585 Brazilian Real (BRR) Put (16) 11/28/11 1.700 5,630,000 326,349 Canadian Dollar (CAD) Futures, 12/20/11 Put (16) 10/10/11 95.500 4 3,240 Euro (EUR) Call (16) 1/13/12 1.390 950,000 24,297 Euro (EUR) Call (16) 1/18/12 1.400 955,000 21,697 Euro (EUR) Put (16) 11/2/11 1.350 6,910,000 203,189 Euro (EUR) Put (16) 11/2/11 1.350 12,480,000 359,075 Euro-Bundesobligation Futures, 12/8/11 Call (16) 10/3/11 137.500 EUR 72 965 Euro-Bundesobligation Futures, 12/8/11 Call (16) 10/3/11 138.500 EUR 48 643 Euro-Bundesobligation Futures, 12/8/11 Call (16) 10/3/11 140.500 EUR 24 322 Japanese Yen (JPY) Futures, 12/19/11 Put (16) 10/10/11 127.000 22 5,225 Japanese Yen (JPY) Futures, 12/19/11 Put (16) 10/10/11 129.000 15 9,938 Japanese Yen (JPY) Put (16) 11/17/11 78.900 87,300,000 8,147 Mexican Nuevo Peso (MXN) Call (16) 11/18/11 12.000 99,800,000 6,470 Mexican Nuevo Peso (MXN) Call (16) 11/18/11 12.000 99,800,000 4,456 Mexican Nuevo Peso (MXN) Call (16) 1/18/12 12.950 64,860,000 93,142 Mexican Nuevo Peso (MXN) Call (16) 1/18/12 12.950 64,860,000 72,425 New Zealand Dollar (NZD) Call (16) 1/13/12 0.840 2,860,000 17,268 New Zealand Dollar (NZD) Call (16) 1/17/12 0.840 2,800,000 15,986 New Zealand Dollar (NZD) Call (16) 1/17/12 0.840 2,855,000 16,456 South Korean Won (KRW) Call (16) 1/19/12 120.000 1,219,000,000 15,737 U.S. Treasury Bonds, 3.75%, 8/15/41 Call (16) 12/5/11 108.530 134,500,000 13,660,156 U.S. Treasury Nts. Futures, 10 yr., 12/20/11 Put (16) 10/3/11 130.000 240 3,750 U.S. Treasury Nts. Futures, 10 yr., 12/20/11 Put (16) 10/24/11 120.000 390 6,094 U.S. Treasury Nts. Futures, 10 yr., 12/20/11 Put (16) 10/24/11 122.000 390 6,094 U.S. Treasury Nts. Futures, 10 yr., 12/20/11 Put (16) 10/24/11 127.000 39 4,266
32 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Expiration Strike Date Price Contracts Value ---------- --------- -------------- ----------- U.S. Treasury Nts. Futures, 10 yr., 12/20/11 Put (16) 11/28/11 $ 127.500 15 $ 7,734 U.S. Treasury Nts. Futures, 10 yr., 12/20/11 Put (16) 11/28/11 123.500 240 26,250 U.S. Treasury Nts. Futures, 10 yr., 12/20/11 Put (16) 11/28/11 125.500 240 56,250 U.S. Treasury Nts. Futures, 10 yr., 12/20/11 Put (16) 11/28/11 129.000 19 17,813 ----------- Total Options Purchased (Cost $10,549,309) 16,367,581
Shares ---------- INVESTMENT COMPANIES--21.0% Oppenheimer Institutional Money Market Fund, Cl. E, 0.16% (17,18) 65,200,526 65,200,526 Oppenheimer Master Event-Linked Bond Fund, LLC (17) 4,827,322 54,065,421 Oppenheimer Master Loan Fund, LLC (17) 29,466,809 340,593,855 Oppenheimer Short Duration Fund, Cl. Y (17) 1,000,069 10,000,693 -------------- Total Investment Companies (Cost $484,243,783) 469,860,495 Total Investments, at Value (Cost $2,484,249,893) 103.7% 2,319,265,870 Liabilities in Excess of Other Assets (3.7) (81,854,623) ---------- --------------- Net Assets 100.0% $2,237,411,247 ========== ===============
Footnotes to Statement of Investments Principal amount and strike price are 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 EUR Euro GBP British Pound Sterling GHS Ghana Cedi HUF Hungarian Forint IDR Indonesia Rupiah JPY Japanese Yen KRW South Korean Won MXN Mexican Nuevo Peso MYR Malaysian Ringgit NOK Norwegian Krone NZD New Zealand Dollar PEN Peruvian New Sol PHP Philippines Peso PLZ Polish Zloty RUR Russian Ruble SEK Swedish Krona SGD Singapore Dollar 33 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) TRY New Turkish Lira UAH Ukraine Hryvnia ZAR South African Rand 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 $393,228,594 or 17.58% of the Fund's net assets as of September 30, 2011. 3. This security is not accruing income because the issuer has missed an interest payment on it and/or is not anticipated to make future interest and/or principal payments. The rate shown is the original contractual interest rate. See accompanying Notes. 4. Restricted security. The aggregate value of restricted securities as of September 30, 2011 was $96,364,802, which represents 4.31% of the Fund's net assets. See accompanying Notes. Information concerning restricted securities is as follows:
UNREALIZED ACQUISITION APPRECIATION SECURITY DATES COST VALUE (DEPRECIATION) --------------- ------------ ----------- -------------- Arco Capital Corp. Ltd. 2/27/07 $10,359,570 $ 1,381,276 $ (8,978,294) Citigroup Funding, Inc., ALROSA Russia Corporate Bond Credit Linked Unsec. Nts., 8.25%, 6/25/15 3/1/11 679,768 613,328 (66,440) Citigroup Funding, Inc., Russian Federation Credit Linked Bonds, 6.70%, 2/8/13 3/2/11 1,412,839 1,246,825 (166,014) Citigroup Funding, Inc., Ukraine (Republic of) Credit Linked Nts., 5.50%, 9/1/15 9/7/10 1,659,143 1,597,424 (61,719) Citigroup Global Markets Holdings, Inc., Adira Dinamika Multi Finance Credit Linked Nts., 6.75%, 1/5/12 6/17/11 3,995,354 3,758,940 (236,414) Citigroup Global Markets Holdings, Inc., Colombia (Republic of) Credit Linked Bonds, 11.25%, 10/25/18 12/9/08 1,375,985 2,067,899 691,914 Citigroup Global Markets Holdings, Inc., Dominican Republic Unsec. Credit Linked Nts., 15%, 3/12/12 3/7/07 1,479,820 1,301,026 (178,794) City of Kyiv Via Kyiv Finance plc Sr. Unsec. Bonds, 9.375%, 7/11/16 6/30/11 985,000 856,950 (128,050) Cleaver-Brooks, Inc., 12.25% Sr. Sec. Nts., 5/1/16 4/21/10-5/3/11 2,685,369 2,581,375 (103,994) Deutsche Alt-A Securities, Inc., Mtg. Pass-Through Certificates, Series 2007-RS1, Cl. A2, 0.736%, 1/27/37 5/29/08 989,380 625,886 (363,494) Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, Series 128, 3.006%, 5/6/25 10/8/10 1,274,087 1,326,402 52,315 Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.343%, 5/6/25 4/16/09 1,296,201 1,391,753 95,552 Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.266%, 5/6/25 8/18/09 1,388,004 1,480,655 92,651 Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.239%, 5/6/25 9/25/09 1,741,381 1,853,407 112,026 Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.187%, 5/6/25 12/17/09 1,532,731 1,623,875 91,144 Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.134%, 5/6/25 3/30/10 1,236,993 1,304,233 67,240 Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.10%, 5/6/25 5/18/10 1,388,719 1,459,079 70,360 Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.061%, 5/6/25 7/16/10 1,614,366 1,690,040 75,674 Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Nts., 12.061%, 12/31/17 9/19/07 6,793,723 7,941,338 1,147,615 Deutsche Bank AG, JSC VTB Bank Credit Linked Nts., 12%, 6/19/12 6/30/11 2,596,724 2,493,651 (103,073) Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2A, 8.25%, 5/22/15 5/21/08 67,269 49,021 (18,248) Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2B, 8.25%, 5/22/15 6/12/08 117,680 85,763 (31,917) Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2C, 8.25%, 5/22/15 6/18/08 1,785,486 1,293,104 (492,382) Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2D, 8.25%, 5/22/15 7/8/08 130,028 94,240 (35,788) Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2E, 8.25%, 5/22/15 7/15/08 94,626 68,467 (26,159) Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2F, 8.25%, 5/22/15 8/8/08 61,263 43,726 (17,537) Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2G, 8.25%, 5/22/15 8/22/08 11,304 8,053 (3,251)
34 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) Eirles Two Ltd. Sec. Nts., Series 324, 3.635%, 4/30/12 4/17/07 4,101,561 3,720,750 (380,811) Eirles Two Ltd. Sec. Nts., Series 335, 2.085%, 4/30/12 9/17/07 6,268,604 5,992,560 (276,044) Embarcadero Aircraft Securitization Trust, Airplane Receivable Nts., Series 2000-A, Cl. B, 0.656%, 8/15/25 8/17/00 1,820,063 - (1,820,063) Forbes Energy Services Ltd., 9% Sr. Unsec. Nts., 6/15/19 5/24/11 1,695,000 1,576,350 (118,650) Goldman Sachs Capital Markets LP, Colombia (Republic of) Credit Linked Nts., 10.476%, 2/8/37 1/18/07 6,108,976 1,125,844 (4,983,132) Hallertau SPC Credit Linked Nts., Series 2007-01, 2.445%, 12/20/17 12/13/07 6,250,000 4,821,875 (1,428,125) Hallertau SPC Credit Linked Nts., Series 2008-01, 9.888%, 8/2/10 4/18/08-10/1/08 7,188,001 762,537 (6,425,464) Hallertau SPC Credit Linked Nts., Series 2008-2A, 7.937%, 9/17/13 10/23/08 12,225,344 12,362,338 136,994 Ice 1 Em CLO Ltd./Ice 1 Em CLO Corp., Sr. Sec. Sub. Term Nts., Series 2007-1A, Cl. B, 2.152%, 8/15/22 11/6/07 6,988,671 5,194,200 (1,794,471) Ice 1 Em CLO Ltd./Ice 1 Em CLO Corp., Sr. Sec. Sub. Term Nts., Series 2007-1A, Cl. C, 3.452%, 8/15/22 6/8/07 5,270,000 3,320,100 (1,949,900) Ice 1 Em CLO Ltd./Ice 1 Em CLO Corp., Sr. Sec. Sub. Term Nts., Series 2007-1A, Cl. D, 5.452%, 8/15/22 6/8/07 5,270,000 3,162,000 (2,108,000) Interactive Data Corp., 10.25% Sr. Unsec. Nts., 8/1/18 7/20/10 965,000 1,013,250 48,250 JPMorgan Chase & Co., Colombia (Republic of) Credit Linked Nts., 11%, 7/28/20 8/24/10 905,981 833,492 (72,489) JPMorgan Chase Bank NA, Russian Federation Credit Linked Bonds, 6.70%, 2/8/13 3/1/11 1,395,999 1,237,306 (158,693) JPMorgan Chase Bank NA, Russian Federation Credit Linked Bonds, Series 2, 7.15%, 1/25/13 2/28/11 1,718,223 1,513,250 (204,973) JPMorgan Hipotecaria su Casita, 7.809% Sec. Nts., 8/26/35 3/21/07 526,714 460,719 (65,995) Lehman Brothers Treasury Co. BV, Microvest Capital Management LLC Credit Linked Nts., 7.55%, 5/24/12 6/20/07 1,493,919 690,111 (803,808) Merrill Lynch, Colombia (Republic of) Credit Linked Nts., 10%, 11/17/16 10/20/06 762,393 874,252 111,859 Morgan Stanley Capital Services, Inc., United Mexican States Credit Linked Nts., 5.64%, 11/20/15 11/3/05 2,000,000 1,700,000 (300,000) NC Finance Trust, Collateralized Mtg. Obligation Pass-Through Certificates, Series 1999-I, Cl. ECFD, 3.405%, 1/25/29 8/10/10 66,025 5,340 (60,685) Premier Cruise Ltd., 11% Sr. Nts., 3/15/08 3/6/98 242,675 - (242,675) Santander Drive Auto Receivables Trust 2011-S1A, Automobile Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/17 2/4/11-4/14/11 258,691 257,260 (1,431) Southern States Cooperative, Inc., 11.25% Sr. Nts., 5/15/15 9/22/10-9/23/10 2,616,055 2,563,600 (52,455) Standard Bank Group Ltd., Ghana (Republic of) Credit Linked Bonds, 10.038%, 1/25/12 9/16/11 1,060,107 1,033,465 (26,642) Standard Bank Group Ltd., Ghana (Republic of) Credit Linked Bonds, 10.268%, 12/7/11 9/5/11 1,200,953 1,146,257 (54,696) UBS AG, Ghana (Republic of) Credit Linked Nts., 14.47%, 12/28/11 12/22/06 1,333,349 760,210 (573,139) ------------ ----------- -------------- $128,485,117 $96,364,802 $ (32,120,315) ============ =========== ==============
5. This security is accruing partial income at an anticipated effective rate based on expected interest and/or principal payments. The rate shown is the original contractual interest rate. 6. Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans or other receivables. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage or asset-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $11,074,848 or 0.49% of the Fund's net assets as of September 30, 2011. 7. When-issued security or delayed delivery to be delivered and settled after September 30, 2011. See accompanying Notes. 8. The current amortization rate of the security's cost basis exceeds the future interest payments currently estimated to be received. Both the amortization rate and interest payments are contingent on future mortgage pre-payment speeds and are therefore subject to change. 9. All or a portion of the security position is held in collateral accounts to cover the Fund's obligations under certain derivative contracts. The aggregate market value of such securities is $6,566,494. See accompanying Notes. 10. All or a portion of the security position is held in collateralized accounts to cover initial margin requirements on open futures contracts and written options on futures, if applicable. The aggregate market value of such securities is $11,929,594. See accompanying Notes. 11. Zero coupon bond reflects effective yield on the date of purchase. 35 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) 12. Denotes an inflation-indexed security: coupon or principal are indexed to a consumer price index. 13. Interest or dividend is paid-in-kind, when applicable. 14. 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. 15. Denotes a step bond: a zero coupon bond that converts to a fixed or variable interest rate at a designated future date. 16. Non-income producing security. 17. Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 30, 2011, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows:
SHARES GROSS GROSS SHARES DECEMBER 31, 2010 ADDITIONS REDUCTIONS SEPTEMBER 30, 2011 ----------------- ----------- ----------- ------------------ Oppenheimer Institutional Money Market Fund, Cl. E 83,436,389 469,364,673 487,600,536 65,200,526 Oppenheimer Master Event-Linked Bond Fund, LLC 1,103,918 3,723,404 -- 4,827,322 Oppenheimer Master Loan Fund, LLC 29,466,809 -- -- 29,466,809 Oppenheimer Short Duration Fund, Cl. Y -- 1,000,069 -- 1,000,069
REALIZED VALUE INCOME GAIN (LOSS) ------------ ----------- ----------- Oppenheimer Institutional Money Market Fund, Cl. E $ 65,200,526 $ 67,423 $ -- Oppenheimer Master Event-Linked Bond Fund, LLC 54,065,421 2,877,513 (a) (2,577,693) (a) Oppenheimer Master Loan Fund, LLC 340,593,855 20,858,865 (b) 1,306,983 (b) Oppenheimer Short Duration Fund, Cl. Y 10,000,693 4,617 -- ------------ ----------- ----------- $469,860,495 $23,808,418 $(1,270,710) ============ =========== ===========
a. Represents the amount allocated to the Fund from Oppenheimer Master Event-Linked Bond Fund, LLC. b. Represents the amount allocated to the Fund from Oppenheimer Master Loan Fund, LLC. 18. Rate shown is the 7-day yield as of September 30, 2011. 36 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (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 or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) 3) Level 3-significant unobservable inputs (including the Manager's own judgments about assumptions that market participants would use in pricing the asset or liability). The table below categorizes amounts as of September 30, 2011 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 $ -- $ 11,463,682 $ 11,676,300 $ 23,139,982 Mortgage-Backed Obligations -- 442,916,071 1,476,087 444,392,158 U.S. Government Obligations -- 131,066,217 -- 131,066,217 Foreign Government Obligations -- 462,958,169 -- 462,958,169 Loan Participations -- 9,685,368 -- 9,685,368 Corporate Bonds and Notes -- 596,626,489 -- 596,626,489 Preferred Stocks -- 4,050,799 3,234,864 7,285,663 Common Stocks 7,310,550 6,237,698 228,666 13,776,914 Rights, Warrants and Certificates -- -- 420 420 Structured Securities -- 131,012,253 13,094,161 144,106,414 Options Purchased 148,584 16,218,997 -- 16,367,581 Investment Companies 75,201,219 394,659,276 -- 469,860,495 ------------- ----------------- ------------ -------------- Total Investments, at Value 82,660,353 2,206,895,019 29,710,498 2,319,265,870 OTHER FINANCIAL INSTRUMENTS: Appreciated swaps, at value -- 8,648,462 -- 8,648,462 Futures margins 1,920,669 -- -- 1,920,669 Foreign currency exchange contracts -- 18,773,793 -- 18,773,793 ------------- ----------------- ------------ -------------- Total Assets $ 84,581,022 $ 2,234,317,274 $ 29,710,498 $2,348,608,794 ------------- ----------------- ------------ -------------- LIABILITIES TABLE OTHER FINANCIAL INSTRUMENTS: Appreciated swaps, at value $ -- $ (3,168,766) $ -- $ (3,168,766) Depreciated swaps, at value -- (7,812,701) -- (7,812,701) Appreciated options written, at value (101,082) (197,268) -- (298,350) Depreciated options written, at value (77,122) (2,252,954) -- (2,330,076) Futures margins (246,093) -- -- (246,093) Foreign currency exchange contracts -- (20,578,301) -- (20,578,301) ------------- ----------------- ------------ -------------- Total Liabilities $ (424,297) $ (34,009,990) $ -- $ (34,434,287) ------------- ----------------- ------------ --------------
37 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (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. The table below shows the significant transfers between Level 1, Level 2 and Level 3. The Fund's policy is to recognize transfers in and transfers out as of the beginning of the reporting period.
TRANSFERS OUT OF TRANSFERS INTO TRANSFERS OUT OF TRANSFERS INTO TRANSFERS OUT OF LEVEL 1 LEVEL 2 LEVEL 2 LEVEL 3 LEVEL 3 ---------------- -------------- ---------------- -------------- ---------------- ASSETS TABLE INVESTMENTS, AT VALUE: Common Stocks $ -- 1,381,276 (a) $ -- $ -- $ (1,381,276)(a) Common Stocks (968,031) (b) 968,031 (b) -- -- -- Investment Companies (353,953,479) (c) 353,953,479 (c) -- -- -- Structured Securities -- -- (13,653,340) (d) 13,653,340 (d) -- ---------------- ------------- ---------------- -------------- ---------------- Total Assets $ (354,921,510) $ 356,302,786 $ (13,653,340) $ 13,653,340 (1,381,276) ---------------- ------------- ---------------- -------------- ----------------
a. Transferred from Level 3 to Level 2 because of the presence of observable market data due to an increase in market activity for these securities. b. Transferred from Level 1 to Level 2 because of the absence of a readily available unadjusted quoted market price due to a significant event occurring before the Fund's assets were valued but after the close of the securities' respective exchanges. c. Transferred from Level 1 to Level 2 as the current market for the securities are not considered active. d. Transferred from Level 2 to Level 3 because of the lack of observable market data due to a decrease in market activity for these securities. 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 methodologies, if any, during the reporting period. DISTRIBUTION OF INVESTMENTS REPRESENTING GEOGRAPHIC HOLDINGS, AS A PERCENTAGE OF TOTAL INVESTMENTS AT VALUE, IS AS FOLLOWS:
GEOGRAPHIC HOLDINGS VALUE PERCENT ------------------------ -------------- ------- United States $1,453,064,459 62.7% Brazil 107,101,800 4.6 Indonesia 74,592,302 3.2 Mexico 73,805,144 3.2 Russia 65,324,329 2.8 South Africa 60,422,472 2.6 Japan 47,374,822 2.0 Poland 31,625,353 1.4 Colombia 31,165,284 1.4 Ukraine 29,938,876 1.3 Peru 29,894,125 1.3 Turkey 26,320,689 1.1 Supranational 23,147,309 1.0 Venezuela 20,098,701 0.9 Hungary 19,239,040 0.8 Kazakhstan 18,960,251 0.8 United Kingdom 17,198,168 0.7
38 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) Argentina 15,845,458 0.7 Canada 15,567,839 0.7 Philippines 14,769,797 0.6 India 14,335,873 0.6 The Netherlands 11,272,385 0.5 Korea, Republic of South 10,267,731 0.4 Uruguay 9,702,750 0.4 Malaysia 9,254,851 0.4 Germany 9,032,351 0.4 Italy 7,127,210 0.3 Panama 6,439,378 0.3 Australia 6,360,881 0.3 New Zealand 6,084,092 0.3 Dominican Republic 5,532,373 0.2 Israel 4,852,584 0.2 Spain 4,796,380 0.2 Chile 4,613,857 0.2 Ghana 4,383,682 0.2 Luxembourg 3,625,407 0.2 Sri Lanka 2,924,615 0.1 Trinidad & Tobago 2,838,150 0.1 Belgium 2,736,963 0.1 Qatar 2,679,350 0.1 China 2,023,800 0.1 Costa Rica 1,969,511 0.1 Austria 1,714,432 0.1 France 1,696,422 0.1 Nigeria 1,619,750 0.1 Norway 1,190,345 0.1 Greece 1,156,817 0.1 Denmark 896,046 -- Sweden 744,604 -- Finland 686,784 -- European Union 608,258 -- Singapore 432,445 -- Ivory Coast 209,575 -- -------------- ------- Total $2,319,265,870 100.0% -------------- -------
39 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) FOREIGN CURRENCY EXCHANGE CONTRACTS AS OF SEPTEMBER 30, 2011 ARE AS FOLLOWS:
CONTRACT COUNTERPARTY/CONTRACT BUY/ AMOUNT EXPIRATION UNREALIZED UNREALIZED DESCRIPTION SELL (000'S) DATES VALUE APPRECIATION DEPRECIATION ------------------------------- ---- ---------- ---------------- ----------- ------------ ------------ BANC OF AMERICA: Brazilian Real (BRR) Sell 4,510 BRR 10/4/11 $ 2,396,153 $ 196,546 $ - British Pound Sterling (GBP) Buy 440 GBP 10/3/11 686,117 - 4,683 British Pound Sterling (GBP) Sell 440 GBP 10/3/11 686,117 - 10,937 Canadian Dollar (CAD) Sell 340 CAD 11/22/11 324,050 15,565 - Chilean Peso (CLP) Buy 831,000 CLP 10/5/11 1,597,989 - 192,573 Chinese Renminbi (Yuan) (CNY) Buy 58,340 CNY 8/15/12-8/16/12 9,205,116 - 103,972 Chinese Renminbi (Yuan) (CNY) Sell 29,040 CNY 11/30/11 4,550,578 - 1,706 Euro (EUR) Buy 1,735 EUR 10/3/11 2,324,407 - 42,133 Euro (EUR) Sell 7,965 EUR 10/3/11-12/9/11 10,669,291 225,393 - Hungarian Forint (HUF) Sell 1,349,000 HUF 10/11/11 6,161,297 456,979 - Indonesia Rupiah (IDR) Sell 49,645,000 IDR 10/17/11 5,391,348 81,969 - Japanese Yen (JPY) Buy 123,000 JPY 10/3/11 1,594,777 - 16,225 Japanese Yen (JPY) Sell 123,000 JPY 10/3/11 1,594,777 5,119 - Malaysian Ringgit (MYR) Buy 33,325 MYR 10/11/11 10,433,619 - 636,339 Malaysian Ringgit (MYR) Sell 9,090 MYR 10/19/11 2,844,985 91,061 - Mexican Nuevo Peso (MXN) Buy 800 MXN 11/22/11 57,380 - 7,084 Mexican Nuevo Peso (MXN) Sell 47,170 MXN 12/15/11 3,376,636 383,052 - New Zealand Dollar (NZD) Sell 2,850 NZD 10/26/11 2,168,592 172,056 - Peruvian New Sol (PEN) Sell 6,010 PEN 10/17/11 2,161,867 32,365 - Philippines Peso (PHP) Buy 104,650 PHP 10/17/11-10/24/11 2,390,875 - 2,654 Philippines Peso (PHP) Sell 128,000 PHP 11/29/11 2,918,210 20,940 - Polish Zloty (PLZ) Sell 5,310 PLZ 10/11/11 1,601,264 - 7,722 Singapore Dollar (SGD) Buy 16,680 SGD 10/11/11 12,753,519 - 894,002 Singapore Dollar (SGD) Sell 16,680 SGD 8/15/12-8/16/12 12,803,458 1,054,375 - South African Rand (ZAR) Sell 30,750 ZAR 11/15/11 3,782,335 329,123 - South Korean Won (KRW) Sell 4,522,000 KRW 10/26/11-1/25/12 3,828,084 29,713 37,692 ------------ ------------ 3,094,256 1,957,722 ------------ ------------ BANC OF AMERICA EM Peruvian New Sol (PEN) Sell 11,140 PEN 10/26/11 4,002,211 - 36,034 BARCLAY'S CAPITAL: Australian Dollar (AUD) Sell 2,100 AUD 10/26/11-11/22/11 2,024,299 131,759 - British Pound Sterling (GBP) Buy 440 GBP 10/4/11 686,110 1,250 - British Pound Sterling (GBP) Sell 440 GBP 10/4/11 686,110 - 6,310 Euro (EUR) Buy 1,555 EUR 10/4/11 2,083,242 - 14,453 Euro (EUR) Sell 2,105 EUR 10/4/11-11/22/11 2,819,882 27,288 79 Hungarian Forint (HUF) Buy 755,000 HUF 10/11/11 3,448,317 - 584,951 Hungarian Forint (HUF) Sell 336,000 HUF 6/12/12 1,499,168 234,131 - Japanese Yen (JPY) Buy 266,000 JPY 11/1/11 3,450,277 - 17,916
40 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) Japanese Yen (JPY) Sell 270,000 JPY 10/11/11 3,501,123 1,181 - New Turkish Lira (TRY) Buy 7,865 TRY 10/19/11 4,219,317 1,636 136,230 New Turkish Lira (TRY) Sell 1,935 TRY 10/4/11 1,040,554 - 1,851 New Zealand Dollar (NZD) Sell 5,440 NZD 10/26/11 4,139,348 337,860 - Polish Zloty (PLZ) Sell 19,985 PLZ 10/11/11 6,026,601 559,586 - Russian Ruble (RUR) Buy 12,480 RUR 10/7/11-10/24/11 386,305 - 58,536 Russian Ruble (RUR) Sell 9,410 RUR 12/15/11 288,049 17,744 - South African Rand (ZAR) Buy 141,735 ZAR 11/10/11 17,446,254 - 2,749,671 South African Rand (ZAR) Sell 131,380 ZAR 10/11/11 16,243,873 2,445,925 - South Korean Won (KRW) Buy 267,000 KRW 11/8/11 226,062 - 24,171 Swedish Krona (SEK) Buy 121,080 SEK 11/10/11-11/22/11 17,608,318 - 1,037,913 ------------ ------------ 3,758,360 4,632,081 ------------ ------------ CITIGROUP: Australian Dollar (AUD) Sell 3,155 AUD 10/26/11 3,042,174 173,312 - Canadian Dollar (CAD) Sell 2,285 CAD 10/11/11 2,179,942 123,293 - Chilean Peso (CLP) Buy 158,000 CLP 11/22/11 301,810 - 30,367 Chilean Peso (CLP) Sell 234,000 CLP 10/5/11-11/22/11 448,863 49,656 - Euro (EUR) Sell 9,654 EUR 10/3/11-1/23/12 12,929,935 290,748 - Hungarian Forint (HUF) Sell 204,000 HUF 6/12/12 910,209 136,001 - Mexican Nuevo Peso (MXN) Buy 14,600 MXN 12/15/11 1,045,132 - 6,005 Norwegian Krone (NOK) Buy 100,310 NOK 11/10/11 17,052,969 - 1,185,213 Philippines Peso (PHP) Sell 70,650 PHP 10/24/11-11/29/11 1,610,778 12,622 - Polish Zloty (PLZ) Sell 2,710 PLZ 10/11/11 817,217 149,358 - Russian Ruble (RUR) Sell 9,010 RUR 10/24/11 278,667 44,735 - ------------ ------------ 979,725 1,221,585 ------------ ------------ CITIGROUP EM: Brazilian Real (BRR) Sell 16,140 BRR 1/4/12 8,414,648 392,991 - Chilean Peso (CLP) Buy 1,417,000 CLP 11/22/11-12/5/11 2,702,616 - 45,093 Chilean Peso (CLP) Sell 1,890,000 CLP 10/5/11-11/22/11 3,629,655 91,332 - Colombian Peso (COP) Buy 7,931,000 COP 10/7/11-11/22/11 4,105,197 - 327,073 Egyptian Pounds (EGP) Buy 12,370 EGP 10/11/11 2,067,745 7,150 - Indonesia Rupiah (IDR) Buy 47,025,000 IDR 10/11/11 5,136,306 - 355,986 Mexican Nuevo Peso (MXN) Sell 61,200 MXN 10/18/11 4,404,805 306,258 - ------------ ------------ 797,731 728,152 ------------ ------------ CREDIT SUISSE: Australian Dollar (AUD) Sell 1,900 AUD 10/26/11 1,832,054 123,844 - Chilean Peso (CLP) Buy 1,726,000 CLP 10/5/11-11/22/11 3,317,041 - 410,970 Chilean Peso (CLP) Sell 105,000 CLP 10/24/11 201,353 - 204 Colombian Peso (COP) Sell 602,000 COP 11/22/11 310,860 22,658 - Euro (EUR) Sell 52 EUR 10/4/11-10/5/11 69,666 346 - Japanese Yen (JPY) Buy 120,000 JPY 10/4/11 1,555,902 - 18,901 Japanese Yen (JPY) Sell 159,343 JPY 10/4/11-10/5/11 2,066,024 7,802 -
41 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) Malaysian Ringgit (MYR) Buy 24,160 MYR 10/31/11 7,557,802 - 492,579 Mexican Nuevo Peso (MXN) Sell 58,150 MXN 10/18/11 4,185,284 501,558 - New Turkish Lira (TRY) Buy 33,605 TRY 10/4/11-11/10/11 17,972,288 - 902,583 New Zealand Dollar (NZD) Buy 3,280 NZD 10/26/11 2,495,783 - 342,007 Russian Ruble (RUR) Sell 388,200 RUR 11/7/11 11,975,255 1,263,725 - South African Rand (ZAR) Sell 80,320 ZAR 10/11/11 9,930,795 1,094,393 - Swedish Krona (SEK) Buy 2,200 SEK 11/22/11 319,752 309 25,375 Swiss Franc (CHF) Sell CHF 11/22/11 728,931 8,807 516 ------------ ------------ 3,023,442 2,193,135 ------------ ------------ CREDIT SUISSE EM Chilean Peso (CLP) Sell 815,000 CLP 10/5/11 1,567,221 128,928 - DEUTSCHE BANK CAPITAL CORP.: Australian Dollar (AUD) Buy 1,710 AUD 10/26/11 1,648,849 - 146,735 Australian Dollar (AUD) Sell 550 AUD 10/11/11 531,429 43,145 - British Pound Sterling (GBP) Sell 1,425 GBP 10/11/11 2,221,899 51,381 - Chinese Renminbi (Yuan) (CNY) Buy 27,950 CNY 1/6/12 4,382,797 44,559 - Danish Krone (DKK) Sell 530 DKK 10/4/11 95,368 1,712 - Euro (EUR) Sell 9,675 EUR 10/11/11 12,960,963 617,619 - Japanese Yen (JPY) Buy 153,000 JPY 10/26/11 1,984,386 - 6,609 Japanese Yen (JPY) Sell 153,000 JPY 10/26/11 1,984,386 - 125,549 New Zealand Dollar (NZD) Sell 2,845 NZD 10/26/11 2,164,788 166,348 - Norwegian Krone (NOK) Sell 26,780 NOK 11/28/11 4,548,540 103,228 - Philippines Peso (PHP) Buy 98,000 PHP 10/17/11 2,238,961 3,050 - Polish Zloty (PLZ) Buy 57,450 PLZ 11/10/11 17,268,282 - 2,662,334 Swiss Franc (CHF) Sell 6,165 CHF 10/11/11-10/26/11 6,804,866 362,137 - ------------ ------------ 1,393,179 2,941,227 ------------ ------------ DEUTSCHE BANK EM: Chinese Renminbi (Yuan) (CNY) Buy 16,750 CNY 9/28/12 2,645,709 17,846 - Chinese Renminbi (Yuan) (CNY) Sell 27,950 CNY 1/6/12 4,382,797 - 17,862 Russian Ruble (RUR) Sell 6,300 RUR 12/15/11 192,849 2,859 63 Singapore Dollar (SGD) Sell 5,830 SGD 10/31/11 4,457,772 75,912 - ------------ ------------ 96,617 17,925 ------------ ------------ GOLDMAN SACHS EM: Brazilian Real (BRR) Sell 20,670 BRR 11/3/11-1/4/12 10,777,400 516,619 - Chinese Renminbi (Yuan) (CNY) Buy 21,080 CNY 9/28/12 3,329,644 18,823 - Hungarian Forint (HUF) Sell 816,000 HUF 10/11/11 3,726,923 592,595 - Malaysian Ringgit (MYR) Buy 37,125 MYR 10/12/11 11,622,851 - 719,236 Mexican Nuevo Peso (MXN) Sell 16,400 MXN 10/18/11 1,180,373 59,750 - New Turkish Lira (TRY) Sell 3,580 TRY 10/19/11 1,920,554 70,954 - Polish Zloty (PLZ) Sell 10,900 PLZ 10/11/11 3,286,963 113,602 - South African Rand (ZAR) Buy 21,260 ZAR 10/14/11 2,627,398 - 88,341 South African Rand (ZAR) Sell 71,950 ZAR 11/15/11 8,850,048 845,110 - ------------ ------------ 2,217,453 807,577 ------------ ------------ GOLDMAN, SACHS & CO.: British Pound Sterling (GBP) Sell 2,440 GBP 10/26/11 3,803,921 131,490 9,099 Canadian Dollar (CAD) Buy 770 CAD 11/10/11 734,068 - 53,825
42 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) Canadian Dollar (CAD) Sell 234 CAD 10/3/11 223,251 4,068 - Euro (EUR) Buy 12,870 EUR 11/10/11 17,238,015 - 1,037,385 Hungarian Forint (HUF) Buy 168,000 HUF 10/11/11 767,308 - 110,069 Japanese Yen (JPY) Buy 46,000 JPY 11/22/11 596,854 - 5,655 Japanese Yen (JPY) Sell 1,051,000 JPY 1/23/12 13,651,482 87,080 - Norwegian Krone (NOK) Buy 26,780 NOK 11/28/11 4,548,540 - 40,746 Norwegian Krone (NOK) Sell 2,900 NOK 11/22/11 492,710 15,387 - ------------ ------------ 238,025 1,256,779 ------------ ------------ HSBC EM: Brazilian Real (BRR) Buy 8,700 BRR 11/3/11-1/4/12 4,584,836 - 195,176 Chinese Renminbi (Yuan) (CNY) Buy 22,280 CNY 9/28/12 3,519,188 20,444 - ------------ ------------ 20,444 195,176 ------------ ------------ JP MORGAN CHASE: Philippines Peso (PHP) Sell 123,000 PHP 1/23/12 2,796,923 - 4,642 Swiss Franc (CHF) Buy 5,690 CHF 10/26/11 6,280,705 - 1,085,849 ------------ ------------ - 1,090,491 ------------ ------------ JP MORGAN EM: Chilean Peso (CLP) Buy 1,231,000 CLP 11/14/11 2,353,917 - 203,474 Chinese Renminbi (Yuan) (CNY) Buy 45,700 CNY 9/28/12 7,218,442 46,439 - Colombian Peso (COP) Sell 14,468,000 COP 10/7/11-10/14/11 7,490,176 608,777 - Egyptian Pounds (EGP) Sell 7,790 EGP 10/11/11 1,302,161 - 11,358 Indonesia Rupiah (IDR) Buy 44,439,436 IDR 10/3/11-12/19/11 4,692,742 31 288,885 Indonesia Rupiah (IDR) Sell 63,208,118 IDR 10/3/11-10/17/11 6,870,408 106,396 - Malaysian Ringgit (MYR) Sell 30,705 MYR 12/20/11 9,592,301 312,538 - Russian Ruble (RUR) Buy 12,570 RUR 10/7/11 389,915 - 47,128 Russian Ruble (RUR) Sell 275,600 RUR 10/11/11 8,543,079 1,137,005 - South Korean Won (KRW) Sell 4,728,000 KRW 10/26/11-1/25/12 3,997,496 228,846 31,538 ------------ ------------ 2,440,032 582,383 ------------ ------------ NOMURA SECURITIES: Australian Dollar (AUD) Buy 4,600 AUD 11/30/11 4,417,647 - 98,679 Chinese Renminbi (Yuan) (CNY) Buy 22,440 CNY 2/19/13 3,539,111 - 12,927 Mexican Nuevo Peso (MXN) Sell 800 MXN 11/22/11 57,380 361 3 South Korean Won (KRW) Buy 1,809,000 KRW 1/25/12 1,528,350 - 165,074 Swiss Franc (CHF) Sell 10 CHF 11/22/11 11,044 1,214 - ------------ ------------ 1,575 276,683 ------------ ------------ RBS GREENWICH CAPITAL: Australian Dollar (AUD) Sell 10 AUD 10/14/11 9,658 109 - Euro (EUR) Buy 17,050 EUR 10/6/11 22,841,633 - 1,488,972 Euro (EUR) Sell 1,910 EUR 10/26/11 2,558,410 54,527 - Swiss Franc (CHF) Buy 530 CHF 11/10/11 585,204 - 22,291 ------------ ------------ 54,636 1,511,263 ------------ ------------ STANDARD CHARTERED BANK EM: Chinese Renminbi (Yuan) (CNY) Buy 22,280 CNY 9/28/12 3,519,188 20,444 - Malaysian Ringgit (MYR) Sell 10,325 MYR 10/19/11 3,231,515 104,510 - ------------ ------------ 124,954 - ------------ ------------
43 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) STANDARD NY EM Egyptian Pounds (EGP) Buy 7,780 EGP 11/10/11 1,290,653 972 - STATE STREET: New Turkish Lira (TRY) Buy 8,390 TRY 11/29/11 4,472,591 - 33,776 Polish Zloty (PLZ) Sell 5,310 PLZ 10/11/11 1,601,264 - 11,062 South African Rand (ZAR) Buy 14,570 ZAR 10/14/11 1,800,621 - 55,951 South African Rand (ZAR) Sell 27,580 ZAR 10/11/11-11/22/11 3,408,838 4,326 54,971 Swedish Krona (SEK) Buy 45,400 SEK 10/26/11 6,607,537 - 755,060 ------------ ------------ 4,326 910,820 ------------ ------------ UBS INV BANK EM: Brazilian Real (BRR) Buy 4,510 BRR 10/4/11 2,396,153 - 112,190 Brazilian Real (BRR) Sell 11,950 BRR 11/3/11 6,301,846 304,744 - Hong Kong Dollar (HKD) Sell 35,400 HKD 11/30/11 4,549,096 - 5,158 Indonesia Rupiah (IDR) Buy 3,776,000 IDR 10/20/11 408,880 - 16,824 New Taiwan Dollar (TWD) Sell 138,000 TWD 10/31/11 4,531,137 15,815 - Philippines Peso (PHP) Sell 201,000 PHP 10/17/11 4,592,155 20,052 - ------------ ------------ 340,611 134,172 ------------ ------------ UBS INVESTMENT BANK Japanese Yen (JPY) Buy 274,000 JPY 11/1/11 3,554,044 - 19,900 WESTPAC: Australian Dollar (AUD) Sell 140 AUD 11/22/11 134,571 3,739 - New Zealand Dollar (NZD) Buy 615 NZD 10/26/11 467,959 - 65,196 New Zealand Dollar (NZD) Sell 860 NZD 10/26/11 654,382 54,788 - ------------ ------------ 58,527 65,196 ------------ ------------ Total unrealized appreciation and depreciation $ 18,773,793 $ 20,578,301 ============ ============
FUTURES CONTRACTS AS OF SEPTEMBER 30, 2011 ARE AS FOLLOWS:
UNREALIZED NUMBER OF EXPIRATION APPRECIATION CONTRACT DESCRIPTION BUY/SELL CONTRACTS DATE VALUE (DEPRECIATION) ---------------------------------------- -------- --------- ---------- ------------ -------------- DAX Index Buy 20 12/16/11 $ 3,664,876 $ (90,117) Euro-BOBL Sell 13 12/8/11 2,127,102 11,971 Euro-Bundesobligation Sell 20 12/8/11 3,657,239 (20,320) Euro-Bundesobligation, 10 yr. Buy 26 12/8/11 4,754,411 (18,702) FTSE 100 Index Sell 87 12/16/11 6,906,194 176,829 Japan (Government of) Mini Bonds, 10 yr. Buy 40 12/8/11 7,376,637 (158) NASDAQ 100 E-Mini Index Sell 166 12/16/11 7,086,540 610,335 NIKKEI 225 Index Buy 14 12/8/11 787,307 (8,511) NIKKEI 225 Index Sell 61 12/8/11 6,880,591 (6,856) Standard & Poor's 500 E-Mini Index (The) Sell 499 12/16/11 28,093,700 974,692 U.S. Treasury Long Bonds, 20 yr. Buy 699 12/20/11 99,694,875 3,001,928 U.S. Treasury Nts., 2 yr. Buy 517 12/30/11 113,845,016 (135,438) U.S. Treasury Nts., 2 yr. Sell 50 12/30/11 11,010,156 11,211 U.S. Treasury Nts., 5 yr. Sell 1,129 12/30/11 138,284,859 (18,785) U.S. Treasury Nts., 10 yr. Buy 374 12/20/11 48,655,063 276,455 U.S. Treasury Nts., 10 yr. Sell 653 12/20/11 84,951,219 (305,968) U.S. Treasury Ultra Bonds Buy 197 12/20/11 31,249,125 2,689,018 United Kingdom Long Gilt Buy 7 12/28/11 1,418,950 10,502 -------------- $ 7,158,086 ==============
44 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) WRITTEN OPTIONS AS OF SEPTEMBER 30, 2011 ARE AS FOLLOWS:
UNREALIZED NUMBER OF EXERCISE EXPIRATION PREMIUMS APPRECIATION/ DESCRIPTION TYPE CONTRACTS PRICE DATE RECEIVED VALUE (DEPRECIATION) ----------------------------- ---- ------------ ---------- ---------- ---------- ----------- -------------- Australian Dollar (AUD) Call 2,930,000 $ 1.100 1/13/12 $18,566 $ (6,371) $ 12,195 Australian Dollar (AUD) Call 1,905,000 1.100 1/13/12 15,240 (4,308) 10,932 Australian Dollar (AUD) Call 1,905,000 1.100 1/13/12 16,219 (7,418) 8,801 Australian Dollar (AUD) Call 950,000 1.100 1/17/12 6,270 (2,342) 3,928 Australian Dollar (AUD) Call 950,000 1.100 11/10/11 4,598 (309) 4,289 Australian Dollar (AUD) Put 2,930,000 0.920 1/13/12 50,007 (81,222) (31,215) Australian Dollar (AUD) Put 1,905,000 0.959 1/13/12 40,005 (74,175) (34,170) Australian Dollar (AUD) Put 1,905,000 0.949 1/13/12 38,083 (66,171) (28,088) Australian Dollar (AUD) Put 950,000 0.923 1/17/12 16,948 (25,431) (8,483) Australian Dollar (AUD) Put 950,000 0.980 11/10/11 23,275 (29,453) (6,178) Brazilian Real (BRR) Put 18,460,000 1.850 11/22/11 78,081 (449,714) (371,633) Brazilian Real (BRR) Put 6,150,000 1.850 11/22/11 7,978 (175,149) (167,171) Brazilian Real (BRR) Put 6,130,000 1.850 11/28/11 30,650 (156,259) (125,609) British Pound Sterling (GBP) Call 440,000 1.561 10/4/11 4,396 (3,047) 1,349 British Pound Sterling (GBP) Call 435,000 1.563 10/5/11 4,221 (3,210) 1,011 British Pound Sterling (GBP) Call 410,000 1.555 10/3/11 4,434 (3,961) 473 British Pound Sterling (GBP) Call 440,000 1.558 10/7/11 4,247 (5,471) (1,224) British Pound Sterling (GBP) Call 445,000 1.565 10/6/11 4,094 (3,236) 858 British Pound Sterling (GBP) Put 440,000 1.561 10/4/11 4,396 (1,995) 2,401 British Pound Sterling (GBP) Put 435,000 1.563 10/5/11 4,221 (2,768) 1,453 British Pound Sterling (GBP) Put 410,000 1.555 10/3/11 4,434 (602) 3,832 British Pound Sterling (GBP) Put 440,000 1.558 10/7/11 4,122 (3,629) 493 British Pound Sterling (GBP) Put 445,000 1.565 10/6/11 4,179 (4,709) (530) Canadian Dollar (CAD) Futures Put 14 92.500 10/10/11 3,546 (1,820) 1,726 Euro (EUR) Call 1,600,000 1.362 10/6/11 19,789 (6,258) 13,531 Euro (EUR) Call 955,000 1.460 1/18/12 16,801 (8,362) 8,439 Euro (EUR) Call 950,000 1.450 1/13/12 15,690 (9,378) 6,312 Euro (EUR) Call 1,805,000 1.357 10/4/11 22,461 (3,901) 18,560 Euro (EUR) Call 1,710,000 1.364 10/5/11 20,479 (3,512) 16,967 Euro (EUR) Call 1,555,000 1.350 10/3/11 20,292 (4,234) 16,058 Euro (EUR) Call 1,825,000 1.350 10/7/11 22,075 (17,905) 4,170 Euro (EUR) Put 1,600,000 1.362 10/6/11 19,789 (36,508) (16,719) Euro (EUR) Put 955,000 1.290 1/18/12 17,802 (26,954) (9,152) Euro (EUR) Put 950,000 1.275 1/13/12 18,944 (22,682) (3,738) Euro (EUR) Put 18,710,000 1.250 11/2/11 77,214 (81,859) (4,645) Euro (EUR) Put 10,360,000 1.250 11/2/11 42,001 (50,916) (8,915)
45 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) Euro (EUR) Put 1,805,000 1.357 10/4/11 22,461 (30,118) (7,657) Euro (EUR) Put 1,710,000 1.364 10/5/11 20,479 (39,758) (19,279) Euro (EUR) Put 1,555,000 1.350 10/3/11 20,292 (14,056) 6,236 Euro (EUR) Put 1,825,000 1.350 10/7/11 21,758 (28,320) (6,562) Euro FX Futures Put 54 1.285 11/7/11 67,190 (69,525) (2,335) Euro-Bundesobligation Futures Call 144 138.000 EUR 10/3/11 3,722 (1,929) 1,793 Euro-Bundesobligation Futures Call 121 140.000 EUR 10/3/11 4,784 (1,621) 3,163 Euro-Bundesobligation Futures Call 94 142.000 EUR 10/3/11 7,596 (1,259) 6,337 Japanese Yen (JPY) Call 118,000,000 76.400 10/3/11 10,109 (889) 9,220 Japanese Yen (JPY) Call 87,300,000 73.000 11/17/11 11,359 (3,885) 7,474 Japanese Yen (JPY) Put 118,000,000 76.400 10/3/11 10,109 (12,523) (2,414) Japanese Yen (JPY) Futures Put 116 123.500 10/10/11 11,187 (7,250) 3,937 Japanese Yen (JPY) Futures Put 29 126.500 10/10/11 5,596 (5,800) (204) Mexican Nuevo Peso (MXN) Call 61,760,000 12.330 1/18/12 87,105 (40,266) 46,839 Mexican Nuevo Peso (MXN) Call 61,680,000 12.315 1/18/12 55,094 (36,930) 18,164 Mexican Nuevo Peso (MXN) Call 96,900,000 11.650 11/18/11 57,475 (2,122) 55,353 Mexican Nuevo Peso (MXN) Put 70,120,000 14.000 1/18/12 104,178 (263,532) (159,354) Mexican Nuevo Peso (MXN) Put 70,120,000 14.000 1/18/12 84,044 (251,565) (167,521) New Zealand Dollar (NZD) Put 2,860,000 0.753 1/13/12 42,613 (83,396) (40,783) New Zealand Dollar (NZD) Put 2,855,000 0.740 1/17/12 39,485 (73,832) (34,347) New Zealand Dollar (NZD) Put 2,800,000 0.737 1/17/12 37,326 (67,750) (30,424) South Korean Won (KRW) Call 1,147,000,000 1,050.000 1/19/12 6,751 (2,374) 4,377 South Korean Won (KRW) Put 1,385,000,000 1,272.000 1/19/12 23,606 (26,620) (3,014) South Korean Won (KRW) Put 1,232,000,000 14.400 JPY 12/13/11 36,856 (88,867) (52,011) U.S. Treasury Nts. Futures, 10 yr. Put 781 121.000 10/24/11 145,360 (12,203) 133,157 U.S. Treasury Nts. Futures, 10 yr. Put 115 124.000 10/24/11 1,638 (1,797) (159) U.S. Treasury Nts. Futures, 10 yr. Put 480 124.500 11/28/11 81,838 (75,000) 6,838 ---------- ----------- -------------- $1,725,558 $(2,628,426) $ (902,868) ========== =========== ==============
Exercise price is reported in U.S. Dollars (USD), except for those denoted in the following currencies: EUR Euro JPY Japanese Yen CREDIT DEFAULT SWAP CONTRACTS AS OF SEPTEMBER 30, 2011 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) --------------------------------- ---------- -------- ------- ----------- ----------- ----------- -------------- CARNIVAL CORP. Deutsche Bank AG Buy $ 4,900 1.00% 9/20/16 $ (93,302) $ 103,361 $ 10,059 -------- ----------- ----------- -------------- Total 4,900 (93,302) 103,361 10,059 -------- ----------- ----------- --------------
46 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) CBS CORP. Barclays Bank plc Sell 4,880 1.00 9/20/16 (28,740) (33,068) (61,808) ------- ----------- ----------- -------------- Total 4,880 (28,740) (33,068) (61,808) ------- ----------- ----------- -------------- CDX EMERGING MARKET INDEX, SERIES 16: Bank of America NA Buy 14,770 5.00 12/20/16 1,329,874 (1,152,521) 177,353 Barclays Bank plc Buy 14,560 5.00 12/20/16 1,305,142 (1,136,135) 169,007 HSBC Bank USA NA Buy 8,080 5.00 12/20/16 648,644 (630,920) 17,724 ------- ----------- ----------- -------------- Total 37,410 3,283,660 (2,919,576) 364,084 ------- ----------- ----------- -------------- CISCO SYSTEMS, INC. Barclays Bank plc Buy 4,880 1.00 9/20/16 67,303 10,146 77,449 ------- ----------- ----------- -------------- Total 4,880 67,303 10,146 77,449 ------- ----------- ----------- -------------- CONSTELLATION ENERGY GROUP, INC. Morgan Stanley Capital Services, Inc. Sell 4,710 1.00 9/20/16 88,904 (97,206) (8,302) ------- ----------- ----------- -------------- Total 4,710 88,904 (97,206) (8,302) ------- ----------- ----------- -------------- EXPEDIA, INC Goldman Sachs International Sell 4,900 1.00 9/20/16 199,029 (263,794) (64,765) ------- ----------- ----------- -------------- Total 4,900 199,029 (263,794) (64,765) ------- ----------- ----------- -------------- FEDERATIVE REPUBLIC OF BRAZIL: Barclays Bank plc Buy 4,020 1.00 9/20/16 (71,256) 172,844 101,588 Barclays Bank plc Sell 2,060 1.00 3/20/16 9,382 (80,413) (71,031) Credit Suisse International Sell 1,680 1.00 6/20/16 11,493 (68,932) (57,439) JPMorgan Chase Bank NA Buy 2,005 1.00 9/20/16 (35,450) 86,207 50,757 Merrill Lynch International Buy 2,010 1.00 9/20/16 (35,628) 86,422 50,794 ------- ----------- ----------- -------------- Total 11,775 (121,459) 196,128 74,669 ------- ----------- ----------- -------------- GATX CORP. Credit Suisse International Sell 4,900 1.00 9/20/16 207,817 (326,110) (118,293) ------- ----------- ----------- -------------- Total 4,900 207,817 (326,110) (118,293) ------- ----------- ----------- -------------- HEWLETT-PACKARD CO. Citibank NA Buy 4,880 1.00 9/20/16 67,303 111,830 179,133 ------- ----------- ----------- -------------- Total 4,880 67,303 111,830 179,133 ------- ----------- ----------- -------------- INGERSOLL-RAND CO. Deutsche Bank AG Buy 4,900 1.00 9/20/16 134,096 (124,682) 9,414 ------- ----------- ----------- -------------- Total 4,900 134,096 (124,682) 9,414 ------- ----------- ----------- -------------- ISTANBUL BOND CO. SA FOR FINANSBANK Morgan Stanley Capital Services, Inc. Sell 3,100 1.30 3/24/13 - (83,461) (83,461) ------- ----------- ----------- -------------- Total 3,100 - (83,461) (83,461) ------- ----------- ----------- -------------- JAPAN: Barclays Bank plc Sell 1,250 1.00 3/20/16 105,216 (192,988) (87,772) JPMorgan Chase Bank NA Sell 470 1.00 9/20/16 1,824 (3,339) (1,515) JPMorgan Chase Bank NA Sell 475 1.00 9/20/16 1,646 (3,374) (1,728) JPMorgan Chase Bank NA Sell 475 1.00 9/20/16 2,505 (3,374) (869) ------- ----------- ----------- -------------- Total 2,670 111,191 (203,075) (91,884) ------- ----------- ----------- --------------
47 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) REPUBLIC OF HUNGARY: Barclays Bank plc Sell 2,370 1.00 6/20/16 191,125 (382,267) (191,142) Merrill Lynch Capital Services, Inc. Sell 2,090 1.00 3/20/16 182,236 (322,677) (140,441) ------- ----------- ----------- -------------- Total 4,460 373,361 (704,944) (331,583) ------- ----------- ----------- -------------- REPUBLIC OF PERU: Citibank NA Buy 10,000 1.00 9/20/15 11,275 351,040 362,315 Deutsche Bank AG Buy 1,900 1.71 12/20/16 - 12,217 12,217 ------- ----------- ----------- -------------- Total 11,900 11,275 363,257 374,532 ------- ----------- ----------- -------------- REPUBLIC OF THE PHILIPPINES: Barclays Bank plc Buy 3,270 1.76 12/20/14 - (12,355) (12,355) JPMorgan Chase Bank NA Buy 4,900 1.74 12/20/14 - (15,453) (15,453) ------- ----------- ----------- -------------- Total 8,170 - (27,808) (27,808) ------- ----------- ----------- -------------- RUSSIAN FEDERATION: Barclays Bank plc Buy 3,215 1.00 9/20/16 (128,564) 279,920 151,356 Citibank NA Buy 1,205 1.00 9/20/16 (69,087) 104,916 35,829 Credit Suisse International Buy 805 1.00 9/20/16 (46,153) 70,089 23,936 Credit Suisse International Buy 2,000 1.00 9/20/16 (99,651) 174,134 74,483 Goldman Sachs International Buy 4,020 1.00 9/20/16 (157,972) 350,009 192,037 HSBC Bank USA NA Buy 2,000 1.00 9/20/16 (98,747) 174,134 75,387 Merrill Lynch International Buy 2,010 1.00 9/20/16 (79,914) 175,005 95,091 UBS AG Buy 2,005 1.00 9/20/16 (116,760) 174,569 57,809 UBS AG Buy 2,810 1.00 9/20/16 (115,425) 244,658 129,233 ------- ----------- ----------- -------------- Total 20,070 (912,273) 1,747,434 835,161 ------- ----------- ----------- -------------- SLM CORP.: Citibank NA Sell 3,845 5.00 9/20/16 (317,409) (85,266) (402,675) UBS AG Sell 1,035 5.00 9/20/16 (85,440) (22,952) (108,392) ------- ----------- ----------- -------------- Total 4,880 (402,849) (108,218) (511,067) ------- ----------- ----------- -------------- UKRAINE: Citibank NA Buy 800 5.00 9/20/16 (1,504) 100,385 98,881 HSBC Bank USA NA Buy 1,605 5.00 9/20/16 (294) 201,397 201,103 UBS AG Buy 805 5.00 9/20/16 1,219 101,012 102,231 UBS AG Buy 805 5.00 9/20/16 2,129 101,012 103,141 ------- ----------- ----------- -------------- Total 4,015 1,550 503,806 505,356 ------- ----------- ----------- -------------- UNITED MEXICAN STATES: Goldman Sachs International Buy 2,010 1.00 9/20/16 (35,628) 90,816 55,188 Goldman Sachs International Buy 2,005 1.00 9/20/16 (35,450) 90,590 55,140 JPMorgan Chase Bank NA Buy 4,020 1.00 9/20/16 (72,213) 181,632 109,419 ------- ----------- ----------- -------------- Total 8,035 (143,291) 363,038 219,747 ------- ----------- ----------- -------------- WALT DISNEY CO. Barclays Bank plc Buy 4,710 1.00 9/20/16 135,865 (124,508) 11,357 ------- ----------- ----------- -------------- Total 4,710 135,865 (124,508) 11,357 ------- ----------- ----------- -------------- Grand Total Buys 2,409,852 351,771 2,761,623 Grand Total Sells 569,588 (1,969,221) (1,399,633) ----------- ----------- -------------- Total Credit Default Swaps $ 2,979,440 $(1,617,450) $ 1,361,990 =========== =========== ==============
48 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) The table that follows shows the undiscounted maximum potential payment by the Fund related to selling creditprotection in credit default swaps:
TOTAL MAXIMUM POTENTIAL TYPE OF REFERENCE ASSET ON WHICH THE FUND SOLD PAYMENTS FOR SELLING CREDIT AMOUNT REFERENCE ASSET PROTECTION PROTECTION (UNDISCOUNTED) RECOVERABLE* RATING RANGE** ---------------------------------------------- ---------------------------- ------------ --------------- Investment Grade Single Name Corporate Debt $ 27,370,000 $ -- BBB to BBB- Investment Grade Sovereign Debt 10,870,000 -- AA- to BBB- ------------ ----- Total $ 38,240,000 $ -- ============ =====
---------- * 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, 2011 ARE AS FOLLOWS:
NOTIONAL INTEREST RATE/ AMOUNT PAID BY RECEIVED BY TERMINATION SWAP COUNTERPARTY (000'S) THE FUND THE FUND DATE VALUE --------------------------- --------- --------------- -------------------- ----------- ----------- BZDI: Citibank NA 9,670 BRR BZDI 11.540% 1/2/14 $ 143,565 Goldman Sachs International 10,600 BRR BZDI 11.390 1/5/15 130,943 Goldman Sachs International 8,670 BRR BZDI 11.520 1/2/14 126,805 Goldman Sachs International 9,900 BRR BZDI 11.420 1/3/14 133,843 ------ ----------- Total 38,840 BRR 535,156 ICP AVERAGE NOMINAL RATE: ICP Average Bank of America NA 4,060,000 CLP Nominal Rate 4.620 8/23/13 39,432 ICP Average Citibank NA 1,660,000 CLP Nominal Rate 4.620 8/26/13 16,608 ICP Average Credit Suisse International 895,000 CLP Nominal Rate 4.590 8/26/13 7,957 ICP Average Deutsche Bank AG 1,630,000 CLP Nominal Rate 4.620 8/23/13 15,831 --------- ----------- Total 8,245,000 CLP 79,828 MXN TIIE BANXICO: MXN TIIE Barclays Bank plc 86,300 MXN BANXICO 5.630 1/21/13 71,201 MXN TIIE Citibank NA 86,000 MXN BANXICO 5.640 1/16/13 71,418 MXN TIIE Credit Suisse International 13,300 MXN BANXICO 7.010 7/24/31 (60,552) MXN TIIE Deutsche Bank AG 179,500 MXN BANXICO 5.890 1/10/13 156,248 MXN TIIE Goldman Sachs International 10,300 MXN BANXICO 7.000 7/24/31 (47,687)
49 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) MXN TIIE Goldman Sachs International 216,900 MXN BANXICO 5.880 12/14/12 173,743 MXN TIIE Goldman Sachs International 48,700 MXN BANXICO 5.080 9/23/13 17,653 Merrill Lynch Capital Services, MXN TIIE Inc. 87,500 MXN BANXICO 5.875 12/6/12 69,907 Merrill Lynch Capital Services, MXN TIIE Inc. 220,000 MXN BANXICO 5.735 11/29/12 154,715 Merrill Lynch Capital Services, MXN TIIE Inc. 17,000 MXN BANXICO 6.990 7/24/31 (80,017) Merrill Lynch Capital Services, MXN TIIE Inc. 134,500 MXN BANXICO 5.750 12/5/12 95,819 --------- ----------- Total 1,100,000 MXN 622,448 SIX-MONTH AUD BBR BBSW Six-Month AUD Westpac Banking Corp. 11,155 AUD 5.540% BBR BBSW 8/3/21 (597,719) SIX-MONTH EUR EURIBOR: Six-Month Bank of America NA 470 EUR EUR EURIBOR 1.945 9/8/16 (1,091) Six-Month Barclays Bank plc 580 EUR EUR EURIBOR 3.260 8/29/31 46,964 Six-Month Goldman Sachs Capital Markets LP 950 EUR EUR EURIBOR 1.883 9/13/16 (5,535) Six-Month Goldman Sachs Capital Markets LP 475 EUR EUR EURIBOR 2.990 8/11/21 25,932 Six-Month Goldman Sachs International 570 EUR EUR EURIBOR 3.265 8/29/31 46,742 Six-Month Goldman Sachs International 760 EUR EUR EURIBOR 2.585 9/27/41 (33,547) Six-Month Goldman Sachs International 590 EUR EUR EURIBOR 3.234 8/30/31 43,869 Six-Month Merrill Lynch International 500 EUR EUR EURIBOR 2.710 8/22/21 9,855 --------- ----------- Total 4,895 EUR 133,189 SIX-MONTH PLZ WIBOR WIBO: Six-Month PLZ JPMorgan Chase Bank NA 10,980 PLZ 4.575 WIBOR WIBO 8/23/16 26,471 Six-Month PLZ JPMorgan Chase Bank NA 10,980 PLZ 4.590 WIBOR WIBO 8/23/16 24,290 --------- ----------- Total 21,960 PLZ 50,761 THREE-MONTH CAD BACDOR: Merrill Lynch Capital Services, Three-Month Inc. 2,840 CAD 1.183 CAD BACDOR 8/18/14 (3,690) Three-Month JPMorgan Chase Bank NA 3,845 CAD 1.320 CAD BACDOR 8/8/14 (15,887) Three-Month JPMorgan Chase Bank NA 3,865 CAD 1.585 CAD BACDOR 8/4/14 (35,298) --------- ----------- Total 10,550 CAD (54,875) --------- -----------
50 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) THREE-MONTH NZD BBR FRA Three-Month Barclays Bank plc 14,095 NZD NZD BBR FRA 5.150 8/3/21 630,860 THREE-MONTH SEK STIBOR SIDE Three-Month Goldman Sachs International 77,370 SEK 3.215 SEK STIBOR SIDE 8/3/21 (709,156) THREE-MONTH USD BBA LIBOR Three-Month Barclays Bank plc 11,700 USD BBA LIBOR 2.360 9/2/21 315,315 THREE-MONTH ZAR JIBAR SAFEX: Three-Month Barclays Bank plc 45,590 ZAR 7.040 ZAR JIBAR SAFEX 1/21/14 (173,671) Three-Month Barclays Bank plc 45,140 ZAR 7.050 ZAR JIBAR SAFEX 1/24/14 (172,532) --------- ----------- Total where Fund pays a fixed rate 90,730 ZAR (346,203) --------- ----------- Barclays Bank plc ZAR Three-Month 7.480 8/17/21 13,300 ZAR JIBAR SAFEX (32,831) Three-Month Barclays Bank plc 17,830 ZAR ZAR JIBAR SAFEX 8.350 1/24/21 99,728 Three-Month Barclays Bank plc 17,990 ZAR ZAR JIBAR SAFEX 8.310 1/21/21 95,178 Three-Month Goldman Sachs International 145,500 ZAR ZAR JIBAR SAFEX 8.700 3/11/14 442,113 Three-Month Goldman Sachs International 13,500 ZAR ZAR JIBAR SAFEX 7.480 8/17/21 (33,325) Three-Month HSBC Bank USA NA 13,300 ZAR ZAR JIBAR SAFEX 7.470 8/17/21 (32,831) Three-Month JPMorgan Chase Bank NA 146,690 ZAR ZAR JIBAR SAFEX 8.390 3/2/14 398,731 --------- ----------- Total where Fund pays a variable rate 368,110 ZAR 936,763 --------- ----------- Total 458,840 ZAR 590,560 ----------- Total Interest Rate Swaps $ 1,596,367 ===========
Notional amount is reported in U.S. Dollars (USD), except for those denoted in the following currencies: AUD Australian Dollar BRR Brazilian Real CAD Canadian Dollar CLP Chilean Peso EUR Euro MXN Mexican Nuevo Peso NZD New Zealand Dollar 51 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) PLZ Polish Zloty SEK Swedish Krona ZAR South African Rand Abbreviations/Definitions are as follows: BACDOR Canada Bankers Acceptances Deposit Offering Rate BANXICO Banco de Mexico BBA LIBOR British Bankers' Association London-Interbank Offered Rate BBR Bank Bill Rate BBR BBSW Bank Bill Swap Reference Rate (Australian Financial Market) BZDI Brazil Interbank Deposit Rate EURIBOR Euro Interbank Offered Rate FRA Forward Rate Agreement ICP Indice Camara Promedio JIBAR South Africa Johannesburg Interbank Agreed Rate SAFEX South African Futures Exchange STIBOR SIDE Stockholm Interbank Offered Rate TIIE Interbank Equilibrium Interest Rate WIBOR WIBO Poland Warsaw Interbank Offer Bid Rate TOTAL RETURN SWAP CONTRACTS AS OF SEPTEMBER 30, 2011 ARE AS FOLLOWS:
NOTIONAL REFERENCE ENTITY/ AMOUNT PAID BY RECEIVED BY TERMINATION SWAP COUNTERPARTY (000'S) THE FUND THE FUND DATE VALUE ------------------------------------- -------- --------------------- ----------------- ----------- ------------ CONSUMER STAPLES SELECT SECTOR INDEX One-Month USD BBA LIBOR plus 15 basis points and if If positive, negative, the the Total absolute value of Return of the the Total Return of Consumer Morgan Stanley & Co. the Consumer Staples Staples Select International Ltd. $ 1,905 Select Sector Index Sector Index 3/6/12 $ (65,238) CUSTOM BASKET OF SECURITIES: One-Month CHF BBA LIBOR plus 30 basis points and if negative, the If positive, absolute value of the Total the Total Return of Return of a a custom basket of custom basket Citibank NA 1,021 CHF securities of securities 1/11/12 (18,166) One-Month SEK STIBOR SIDE plus 30 basis points and if negative, the If positive, absolute value of the Total the Total Return of Return of a a custom basket of custom basket Citibank NA 4,713 SEK securities of securities 1/11/12 (12,514)
52 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) One-Month EUR EURIBOR plus 30 basis points and if negative, the If positive, absolute value of the Total the Total Return of Return of a a custom basket of custom basket Citibank NA 2,597 EUR securities of securities 1/11/12 (226,454) One-Month GBP BBA LIBOR plus 30 basis points and if negative, the If positive, absolute value of the Total the Total Return of Return of a a custom basket of custom basket Citibank NA 1,956 GBP securities of securities 1/11/12 (194,969) One-Month DKK BBA LIBOR plus 30 basis points and if negative, the If positive, absolute value of the Total the Total Return of Return of a a custom basket of custom basket Citibank NA 1,954 DKK securities of securities 1/11/12 (182) One-Month JPY BBA LIBOR plus 53 basis points and if negative, the If positive, absolute value of the Total the Total Return of Return of a a custom basket of custom basket Citibank NA 531,268 JPY securities of securities 4/16/12 (30,551) One-Month USD BBA LIBOR plus 35 basis points and if negative, the If positive, absolute value of the Total the Total Return of Return of a a custom basket of custom basket Goldman Sachs International 23,245 securities of securities 9/7/12 (694,904) One-Month GBP BBA LIBOR plus 50 basis points and if negative, the If positive, absolute value of the Total the Total Return of Return of a Morgan Stanley & Co. a custom basket of custom basket International Ltd. 4,338 GBP securities of securities 1/1/12 (86,680) ------------ Reference Entity Total (1,264,420) ------------ HEALTH CARE SELECT SECTOR INDEX One-Month USD BBA LIBOR plus 8 basis points and if If positive, negative, the the Total absolute value of Return of the the Total Return of Health Care the Health Care Select Sector UBS AG 1,834 Select Sector Index Index 11/4/11 (75,982)
53 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) INDUSTRIAL SELECT SECTOR INDEX One-Month USD BBA LIBOR plus 15 basis points and if If positive, negative, the the Total absolute value of Return of the the Total Return of Industrial the Industrial Select Sector UBS AG 1,913 Select Sector Index Index 9/7/12 (109,113) MSCI DAILY TR GROSS EAFE USD INDEX: One-Month USD BBA LIBOR plus 15 basis points and if negative, the If positive, the Total Return of Total Return of the the MSCI Daily MSCI Daily Gross Gross EAFE USD Citibank NA 600 EAFE USD Index Index 1/9/12 53,512 One-Month USD BBA LIBOR plus 15 basis points and if negative, the If positive, the Total Return of Total Return of the the MSCI Daily MSCI Daily Gross Gross EAFE USD Citibank NA 301 EAFE USD Index Index 1/9/12 25,818 One-Month USD BBA LIBOR plus 10 basis points and if negative, the absolute value of the Total If positive, the Return of the Total Return of the MSCI Daily MSCI Daily Gross Gross EAFE USD Goldman Sachs International 889 EAFE USD Index Index 7/10/12 15,959 One-Month USD BBA LIBOR plus 20 basis points and if negative, the absolute value of the Total If positive, the Return of the Total Return of the MSCI Daily MSCI Daily Gross Gross EAFE USD Goldman Sachs International 3,461 EAFE USD Index Index 5/10/12 61,614
54 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) One-Month USD BBA LIBOR plus 28 basis points and if negative, the absolute value of the Total If positive, the Return of the Total Return of the MSCI Daily MSCI Daily Gross Gross EAFE USD Goldman Sachs International 2,875 EAFE USD Index Index 9/7/12 212,148 One-Month USD BBA LIBOR minus 10 basis points and if negative, the absolute value of the Total If positive, the Return of the Total Return of the MSCI Daily MSCI Daily Gross Gross EAFE USD UBS AG 6,935 EAFE USD Index Index 10/7/11 657,021 ------------ Reference Entity Total 1,026,072 MSCI DAILY TR GROSS EUROPE EURO INDEX: One-Month EUR EURIBOR minus 20 basis points and if negative, the absolute value of the Total If positive, the Return of the Total Return of the MSCI Daily MSCI Daily Gross Gross Europe Citibank NA 2,112 EUR Europe Euro Index Euro Index 1/6/12 25,228 One-Month EUR EURIBOR and if negative, the absolute value of the If positive, the Total Return of Total Return of the the MSCI Daily MSCI Daily Gross Gross Europe Goldman Sachs International 3,341 EUR Europe Euro Index Euro Index 1/12/12 (29,142) One-Month EUR EURIBOR and if negative, the If positive, the Total Return of Total Return of the the MSCI Daily MSCI Daily Gross Gross Europe Goldman Sachs International 866 EUR Europe Euro Index Euro Index 1/12/12 (8,183) ------------ Reference Entity Total (12,097)
55| Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) MSCI DAILY TR NET BRAZIL USD INDEX One-Month USD BBA LIBOR plus 155 basis points and if negative, the If positive, absolute value of the Total the Total Return of Return of the the MSCI Daily Net MSCI Daily Net UBS AG 2,400 Brazil USD Index Brazil USD Index 9/7/12 (504,297) MSCI DAILY TR NET EMERGING MARKETS KOREA USD INDEX One-Month USD BBA LIBOR plus 15 basis points and if If positive, negative, the the Total absolute value of Return of the the Total Return of MSCI Daily Net the MSCI Daily Net Emerging Emerging Markets Markets Korea UBS AG 2,345 Korea USD Index USD Index 9/7/12 (294,959) MSCI DAILY TR NET FRANCE USD INDEX: One-Month USD BBA LIBOR minus 65 basis points and if If positive, negative, the the Total absolute value of Return of the the MSCI Daily Net MSCI Daily Net Goldman Sachs International 2,453 France USD Index France USD Index 7/6/12 (274,630) One-Month USD BBA LIBOR minus 65 basis points and if negative, the If positive, absolute value of the Total the Total Return of Return of the the MSCI Daily Net MSCI Daily Net Goldman Sachs International 171 France USD Index France USD Index 7/6/12 (23,647) One-Month USD BBA LIBOR minus 65 basis points and if negative, the If positive, absolute value of the Total the Total Return of Return of the the MSCI Daily Net MSCI Daily Net Goldman Sachs International 199 France USD Index France USD Index 7/6/12 (25,259) ------------ Reference Entity Total (323,536) MSCI DAILY TR NET ITALY USD INDEX One-Month USD BBA LIBOR plus 29 basis points and if negative, the If positive, absolute value of the Total the Total Return of Return of the Morgan Stanley & Co. the MSCI Daily Net MSCI Daily Net International Ltd. 2,347 Italy USD Index Italy USD Index 9/12/12 (247,612)
56 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) MSCI DAILY TR NET SPAIN USD INDEX One-Month USD BBA LIBOR minus 2 basis points and if negative, the If positive, absolute value of the Total the Total Return of Return of the Morgan Stanley & Co. the MSCI Daily Net MSCI Daily Net International Ltd. 2,341 Spain USD Index Spain USD Index 9/12/12 (173,847) S&P 400 MIDCAP INDEX One-Month USD BBA LIBOR minus 5 basis points and if negative, the absolute value of the Total If positive, the Return of the Morgan Stanley Capital Total Return of the S&P 400 Midcap Services, Inc. 5,703 S&P 400 Midcap Index Index 9/7/12 354,144 S&P 500 GROWTH INDEX One-Month USD BBA LIBOR and if negative, the If positive, absolute value of the Total the Total Return of Return of the the S&P 500 Growth S&P 500 Growth Goldman Sachs International 5,765 Index Index 9/7/12 (203,494) ------------ Total of Total Return Swaps $ (1,894,379) ============
Notional amount is reported in U.S. Dollars (USD), except for those denoted in the following currencies: CHF Swiss Franc DKK Danish Krone EUR Euro GBP British Pounds Sterling JPY Japanese Yen SEK Swedish Krona Abbreviations are as follows: BBA LIBOR British Bankers' Association London-Interbank Offered Rate EAFE Europe, Australia and Far East stock market index of foreign stocks from the perspective of a North American investor EURIBOR Euro Interbank Offered Rate MSCI Morgan Stanley Capital International S&P Standard & Poor's STIBOR SIDE Stockholm Interbank Offered Rate TR Total Return 57 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) VOLATILITY SWAPS AS OF SEPTEMBER 30, 2011 ARE AS FOLLOWS:
NOTIONAL REFERENCE ENTITY/ AMOUNT PAID BY RECEIVED BY TERMINATION SWAP COUNTERPARTY (000'S) THE FUND THE FUND DATE VALUE -------------------------------- -------- --------------------------- -------------------- ---------------------- ---------- AUD/CAD SPOT EXCHANGE RATE The Historic Volatility of the mid AUD/CAD spot exchange rate during the Goldman Sachs International 13 AUD period 9/30/11-11/3/11 10.900% 11/7/11 $ (8,535) AUD/JPY SPOT EXCHANGE RATE: The Historic Volatility of the mid AUD/JPY spot exchange rate during the period BNP Paribas 13 AUD 23.400% 9/22/11-10/25/11 10/27/11 (19,932) The Historic Volatility of the AUD/JPY spot exchange rate during the period Deutsche Bank AG 13 AUD 22.000 9/23/11-10/25/11 10/27/11 (3,023) ---------- Reference Entity Total (22,955) AUD/NZD SPOT EXCHANGE RATE The Historic Volatility of the mid AUD/NZD spot exchange rate during the period Goldman Sachs International 13 AUD 9.750 9/27/11-10/27/11 10/31/11 (3,981) CHF/NOK SPOT EXCHANGE RATE: The Historic Volatility of the mid CHF/NOK spot exchange rate during the period Bank of America NA 11 CHF 15.500 9/7/11-10/7/11 10/11/11 (1,095)
58 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) The Historic Volatility of the mid CHF/NOK spot exchange rate during the period BNP Paribas 11 CHF 14.750 9/8/11-10/10/11 10/12/11 11,056 The Historic Volatility of the mid CHF/NOK spot exchange rate during the period Credit Suisse International 11 CHF 14.750 9/15/11-10/17/11 10/19/11 (4,491) The Historic Volatility of the mid CHF/NOK Spot Exchange Rate during the period Deutsche Bank AG 11 CHF 16.500 9/14/11-10/13/11 10/17/11 (25,962) The Historic Volatility of the mid CHF/NOK spot exchange rate during the period Goldman Sachs International 11 CHF 17.500 9/12/11-10/12/11 10/14/11 (47,269) The Historic Volatility of the mid CHF/NOK spot exchange rate during the period JPMorgan Chase Bank NA 11 CHF 15.800 9/13/11-10/13/11 10/17/11 (19,102) The Historic Volatility of the mid CHF/NOK spot exchange rate during the period Royal Bank of Scotland (The) plc 11 CHF 15.600 9/9/11-10/11/11 10/13/11 1,340 The Historic Volatility of the mid CHF/NOK spot exchange rate during the period Royal Bank of Scotland (The) plc 11 CHF 14.500 9/6/11-10/7/11 10/11/11 10,604 ---------- Reference Entity Total (74,919) ----------
59 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) EUR/CHF SPOT EXCHANGE RATE The Historic Volatility of the mid EUR/CHF spot exchange rate during the period Deutsche Bank AG 9 EUR 7.750 9/16/11-10/18/11 10/20/11 11,106 EUR/GBP SPOT EXCHANGE RATE The Historic Volatility of the mid EUR/GBP spot exchange rate during the BNP Paribas 9 EUR period 9/1/11-10/4/11 8.800 10/6/11 (7,266) GBP/NZD SPOT EXCHANGE RATE: The Historic Volatility of the mid GBP/NZD spot exchange rate during the Bank of America NA 8 GBP period 9/19/11-10/19/11 14.100 10/21/11 (62,098) The Historic Volatility of the mid GBP/NZD spot exchange Rate during the Credit Suisse International 8 GBP period 9/20/11-10/20/11 13.400 10/24/11 (80,886) The Historic Volatility of the mid GBP/NZD spot exchange rate during the Goldman Sachs International 8 GBP period 9/21/11-10/20/11 14.000 10/25/11 (83,396) ---------- Reference Entity Total (226,380) NZD/JPY SPOT EXCHANGE RATE: The Historic Volatility of the mid NZD/JPY spot exchange rate during the Bank of America NA 15 NZD period 9/2/11-10/4/11 15.750 10/6/11 (110,761) ---------- Total where Fund pays a variable rate (110,761) ---------- The Historic Volatility of the mid NZD/JPY spot exchange rate during the period Credit Suisse International 16 NZD 21.650 9/29/11-11/1/11 11/3/11 (2,683)
60 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) The Historic Volatility of the NZD/JPY spot exchange rate during the period JPMorgan Chase Bank NA 16 NZD 21.000 9/28/11-10/27/11 10/31/11 9,391 ---------- Total where Fund pays a fixed rate 6,708 ---------- Reference Entity Total (104,053) USD/JPY SPOT EXCHANGE RATE The Historic Volatility of the mid USD/JPY spot exchange rate during the Goldman Sachs International 13 period 9/26/11-10/26/11 11.800 10/28/11 19,440 ---------- Total Volatility Swaps $ (417,543) ==========
Notional amount is reported in U.S. Dollars (USD), except for those denoted in the following currencies: AUD Australian Dollar CHF Swiss Franc EUR Euro GBP British Pounds Sterling NZD New Zealand Dollar Abbreviations are as follows: CAD Canadian Dollar JPY Japanese Yen NOK Norwegian Krone The following table aggregates, as of period end, the amount receivable from/(payable to) each counterparty withwhom the Fund has entered into a swap agreement. Swaps are individually disclosed in the preceding tables. SWAP SUMMARY AS OF SEPTEMBER 30, 2011 IS AS FOLLOWS:
NOTIONAL SWAP TYPE FROM AMOUNT SWAP COUNTERPARTY FUND PERSPECTIVE (000'S) VALUE ---------------------------------------- ------------------------------ ----------- -------------- Bank of America NA: Credit Default Buy Protection $ 14,770 $ (1,152,521) Interest Rate 4,060,000 CLP 39,432 Interest Rate 470 EUR (1,091) Volatility 11 CHF (1,095) Volatility 8 GBP (62,098) Volatility 15 NZD (110,761) -------------- (1,288,134) Barclays Bank plc: Credit Default Buy Protection 34,655 (810,088) Credit Default Sell Protection 10,560 (688,736)
61 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) Interest Rate 580 EUR 46,964 Interest Rate 86,300 MXN 71,201 Interest Rate 14,095 NZD 630,860 Interest Rate 11,700 315,315 Interest Rate 139,850 ZAR (184,128) -------------- (618,612) BNP Paribas: Volatility 13 AUD (19,932) Volatility 11 CHF 11,056 Volatility 9 EUR (7,266) -------------- (16,142) Citibank NA: Credit Default Buy Protection 16,885 668,171 Credit Default Sell Protection 3,845 (85,266) Interest Rate 9,670 BRR 143,565 Interest Rate 1,660,000 CLP 16,608 Interest Rate 86,000 MXN 71,418 Total Return 1,021 CHF (18,166) Total Return 1,954 DKK (182) Total Return 4,709 EUR (201,226) Total Return 1,956 GBP (194,969) Total Return 531,268 JPY (30,551) Total Return 4,713 SEK (12,514) Total Return 901 79,330 -------------- 436,218 Credit Suisse International: Credit Default Buy Protection 2,805 244,223 Credit Default Sell Protection 6,580 (395,042) Interest Rate 895,000 CLP 7,957 Interest Rate 13,300 MXN (60,552) Volatility 11 CHF (4,491) Volatility 8 GBP (80,886) Volatility 16 NZD (2,683) -------------- (291,474) Deutsche Bank AG: Credit Default Buy Protection 11,700 (9,104) Interest Rate 1,630,000 CLP 15,831 Interest Rate 179,500 MXN 156,248 Volatility 13 AUD (3,023) Volatility 11 CHF (25,962) Volatility 9 EUR 11,106 -------------- 145,096
62 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) Goldman Sachs Capital Markets LP Interest Rate 1,425 EUR 20,397 Goldman Sachs International: Credit Default Buy Protection 8,035 531,415 Credit Default Sell Protection 4,900 (263,794) Interest Rate 29,170 BRR 391,591 Interest Rate 1,920 EUR 57,064 Interest Rate 275,900 MXN 143,709 Interest Rate 77,370 SEK (709,156) Interest Rate 159,000 ZAR 408,788 Total Return 4,207 EUR (37,325) Total Return 39,058 (932,213) Volatility 26 AUD (12,516) Volatility 11 CHF (47,269) Volatility 8 GBP (83,396) Volatility 13 19,440 -------------- (533,662) HSBC Bank USA NA: Credit Default Buy Protection 11,685 (255,389) Interest Rate 13,300 ZAR (32,831) -------------- (288,220) JPMorgan Chase Bank NA: Credit Default Buy Protection 10,925 252,386 Credit Default Sell Protection 1,420 (10,087) Interest Rate 7,710 CAD (51,185) Interest Rate 21,960 PLZ 50,761 Interest Rate 146,690 ZAR 398,731 Volatility 11 CHF (19,102) Volatility 16 NZD 9,391 -------------- 630,895 Merrill Lynch Capital Services, Inc.: Credit Default Sell Protection 2,090 (322,677) Interest Rate 2,840 CAD (3,690) Interest Rate 459,000 MXN 240,424 -------------- (85,943) Merrill Lynch International: Credit Default Buy Protection 4,020 261,427 Interest Rate 500 EUR 9,855 -------------- 271,282 Morgan Stanley & Co. International Ltd.: Total Return 4,338 GBP (86,680)
63 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) Total Return 6,593 (486,697) -------------- (573,377) Morgan Stanley Capital Services, Inc.: Credit Default Sell Protection 7,810 (180,667) Total Return 5,703 354,144 -------------- 173,477 Royal Bank of Scotland (The) plc Volatility 22 CHF 11,944 UBS AG: Credit Default Buy Protection 6,425 621,251 Credit Default Sell Protection 1,035 (22,952) Total Return 15,427 (327,330) -------------- 270,969 Westpac Banking Corp. Interest Rate 11,155 AUD (597,719) -------------- Total Swaps $ (2,333,005) ==============
Notional amount is reported in U.S.Dollars (USD), except for those denoted in the following currencies: AUD Australian Dollar BRR Brazilian Real CAD Canadian Dollar CHF Swiss Franc CLP Chilean Peso DKK Danish Krone EUR Euro GBP British Pounds Sterling JPY Japanese Yen MXN Mexican Nuevo Peso NZD New Zealand Dollar PLZ Polish Zloty SEK Swedish Krona 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," observable market inputs other than unadjusted quoted prices 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. 64 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) Securities are valued using unadjusted quoted market prices, when available, as supplied primarily 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 it is 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. U.S. domestic and international debt instruments (including corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and "money market-type" debt instruments with a remaining maturity in excess of sixty days are valued at the mean between the "bid" and "asked" prices utilizing price quotations obtained from independent pricing services or broker-dealers. Such prices are typically determined based upon information obtained from market participants including reported trade data, broker-dealer price quotations and inputs such as benchmark yields and issuer spreads from identical or similar securities. Structured securities are valued utilizing price quotations obtained from broker-dealers or independent pricing services. Values are determined based upon market inputs which typically include the price of underlying financial instruments, stock market indices, foreign currencies, interest rate spreads, commodities, or the occurrence of other specific events. Swap contracts are valued utilizing price quotations obtained from broker-dealer counterparties or independent pricing services. Values are determined based on relevant market information on the underlying reference assets which may include credit spreads, credit event probabilities, index values, individual security values, forward interest rates, variable interest rates, volatility measures and forward currency rates. Forward foreign currency exchange contracts are valued utilizing current and forward currency rates obtained from independent pricing services. "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 current price quotation obtained from an independent pricing service or broker-dealer, 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 of the Fund during the period. 65 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) 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. 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 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, 2011, 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 $ 80,027,528 Sold securities 5,366,303
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. 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 that have missed an interest payment, and is not obligated to dispose of securities whose issuers or underlying obligors subsequently miss an interest payment. Information concerning securities not accruing interest as of September 30, 2011 is as follows: Cost $ 27,273,038 Market Value $ 5,533,902 Market Value as a % of Net Assets 0.25%
66 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (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. 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 the Master Funds' expenses, including their 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. 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. 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 accordance with its investment objectives, the Fund may use derivatives to increase or decrease its exposure to one or more of the following market risk factors: COMMODITY RISK. Commodity risk relates to the change in value of commodities or commodity indexes as they relate to increases or decreases in the commodities market. Commodities are physical assets that have tangible properties. Examples of these types of assets are crude oil, heating oil, metals, livestock, and agricultural products. 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. 67 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) EQUITY RISK. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market. 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. 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. VOLATILITY RISK. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument's price over a defined time period. Large increases or decreases in a financial instrument's price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk. The Fund's actual exposures to these market risk factors during the period are discussed in further detail, by derivative type, below. 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, 2011, the maximum amount of loss that the Fund would incur if the counterparties to its derivative transactions failed to perform would be $47,777,712, 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. master agreements, which allow the Fund to net unrealized appreciation and depreciation for certain positions in swaps, over-the-counter options, swaptions, 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 $16,066,932 as of September 30, 2011. In addition, the Fund may require that certain counterparties post cash and/or securities in collateral accounts to cover their net payment obligations for those derivative contracts subject to International Swap and Derivatives Association, Inc. master agreements. If the counterparty fails to perform under these contracts and agreements, the cash and/or securities will be made available to the Fund. As of September 30, 2011 the Fund has required certain counterparties to post collateral of $10,520,308. 68 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) CREDIT RELATED CONTINGENT FEATURES. The Fund's agreements with derivative counterparties have 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 International Swap and Derivatives Association, Inc. master agreements which govern certain positions in swaps, over-the-counter options and swaptions, and forward currency exchange contracts for each individual counterparty. As of September 30, 2011, the aggregate fair value of derivative instruments with credit related contingent features in a net liability position was $18,545,076 for which the Fund has posted collateral of $6,566,494. If a contingent feature would have been triggered as of September 30, 2011, the Fund could have been required to pay this amount in cash to its counterparties. If the Fund fails to perform under these contracts and agreements, the cash and/or securities posted as collateral will be made available to the counterparty. Cash posted as collateral for these contracts, if any, is reported on the Statement of Assets and Liabilities in the annual and semiannual reports; securities posted as collateral, if any, are reported on the Statement of Investments. 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. The Fund has purchased and sold certain forward foreign currency exchange contracts of different currencies in order to acquire currencies to pay for or sell currencies to acquire related foreign securities purchase and sale transactions, respectively, or to convert foreign currencies to U.S. dollars from related foreign securities transactions. These foreign currency exchange contracts are negotiated at the current spot exchange rate with settlement typically within two business days thereafter. 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 Fund. 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 Fund. During the period ended September 30, 2011, the Fund had daily average contract amounts on forward foreign currency contracts to buy and sell of $612,276,471 and $304,181,827, respectively. 69 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) Additional associated risk to the Fund includes counterparty credit risk. Counterparty credit risk arises from the possibility that the counterparty will default. FUTURES CONTRACTS A futures contract is a commitment to buy or sell a specific amount of a financial instrument, or currency, 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 on various currencies to increase exposure to foreign exchange rate risk. During the period ended September 30, 2011, the Fund had an ending monthly average market value of $404,701,015 and $300,290,312 on futures contracts purchased and sold, respectively. 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 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. 70 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) 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 Fund has purchased call options on treasury futures to increase exposure to interest 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 treasury futures to decrease exposure to interest rate risk. A purchased put option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price. During the period ended September 30, 2011, the Fund had an ending monthly average market value of $2,229,161 and $383,750 on purchased call options and purchased put options, respectively. Options written, if any, 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. Securities held in collateralized accounts to cover potential obligations with respect to outstanding written options are noted in the Statement of Investments. 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. 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 written put options on treasury futures to increase exposure to interest 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 treasury futures to decrease exposure to interest rate risk. A written call option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price. During the period ended September 30, 2011, the Fund had an ending monthly average market value of $137,497 and $272,271 on written call options and written put options, respectively. 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, 2011 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, 2010 -- $ -- -- $ -- Options written 5,432,456,279 2,727,762 6,471,184,504 3,070,827 Options closed or expired (2,340,500,871) (1,517,157) (1,531,652,915) (1,173,977) Options exercised (1,498,105,049) (746,738) (1,974,755,000) (635,159) ---------------- ------------ --------------- ------------ Options outstanding as of September 30, 2011 1,593,850,359 $ 463,867 2,964,776,589 $ 1,261,691 ================ ============ =============== ============
71 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) 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. The values of swap contracts are aggregated by positive and negative values and disclosed separately on the Statement of Assets and Liabilities in the annual and semiannual reports by contracts in unrealized appreciation and depreciation positions. Upfront payments paid or received, if any, affect the value of the respective swap. Therefore, to determine the unrealized appreciation (depreciation) on swaps, upfront payments paid should be subtracted from, while upfront payments received should be added to, the value of contracts reported as an asset on the Statement of Assets and Liabilities in the annual and semiannual reports. Conversely, upfront payments paid should be added to, while upfront payments received should be subtracted from the value of contracts reported as a liability. 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, 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. 72 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) The Fund has purchased credit protection through credit default swaps to decrease exposure to the credit risk of individual securities and/or, indexes. For the period ended September 30, 2011, the Fund had ending monthly average notional amounts of $77,838,500 and $49,759,000 on credit default swaps to buy protection and credit default swaps to sell protection, respectively. 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. For the period ended September 30, 2011, the Fund had ending monthly average notional amounts of $60,130,707 and $208,826,374 on interest rate swaps which pay a fixed rate and interest rate swaps which receive a fixed rate, respectively. 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 securities or 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 securities or an index multiplied by the notional amount of the contract. The Fund will receive payments equal to the positive price movement of the same securities or index multiplied by the notional amount of the contract. The Fund has entered into total return swaps on various equity securities or 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 securities or 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 securities or index multiplied by the notional amount of the contract. For the period ended September 30, 2011, the Fund had ending monthly average notional amounts of $72,292,214 and $28,073,599 on total return swaps which are long the reference asset and total return swaps which are short the reference asset, respectively. 73 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) 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 on various foreign currency notional amounts and receive an interest rate 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. For the period ended September 30, 2011, the Fund had ending monthly average notional amounts of $5,655,154 on currency swaps. Additional associated risks to the Fund include counterparty credit risk and liquidity risk. As of September 30, 2011, the Fund had no such currency swap agreements outstanding. VOLATILITY SWAP CONTRACTS. A volatility swap is an agreement between counterparties to exchange periodic payments based on the measured volatility of a reference security, index, currency or other reference investment over a specified time frame. One cash flow is typically based on the volatility of the reference investment as measured by changes in its price or level while the other cash flow is based on an interest rate or the measured volatility of a different reference investment. The appreciation or depreciation on a volatility swap will typically depend on the magnitude of the reference investment's volatility, or size of the movement, rather than general directional increases or decreases in its price. Volatility swaps are less standard in structure than other types of swaps and provide pure, or isolated, exposure to volatility risk of the specific underlying reference investment. Volatility swaps are typically used to speculate on future volatility levels, to trade the spread between realized and expected volatility, or to decrease the volatility exposure of investments held by the Fund. The Fund has entered into volatility swaps to increase exposure to the volatility risk of various reference investments. These types of volatility swaps require the fund to pay the measured volatility and receive a fixed interest payment over the period of the contract. If the measured volatility of the related reference investment increases over the period, the swaps will depreciate in value. Conversely, if the measured volatility of the related reference investment decreases over the period, the swaps will appreciate in value. The Fund has entered into volatility swaps to decrease exposure to the volatility risk of various reference investments. These types of volatility swaps require the fund to pay a fixed interest payment and receive the measured volatility over the period of the contract. If the measured volatility of the related reference investment increases over the period, the swaps will appreciate in value. Conversely, if the measured volatility of the related reference investment decreases over the period, the swaps will depreciate in value. For the period ended September 30, 2011, the Fund had ending monthly average notional amounts of $80,567 and $173,618 on volatility swaps which pay volatility and volatility swaps which receive volatility, respectively. Additional associated risks to the Fund include counterparty credit risk and liquidity risk. 74 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) RESTRICTED SECURITIES As of September 30, 2011, investments in securities included issues that are restricted. 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. Securities that are restricted are marked with an applicable footnote on the Statement of Investments. Restricted securities are reported on a schedule following the Statement of Investments. FEDERAL TAXES. 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, 2011 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 $ 2,487,356,713 Federal tax cost of other investments 11,353,249 ----------------------- Total federal tax cost $ 2,498,709,962 ======================= Gross unrealized appreciation $ 119,685,564 Gross unrealized depreciation (280,945,707) ----------------------- Net unrealized depreciation $ (161,260,143) =======================
75 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Value Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Shares Value --------------------------------------------------------------------- COMMON STOCKS-97.6% --------------------------------------------------------------------- CONSUMER DISCRETIONARY-11.1% --------------------------------------------------------------------- AUTOMOBILES-1.5% Ford Motor Co.(1) 9,930 $ 96,021 --------------------------------------------------------------------- HOUSEHOLD DURABLES-1.5% Mohawk Industries, Inc.(1) 2,280 97,835 --------------------------------------------------------------------- MEDIA-5.4% Comcast Corp., Cl. A 6,710 140,239 --------------------------------------------------------------------- Dish Network Corp., Cl. A(1) 5,260 131,816 --------------------------------------------------------------------- Viacom, Inc., Cl. B 2,000 77,480 -------- 349,535 --------------------------------------------------------------------- MULTILINE RETAIL-2.3% Target Corp. 3,040 149,082 --------------------------------------------------------------------- SPECIALTY RETAIL-0.4% Talbots, Inc. (The)(1) 10,180 27,486 --------------------------------------------------------------------- CONSUMER STAPLES-8.1% --------------------------------------------------------------------- BEVERAGES-3.5% Coca-Cola Co. (The) 3,340 225,650 --------------------------------------------------------------------- FOOD & STAPLES RETAILING-2.1% Wal-Mart Stores, Inc. 2,590 134,421 --------------------------------------------------------------------- HOUSEHOLD PRODUCTS-2.5% Church & Dwight Co., Inc. 3,720 164,424 --------------------------------------------------------------------- ENERGY-11.7% --------------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES-0.6% Nabors Industries Ltd.(1) 2,940 36,044 --------------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS-11.1% Apache Corp. 700 56,168 --------------------------------------------------------------------- Chevron Corp. 3,900 360,828 --------------------------------------------------------------------- Exxon Mobil Corp. 2,104 152,814 --------------------------------------------------------------------- Penn West Petroleum Ltd. 3,940 58,194 --------------------------------------------------------------------- Royal Dutch Shell plc, ADR 1,530 94,126 -------- 722,130 --------------------------------------------------------------------- FINANCIALS-20.2% --------------------------------------------------------------------- CAPITAL MARKETS-2.9% Goldman Sachs Group, Inc. (The) 2,020 190,991 --------------------------------------------------------------------- COMMERCIAL BANKS-9.8% CIT Group, Inc.(1) 3,330 101,132 --------------------------------------------------------------------- M&T Bank Corp. 1,870 130,713 --------------------------------------------------------------------- U.S. Bancorp 8,960 210,918 --------------------------------------------------------------------- Wells Fargo & Co. 8,140 196,337 -------- 639,100 --------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES-2.7% JPMorgan Chase & Co. 5,700 171,684 --------------------------------------------------------------------- INSURANCE-4.8% ACE Ltd. 2,320 140,592 --------------------------------------------------------------------- MetLife, Inc. 6,100 170,861 -------- 311,453
1 | Oppenheimer Value Fund/VA Oppenheimer Value Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Shares Value --------------------------------------------------------------------- HEALTH CARE-15.2% --------------------------------------------------------------------- BIOTECHNOLOGY-1.8% Gilead Sciences, Inc.(1) 3,010 $ 116,788 --------------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES-3.3% Medtronic, Inc. 6,390 212,404 --------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES-7.9% HCA Holdings, Inc.(1) 7,090 142,934 --------------------------------------------------------------------- Humana, Inc. 4,010 291,647 --------------------------------------------------------------------- WellPoint, Inc. 1,230 80,294 --------- 514,875 --------------------------------------------------------------------- PHARMACEUTICALS-2.2% Pfizer, Inc. 8,170 144,446 --------------------------------------------------------------------- INDUSTRIALS-7.7% --------------------------------------------------------------------- AEROSPACE & DEFENSE-1.4% AerCap Holdings NV(1) 9,030 89,578 --------------------------------------------------------------------- AIRLINES-1.1% United Continental Holdings, Inc.(1) 3,800 73,644 --------------------------------------------------------------------- ELECTRICAL EQUIPMENT-2.0% Cooper Industries plc 2,850 131,442 --------------------------------------------------------------------- INDUSTRIAL CONGLOMERATES-2.0% Tyco International Ltd. 3,090 125,918 --------------------------------------------------------------------- MACHINERY-1.2% Ingersoll-Rand plc 2,840 79,776 --------------------------------------------------------------------- INFORMATION TECHNOLOGY-9.0% --------------------------------------------------------------------- COMMUNICATIONS EQUIPMENT-1.5% Juniper Networks, Inc.(1) 5,800 100,108 --------------------------------------------------------------------- ELECTRONIC EQUIPMENT & INSTRUMENTS-0.9% Corning, Inc. 4,490 55,496 --------------------------------------------------------------------- INTERNET SOFTWARE & SERVICES-1.0% VeriSign, Inc. 2,270 64,945 --------------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT-1.1% Xilinx, Inc. 2,590 71,070 --------------------------------------------------------------------- SOFTWARE-4.5% Microsoft Corp. 6,110 152,078 --------------------------------------------------------------------- Oracle Corp. 4,900 140,826 --------- 292,904 --------------------------------------------------------------------- MATERIALS-4.7% --------------------------------------------------------------------- CHEMICALS-3.3% Celanese Corp., Series A 2,770 90,108 --------------------------------------------------------------------- Mosaic Co. (The) 2,640 129,281 --------- 219,389 --------------------------------------------------------------------- CONTAINERS & PACKAGING-1.4% Rock-Tenn Co., Cl. A 1,840 89,571 --------------------------------------------------------------------- TELECOMMUNICATION SERVICES-2.9% --------------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES-1.3% AT&T, Inc. 2,922 83,335 --------------------------------------------------------------------- WIRELESS TELECOMMUNICATION SERVICES-1.6% Vodafone Group plc, Sponsored ADR 4,140 106,191
2 | Oppenheimer Value Fund/VA Oppenheimer Value Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
Shares Value -------------------------------------------------------------------------- UTILITIES-7.0% -------------------------------------------------------------------------- ELECTRIC UTILITIES-3.4% American Electric Power Co., Inc. 2,110 $ 80,222 -------------------------------------------------------------------------- Edison International, Inc. 3,730 142,673 ----------- 222,895 -------------------------------------------------------------------------- ENERGY TRADERS-1.1% GenOn Energy, Inc.(1) 25,000 69,500 -------------------------------------------------------------------------- MULTI-UTILITIES-2.5% Public Service Enterprise Group, Inc. 4,980 166,183 ----------- Total Common Stocks (Cost $6,834,819) 6,346,314 -------------------------------------------------------------------------- INVESTMENT COMPANY-5.0% Oppenheimer Institutional Money Market Fund, Cl. E, 0.16% (2,3) (Cost $327,479) 327,479 327,479 -------------------------------------------------------------------------- Total Investments, at Value (Cost $7,162,298) 102.6% 6,673,793 -------------------------------------------------------------------------- Liabilities in Excess of Other Assets (2.6) (167,470) --------------------- Net Assets 100.0% $ 6,506,323 =====================
Footnotes to Statement of Investments ---------- 1. Non-income producing security. 2. Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 30, 2011, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows:
SHARES GROSS GROSS SHARES DECEMBER 31, 2010 ADDITIONS REDUCTIONS SEPTEMBER 30, 2011 --------------------------------------------------------------------------------------------------------------- Oppenheimer Institutional Money Market Fund, Cl. E 230,823 3,074,442 2,977,786 327,479
VALUE INCOME --------------------------------------------------------------------------------------------------------------- Oppenheimer Institutional Money Market Fund, Cl. E $ 327,479 $ 471
3. Rate shown is the 7-day yield as of September 30, 2011. 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 or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) 3) Level 3-significant unobservable inputs (including the Manager's own judgments about assumptions that market participants would use in pricing the asset or liability). The table below categorizes amounts as of September 30, 2011 based on valuation input level: 3 | Oppenheimer Value Fund/VA Oppenheimer Value Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited)
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 $ 719,959 $ -- $ -- $ 719,959 Consumer Staples 524,495 -- -- 524,495 Energy 758,174 -- -- 758,174 Financials 1,313,228 -- -- 1,313,228 Health Care 988,513 -- -- 988,513 Industrials 500,358 -- -- 500,358 Information Technology 584,523 -- -- 584,523 Materials 308,960 -- -- 308,960 Telecommunication Services 189,526 -- -- 189,526 Utilities 458,578 -- -- 458,578 Investment Company 327,479 -- -- 327,479 ------------------------------------------------------------------------- Total Assets $ 6,673,793 $ -- $ -- $ 6,673,793 -------------------------------------------------------------------------
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 methodologies, 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," observable market inputs other than unadjusted quoted prices 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 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 it is 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. 4 | Oppenheimer Value Fund/VA Oppenheimer Value Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (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. U.S. domestic and international debt instruments (including corporate, government, municipal, mortgage-backed, collateralized mortgage obligations and asset-backed securities) and "money market-type" debt instruments with a remaining maturity in excess of sixty days are valued at the mean between the "bid" and "asked" prices utilizing price quotations obtained from independent pricing services or broker-dealers. Such prices are typically determined based upon information obtained from market participants including reported trade data, broker-dealer price quotations and inputs such as benchmark yields and issuer spreads from identical or similar securities. "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 current price quotation obtained from an independent pricing service or broker-dealer, 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 of the Fund 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. 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 accordance with its investment objectives, the Fund may use derivatives to increase or decrease its exposure to one or more of the following market risk factors: COMMODITY RISK. Commodity risk relates to the change in value of commodities or commodity indexes as they relate to increases or decreases in the commodities market. Commodities are physical assets that have tangible properties. Examples of these types of assets are crude oil, heating oil, metals, livestock, and agricultural products. 5 | Oppenheimer Value Fund/VA Oppenheimer Value Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (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. EQUITY RISK. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market. 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. 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. VOLATILITY RISK. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument's price over a defined time period. Large increases or decreases in a financial instrument's price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk. The Fund's actual exposures to these market risk factors during the period are discussed in further detail, by derivative type, below. 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. CREDIT RELATED CONTINGENT FEATURES. The Fund's agreements with derivative counterparties have 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 International Swap and Derivatives Association, Inc. master agreements which govern certain positions in swaps, over-the-counter options and swaptions, and forward currency exchange contracts for each individual counterparty. 6 | Oppenheimer Value Fund/VA Oppenheimer Value Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) OPTION ACTIVITY The Fund may buy and sell put and call options, or write put and 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. The Fund has purchased put options on individual equity securities and, or, equity indexes to decrease exposure to equity risk. A purchased put option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price. During the period ended September 30, 2011, the Fund had an ending monthly average market value of $773 on purchased put options. Options written, if any, 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. Securities held in collateralized accounts to cover potential obligations with respect to outstanding written options are noted in the Statement of Investments. 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. 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. During the period ended September 30, 2011, the Fund had an ending monthly average market value of $117 on written put options. 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, 2011 was as follows:
PUT OPTIONS --------------------------------- NUMBER OF AMOUNT OF CONTRACTS PREMIUMS --------------------------------------------------------------------- Options outstanding as of December 31, 2010 -- $ -- Options written 24 940 Options closed or expired (24) (940) --------------------------------- Options outstanding as of September 30, 2011 -- $ -- =================================
FEDERAL TAXES. 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, 2011 are noted below. The 7 | Oppenheimer Value Fund/VA Oppenheimer Value Fund/VA STATEMENT OF INVESTMENTS September 30, 2011 (Unaudited) 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 $ 7,271,711 =============== Gross unrealized appreciation $ 364,742 Gross unrealized depreciation (962,660) --------------- Net unrealized depreciation $ (597,918) ===============
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 9/30/2011, 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/ William F. Glavin, Jr. ------------------------------- William F. Glavin, Jr. Principal Executive Officer Date: 11/9/2011 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/ William F. Glavin, Jr. ------------------------------- William F. Glavin, Jr. Principal Executive Officer Date: 11/9/2011 By: /s/ Brian W. Wixted ------------------------------- Brian W. Wixted Principal Financial Officer Date: 11/9/2011 EX-99.CERT 2 g59871exv99wcert.txt EX-99.CERT Exhibit 99.CERT Section 302 Certifications CERTIFICATIONS I, William F. Glavin, Jr., certify that: 1. I have reviewed this report on Form N-Q of Oppenheimer Variable Account Funds; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of Trustees (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. /s/ William F. Glavin, Jr. ---------------------------- William F. Glavin, Jr. Principal Executive Officer Date: 11/9/2011 Exhibit 99.CERT Section 302 Certifications CERTIFICATIONS I, Brian W. Wixted, certify that: 1. I have reviewed this report on Form N-Q of Oppenheimer Variable Account Funds; 2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; 3. Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; 4. The registrant's other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: (a) Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; (b) Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; (c) Evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and (d) Disclosed in this report any change in the registrant's internal control over financial reporting that occurred during the registrant's most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant's internal control over financial reporting; and 5. The registrant's other certifying officer and I have disclosed to the registrant's auditors and the audit committee of the registrant's board of Trustees (or persons performing the equivalent functions): (a) All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process, summarize, and report financial information; and (b) Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant's internal control over financial reporting. /s/ Brian W. Wixted ---------------------------- Brian W. Wixted Principal Financial Officer Date: 11/9/2011