0000950123-12-008585.txt : 20120529 0000950123-12-008585.hdr.sgml : 20120529 20120529152148 ACCESSION NUMBER: 0000950123-12-008585 CONFORMED SUBMISSION TYPE: N-Q PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20120330 FILED AS OF DATE: 20120529 DATE AS OF CHANGE: 20120529 EFFECTIVENESS DATE: 20120529 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: 12874046 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 g60385nvq.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) Arthur S. Gabinet 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: 3/30/2012 ================================================================================ ITEM 1. SCHEDULE OF INVESTMENTS. Oppenheimer Small & Mid-Cap Growth Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Shares Value ---------------------------------------------------------------------------------------- COMMON STOCKS-98.4% ---------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY-20.7% ---------------------------------------------------------------------------------------- AUTO COMPONENTS-0.5% BorgWarner, Inc.(1) 37,270 $ 3,143,343 ---------------------------------------------------------------------------------------- DIVERSIFIED CONSUMER SERVICES-0.5% Sotheby's 82,390 3,241,223 ---------------------------------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE-3.7% Chipotle Mexican Grill, Inc., Cl. A(1) 28,081 11,737,858 ---------------------------------------------------------------------------------------- Panera Bread Co., Cl. A(1) 58,360 9,391,291 ---------------------------------------------------------------------------------------- Tim Hortons, Inc. 57,240 3,064,630 ---------- 24,193,779 ---------------------------------------------------------------------------------------- HOUSEHOLD DURABLES-1.7% D.R. Horton, Inc. 206,320 3,129,874 ---------------------------------------------------------------------------------------- Tempur-Pedic International, Inc.(1) 94,820 8,005,653 ---------- 11,135,527 ---------------------------------------------------------------------------------------- MULTILINE RETAIL-2.6% Dollar Tree, Inc.(1) 124,285 11,743,690 ---------------------------------------------------------------------------------------- Nordstrom, Inc. 91,280 5,086,122 ---------- 16,829,812 ---------------------------------------------------------------------------------------- SPECIALTY RETAIL-7.7% O'Reilly Automotive, Inc.(1) 62,680 5,725,818 ---------------------------------------------------------------------------------------- PetSmart, Inc. 95,990 5,492,548 ---------------------------------------------------------------------------------------- Sally Beauty Holdings, Inc.(1) 299,810 7,435,288 ---------------------------------------------------------------------------------------- Tiffany & Co. 69,700 4,818,361 ---------------------------------------------------------------------------------------- Tractor Supply Co. 143,600 13,004,416 ---------------------------------------------------------------------------------------- Ulta Salon, Cosmetics & Fragrance, Inc. 145,230 13,490,415 ---------- 49,966,846 ---------------------------------------------------------------------------------------- TEXTILES, APPAREL & LUXURY GOODS-4.0% Fossil, Inc.(1) 46,360 6,118,593 ---------------------------------------------------------------------------------------- lululemon athletica, Inc.(1) 101,780 7,600,930 ---------------------------------------------------------------------------------------- Michael Kors Holdings Ltd.(1) 158,850 7,400,822 ---------------------------------------------------------------------------------------- Under Armour, Inc., Cl. A(1) 53,540 5,032,760 ---------- 26,153,105 ---------------------------------------------------------------------------------------- CONSUMER STAPLES-6.9% ---------------------------------------------------------------------------------------- BEVERAGES-2.0% Monster Beverage Corp.(1) 208,150 12,924,034 ---------------------------------------------------------------------------------------- FOOD & STAPLES RETAILING-2.2% Fresh Market, Inc. (The)(1) 91,640 4,394,138 ---------------------------------------------------------------------------------------- Whole Foods Market, Inc. 121,440 10,103,808 ---------- 14,497,946 ---------------------------------------------------------------------------------------- PERSONAL PRODUCTS-2.7% Estee Lauder Cos., Inc. (The), Cl. A 161,240 9,987,206 ---------------------------------------------------------------------------------------- Herbalife Ltd. 111,290 7,658,978 ---------- 17,646,184
1 | Oppenheimer Small & Mid-Cap Growth Fund/VA Oppenheimer Small & Mid-Cap Growth Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Shares Value ------------------------------------------------------------------------------------- ENERGY-6.5% ------------------------------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES-3.9% Atwood Oceanics, Inc.(1) 123,990 $ 5,565,911 ------------------------------------------------------------------------------------- Core Laboratories NV 42,140 5,544,360 ------------------------------------------------------------------------------------- Oceaneering International, Inc. 116,710 6,289,502 ------------------------------------------------------------------------------------- Oil States International, Inc.(1) 100,640 7,855,958 ---------- 25,255,731 ------------------------------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS-2.6% Cabot Oil & Gas Corp., Cl. A 76,380 2,380,765 ------------------------------------------------------------------------------------- Concho Resources, Inc.(1) 112,960 11,530,957 ------------------------------------------------------------------------------------- Laredo Petroleum Holdings, Inc.(1) 122,430 2,869,759 ---------- 16,781,481 ------------------------------------------------------------------------------------- FINANCIALS-5.7% ------------------------------------------------------------------------------------- CAPITAL MARKETS-1.8% Affiliated Managers Group, Inc.(1) 66,560 7,442,074 ------------------------------------------------------------------------------------- LPL Investment Holdings, Inc.(1) 108,130 4,102,452 ---------- 11,544,526 ------------------------------------------------------------------------------------- COMMERCIAL BANKS-1.8% First Republic Bank(1) 100,770 3,319,364 ------------------------------------------------------------------------------------- Signature Bank(1) 89,490 5,641,450 ------------------------------------------------------------------------------------- SVB Financial Group(1) 48,520 3,121,777 ---------- 12,082,591 ------------------------------------------------------------------------------------- INSURANCE-2.1% Arthur J. Gallagher & Co. 173,770 6,210,540 ------------------------------------------------------------------------------------- ProAssurance Corp. 84,250 7,423,268 ---------- 13,633,808 ------------------------------------------------------------------------------------- HEALTH CARE-12.9% ------------------------------------------------------------------------------------- BIOTECHNOLOGY-2.9% Alexion Pharmaceuticals, Inc.(1) 169,120 15,704,483 ------------------------------------------------------------------------------------- BioMarin Pharmaceutical, Inc.(1) 90,760 3,108,530 ---------- 18,813,013 ------------------------------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES-2.4% Cooper Cos., Inc. (The) 56,670 4,630,506 ------------------------------------------------------------------------------------- Edwards Lifesciences Corp.(1) 57,500 4,181,975 ------------------------------------------------------------------------------------- IDEXX Laboratories, Inc.(1) 40,850 3,572,333 ------------------------------------------------------------------------------------- Sirona Dental Systems, Inc.(1) 63,800 3,288,252 --------- 15,673,066 ---------------------------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES-2.6% Catalyst Health Solutions, Inc.(1) 90,990 5,798,793 ------------------------------------------------------------------------------------- HMS Holdings Corp.(1) 242,090 7,555,629 ------------------------------------------------------------------------------------- WellCare Health Plans, Inc.(1) 46,730 3,358,952 --------- 16,713,374 ------------------------------------------------------------------------------------- HEALTH CARE TECHNOLOGY-2.8% Cerner Corp.(1) 125,260 9,539,802 -------------------------------------------------------------------------------------
2 | Oppenheimer Small & Mid-Cap Growth Fund/VA Oppenheimer Small & Mid-Cap Growth Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Shares Value ------------------------------------------------------------------------------------- HEALTH CARE TECHNOLOGY CONTINUED SXC Health Solutions Corp.(1) 119,320 $ 8,944,227 ----------- 18,484,029 ------------------------------------------------------------------------------------- PHARMACEUTICALS-2.2% Perrigo Co. 62,270 6,433,114 ------------------------------------------------------------------------------------- Salix Pharmaceuticals Ltd.(1) 45,870 2,408,175 ------------------------------------------------------------------------------------- Watson Pharmaceuticals, Inc.(1) 78,090 5,236,715 ---------- 14,078,004 ------------------------------------------------------------------------------------- INDUSTRIALS-15.2% ------------------------------------------------------------------------------------- AEROSPACE & DEFENSE-3.8% B/E Aerospace, Inc.(1) 177,630 8,254,466 ------------------------------------------------------------------------------------- Hexcel Corp.(1) 232,090 5,572,481 ------------------------------------------------------------------------------------- TransDigm Group, Inc.(1) 95,300 11,031,928 ---------- 24,858,875 ------------------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES-1.3% Clean Harbors, Inc.(1) 69,540 4,682,128 ------------------------------------------------------------------------------------- Stericycle, Inc.(1) 45,870 3,836,567 ---------- 8,518,695 ------------------------------------------------------------------------------------- ELECTRICAL EQUIPMENT-2.8% AMETEK, Inc. 182,275 8,842,160 ------------------------------------------------------------------------------------- Polypore International, Inc.(1) 91,870 3,230,149 ------------------------------------------------------------------------------------- Roper Industries, Inc. 65,310 6,476,140 ---------- 18,548,449 ------------------------------------------------------------------------------------- MACHINERY-3.8% Colfax Corp.(1) 114,960 4,051,190 ------------------------------------------------------------------------------------- Joy Global, Inc. 46,200 3,395,700 ------------------------------------------------------------------------------------- Robbins & Myers, Inc. 97,882 5,094,758 ------------------------------------------------------------------------------------- Timken Co. 91,090 4,621,907 ------------------------------------------------------------------------------------- Wabtec Corp. 104,010 7,839,234 ---------- 25,002,789 ------------------------------------------------------------------------------------- MARINE-0.7% Kirby Corp.(1) 65,520 4,310,561 ------------------------------------------------------------------------------------- ROAD & RAIL-1.3% Kansas City Southern, Inc.(1) 114,320 8,195,601 ------------------------------------------------------------------------------------- TRADING COMPANIES & DISTRIBUTORS-1.5% Fastenal Co. 64,380 3,482,958 ------------------------------------------------------------------------------------- United Rentals, Inc.(1) 146,200 6,270,518 ---------- 9,753,476 ------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY-23.9% ------------------------------------------------------------------------------------- COMMUNICATIONS EQUIPMENT-1.9% Aruba Networks, Inc.(1) 278,170 6,197,628 ------------------------------------------------------------------------------------- F5 Networks, Inc.(1) 47,950 6,471,332 ---------- 12,668,960 ------------------------------------------------------------------------------------- INTERNET SOFTWARE & SERVICES-5.8% Akamai Technologies, Inc.(1) 129,120 4,738,704 -------------------------------------------------------------------------------------
3 | Oppenheimer Small & Mid-Cap Growth Fund/VA Oppenheimer Small & Mid-Cap Growth Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Shares Value --------------------------------------------------------------------------------------------- INTERNET SOFTWARE & SERVICES CONTINUED --------------------------------------------------------------------------------------------- Equinix, Inc.(1) 56,760 $ 8,936,862 --------------------------------------------------------------------------------------------- IAC/InterActiveCorp 72,310 3,549,698 --------------------------------------------------------------------------------------------- LinkedIn Corp., Cl. A(1) 66,260 6,757,857 --------------------------------------------------------------------------------------------- Mercadolibre, Inc. 35,260 3,448,075 --------------------------------------------------------------------------------------------- Rackspace Hosting, Inc.(1) 182,720 10,559,389 ----------- 37,990,585 --------------------------------------------------------------------------------------------- IT SERVICES-2.5% Alliance Data Systems Corp.(1) 26,710 3,364,392 --------------------------------------------------------------------------------------------- Teradata Corp.(1) 137,420 9,365,173 --------------------------------------------------------------------------------------------- Vantiv, Inc., Cl. A(1) 175,460 3,444,280 ----------- 16,173,845 --------------------------------------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT-3.2% Avago Technologies Ltd. 171,000 6,663,870 --------------------------------------------------------------------------------------------- Skyworks Solutions, Inc.(1) 284,250 7,859,513 --------------------------------------------------------------------------------------------- Teradyne, Inc.(1) 353,760 5,975,006 ----------- 20,498,389 --------------------------------------------------------------------------------------------- SOFTWARE-10.5% Ariba, Inc.(1) 193,100 6,316,301 --------------------------------------------------------------------------------------------- Autodesk, Inc.(1) 86,150 3,645,868 --------------------------------------------------------------------------------------------- Check Point Software Technologies Ltd.(1) 84,480 5,393,203 --------------------------------------------------------------------------------------------- Citrix Systems, Inc.(1) 84,790 6,690,779 --------------------------------------------------------------------------------------------- Concur Technologies, Inc.(1) 77,140 4,426,293 --------------------------------------------------------------------------------------------- Fortinet, Inc.(1) 292,670 8,092,326 --------------------------------------------------------------------------------------------- MICROS Systems, Inc.(1) 88,510 4,893,718 --------------------------------------------------------------------------------------------- NetSuite, Inc.(1) 65,032 3,270,459 --------------------------------------------------------------------------------------------- Nuance Communications, Inc.(1) 238,960 6,112,597 --------------------------------------------------------------------------------------------- Red Hat, Inc.(1) 154,780 9,269,774 --------------------------------------------------------------------------------------------- Rovi Corp.(1) 83,310 2,711,741 --------------------------------------------------------------------------------------------- TIBCO Software, Inc.(1) 249,920 7,622,560 ----------- 68,445,619 --------------------------------------------------------------------------------------------- MATERIALS-5.0% --------------------------------------------------------------------------------------------- CHEMICALS-3.8% Airgas, Inc. 77,110 6,860,477 --------------------------------------------------------------------------------------------- Albemarle Corp. 58,840 3,761,053 --------------------------------------------------------------------------------------------- CF Industries Holdings, Inc. 34,550 6,310,558 --------------------------------------------------------------------------------------------- Sigma-Aldrich Corp. 44,520 3,252,631 --------------------------------------------------------------------------------------------- Westlake Chemical Corp. 75,250 4,875,448 ----------- 25,060,167 --------------------------------------------------------------------------------------------- CONTAINERS & PACKAGING-0.6% Ball Corp. 84,180 3,609,638 --------------------------------------------------------------------------------------------- METALS & MINING-0.6% Allied Nevada Gold Corp.(1) 113,120 3,679,794
4 | Oppenheimer Small & Mid-Cap Growth Fund/VA Oppenheimer Small & Mid-Cap Growth Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Shares Value -------------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES-0.9% -------------------------------------------------------------------------------------- WIRELESS TELECOMMUNICATION SERVICES-0.9% SBA Communications Corp.(1) 121,870 $ 6,192,215 -------------------------------------------------------------------------------------- UTILITIES-0.7% ELECTRIC UTILITIES-0.7% ITC Holdings Corp. 60,680 4,668,719 ------------ Total Common Stocks (Cost $436,676,082) 640,967,799 -------------------------------------------------------------------------------------- INVESTMENT COMPANY-0.4% Oppenheimer Institutional Money Market Fund, Cl. E, 0.22%(2,3) (Cost $2,302,330) 2,302,330 2,302,330 -------------------------------------------------------------------------------------- Total Investments, at Value (Cost $438,978,412) 98.8% 643,270,129 -------------------------------------------------------------------------------------- Other Assets Net of Liabilities 1.2 7,949,833 ---------------------------- Net Assets 100.0% $651,219,962 ============================
Footnotes to Statement of Investments * March 30, 2012 represents the last business day of the Fund's quarterly period. See accompanying Notes. 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 March 30, 2012, 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 30, 2011(A) ADDITIONS REDUCTIONS MARCH 30, 2012 --------------------------------------------------------------------------------------------------------------------------------- Oppenheimer Institutional Money Market Fund, Cl. E 14,138,260 39,970,451 51,806,381 2,302,330
VALUE INCOME ---------------------------------------------------------------------------------------------------------------------------- Oppenheimer Institutional Money Market Fund, Cl. E $ 2,302,330 $ 2,470
a. December 30, 2011 represents the last business day of the Fund's 2011 fiscal year. See accompanying Notes. 3. Rate shown is the 7-day yield as of March 30, 2012. NOTES TO STATEMENT OF INVESTMENTS QUARTERLY AND ANNUAL PERIODS. The last day of the Fund's quarterly period was the last day the New York Stock Exchange was open for trading. The Fund's financial statements have been presented through that date to maintain consistency with the Fund's net asset value calculations used for shareholder transactions. The last day of the Fund's fiscal year was the last day the New York Stock Exchange was open for trading. The Fund's financial statements have been presented through that date to maintain consistency with the Fund's net asset value calculations used for shareholder transactions. 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 5 | Oppenheimer Small & Mid-Cap Growth Fund/VA Oppenheimer Small & Mid-Cap Growth Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) 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. 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. The Fund's Board has adopted procedures for the valuation of the Fund's securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a "fair valuation" for any security for which market quotations are not "readily available." The Valuation Committee's fair valuation determinations are subject to review, approval and ratification by the Fund's Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Valuation Methods and inputs Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or dealers. The following methodologies are used to determine the market value or the fair value of the types of securities described below: Securities traded on a registered U.S. securities exchange (including exchange-traded derivatives other than futures and futures options) 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. 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 security of a foreign issuer traded on a foreign exchange but not listed on a registered U.S. securities exchange is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the third party pricing service used by the Manager, prior to the time when the Fund's assets are valued. If the last sale price is unavailable, the security is valued at the most recent official closing price on the principal exchange on which it is traded. If the last sales price or official closing price for a foreign security is not available, the security is valued at the mean between the bid and asked price per the exchange or, if not available from the exchange, obtained from two dealers. If bid and asked prices are not available from either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of priority); (1) using a bid from the exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer. Shares of a registered investment company that are not traded on an exchange are valued at that investment company's net asset value per share. Corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, event-linked bonds, loans, mortgage-backed securities, collateralized mortgage obligations, and asset-backed securities are valued at the mean between the "bid" and "asked" prices utilizing evaluated prices obtained from third party pricing services or broker-dealers who may use matrix pricing methods to determine the evaluated prices. Short-term money market type debt securities with a remaining maturity 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. Short-term debt securities with a remaining maturity in excess of sixty days are valued at the mean between the "bid" and "asked" prices utilizing evaluated prices obtained from third party pricing services or broker-dealers. A description of the standard inputs that may generally be considered by the third party pricing vendors in determining their evaluated prices is provided below. 6 | Oppenheimer Small & Mid-Cap Growth Fund/VA Oppenheimer Small & Mid-Cap Growth Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
STANDARD INPUTS GENERALLY CONSIDERED BY THIRD-PARTY SECURITY TYPE PRICING VENDORS ------------------------------------- ------------------------------------------------------------------- Corporate debt, government debt, Reported trade data, broker-dealer price quotations, municipal, mortgage-backed and asset- benchmark yields, issuer spreads on comparable securities, backed securities the credit quality, yield, maturity, and other appropriate factors. Loans Information obtained from market participants regarding reported trade data and broker-dealer price quotations. Event-linked bonds Information obtained from market participants regarding reported trade data and broker-dealer price quotations.
If a market value or price cannot be determined for a security using the methodologies described above, or if, in the "good faith" opinion of the Manager, the market value or price obtained does not constitute a "readily available market quotation," or a significant event has occurred that would materially affect the value of the security the security is fair valued either (i) by a standardized fair valuation methodology applicable to the security type or the significant event as previously approved by the Valuation Committee and the Fund's Board or (ii) as determined in good faith by the Manager's Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. Fair value determinations by the Manager are subject to review, approval and ratification by the Fund's Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Those fair valuation standardized methodologies include, but are not limited to, valuing securities at the last sale price or 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 further adjusted for any discounts related to security-specific 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 nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security. To assess the continuing appropriateness of security valuations, the Manager, or its third party service provider who is subject to oversight by the Manager, regularly compares prior day prices, prices on comparable securities, and sale prices to the current day prices and challenges those prices exceeding certain tolerance levels with the third party pricing service or broker source. For those securities valued by fair valuations, whether through a standardized fair valuation methodology or a fair valuation determination, the Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available. Classifications 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. 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 inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. The table below categorizes amounts as of March 30, 2012 based on valuation input level: 7 | Oppenheimer Small & Mid-Cap Growth Fund/VA Oppenheimer Small & Mid-Cap Growth Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
LEVEL 1- LEVEL 2- LEVEL 3- UNADJUSTED OTHER SIGNIFICANT SIGNIFICANT QUOTED PRICES OBSERVABLE INPUTS UNOBSERVABLE INPUTS VALUE ------------------------------------------------------------------------------------------------------- ASSETS TABLE INVESTMENTS, AT VALUE: Common Stocks Consumer Discretionary $ 134,663,635 $ - $ - $ 134,663,635 Consumer Staples 45,068,164 - - 45,068,164 Energy 42,037,212 - - 42,037,212 Financials 37,260,925 - - 37,260,925 Health Care 83,761,486 - - 83,761,486 Industrials 99,188,446 - - 99,188,446 Information Technology 155,777,398 - - 155,777,398 Materials 32,349,599 - - 32,349,599 Telecommunication Services 6,192,215 - - 6,192,215 Utilities 4,668,719 - - 4,668,719 Investment Company 2,302,330 - - 2,302,330 ------------------------------------------------------------------------- Total Assets $ 643,270,129 $ - $ - $ 643,270,129
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. There have been no significant changes to the fair valuation methodologies of the Fund during the period. 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 March 30, 2012 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 $ 439,862,433 ================= Gross unrealized appreciation $ 208,081,751 Gross unrealized depreciation (4,674,055) ----------------- Net unrealized appreciation $ 203,407,696 =================
8 | Oppenheimer Small & Mid-Cap Growth Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Shares Value --------------------------------------------------------------------------------------------------- COMMON STOCKS--58.3% CONSUMER DISCRETIONARY--5.4% --------------------------------------------------------------------------------------------------- AUTOMOBILES--1.0% Ford Motor Co. 170,630 $ 2,131,169 --------------------------------------------------------------------------------------------------- HOUSEHOLD DURABLES--1.2% Mohawk Industries, Inc.(1) 39,200 2,607,192 --------------------------------------------------------------------------------------------------- MEDIA--1.8% Comcast Corp., Cl. A 68,970 2,069,790 --------------------------------------------------------------------------------------------------- Viacom, Inc., Cl. B 34,340 1,629,776 ----------- 3,699,566 --------------------------------------------------------------------------------------------------- MULTILINE RETAIL--1.4% Target Corp. 52,270 3,045,773 --------------------------------------------------------------------------------------------------- CONSUMER STAPLES--5.2% --------------------------------------------------------------------------------------------------- BEVERAGES--2.5% Coca-Cola Co. (The) 57,450 4,251,875 --------------------------------------------------------------------------------------------------- Molson Coors Brewing Co., Cl. B, Non-Vtg. 21,680 981,020 ----------- 5,232,895 --------------------------------------------------------------------------------------------------- FOOD & STAPLES RETAILING--1.3% Wal-Mart Stores, Inc. 44,490 2,722,788 --------------------------------------------------------------------------------------------------- HOUSEHOLD PRODUCTS--1.4% Church & Dwight Co., Inc. 60,810 2,991,244 --------------------------------------------------------------------------------------------------- ENERGY--7.5% --------------------------------------------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES--0.5% Baker Hughes, Inc. 25,770 1,080,794 --------------------------------------------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS--7.0% Apache Corp. 12,000 1,205,280 --------------------------------------------------------------------------------------------------- Chevron Corp. 66,990 7,183,993 --------------------------------------------------------------------------------------------------- Exxon Mobil Corp. 36,110 3,131,820 --------------------------------------------------------------------------------------------------- Penn West Petroleum Ltd. 67,770 1,326,259 --------------------------------------------------------------------------------------------------- Royal Dutch Shell plc, ADR 26,350 1,847,926 ----------- 14,695,278 --------------------------------------------------------------------------------------------------- FINANCIALS--14.0% --------------------------------------------------------------------------------------------------- CAPITAL MARKETS--2.5% BlackRock, Inc. 6,700 1,372,830 --------------------------------------------------------------------------------------------------- Goldman Sachs Group, Inc. (The) 30,990 3,854,226 ----------- 5,227,056 --------------------------------------------------------------------------------------------------- COMMERCIAL BANKS--6.7% CIT Group, Inc.(1) 57,210 2,359,340 --------------------------------------------------------------------------------------------------- M&T Bank Corp. 32,070 2,786,242 --------------------------------------------------------------------------------------------------- SunTrust Banks, Inc. 23,140 559,294 --------------------------------------------------------------------------------------------------- U.S. Bancorp 94,010 2,978,237 --------------------------------------------------------------------------------------------------- Wells Fargo & Co. 161,720 5,521,121 ----------- 14,204,234 --------------------------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES--2.8% Citigroup, Inc. 64,950 2,373,923 --------------------------------------------------------------------------------------------------- JPMorgan Chase & Co. 78,940 3,629,661 ----------- 6,003,584 --------------------------------------------------------------------------------------------------- INSURANCE--2.0% ACE Ltd. 39,800 2,913,360 ---------------------------------------------------------------------------------------------------
1 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Shares Value --------------------------------------------------------------------------------------------------- INSURANCE CONTINUED Travelers Cos., Inc. (The) 21,620 $ 1,279,904 ----------- 4,193,264 --------------------------------------------------------------------------------------------------- HEALTH CARE--7.1% --------------------------------------------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES--1.1% Medtronic, Inc. 61,110 2,394,901 --------------------------------------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES--3.3% Humana, Inc. 36,630 3,387,542 --------------------------------------------------------------------------------------------------- UnitedHealth Group, Inc. 60,330 3,555,850 ----------- 6,943,392 --------------------------------------------------------------------------------------------------- PHARMACEUTICALS--2.7% Merck & Co., Inc. 81,780 3,140,352 --------------------------------------------------------------------------------------------------- Pfizer, Inc. 112,860 2,557,408 ----------- 5,697,760 --------------------------------------------------------------------------------------------------- INDUSTRIALS--6.4% --------------------------------------------------------------------------------------------------- AEROSPACE & DEFENSE--2.1% Honeywell International, Inc. 73,260 4,472,523 --------------------------------------------------------------------------------------------------- AIRLINES--0.4% United Continental Holdings, Inc.(1) 39,870 857,205 --------------------------------------------------------------------------------------------------- INDUSTRIAL CONGLOMERATES--1.4% Tyco International Ltd. 53,210 2,989,338 --------------------------------------------------------------------------------------------------- MACHINERY--1.5% Navistar International Corp.(1) 52,000 2,103,400 --------------------------------------------------------------------------------------------------- SPX Corp. 13,290 1,030,374 ----------- 3,133,774 --------------------------------------------------------------------------------------------------- TRADING COMPANIES & DISTRIBUTORS--1.0% AerCap Holdings NV(1) 176,680 1,962,915 --------------------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY--5.3% --------------------------------------------------------------------------------------------------- COMMUNICATIONS EQUIPMENT--1.8% Juniper Networks, Inc.(1) 166,420 3,807,690 --------------------------------------------------------------------------------------------------- COMPUTERS & PERIPHERALS--0.5% Hewlett-Packard Co. 44,230 1,054,001 --------------------------------------------------------------------------------------------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--1.2% TE Connectivity Ltd. 68,840 2,529,870 --------------------------------------------------------------------------------------------------- INTERNET SOFTWARE & SERVICES--0.7% VeriSign, Inc. 39,050 1,497,177 --------------------------------------------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--0.8% Xilinx, Inc. 44,600 1,624,778 --------------------------------------------------------------------------------------------------- SOFTWARE--0.3% Microsoft Corp. 20,230 652,418 --------------------------------------------------------------------------------------------------- MATERIALS--2.4% --------------------------------------------------------------------------------------------------- CHEMICALS--1.4% Celanese Corp., Series A 16,280 751,810 --------------------------------------------------------------------------------------------------- Mosaic Co. (The) 39,930 2,207,730 ----------- 2,959,540 --------------------------------------------------------------------------------------------------- CONTAINERS & PACKAGING--1.0% Rock-Tenn Co., Cl. A 31,720 2,143,003
2 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Shares Value ---------------------------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES--0.7% ---------------------------------------------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES--0.7% AT&T, Inc. 50,170 $ 1,566,809 ---------------------------------------------------------------------------------------------------- Orbcomm, Inc.(1) 375 1,444 ------------ 1,568,253 ---------------------------------------------------------------------------------------------------- UTILITIES--4.3% ---------------------------------------------------------------------------------------------------- ELECTRIC UTILITIES--2.0% American Electric Power Co., Inc. 36,340 1,401,997 ---------------------------------------------------------------------------------------------------- Edison International, Inc. 64,070 2,723,616 ------------ 4,125,613 ---------------------------------------------------------------------------------------------------- ENERGY TRADERS--0.7% GenOn Energy, Inc.(1) 763,110 1,587,269 ---------------------------------------------------------------------------------------------------- MULTI-UTILITIES--1.6% NiSource, Inc. 27,220 662,807 ---------------------------------------------------------------------------------------------------- Public Service Enterprise Group, Inc. 85,620 2,620,828 ------------ 3,283,635 ------------ Total Common Stocks (Cost $111,670,878) 123,119,892
Principal Amount ------------------------------------------------------------------------------------------------------ ASSET-BACKED SECURITIES--4.0% AESOP Funding II LLC, Automobile Receivables Nts., Series 2011-1A, Cl. A, 1.85%, 11/20/13(2) $ 125,000 125,392 ------------------------------------------------------------------------------------------------------ Ally Master Owner Trust 2010-3, Asset-Backed Certificates, Series 2010-3, Cl. A, 2.88%, 4/15/15(2) 315,000 320,734 ------------------------------------------------------------------------------------------------------ Ally Master Owner Trust, Automobile Receivables Nts., Series 2011-4, Cl. A2, 1.54%, 9/15/16 240,000 241,651 ------------------------------------------------------------------------------------------------------ AmeriCredit Automobile Receivables Trust 2009-1, Automobile Receivables-Backed Nts., Series 2009-1, Cl. A3, 3.04%, 10/15/13 35,116 35,258 ------------------------------------------------------------------------------------------------------ AmeriCredit Automobile Receivables Trust 2010-1, Automobile Receivables-Backed Nts., Series 2010-1, Cl. D, 6.65%, 7/17/17 140,000 152,553 ------------------------------------------------------------------------------------------------------ AmeriCredit Automobile Receivables Trust 2010-2, Automobile Receivables-Backed Nts.: Series 2010-2, Cl. C, 4.52%, 10/8/15 195,000 205,172 Series 2010-2, Cl. D, 6.24%, 6/8/16 15,000 16,442 ------------------------------------------------------------------------------------------------------ AmeriCredit Automobile Receivables Trust 2010-4, Automobile Receivables-Backed Nts., Series 2010-4, Cl. D, 4.20%, 11/8/16 350,000 367,563 ------------------------------------------------------------------------------------------------------ AmeriCredit Automobile Receivables Trust 2011-1, Automobile Receivables-Backed Nts., Series 2011-1, Cl. D, 4.26%, 2/8/17 60,000 63,161 ------------------------------------------------------------------------------------------------------ AmeriCredit Automobile Receivables Trust 2011-2, Automobile Receivables-Backed Nts.: Series 2011-2, Cl. A3, 1.61%, 10/8/15 70,000 70,606 Series 2011-2, Cl. B, 2.33%, 3/8/16 200,000 203,433 Series 2011-2, Cl. D, 4%, 5/8/17 200,000 209,918 ------------------------------------------------------------------------------------------------------ AmeriCredit Automobile Receivables Trust 2011-4, Automobile Receivables-Backed Nts., Series 2011-4, Cl. D, 4.08%, 7/10/17 335,000 335,415 ------------------------------------------------------------------------------------------------------
3 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value -------------------------------------------------------------------------------------------------------- AmeriCredit Automobile Receivables Trust 2011-5, Automobile Receivables-Backed Nts., Series 2011-5, Cl. D, 5.05%, 12/8/17 $ 205,000 $ 213,331 -------------------------------------------------------------------------------------------------------- AmeriCredit Prime Automobile Receivables Trust 2010-2, Automobile Receivables Nts., Series 2010-2, Cl. A2, 1.22%, 10/8/13 71 71 -------------------------------------------------------------------------------------------------------- Avis Budget Rental Car Funding AESOP LLC, Automobile Receivable Nts.: Series 2011-2A, Cl. A, 2.37%, 11/20/14(2) 200,000 203,060 Series 2012-1A, Cl. A, 2.044%, 8/20/16(2) 160,000 160,390 -------------------------------------------------------------------------------------------------------- Centre Point Funding LLC, Asset-Backed Nts., Series 2010-1A, Cl. 1, 5.43%, 7/20/15(2) 50,651 53,097 -------------------------------------------------------------------------------------------------------- Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15 180,000 187,821 -------------------------------------------------------------------------------------------------------- Citibank Omni Master Trust, Credit Card Receivables, Series 2009-A13, Cl. A13, 5.35%, 8/15/18(2) 475,000 521,658 -------------------------------------------------------------------------------------------------------- CNH Wholesale Master Note Trust 2011-1, Equipment Nts., Series 2011-1, Cl. 1A, 1.042%, 1/20/41(3) 240,000 240,217 -------------------------------------------------------------------------------------------------------- Credit Acceptance Auto Loan Trust, Automobile Receivable Nts., Series 2012-1A, Cl. A, 2.20%, 9/16/19(2) 120,000 119,976 -------------------------------------------------------------------------------------------------------- DSC Floorplan Master Owner Trust, Automobile Receivable Nts., Series 2011-1, Cl. A, 3.91%, 3/15/16 210,000 213,110 -------------------------------------------------------------------------------------------------------- DT Auto Owner Trust 2009-1, Automobile Receivable Nts., Series 2009-1, Cl. A1, 2.98%, 10/15/15(2) 59,637 59,841 -------------------------------------------------------------------------------------------------------- DT Auto Owner Trust 2011-1A, Automobile Receivable Nts., Series 2011-1A, Cl. C, 3.05%, 8/15/15(2) 290,000 290,913 -------------------------------------------------------------------------------------------------------- DT Auto Owner Trust 2011-2A, Automobile Receivable Nts., Series 2011-2A, Cl. C, 3.05%, 7/15/13(2) 70,000 69,965 -------------------------------------------------------------------------------------------------------- DT Auto Owner Trust 2011-3A, Automobile Receivable Nts., Series 2011-3A, Cl. C, 4.03%, 12/15/41(2) 201,000 201,205 -------------------------------------------------------------------------------------------------------- Exeter Automobile Receivables Trust, Automobile Receivable Nts., Series 2012-1A, Cl. A, 2.02%, 8/15/16(4) 167,240 167,205 -------------------------------------------------------------------------------------------------------- First Investors Auto Owner Trust 2011-1, Automobile Receivable Nts., Series 2011-1, Cl. A2, 1.47%, 3/16/15 122,181 122,107 -------------------------------------------------------------------------------------------------------- Ford Credit Floorplan Master Owner Trust 2011-1, Asset-Backed Nts., Series 2011-1, Cl. A1, 2.12%, 2/15/16 255,000 260,975 -------------------------------------------------------------------------------------------------------- Ford Credit Floorplan Master Owner Trust, Automobile Receivable Nts., Series 2012-1, Cl. A, 0.712%, 1/15/16(3) 315,000 316,213 -------------------------------------------------------------------------------------------------------- GE Dealer Floorplan Master Note Trust, Asset-Backed Securities, Series 2009-2A, Cl. A, 2.024%, 10/20/14(2,3) 240,000 241,957 -------------------------------------------------------------------------------------------------------- Hertz Vehicle Financing LLC, Automobile Receivable Nts., Series 2010-1A, Cl. A1, 2.60%, 2/25/15(2) 315,000 320,739 -------------------------------------------------------------------------------------------------------- MBNA Credit Card Master Note Trust, Credit Card Receivables, Series 2003-C7, Cl. C7, 1.592%, 3/15/16(3) 255,000 256,938 -------------------------------------------------------------------------------------------------------- Rental Car Finance Corp., Automobile Receivable Nts., Series 2011-1A, Cl. A1, 2.51%, 2/25/16(2) 180,000 180,204 -------------------------------------------------------------------------------------------------------- Santander Drive Auto Receivables Trust 2010-2, Automobile Receivables Nts., Series 2010-2, Cl. A2, 0.95%, 8/15/13 49,160 49,170 -------------------------------------------------------------------------------------------------------- Santander Drive Auto Receivables Trust 2010-3, Automobile Receivables Nts., Series 2010-3, Cl. C, 3.06%, 11/15/17 235,000 235,728
4 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value ----------------------------------------------------------------------------------------------- Santander Drive Auto Receivables Trust 2010-A, Automobile Receivables Nts.: Series 2010-A, Cl. A2, 1.37%, 8/15/13(2) $ 65,516 $ 65,621 Series 2010-A, Cl. A3, 1.83%, 11/17/14(2) 235,000 236,731 ----------------------------------------------------------------------------------------------- Santander Drive Auto Receivables Trust 2011-1, Automobile Receivables Nts., Series 2011-1, Cl. D, 4.01%, 2/15/17 245,000 246,071 ----------------------------------------------------------------------------------------------- Santander Drive Auto Receivables Trust 2011-S1A, Automobile Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/17(4) 225,470 224,942 ----------------------------------------------------------------------------------------------- Santander Drive Auto Receivables Trust 2011-S2A, Automobile Receivables Nts., Series 2011-S2A, Cl. D, 3.35%, 6/15/17(2) 155,324 155,129 ----------------------------------------------------------------------------------------------- Santander Drive Auto Receivables Trust 2012-1, Automobile Receivables Nts., Series 2012-1, Cl. A2, 1.25%, 4/15/15 160,000 160,026 ----------------------------------------------------------------------------------------------- Santander Drive Auto Receivables Trust 2012-2, Automobile Receivables Nts., Series 2012-2, Cl. D, 5%, 2/15/18 240,000 240,552 ----------------------------------------------------------------------------------------------- Westlake Automobile Receivables Trust 2011-1, Automobile Receivables Nts., Series 2011-1, Cl. A3, 1.49%, 6/16/14(2) 105,000 105,241 ---------- Total Asset-Backed Securities (Cost $8,409,252) 8,467,502 ----------------------------------------------------------------------------------------------- MORTGAGE-BACKED OBLIGATIONS--25.5% ----------------------------------------------------------------------------------------------- GOVERNMENT AGENCY--20.0% ----------------------------------------------------------------------------------------------- FHLMC/FNMA/FHLB/SPONSORED--19.6% Federal Home Loan Mortgage Corp.: 4.50%, 4/1/42(5) 1,595,000 1,691,697 5.50%, 9/1/39 970,035 1,056,575 7%, 10/1/37 697,659 797,728 ----------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Series 2006-11, Cl. PS, 23.68%, 3/25/36(3) 193,067 293,145 Series 2426, Cl. BG, 6%, 3/15/17 267,100 287,477 Series 2427, Cl. ZM, 6.50%, 3/15/32 337,343 389,082 Series 2626, Cl. TB, 5%, 6/1/33 455,419 503,210 Series 3019, Cl. MD, 4.75%, 1/1/31 17,676 17,673 Series 3025, Cl. SJ, 23.864%, 8/15/35(3) 57,530 90,150 Series 3094, Cl. HS, 23.497%, 6/15/34(3) 115,098 165,603 Series 3242, Cl. QA, 5.50%, 3/1/30 6,343 6,342 Series 3822, Cl. JA, 5%, 6/1/40 383,903 412,838 Series 3848, Cl. WL, 4%, 4/1/40 279,179 293,643 ----------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 183, Cl. IO, 15.742%, 4/1/27(6) 137,315 30,282 Series 192, Cl. IO, 12.617%, 2/1/28(6) 38,425 7,386 Series 2130, Cl. SC, 50.594%, 3/15/29(6) 111,542 20,958 Series 243, Cl. 6, 0.583%, 12/15/32(6) 130,181 29,463 Series 2527, Cl. SG, 53.855%, 2/15/32(6) 3,117 8 Series 2531, Cl. ST, 99.999%, 2/15/30(6) 245,115 4,522 Series 2796, Cl. SD, 63.725%, 7/15/26(6) 159,650 28,566 Series 2802, Cl. AS, 87.784%, 4/15/33(6) 100,963 6,340 Series 2920, Cl. S, 66.452%, 1/15/35(6) 881,623 174,996 -----------------------------------------------------------------------------------------------
5 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value -------------------------------------------------------------------------------------------------------- FHLMC/FNMA/FHLB/SPONSORED CONTINUED Series 3110, Cl. SL, 99.999%, 2/15/26(6) $ 116,187 $ 14,896 Series 3450, Cl. BI, 10.188%, 5/15/38(6) 120,076 16,694 Series 3451, Cl. SB, 15.775%, 5/15/38(6) 654,599 81,126 Series 3662, Cl. SM, 24.714%, 10/15/32(6) 94,999 12,981 -------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 3.865%, 6/1/26(7) 38,961 34,426 -------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn.: 2.50%, 4/1/27(5) 3,390,000 3,437,672 3.50%, 4/1/27(5) 1,695,000 1,778,161 4%, 4/1/27-4/1/42(5) 4,015,000 4,213,338 4.50%, 4/1/27-4/1/42(5) 5,157,000 5,490,844 5%, 4/1/42(5) 4,362,000 4,712,324 5.50%, 9/25/20 8,830 9,710 5.50%, 4/1/27-4/1/42(5) 2,484,000 2,706,501 6%, 3/1/37 584,834 646,136 6%, 4/1/42(5) 790,000 870,481 6.50%, 4/1/42(5) 465,000 520,873 7%, 11/1/17 103,266 109,981 7.50%, 1/1/33 168,627 201,251 8.50%, 7/1/32 4,626 5,650 -------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., 15 yr., 3%, 4/1/27(5) 3,635,000 3,763,929 -------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., 30 yr., 3.50%, 4/1/42(5) 645,000 662,536 -------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Trust 1998-61, Cl. PL, 6%, 11/25/28 110,846 125,202 Trust 2004-101, Cl. BG, 5%, 1/25/20 646,272 692,875 Trust 2004-9, Cl. AB, 4%, 7/1/17 51,157 51,408 Trust 2005-104, Cl. MC, 5.50%, 12/25/25 700,000 777,016 Trust 2005-30, Cl. CU, 5%, 4/1/29 10,569 10,571 Trust 2005-69, Cl. LE, 5.50%, 11/1/33 223,524 233,322 Trust 2006-46, Cl. SW, 23.313%, 6/25/36(3) 137,030 206,917 Trust 2007-42, Cl. A, 6%, 2/1/33 314,120 330,433 Trust 2009-36, Cl. FA, 1.182%, 6/25/37(3) 339,386 344,487 Trust 2009-37, Cl. HA, 4%, 4/1/19 388,874 411,667 Trust 2009-70, Cl. PA, 5%, 8/1/35 472,452 486,030 Trust 2011-15, Cl. DA, 4%, 3/1/41 173,084 181,617 Trust 2011-3, Cl. KA, 5%, 4/1/40 269,562 294,825 -------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Trust 2001-65, Cl. S, 39.036%, 11/25/31(6) 303,413 58,959 Trust 2001-81, Cl. S, 30.324%, 1/25/32(6) 71,639 15,083 Trust 2002-47, Cl. NS, 36.092%, 4/25/32(6) 175,188 35,539 Trust 2002-51, Cl. S, 36.347%, 8/25/32(6) 160,864 32,634 Trust 2002-52, Cl. SD, 40.375%, 9/25/32(6) 201,727 41,738 Trust 2002-77, Cl. SH, 41.528%, 12/18/32(6) 106,284 22,013 Trust 2002-84, Cl. SA, 41.563%, 12/25/32(6) 280,995 50,937 Trust 2002-9, Cl. MS, 32.476%, 3/25/32(6) 113,765 23,135 Trust 2003-33, Cl. SP, 41.971%, 5/25/33(6) 323,977 47,792 --------------------------------------------------------------------------------------------------------
6 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value -------------------------------------------------------------------------------------------------------- FHLMC/FNMA/FHLB/SPONSORED CONTINUED Trust 2003-4, Cl. S, 37.239%, 2/25/33(6) $ 179,600 $ 29,433 Trust 2003-46, Cl. IH, 0%, 6/1/23(6,8) 968,152 122,320 Trust 2003-89, Cl. XS, 99.999%, 11/25/32(6) 72,091 2,991 Trust 2004-54, Cl. DS, 49.997%, 11/25/30(6) 167,156 30,770 Trust 2005-14, Cl. SE, 45.462%, 3/25/35(6) 128,785 20,567 Trust 2005-40, Cl. SA, 60.86%, 5/25/35(6) 476,340 91,194 Trust 2005-71, Cl. SA, 65.718%, 8/25/25(6) 485,110 65,793 Trust 2005-93, Cl. SI, 24.006%, 10/25/35(6) 93,082 13,294 Trust 2006-129, Cl. SM, 27.13%, 1/25/37(6) 572,492 88,130 Trust 2006-60, Cl. DI, 42.008%, 4/25/35(6) 76,871 10,340 Trust 2007-88, Cl. XI, 40.798%, 6/25/37(6) 516,887 72,662 Trust 2008-46, Cl. EI, 9.748%, 6/25/38(6) 119,726 17,064 Trust 2008-55, Cl. SA, 23.98%, 7/25/38(6) 367,099 50,682 Trust 2008-67, Cl. KS, 62.832%, 8/25/34(6) 185,226 14,752 Trust 2009-8, Cl. BS, 17.59%, 2/25/24(6) 86,262 9,284 Trust 222, Cl. 2, 24.186%, 6/1/23(6) 298,093 61,684 Trust 233, Cl. 2, 43.61%, 8/1/23(6) 291,300 57,550 Trust 252, Cl. 2, 37.406%, 11/1/23(6) 251,700 55,688 Trust 319, Cl. 2, 5.477%, 2/1/32(6) 75,994 14,666 Trust 331, Cl. 9, 13.173%, 2/1/33(6) 243,781 48,592 Trust 334, Cl. 17, 20.827%, 2/1/33(6) 142,322 30,118 Trust 339, Cl. 12, 2.496%, 7/1/33(6) 236,978 46,781 Trust 339, Cl. 7, 0%, 7/1/33(6,8) 781,126 122,521 Trust 343, Cl. 13, 6.299%, 9/1/33(6) 227,097 37,227 Trust 345, Cl. 9, 99.999%, 1/1/34(6) 277,873 39,132 Trust 351, Cl. 10, 10.519%, 4/1/34(6) 33,121 5,256 Trust 351, Cl. 8, 5.137%, 4/1/34(6) 104,928 16,934 Trust 356, Cl. 10, 0%, 6/1/35(6,8) 82,982 13,008 Trust 356, Cl. 12, 0%, 2/1/35(6,8) 43,583 6,775 Trust 362, Cl. 13, 1.46%, 8/1/35(6) 317,090 59,788 Trust 364, Cl. 16, 3.44%, 9/1/35(6) 226,309 40,058 -------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Trust 1993-184, Cl. M, 4.399%, 9/25/23(7) 110,496 92,789 ---------- 41,459,237 -------------------------------------------------------------------------------------------------------- GNMA/GUARANTEED--0.2% Government National Mortgage Assn., 8%, 4/15/23 49,476 58,359 -------------------------------------------------------------------------------------------------------- Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Series 2001-21, Cl. SB, 90.569%, 1/16/27(6) 203,644 37,429 Series 2002-15, Cl. SM, 79.834%, 2/16/32(6) 235,067 44,602 Series 2002-76, Cl. SY, 82.687%, 12/16/26(6) 519,614 103,675 Series 2004-11, Cl. SM, 77.676%, 1/17/30(6) 190,204 41,316 Series 2007-17, Cl. AI, 21.522%, 4/16/37(6) 459,003 93,361 Series 2011-52, Cl. HS, 7.51%, 4/16/41(6) 225,289 52,878 ---------- 431,620
7 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value -------------------------------------------------------------------------------------------------------- OTHER AGENCY--0.2% NCUA Guaranteed Notes Trust 2010-R3, Gtd. Nts., Series 2010-R3, Cl. 2A, 0.826%, 12/8/20(3) $ 340,466 $ 341,930 NON-AGENCY--5.5% -------------------------------------------------------------------------------------------------------- COMMERCIAL--3.7% Banc of America Commercial Mortgage Trust 2007-1, Commercial Mtg. Pass-Through Certificates, Series 2007-1, Cl. A4, 5.451%, 1/1/49 355,000 401,627 -------------------------------------------------------------------------------------------------------- Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2007-3, Cl. A4, 5.633%, 6/1/49(3) 180,000 200,663 -------------------------------------------------------------------------------------------------------- Bear Stearns ARM Trust 2007-4, Mtg. Pass-Through Certificates, Series 2007-4, Cl. 22A1, 5.589%, 6/1/47(3) 235,228 171,376 -------------------------------------------------------------------------------------------------------- Bear Stearns Commercial Mortgage Securities Trust 2007-PWR17, Commercial Mtg. Pass-Through Certificates, Series 2007-PWR17, Cl. AM, 5.915%, 6/1/50(3) 205,000 215,478 -------------------------------------------------------------------------------------------------------- CFCRE Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2011-C1, Cl. A1, 1.871%, 4/1/44(2) 64,009 64,328 -------------------------------------------------------------------------------------------------------- CHL Mortgage Pass-Through Trust 2007-J3, Mtg. Pass-Through Certificates, Series 2007-J3, Cl. A9, 6%, 7/1/37 49,112 39,380 -------------------------------------------------------------------------------------------------------- Citigroup Commercial Mortgage Trust 2008-C7, Commercial Mtg. Pass-Through Certificates, Series 2008-C7, Cl. A4, 6.074%, 12/1/49(3) 300,000 349,196 -------------------------------------------------------------------------------------------------------- Citigroup, Inc./Deutsche Bank 2007-CD4 Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2007-CD4, Cl. A4, 5.322%, 12/1/49 290,000 318,411 -------------------------------------------------------------------------------------------------------- Deutsche Alt-B Securities, Inc., Mtg. Pass-Through Certificates, Series 2006-AB4, Cl. A1A, 6.005%, 10/25/36 229,241 132,162 -------------------------------------------------------------------------------------------------------- Deutsche Mortgage & Asset Receiving, Commercial Mtg. Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security, Series 2010-C1, Cl. XPA, 4.721%, 9/1/20(2,6) 2,197,256 152,577 -------------------------------------------------------------------------------------------------------- First Horizon Alternative Mortgage Securities Trust 2004-FA2, Mtg. Pass-Through Certificates, Series 2004-FA2, Cl. 3A1, 6%, 1/25/35 239,826 229,871 -------------------------------------------------------------------------------------------------------- First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 442,312 281,316 -------------------------------------------------------------------------------------------------------- Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2006-GG7, Commercial Mtg. Pass-Through Certificates, Series 2006-GG7, Cl. AM, 5.883%, 7/1/38(3) 395,000 412,506 -------------------------------------------------------------------------------------------------------- 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 77,579 -------------------------------------------------------------------------------------------------------- Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2007-GG9, Commercial Mtg. Pass-Through Certificates, Series 2007-GG9, Cl. AM, 5.475%, 3/1/39 235,000 234,080 -------------------------------------------------------------------------------------------------------- GS Mortgage Securities Corp. II, Commercial Mtg. Obligations, Series 2011-GC3, Cl. A1, 2.331%, 3/1/44 172,371 175,935 -------------------------------------------------------------------------------------------------------- GS Mortgage Securities Trust 2006-GG6, Commercial Mtg. Pass-Through Certificates, Series 2006-GG6, Cl. AM, 5.622%, 4/1/38 192,377 199,024 --------------------------------------------------------------------------------------------------------
8 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value -------------------------------------------------------------------------------------------------------- COMMERCIAL CONTINUED -------------------------------------------------------------------------------------------------------- IndyMac Index Mortgage Loan Trust 2005-AR23, Mtg. Pass-Through Certificates, Series 2005-AR23, Cl. 6A1, 5.051%, 11/1/35(3) $ 308,008 $ 226,352 -------------------------------------------------------------------------------------------------------- JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: Series 2011-C3, Cl. A1, 1.875%, 2/1/46(2) 200,048 202,087 Series 2007-LDPX, Cl. A2S2, 5.187%, 1/1/49(4) 114,430 116,146 Series 2007-LDP10, Cl. A3S, 5.317%, 1/1/49 355,000 369,726 Series 2007-LDPX, Cl. A3, 5.42%, 1/15/49 40,000 44,532 Series 2007-LD11, Cl. A2, 5.801%, 6/15/49(3) 260,219 261,677 -------------------------------------------------------------------------------------------------------- JPMorgan Mortgage Trust 2007-S3, Mtg. Pass-Through Certificates, Series 2007-S3, Cl. 1A90, 7%, 8/1/37 325,554 282,048 -------------------------------------------------------------------------------------------------------- LB-UBS Commercial Mortgage Trust 2007-C1, Commercial Mtg. Pass-Through Certificates, Series 2007-C1, Cl. A2, 5.318%, 2/11/40 73,105 73,100 -------------------------------------------------------------------------------------------------------- LB-UBS Commercial Mortgage Trust 2007-C6, Commercial Mtg. Pass-Through Certificates, Series 2007-C6, Cl. A4, 5.858%, 7/11/40 415,000 471,531 -------------------------------------------------------------------------------------------------------- Mastr Adjustable Rate Mortgages Trust 2004-13, Mtg. Pass-Through Certificates, Series 2004-13, Cl. 2A2, 2.658%, 4/1/34(3) 188,936 192,223 -------------------------------------------------------------------------------------------------------- Mastr Alternative Loan Trust 2004-6, Mtg. Pass-Through Certificates, Series 2004-6, Cl. 10A1, 6%, 7/25/34 466,429 479,883 -------------------------------------------------------------------------------------------------------- Merrill Lynch Mortgage Trust 2006-C2, Commercial Mtg. Pass-Through Certificates, Series 2006-C2, Cl. AM, 5.782%, 8/1/43 195,000 202,833 -------------------------------------------------------------------------------------------------------- Morgan Stanley Capital I Trust 2007-IQ15, Commercial Mtg. Pass-Through Certificates, Series 2007-IQ15, Cl. AM, 5.882%, 6/1/49(3) 230,000 227,978 -------------------------------------------------------------------------------------------------------- Structured Adjustable Rate Mortgage Loan Trust, Mtg. Pass-Through Certificates, Series 2007-6, Cl. 3A1, 4.957%, 7/1/37(3) 301,256 202,895 -------------------------------------------------------------------------------------------------------- Wachovia Bank Commercial Mortgage Trust 2007-C34, Commercial Mtg. Pass-Through Certificates, Series 2007-C34, Cl. A3, 5.678%, 5/1/46 260,000 296,256 -------------------------------------------------------------------------------------------------------- WaMu Mortgage Pass-Through Certificates 2005-AR14 Trust, Mtg. Pass-Through Certificates, Series 2005-AR14, Cl. 1A4, 2.46%, 12/1/35(3) 149,915 131,324 -------------------------------------------------------------------------------------------------------- Wells Fargo Mortgage-Backed Securities 2007-AR8 Trust, Mtg. Pass-Through Certificates, Series 2007-AR8, Cl. A1, 6.021%, 11/1/37(3) 204,840 168,751 -------------------------------------------------------------------------------------------------------- WFRBS Commercial Mortgage Trust 2011-C3, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2011-C3, Cl. XA, 8.956%, 3/1/44(6) 2,821,702 248,983 ---------- 7,853,834 -------------------------------------------------------------------------------------------------------- MULTIFAMILY-0.3% Citigroup Mortgage Loan Trust, Inc. 2006-AR3, Mtg. Pass-Through Certificates, Series 2006-AR3, Cl. 1A2A, 5.652%, 6/1/36(3) 195,380 172,541 -------------------------------------------------------------------------------------------------------- JPMorgan Mortgage Trust 2007-A3, Mtg. Pass-Through Certificates, Series 2007-A3, Cl. 3A2M, 5.178%, 5/1/37(3) 41,305 35,957 --------------------------------------------------------------------------------------------------------
9 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value -------------------------------------------------------------------------------------------------------- MULTIFAMILY CONTINUED Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg. Pass-Through Certificates, Series 2006-AR6, Cl. 3A1, 2.668%, 3/25/36(3) $ 507,935 $ 434,721 --------- 643,219 -------------------------------------------------------------------------------------------------------- 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%, 3/1/39 400,000 441,864 -------------------------------------------------------------------------------------------------------- RESIDENTIAL--1.3% Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2007-4, Cl. AM, 5.791%, 2/1/51(3) 215,000 215,857 -------------------------------------------------------------------------------------------------------- Banc of America Funding 2007-C Trust, Mtg. Pass-Through Certificates, Series 2007-C, Cl. 1A4, 5.538%, 5/1/36(3) 80,000 76,527 -------------------------------------------------------------------------------------------------------- Banc of America Mortgage Securities, Inc., Mtg. Pass-Through Certificates, Series 2004-E, Cl. 2A6, 2.868%, 6/1/34(3) 124,557 118,803 -------------------------------------------------------------------------------------------------------- Carrington Mortgage Loan Trust, Asset-Backed Pass-Through Certificates, Series 2006-FRE1, Cl. A2, 0.352%, 7/25/36(3) 164,095 151,353 -------------------------------------------------------------------------------------------------------- CHL Mortgage Pass-Through Trust 2005-29, Mtg. Pass-Through Certificates, Series 2005-29, Cl. A1, 5.75%, 12/1/35 59,629 52,384 -------------------------------------------------------------------------------------------------------- CHL Mortgage Pass-Through Trust 2006-6, Mtg. Pass-Through Certificates, Series 2006-6, Cl. A3, 6%, 4/1/36 145,384 142,226 -------------------------------------------------------------------------------------------------------- Countrywide Alternative Loan Trust 2005-29CB, Mtg. Pass-Through Certificates, Series 2005-29CB, Cl. A4, 5%, 7/1/35 670,130 497,603 -------------------------------------------------------------------------------------------------------- Countrywide Alternative Loan Trust 2007-19, Mtg. Pass-Through Certificates, Series 2007-19, Cl. 1A34, 6%, 8/1/37 189,183 136,174 -------------------------------------------------------------------------------------------------------- Countrywide Home Loans, Asset-Backed Certificates: Series 2002-4, Cl. A1, 0.982%, 2/25/33(3) 5,574 5,416 Series 2005-16, Cl. 2AF2, 5.343%, 5/1/36(3) 209,902 162,692 -------------------------------------------------------------------------------------------------------- CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 0.362%, 6/25/47(3) 367,002 328,297 -------------------------------------------------------------------------------------------------------- GSR Mortgage Loan Trust 2006-5F, Mtg. Pass-Through Certificates, Series 2006-5F, Cl. 2A1, 6%, 6/1/36 146,612 142,261 -------------------------------------------------------------------------------------------------------- JPMorgan Alternative Loan Trust 2006-S4, Mtg. Pass-Through Certificates, Series 2006-S4, Cl. A6, 5.71%, 12/1/36 117,398 104,000 -------------------------------------------------------------------------------------------------------- RALI Series 2003-QS1 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 104,520 108,416 -------------------------------------------------------------------------------------------------------- RALI Series 2006-QS13 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 23,391 15,909 -------------------------------------------------------------------------------------------------------- Residential Asset Securitization Trust 2005-A15, Mtg. Pass-Through Certificates, Series 2005-A15, Cl. 1A4, 5.75%, 2/1/36 38,757 30,957 -------------------------------------------------------------------------------------------------------- WaMu Mortgage Pass-Through Certificates 2007-HY5 Trust, Mtg. Pass-Through Certificates, Series 2007-HY5, Cl. 3A1, 5.388%, 5/1/37(3) 193,421 173,883 -------------------------------------------------------------------------------------------------------- Wells Fargo Alternative Loan 2007-PA5 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-PA5, Cl. 1A1, 6.25%, 11/1/37 168,933 154,768 --------------------------------------------------------------------------------------------------------
10 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value ------------------------------------------------------------------------------------------------ RESIDENTIAL CONTINUED Wells Fargo Mortgage-Backed Securities 2006-AR14 Trust, Mtg. Pass-Through Certificates, Series 2006-AR14, Cl. 1A2, 5.669%, 10/1/36(3) $ 188,606 $ 171,222 ----------- 2,788,748 ----------- Total Mortgage-Backed Obligations (Cost $52,679,441) 53,960,452 ------------------------------------------------------------------------------------------------ U.S. GOVERNMENT OBLIGATIONS--0.7% Federal Home Loan Mortgage Corp. Nts.: 2%, 8/25/16 65,000 67,616 2.375%, 1/13/22 410,000 403,187 2.50%, 5/27/16 100,000 106,278 5%, 2/16/17 115,000 135,684 5.25%, 4/18/16(9) 195,000 228,182 5.50%, 7/18/16 110,000 131,019 ------------------------------------------------------------------------------------------------ Federal National Mortgage Assn. Nts.: 1.125%, 4/27/17 358,000 356,036 5.375%, 6/12/17 100,000 120,494 ----------- Total U.S. Government Obligations (Cost $1,514,219) 1,548,496 ------------------------------------------------------------------------------------------------ NON-CONVERTIBLE CORPORATE BONDS AND NOTES--18.5% CONSUMER DISCRETIONARY-3.0% ------------------------------------------------------------------------------------------------ AUTO COMPONENTS--0.1% Dana Holding Corp., 6.75% Sr. Unsec. Nts., 2/15/21 194,000 207,580 ------------------------------------------------------------------------------------------------ AUTOMOBILES--0.3% Daimler Finance North America LLC, 2.30% Sr. Unsec. Nts., 1/9/15(2) 156,000 160,044 ------------------------------------------------------------------------------------------------ DaimlerChrysler NA Holdings Corp., 8.50% Nts., 1/18/31 110,000 160,194 ------------------------------------------------------------------------------------------------ Ford Motor Credit Co. LLC, 5.875% Sr. Unsec. Nts., 8/2/21 236,000 254,916 ----------- 575,154 ------------------------------------------------------------------------------------------------ DIVERSIFIED CONSUMER SERVICES-0.1% Service Corp. International, 6.75% Sr. Unsec. Nts., 4/1/15 231,000 253,523 ------------------------------------------------------------------------------------------------ HOTELS, RESTAURANTS & LEISURE-0.3% Darden Restaurants, Inc., 4.50% Sr. Unsec. Unsub. Nts., 10/15/21 109,000 111,994 ------------------------------------------------------------------------------------------------ Hyatt Hotels Corp., 5.75% Sr. Unsec. Unsub. Nts., 349,000 383,812 8/15/15(2) ------------------------------------------------------------------------------------------------ Starwood Hotels & Resorts Worldwide, Inc., 7.15% Sr. Unsec. Unsub. Nts., 12/1/19 53,000 63,070 ----------- 558,876 ------------------------------------------------------------------------------------------------ HOUSEHOLD DURABLES--0.4% Jarden Corp., 6.125% Sr. Unsec. Nts., 11/15/22 217,000 228,393 ------------------------------------------------------------------------------------------------ Newell Rubbermaid, Inc., 5.50% Sr. Unsec. Nts., 4/15/13 223,000 232,587 ------------------------------------------------------------------------------------------------ Whirlpool Corp.: 5.50% Sr. Unsec. Unsub. Nts., 3/1/13 90,000 93,299 8% Sr. Unsec. Nts., 5/1/12 180,000 180,919 ----------- 735,198 ------------------------------------------------------------------------------------------------ LEISURE EQUIPMENT & PRODUCTS-0.1% Mattel, Inc., 5.625% Sr. Unsec. Nts., 3/15/13 215,000 224,935 ------------------------------------------------------------------------------------------------ MEDIA-1.0% CBS Corp., 3.375% Sr. Unsec. Unsub. Nts., 3/1/22 108,000 104,428 ------------------------------------------------------------------------------------------------
11 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value -------------------------------------------------------------------------------------------------- MEDIA CONTINUED -------------------------------------------------------------------------------------------------- Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22 $ 138,000 $ 200,354 -------------------------------------------------------------------------------------------------- CSC Holdings, Inc., 7.625% Sr. Unsec. Debs., 7/15/18 200,000 224,000 -------------------------------------------------------------------------------------------------- DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.: 5.15% Sr. Unsec. Nts., 3/15/42(2) 118,000 115,023 7.625% Sr. Unsec. Unsub. Nts., 5/15/16 21,000 22,017 -------------------------------------------------------------------------------------------------- Dish DBS Corp., 6.75% Sr. Unsec. Nts., 6/1/21 213,000 230,573 -------------------------------------------------------------------------------------------------- Historic TW, Inc., 9.125% Debs., 1/15/13 78,000 82,800 -------------------------------------------------------------------------------------------------- Interpublic Group of Cos., Inc. (The): 4% Sr. Nts., 3/15/22 63,000 61,790 6.25% Sr. Unsec. Nts., 11/15/14 80,000 87,600 10% Sr. Unsec. Nts., 7/15/17 219,000 251,850 -------------------------------------------------------------------------------------------------- News America, Inc., 6.15% Sr. Unsec. Nts., 2/15/41 73,000 83,673 -------------------------------------------------------------------------------------------------- Time Warner Entertainment Co. LP, 8.375% Sr. Nts., 7/15/33 122,000 163,049 -------------------------------------------------------------------------------------------------- Virgin Media Secured Finance plc: 5.25% Sr. Sec. Nts., 1/15/21 132,000 142,102 6.50% Sr. Sec. Nts., 1/15/18 282,000 307,733 ---------- 2,076,992 -------------------------------------------------------------------------------------------------- MULTILINE RETAIL--0.2% Family Dollar Stores, Inc., 5% Sr. Unsec. Nts., 2/1/21 127,000 133,008 -------------------------------------------------------------------------------------------------- Macy's Retail Holdings, Inc., 5.75% Sr. Unsec. Nts., 7/15/14 336,000 368,470 ---------- 501,478 -------------------------------------------------------------------------------------------------- SPECIALTY RETAIL--0.4% Limited Brands, Inc., 6.625% Sr. Nts., 4/1/21 212,000 230,815 -------------------------------------------------------------------------------------------------- Rent-A-Center, Inc., 6.625% Sr. Unsec. Nts., 11/15/20 240,000 250,200 -------------------------------------------------------------------------------------------------- Sally Holdings LLC/Sally Capital, Inc., 6.875% Sr. Unsec. Nts., 11/15/19(2) 217,000 232,190 -------------------------------------------------------------------------------------------------- Staples, Inc., 9.75% Sr. Unsec. Unsub. Nts., 1/15/14 183,000 207,999 ---------- 921,204 -------------------------------------------------------------------------------------------------- TEXTILES, APPAREL & LUXURY GOODS--0.1% Phillips-Van Heusen Corp., 7.375% Sr. Unsec. Unsub. Nts., 5/15/20 186,000 205,995 -------------------------------------------------------------------------------------------------- CONSUMER STAPLES--1.2% -------------------------------------------------------------------------------------------------- BEVERAGES--0.3% Anheuser-Busch InBev Worldwide, Inc., 8.20% Sr. Unsec. Unsub. Nts., 1/15/39 84,000 127,491 -------------------------------------------------------------------------------------------------- Fortune Brands, Inc., 6.375% Sr. Unsec. Unsub. Nts., 6/15/14 58,000 63,812 -------------------------------------------------------------------------------------------------- Pernod-Ricard SA, 4.25% Sr. Unsec. Nts., 7/15/22(2) 206,000 206,875 -------------------------------------------------------------------------------------------------- SABMiller Holdings, Inc., 4.95% Sr. Unsec. Nts., 1/15/42 133,000 137,878 ---------- 536,056 -------------------------------------------------------------------------------------------------- FOOD & STAPLES RETAILING--0.2% Delhaize Group: 5.70% Sr. Unsec. Nts., 10/1/40 63,000 58,266 5.875% Sr. Unsec. Unsub. Bonds, 2/1/14 187,000 201,152 -------------------------------------------------------------------------------------------------- Kroger Co. (The), 5% Sr. Nts., 4/15/13 199,000 207,440 ---------- 466,858 -------------------------------------------------------------------------------------------------- FOOD PRODUCTS--0.4% Bunge Ltd. Finance Corp.: 5.35% Sr. Unsec. Unsub. Nts., 4/15/14 29,000 30,770
12 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value -------------------------------------------------------------------------------------------------- FOOD PRODUCTS CONTINUED -------------------------------------------------------------------------------------------------- 8.50% Sr. Unsec. Nts., 6/15/19 $ 155,000 $ 189,558 -------------------------------------------------------------------------------------------------- Kraft Foods, Inc.: 6% Sr. Unsec. Nts., 2/11/13 207,000 216,309 6.50% Sr. Unsec. Unsub. Nts., 2/9/40 120,000 147,748 -------------------------------------------------------------------------------------------------- TreeHouse Foods, Inc., 7.75% Sr. Unsec. Nts., 3/1/18 240,000 260,700 ---------- 845,085 -------------------------------------------------------------------------------------------------- TOBACCO--0.3% Altria Group, Inc., 10.20% Sr. Unsec. Nts., 2/6/39 177,000 274,557 -------------------------------------------------------------------------------------------------- Lorillard Tobacco Co., 7% Sr. Unsec. Nts., 8/4/41 149,000 160,355 -------------------------------------------------------------------------------------------------- Reynolds American, Inc., 7.25% Sr. Sec. Nts., 6/1/13 214,000 228,054 ---------- 662,966 -------------------------------------------------------------------------------------------------- ENERGY--2.2% -------------------------------------------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES--0.6% Ensco plc, 4.70% Sr. Unsec. Nts., 3/15/21 235,000 253,910 -------------------------------------------------------------------------------------------------- Nabors Industries, Inc., 6.15% Sr. Unsec. Unsub. Nts., 2/15/18 286,000 334,066 -------------------------------------------------------------------------------------------------- Noble Holding International Ltd., 7.375% Sr. Unsec. Bonds, 3/15/14 185,000 205,298 -------------------------------------------------------------------------------------------------- Precision Drilling Corp.: 6.50% Sr. Unsec. Nts., 12/15/21(2) 102,000 107,100 6.625% Sr. Unsec. Nts., 11/15/20 97,000 102,093 -------------------------------------------------------------------------------------------------- Rowan Cos., Inc., 5% Sr. Unsec. Nts., 9/1/17 244,000 260,002 ---------- 1,262,469 -------------------------------------------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS--1.6% Anadarko Petroleum Corp., 6.20% Sr. Unsec. Nts., 3/15/40 145,000 164,395 -------------------------------------------------------------------------------------------------- Canadian Oil Sands Ltd., 5.80% Sr. Unsec. Nts., 8/15/13(2) 213,000 224,996 -------------------------------------------------------------------------------------------------- El Paso Pipeline Partners LP, 6.50% Sr. Unsec. Nts., 4/1/20 330,000 370,309 -------------------------------------------------------------------------------------------------- Energy Transfer Partners LP: 4.65% Sr. Unsec. Unsub. Nts., 6/1/21 172,000 175,489 5.20% Sr. Unsec. Unsub. Nts., 2/1/22 61,000 63,912 -------------------------------------------------------------------------------------------------- Enterprise Products Operating LLC, 4.85% Sr. Unsec. Unsub. Nts., 8/15/42 115,000 109,911 -------------------------------------------------------------------------------------------------- Kaneb Pipe Line Operating Partnership LP, 5.875% Sr. Unsec. Nts., 6/1/13 383,000 398,517 -------------------------------------------------------------------------------------------------- Newfield Exploration Co., 6.875% Sr. Unsec. Sub. Nts., 2/1/20 207,000 217,868 -------------------------------------------------------------------------------------------------- Nexen, Inc., 6.40% Sr. Unsec. Unsub. Bonds, 5/15/37 245,000 269,512 -------------------------------------------------------------------------------------------------- Phillips 66, 4.30% Unsec. Nts., 4/1/22(2) 144,000 146,714 -------------------------------------------------------------------------------------------------- Plains All American Pipeline LP/PAA Finance Corp., 5.15% Sr. Unsec. Unsub. Nts., 6/1/42 118,000 115,344 -------------------------------------------------------------------------------------------------- Range Resources Corp., 8% Sr. Unsec. Sub. Nts., 5/15/19 212,000 233,730 -------------------------------------------------------------------------------------------------- Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.50% Sr. Sec. Nts., 9/30/14(2) 195,000 210,844 -------------------------------------------------------------------------------------------------- Rockies Express Pipeline LLC, 3.90% Sr. Unsec. Unsub. Nts., 4/15/15(2) 219,000 203,670 -------------------------------------------------------------------------------------------------- Southwestern Energy Co., 4.10% Sr. Unsec. Nts., 3/15/22(2) 107,000 106,236 -------------------------------------------------------------------------------------------------- Woodside Finance Ltd.: 4.60% Sr. Unsec. Nts., 5/10/21(2) 165,000 171,870 5% Sr. Unsec. Nts., 11/15/13(2) 209,000 219,563 ---------- 3,402,880
13 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value --------------------------------------------------------------------------------------------------- FINANCIALS--6.6% --------------------------------------------------------------------------------------------------- CAPITAL MARKETS--1.4% Blackstone Holdings Finance Co. LLC, 6.625% Sr. Unsec. Nts., 8/15/19(2) $ 405,000 $ 433,565 --------------------------------------------------------------------------------------------------- Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 232,000 216,585 --------------------------------------------------------------------------------------------------- Goldman Sachs Group, Inc. (The): 5.25% Sr. Unsec. Nts., 7/27/21 182,000 180,427 5.75% Sr. Unsec. Nts., 1/24/22 130,000 133,936 6.25% Sr. Nts., 2/1/41 206,000 203,564 --------------------------------------------------------------------------------------------------- Macquarie Bank Ltd.: 5% Sr. Nts., 2/22/17(2) 66,000 66,559 6.625% Unsec. Sub. Nts., 4/7/21(2) 314,000 315,623 --------------------------------------------------------------------------------------------------- Morgan Stanley: 5.50% Sr. Unsec. Unsub. Nts., 7/24/20(2) 114,000 111,408 5.625% Sr. Unsec. Nts., 9/23/19 505,000 499,753 --------------------------------------------------------------------------------------------------- Nomura Holdings, Inc.: 4.125% Sr. Unsec. Unsub. Nts., 1/19/16 223,000 224,961 6.70% Sr. Unsec. Nts., 3/4/20 19,000 20,588 --------------------------------------------------------------------------------------------------- Raymond James Financial, Inc., 5.625% Sr. Nts., 4/1/24 211,000 215,594 --------------------------------------------------------------------------------------------------- TD Ameritrade Holding Corp., 2.95% Sr. Unsec. Unsub. Nts., 12/1/12 237,000 240,502 --------------------------------------------------------------------------------------------------- UBS AG Stamford CT, 2.25% Sr. Unsec. Nts., 8/12/13 94,000 94,617 ----------- 2,957,682 --------------------------------------------------------------------------------------------------- COMMERCIAL BANKS--1.6% ANZ National International Ltd., 2.375% Sr. Unsec. Nts., 12/21/12(2) 258,000 260,983 --------------------------------------------------------------------------------------------------- Fifth Third Cap Trust IV, 6.50% Jr. Unsec. Sub. Nts., 4/15/37 433,000 433,000 --------------------------------------------------------------------------------------------------- HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/35(3) 550,000 518,738 --------------------------------------------------------------------------------------------------- Lloyds TSB Bank plc, 6.50% Unsec. Sub. Nts., 9/14/20(2) 377,000 373,419 --------------------------------------------------------------------------------------------------- Mercantile Bankshares Corp., 4.625% Unsec. Sub. Nts., Series B, 4/15/13 147,000 152,042 --------------------------------------------------------------------------------------------------- Nordea Bank AB, 3.125% Sr. Nts., 3/20/17(2) 395,000 395,773 --------------------------------------------------------------------------------------------------- Sumitomo Mitsui Banking Corp., 8% Unsec. Sub. Nts., 6/15/12 227,000 229,598 --------------------------------------------------------------------------------------------------- Wells Fargo & Co., 7.98% Jr. Sub. Perpetual Bonds, Series K(10) 557,000 609,219 --------------------------------------------------------------------------------------------------- Zions Bancorp, 7.75% Sr. Unsec. Nts., 9/23/14 179,000 196,116 --------------------------------------------------------------------------------------------------- Zions Bancorp., 4.50% Sr. Unsec. Unsub. Nts., 3/27/17 150,000 149,194 ---------- 3,318,082 --------------------------------------------------------------------------------------------------- CONSUMER FINANCE--0.4% American Express Bank FSB, 5.50% Sr. Unsec. Nts., 4/16/13 223,000 233,502 --------------------------------------------------------------------------------------------------- Discover Bank, 8.70% Unsec. Sub. Nts., 11/18/19 307,000 382,472 --------------------------------------------------------------------------------------------------- SLM Corp., 6.25% Sr. Nts., 1/25/16 324,000 337,187 ---------- 953,161 --------------------------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES--1.0% Bank of America Corp., 5.70% Sr. Unsec. Unsub. Nts., 1/24/22 225,000 238,541 --------------------------------------------------------------------------------------------------- Citigroup, Inc., 6.125% Sr. Unsec. Unsub. Nts., 11/21/17 349,000 389,915 --------------------------------------------------------------------------------------------------- ING Bank NV: 3.75% Unsec. Nts., 3/7/17(2) 218,000 216,115 5% Sr. Unsec. Nts., 6/9/21(2) 159,000 161,706 --------------------------------------------------------------------------------------------------- JPMorgan Chase & Co., 7.90% Perpetual Bonds, Series 1(10) 696,000 765,128 ---------------------------------------------------------------------------------------------------
14 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value -------------------------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES CONTINUED Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Bonds, 5/14/38 $ 304,000 $ 331,949 ---------- 2,103,354 -------------------------------------------------------------------------------------------------- INSURANCE--1.7% American International Group, Inc., 3.80% Unsec. Nts., 3/22/17 149,000 151,007 -------------------------------------------------------------------------------------------------- Burlington Northern Santa Fe LLC, 5.75% Sr. Unsec. Bonds, 5/1/40 65,000 74,256 -------------------------------------------------------------------------------------------------- CNA Financial Corp.: 5.75% Sr. Unsec. Unsub. Nts., 8/15/21 197,000 210,235 5.875% Sr. Unsec. Unsub. Bonds, 8/15/20 114,000 122,369 -------------------------------------------------------------------------------------------------- Gulf South Pipeline Co. LP, 5.75% Sr. Unsec. Nts., 8/15/12(2) 212,000 214,916 -------------------------------------------------------------------------------------------------- International Lease Finance Corp., 5.75% Sr. Unsec. Unsub. Nts., 5/15/16 228,000 227,909 -------------------------------------------------------------------------------------------------- Irish Life & Permanent Group Holdings plc, 3.60% Sr. Unsec. Unsub. Nts., 1/14/13(2) 120,000 117,600 -------------------------------------------------------------------------------------------------- Liberty Mutual Group, Inc., 5% Sr. Nts., 6/1/21(2) 342,000 342,027 -------------------------------------------------------------------------------------------------- Lincoln National Corp., 6.05% Jr. Unsec. Sub. Bonds, 4/20/67 466,000 438,040 -------------------------------------------------------------------------------------------------- Prudential Covered Trust 2012-1, 2.997% Sec. Nts., 9/30/15(2) 277,000 280,358 -------------------------------------------------------------------------------------------------- Swiss Re Capital I LP, 6.854% Perpetual Bonds(2,10) 455,000 429,809 -------------------------------------------------------------------------------------------------- Unum Group, 5.625% Sr. Unsec. Unsub. Nts., 9/15/20 349,000 369,861 -------------------------------------------------------------------------------------------------- Willis Group Holdings plc, 4.125% Sr. Unsec. Unsub. Nts., 3/15/16 241,000 245,151 -------------------------------------------------------------------------------------------------- ZFS Finance USA Trust V, 6.50% Jr. Sub. Bonds, 5/9/37(2,3) 394,000 382,180 ---------- 3,605,718 -------------------------------------------------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS--0.5% American Tower Corp.: 5.05% Sr. Unsec. Unsub. Nts., 9/1/20 50,000 51,736 7% Sr. Unsec. Nts., 10/15/17 198,000 230,923 -------------------------------------------------------------------------------------------------- Brandywine Operating Partnership LP, 5.75% Sr. Unsec. Unsub. Nts., 4/1/12 123,000 123,000 -------------------------------------------------------------------------------------------------- CommonWealth REIT, 5.75% Sr. Unsec. Unsub. Bonds, 2/15/14 198,000 204,927 -------------------------------------------------------------------------------------------------- Duke Realty LP, 6.25% Sr. Unsec. Unsub. Nts., 5/15/13 216,000 226,604 -------------------------------------------------------------------------------------------------- WEA Finance LLC/WT Finance Aust Pty Ltd., 7.50% Sr. Unsec. Nts., 6/2/14(2) 190,000 209,911 ---------- 1,047,101 -------------------------------------------------------------------------------------------------- HEALTH CARE--0.5% -------------------------------------------------------------------------------------------------- BIOTECHNOLOGY--0.2% Celgene Corp., 5.70% Sr. Unsec. Nts., 10/15/40 145,000 151,965 -------------------------------------------------------------------------------------------------- Gilead Sciences, Inc., 5.65% Sr. Unsec. Nts., 12/1/41 112,000 119,709 ---------- 271,674 -------------------------------------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES--0.2% Aristotle Holding, Inc., 3.90% Unsec. Nts., 2/15/22(2) 148,000 149,834 -------------------------------------------------------------------------------------------------- McKesson Corp., 6% Sr. Unsec. Unsub. Nts., 3/1/41 124,000 154,166 -------------------------------------------------------------------------------------------------- Quest Diagnostics, Inc., 5.75% Sr. Unsec. Nts., 1/30/40 145,000 151,415 ---------- 455,415 -------------------------------------------------------------------------------------------------- PHARMACEUTICALS--0.1% Mylan, Inc., 6% Sr. Nts., 11/15/18(2) 245,000 257,250
15 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value ------------------------------------------------------------------------------------------------- INDUSTRIALS--1.2% ------------------------------------------------------------------------------------------------- AEROSPACE & DEFENSE--0.1% BE Aerospace, Inc., 8.50% Sr. Unsec. Nts., 7/1/18 $ 211,000 $ 234,210 ------------------------------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES--0.2% Corrections Corp. of America, 7.75% Sr. Nts., 6/1/17 235,000 257,325 ------------------------------------------------------------------------------------------------- R.R. Donnelley & Sons Co., 8.60% Sr. Unsec. Unsub. Nts., 8/15/16 203,000 216,195 --------- 473,520 ------------------------------------------------------------------------------------------------- INDUSTRIAL CONGLOMERATES--0.3% General Electric Capital Corp.: 4.25% Sr. Unsec. Nts., Series A, 6/15/12 215,000 216,568 5.25% Sr. Unsec. Nts., 10/19/12 34,000 34,857 6.375% Unsec. Sub. Bonds, 11/15/67 432,000 441,720 --------- 693,145 ------------------------------------------------------------------------------------------------- MACHINERY--0.4% CNH Capital LLC, 6.25% Sr. Unsec. Nts., 11/1/16(2) 227,000 244,593 ------------------------------------------------------------------------------------------------- ITT Corp., 7.375% Unsec. Debs., 11/15/15 146,000 168,630 ------------------------------------------------------------------------------------------------- Joy Global, Inc., 5.125% Sr. Unsec. Unsub. Nts., 10/15/21 109,000 118,205 ------------------------------------------------------------------------------------------------- Kennametal, Inc., 3.875% Sr. Unsec. Unsub. Nts., 2/15/22 157,000 158,343 ------------------------------------------------------------------------------------------------- SPX Corp., 6.875% Sr. Unsec. Nts., 9/1/17(2) 192,000 211,200 --------- 900,971 ------------------------------------------------------------------------------------------------- PROFESSIONAL SERVICES--0.0% FTI Consulting, Inc., 6.75% Sr. Unsec. Nts., 10/1/20 35,000 37,669 ------------------------------------------------------------------------------------------------- ROAD & RAIL--0.2% CSX Corp., 5.50% Sr. Unsec. Nts., 4/15/41 68,000 73,849 ------------------------------------------------------------------------------------------------- Kansas City Southern de Mexico, 8% Sr. Unsec. Unsub. Nts., 2/1/18 199,000 222,880 --------- 296,729 ------------------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY--0.6% ------------------------------------------------------------------------------------------------- COMMUNICATIONS EQUIPMENT--0.1% Juniper Networks, Inc., 5.95% Sr. Unsec. Unsub. Nts., 3/15/41 93,000 106,609 ------------------------------------------------------------------------------------------------- COMPUTERS & PERIPHERALS--0.1% Hewlett-Packard Co., 4.65% Sr. Unsec. Nts., 12/9/21 167,000 174,977 ------------------------------------------------------------------------------------------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--0.1% Arrow Electronics, Inc., 5.125% Sr. Unsec. Unsub. Nts., 3/1/21 228,000 233,343 ------------------------------------------------------------------------------------------------- Corning, Inc., 4.75% Sr. Unsec. Unsub. Nts., 3/15/42 84,000 81,396 --------- 314,739 ------------------------------------------------------------------------------------------------- OFFICE ELECTRONICS--0.1% Xerox Corp., 5.65% Sr. Unsec. Nts., 5/15/13 223,000 233,417 ------------------------------------------------------------------------------------------------- SOFTWARE--0.2% BMC Software, Inc., 4.25% Sr. Unsec. Nts., 2/15/22 74,000 74,305 ------------------------------------------------------------------------------------------------- Symantec Corp., 4.20% Sr. Unsec. Unsub. Nts., 9/15/20 264,000 269,687 --------- 343,992 ------------------------------------------------------------------------------------------------- MATERIALS--1.2% ------------------------------------------------------------------------------------------------- CHEMICALS--0.3% Agrium, Inc., 6.125% Sr. Unsec. Nts., 1/15/41 104,000 120,352 ------------------------------------------------------------------------------------------------- Airgas, Inc., 3.25% Sr. Nts., 10/1/15 379,000 394,497 -------------------------------------------------------------------------------------------------
16 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value ------------------------------------------------------------------------------------------------- CHEMICALS CONTINUED Mosaic Co. (The), 4.875% Sr. Unsec. Unsub. Nts., 11/15/41 $ 139,000 $ 138,688 --------- 653,537 ------------------------------------------------------------------------------------------------- CONTAINERS & PACKAGING--0.2% Crown Americas LLC/Crown Americas Capital Corp. III, 6.25% Sr. Unsec. Nts., 2/1/21 207,000 223,560 ------------------------------------------------------------------------------------------------- Rock-Tenn Co., 4.90% Sr. Unsec. Nts., 3/1/22(2) 75,000 75,007 ------------------------------------------------------------------------------------------------- Sealed Air Corp., 8.375% Sr. Unsec. Nts., 9/15/21(2) 181,000 204,304 --------- 502,871 ------------------------------------------------------------------------------------------------- METALS & MINING--0.6% ArcelorMittal, 6.25% Sr. Unsec. Unsub. Nts., 2/25/22 115,000 116,447 ------------------------------------------------------------------------------------------------- Cliffs Natural Resources, Inc., 6.25% Sr. Unsec. Unsub. Nts., 10/1/40 58,000 61,625 ------------------------------------------------------------------------------------------------- Freeport-McMoRan Copper & Gold, Inc., 3.55% Sr. Unsec. Nts., 3/1/22 153,000 147,186 ------------------------------------------------------------------------------------------------- Petrohawk Energy Corp., 6.25% Sr. Unsec. Nts., 6/1/19 335,000 381,063 ------------------------------------------------------------------------------------------------- Teck Resources Ltd., 7% Sr. Unsec. Unsub. Nts., 9/15/12 216,000 220,213 ------------------------------------------------------------------------------------------------- Xstrata Canada Corp.: 5.375% Sr. Unsec. Unsub. Nts., 6/1/15 75,000 81,910 6% Sr. Unsec. Unsub. Nts., 10/15/15 177,000 195,405 7.25% Sr. Unsec. Unsub. Nts., 7/15/12 94,000 95,743 ------------------------------------------------------------------------------------------------- Xstrata Finance Canada Ltd., 5.80% Sr. Unsec. Unsub. Bonds, 11/15/16(2) 35,000 39,349 --------- 1,338,941 ------------------------------------------------------------------------------------------------- PAPER & FOREST PRODUCTS--0.1% International Paper Co., 6% Sr. Unsec. Unsub. Nts., 11/15/41 93,000 101,006 ------------------------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES--1.1% ------------------------------------------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES--1.0% AT&T, Inc., 6.30% Sr. Unsec. Bonds, 1/15/38 275,000 323,383 ------------------------------------------------------------------------------------------------- British Telecommunications plc, 9.875% Bonds, 12/15/30 142,000 209,014 ------------------------------------------------------------------------------------------------- CenturyLink, Inc., 7.65% Sr. Unsec. Unsub. Nts., 3/15/42 164,000 154,166 ------------------------------------------------------------------------------------------------- Frontier Communications Corp., 8.25% Sr. Unsec. Nts., 4/15/17 230,000 248,400 ------------------------------------------------------------------------------------------------- Qwest Corp., 7.625% Sr. Unsec. Unsub. Nts., 6/15/15 226,000 263,070 ------------------------------------------------------------------------------------------------- Telecom Italia Capital SA: 278,000 297,460 7.175% Sr. Unsec. Unsub. Nts., 6/18/19 7.721% Sr. Unsec. Unsub. Nts., 6/4/38 88,000 86,240 ------------------------------------------------------------------------------------------------- Telefonica Emisiones SAU, 5.462% Sr. Unsec. Unsub. Nts., 2/16/21 315,000 306,656 ------------------------------------------------------------------------------------------------- Verizon Communications, Inc., 6.40% Sr. Unsec. Nts., 2/15/38 134,000 162,406 ------------------------------------------------------------------------------------------------- Windstream Corp., 7.875% Sr. Unsec. Unsub. Nts., 11/1/17 203,000 224,823 --------- 2,275,618 ------------------------------------------------------------------------------------------------- WIRELESS TELECOMMUNICATION SERVICES--0.1% America Movil SAB de CV, 6.125% Sr. Unsec. Unsub. Nts., 3/30/40 100,000 116,783 ------------------------------------------------------------------------------------------------- UTILITIES--0.9% ------------------------------------------------------------------------------------------------- ELECTRIC UTILITIES--0.6% Allegheny Energy Supply Co. LLC, 8.25% Bonds, 4/15/12(2) 205,000 205,402 ------------------------------------------------------------------------------------------------- Edison International, 3.75% Sr. Unsec. Unsub. Nts., 9/15/17 174,000 182,727 ------------------------------------------------------------------------------------------------- Great Plains Energy, Inc., 2.75% Sr. Unsec. Unsub. Nts., 8/15/13 239,000 243,156 ------------------------------------------------------------------------------------------------- Northeast Utilities Co., 7.25% Sr. Unsec. Nts., 4/1/12 230,000 230,000 -------------------------------------------------------------------------------------------------
17 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value ------------------------------------------------------------------------------------------------ ELECTRIC UTILITIES CONTINUED ------------------------------------------------------------------------------------------------ Oncor Electric Delivery Co., 7% Debs., 9/1/22 $ 37,000 $ 44,969 ------------------------------------------------------------------------------------------------ PPL WEM Holdings plc, 5.375% Sr. Unsec. Nts., 5/1/21(2) 322,000 347,822 ----------- 1,254,076 ------------------------------------------------------------------------------------------------ ENERGY TRADERS--0.1% TransAlta Corp., 5.75% Sr. Unsec. Nts., 12/15/13 212,000 225,720 ------------------------------------------------------------------------------------------------ GAS UTILITIES--0.1% Southwest Gas Corp., 3.875% Sr. Unsec. Unsub. Nts., 4/1/22 145,000 148,158 ------------------------------------------------------------------------------------------------ MULTI-UTILITIES--0.1% CMS Energy Corp., 6.25% Sr. Unsec. Nts., 2/1/20 194,000 212,821 ------------------------------------------------------------------------------------------------ Pacific Gas & Electric Co., 4.50% Sr. Unsec. Nts., 53,000 53,091 12/15/41 ----------- 265,912 ----------- Total Non-Convertible Corporate Bonds and Notes (Cost $37,770,632) 39,099,286
Shares ------------------------------------------------------------------------------------------------- INVESTMENT COMPANY--6.3% Oppenheimer Institutional Money Market Fund, Cl. E, 0.22% (11,12) (Cost $13,270,338) 13,270,338 13,270,338 ------------------------------------------------------------------------------------------------- TOTAL INVESTMENTS, AT VALUE (COST $225,314,760) 113.3% 239,465,966 ------------------------------------------------------------------------------------------------- LIABILITIES IN EXCESS OF OTHER ASSETS (13.3) (28,118,039) ----------------------------- NET ASSETS 100.0% $ 211,347,927 ----------------------------- -----------------------------
Footnotes to Statement of Investments * March 30, 2012 represents the last business day of the Fund's quarterly period. See accompanying Notes. 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 $12,386,495 or 5.86% of the Fund's net assets as of March 30, 2012. 3. Represents the current interest rate for a variable or increasing rate security. 4. Restricted security. The aggregate value of restricted securities as of March 30, 2012 was $508,293, which represents 0.24% of the Fund's net assets. See accompanying Notes. Information concerning restricted securities is as follows:
UNREALIZED ACQUISITION APPRECIATION SECURITY DATES COST VALUE (DEPRECIATION) ----------------------------------------------------------------------------------------------------------- Exeter Automobile Receivables Trust, Automobile Receivable Nts., Series 2012-1A, Cl. A, 2.02%, 8/15/16 2/23/12 $ 167,239 $ 167,205 $ (34) JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 2007-LDPX, Cl. A2S2, 5.187%, 1/1/49 7/14/10 112,999 116,146 3,147 Santander Drive Auto Receivables Trust 2011-S1A, Automobile Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/17 2/4/11-2/9/12 225,747 224,942 (805) ------------------------------------------ $ 505,985 $ 508,293 $ 2,308 ==========================================
5. All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after March 30, 2012. See accompanying Notes. 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 $2,825,923 or 1.34% of the Fund's net assets as of March 30, 2012. 18 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) 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 $127,215 or 0.06% of the Fund's net assets as of March 30, 2012. 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 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 $222,331. 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 March 30, 2012, 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 30, 2011 (a) ADDITIONS REDUCTIONS MARCH 30,2012 ------------------------------------------------------------------------------------------------------------------- Oppenheimer Institutional Money Market Fund, Cl. E 32,784,414 16,818,721 36,332,797 13,270,338
Value Income ------------------------------------------------------------------------------------------------------------------- Oppenheimer Institutional Money Market Fund, Cl. E $ 13,270,338 $ 9,419
a. December 30, 2011 represents the last business day of the Fund's 2011 fiscal year. See accompanying Notes. 12. Rate shown is the 7-day yield as of March 30, 2012. FUTURES CONTRACTS AS OF MARCH 30, 2012 ARE AS FOLLOWS:
UNREALIZED NUMBER OF EXPIRATION APPRECIATION CONTRACT DESCRIPTION BUY/SELL CONTRACTS DATE VALUE (DEPRECIATION) ------------------------------------------------------------------------------------------------------------------ U.S. Long Bonds Buy 16 6/20/12 $ 2,204,000 $ (31,938) U.S. Treasury Nts., 2 yr. Sell 47 6/29/12 10,346,609 6,906 U.S. Treasury Nts., 5 yr. Sell 33 6/29/12 4,043,789 21,355 U.S. Treasury Nts., 10 yr. Sell 14 6/20/12 1,812,781 22,422 U.S. Treasury Ultra Bonds Buy 21 6/20/12 3,170,344 (133,243) ------------- $ (114,498) =============
NOTES TO STATEMENT OF INVESTMENTS QUARTERLY AND ANNUAL PERIODS. The last day of the Fund's quarterly period was the last day the New York Stock Exchange was open for trading. The Fund's financial statements have been presented through that date to maintain consistency with the Fund's net asset value calculations used for shareholder transactions. The last day of the Fund's fiscal year was the last day the New York Stock Exchange was open for trading. The Fund's financial statements have been presented through that date to maintain consistency with the Fund's net asset value calculations used for shareholder transactions. 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 19 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) 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 March 30, 2012, 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 $30,575,007 ---------------------------------------------------------------------- Sold securities 708,852 ----------------------------------------------------------------------
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. 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. 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. The Fund's Board has adopted procedures for the valuation of the Fund's securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a "fair valuation" for any security for which market quotations are not "readily available." The Valuation 20 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) Committee's fair valuation determinations are subject to review, approval and ratification by the Fund's Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. VALUATION METHODS AND INPUTS Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or dealers. The following methodologies are used to determine the market value or the fair value of the types of securities described below: Securities traded on a registered U.S. securities exchange (including exchange-traded derivatives other than futures and futures options) 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. 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 security of a foreign issuer traded on a foreign exchange but not listed on a registered U.S. securities exchange is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the third party pricing service used by the Manager, prior to the time when the Fund's assets are valued. If the last sale price is unavailable, the security is valued at the most recent official closing price on the principal exchange on which it is traded. If the last sales price or official closing price for a foreign security is not available, the security is valued at the mean between the bid and asked price per the exchange or, if not available from the exchange, obtained from two dealers. If bid and asked prices are not available from either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of priority); (1) using a bid from the exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer. Shares of a registered investment company that are not traded on an exchange are valued at that investment company's net asset value per share. Corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, event-linked bonds, loans, mortgage-backed securities, collateralized mortgage obligations, and asset-backed securities are valued at the mean between the "bid" and "asked" prices utilizing evaluated prices obtained from third party pricing services or broker-dealers who may use matrix pricing methods to determine the evaluated prices. Short-term money market type debt securities with a remaining maturity 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. Short-term debt securities with a remaining maturity in excess of sixty days are valued at the mean between the "bid" and "asked" prices utilizing evaluated prices obtained from third party pricing services or broker-dealers. Futures contracts and futures options 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. A description of the standard inputs that may generally be considered by the third party pricing vendors in determining their evaluated prices is provided below.
STANDARD INPUTS GENERALLY CONSIDERED BY THIRD-PARTY SECURITY TYPE PRICING VENDORS -------------------------------------------- ------------------------------------------------------- Corporate debt, government debt, Reported trade data, broker-dealer price quotations, municipal, mortgage-backed and benchmark yields, issuer spreads on comparable asset-backed securities securities, the credit quality, yield, maturity, and other appropriate factors. Loans Information obtained from market participants regarding reported trade data and broker-dealer price quotations. Event-linked bonds Information obtained from market participants regarding reported trade data and broker-dealer price quotations.
21 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) If a market value or price cannot be determined for a security using the methodologies described above, or if, in the "good faith" opinion of the Manager, the market value or price obtained does not constitute a "readily available market quotation," or a significant event has occurred that would materially affect the value of the security the security is fair valued either (i) by a standardized fair valuation methodology applicable to the security type or the significant event as previously approved by the Valuation Committee and the Fund's Board or (ii) as determined in good faith by the Manager's Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. Fair value determinations by the Manager are subject to review, approval and ratification by the Fund's Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Those fair valuation standardized methodologies include, but are not limited to, valuing securities at the last sale price or 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 further adjusted for any discounts related to security-specific 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 nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security. To assess the continuing appropriateness of security valuations, the Manager, or its third party service provider who is subject to oversight by the Manager, regularly compares prior day prices, prices on comparable securities, and sale prices to the current day prices and challenges those prices exceeding certain tolerance levels with the third party pricing service or broker source. For those securities valued by fair valuations, whether through a standardized fair valuation methodology or a fair valuation determination, the Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available. Classifications 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. 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 inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. The table below categorizes amounts as of March 30, 2012 based on valuation input level:
LEVEL 2- OTHER LEVEL 3- LEVEL 1- SIGNIFICANT SIGNIFICANT UNADJUSTED OBSERVABLE UNOBSERVABLE QUOTED PRICES INPUTS INPUTS VALUE ----------------------------------------------------------------------------------------------------------------------- ASSETS TABLE INVESTMENTS, AT VALUE: Common Stocks Consumer Discretionary $ 11,483,700 $ -- $ -- $ 11,483,700 Consumer Staples 10,946,927 -- -- 10,946,927 Energy 15,776,072 -- -- 15,776,072 Financials 29,628,138 -- -- 29,628,138 Health Care 15,036,053 -- -- 15,036,053 Industrials 13,415,755 -- -- 13,415,755 Information Technology 11,165,934 -- -- 11,165,934 Materials 5,102,543 -- -- 5,102,543
22 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
LEVEL 2- OTHER LEVEL 3- LEVEL 1- SIGNIFICANT SIGNIFICANT UNADJUSTED OBSERVABLE UNOBSERVABLE QUOTED PRICES INPUTS INPUTS VALUE ----------------------------------------------------------------------------------------------------------------- Telecommunication Services 1,568,253 -- -- 1,568,253 Utilities 8,996,517 -- -- 8,996,517 Asset-Backed Securities -- 8,467,502 -- 8,467,502 Mortgage-Backed Obligations -- 53,960,452 -- 53,960,452 U.S. Government Obligations -- 1,548,496 -- 1,548,496 Non-Convertible Corporate Bonds and Notes -- 39,099,286 -- 39,099,286 Investment Company 13,270,338 -- -- 13,270,338 ---------------------------------------------------------------------------- Total Investments, at Value 136,390,230 103,075,736 -- 239,465,966 OTHER FINANCIAL INSTRUMENTS: Futures margins 11,479 -- -- 11,479 ---------------------------------------------------------------------------- Total Assets $ 136,401,709 $ 103,075,736 $ -- $ 239,477,445 ---------------------------------------------------------------------------- LIABILITIES TABLE OTHER FINANCIAL INSTRUMENTS: Futures margins $ (54,189) $ -- $ -- $ (54,189) ---------------------------------------------------------------------------- Total Liabilities $ (54,189) $ -- $ -- $ (54,189)
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. There have been no significant changes to the fair valuation methodologies of the Fund during the period. 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 23 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) 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 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 24 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) 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 March 30, 2012, the Fund had daily average contract amounts on forward foreign currency contracts to sell of $224,816. Additional associated risk to the Fund includes counterparty credit risk. Counterparty credit risk arises from the possibility that the counterparty will default. As of March 30, 2012, the Fund had no outstanding forward contracts. 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 March 30, 2012, the Fund had an ending monthly average market value of $6,834,945 and $17,976,676 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 March 30, 2012, 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 March 30, 2012 are noted below. The 25 | Oppenheimer Balanced Fund/VA Oppenheimer Balanced Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (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 $ 225,555,345 Federal tax cost of other investments (10,714,337) ----------------- Total federal tax cost $ 214,841,008 ================= Gross unrealized appreciation $ 16,087,463 Gross unrealized depreciation (2,291,340) ----------------- Net unrealized appreciation $ 13,796,123 =================
26 | Oppenheimer Balanced Fund/VA Oppenheimer Capital Appreciation Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Shares Value ------------------------------------------------------------------------------------- COMMON STOCKS-99.3% ------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY-15.9% ------------------------------------------------------------------------------------- AUTO COMPONENTS-1.0% Johnson Controls, Inc. 316,740 $10,287,715 ------------------------------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE-3.4% McDonald's Corp. 248,750 24,402,375 ------------------------------------------------------------------------------------- Yum! Brands, Inc. 150,620 10,721,132 ---------- 35,123,507 ------------------------------------------------------------------------------------- INTERNET & CATALOG RETAIL-1.4% Amazon.com, Inc.(1) 73,994 14,984,525 ------------------------------------------------------------------------------------- MEDIA-1.6% Walt Disney Co. (The) 388,450 17,006,341 ------------------------------------------------------------------------------------- SPECIALTY RETAIL-4.5% Bed Bath & Beyond, Inc.(1) 88,050 5,791,049 ------------------------------------------------------------------------------------- O'Reilly Automotive, Inc.(1) 185,490 16,944,512 ------------------------------------------------------------------------------------- Tiffany & Co. 142,930 9,880,751 ------------------------------------------------------------------------------------- TJX Cos., Inc. (The) 358,540 14,237,623 ---------- 46,853,935 ------------------------------------------------------------------------------------- TEXTILES, APPAREL & LUXURY GOODS-4.0% Coach, Inc. 197,650 15,274,392 ------------------------------------------------------------------------------------- Nike, Inc., Cl. B 147,620 16,007,913 ------------------------------------------------------------------------------------- Ralph Lauren Corp. 58,400 10,180,872 ---------- 41,463,177 ------------------------------------------------------------------------------------- CONSUMER STAPLES-11.8% ------------------------------------------------------------------------------------- BEVERAGES-3.9% Brown-Forman Corp., Cl. B 114,950 9,585,681 ------------------------------------------------------------------------------------- Coca-Cola Co. (The) 228,840 16,936,448 ------------------------------------------------------------------------------------- SABMiller plc 354,950 14,247,393 ---------- 40,769,522 ------------------------------------------------------------------------------------- FOOD & STAPLES RETAILING-2.0% Costco Wholesale Corp. 224,100 20,348,280 ------------------------------------------------------------------------------------- FOOD PRODUCTS-2.7% Mead Johnson Nutrition Co., Cl. A 112,540 9,282,299 ------------------------------------------------------------------------------------- Nestle SA 242,678 15,269,869 ------------------------------------------------------------------------------------- Unilever NV CVA 98,224 3,342,516 ---------- 27,894,684 ------------------------------------------------------------------------------------- HOUSEHOLD PRODUCTS-1.4% Colgate-Palmolive Co. 150,880 14,753,046 ------------------------------------------------------------------------------------- PERSONAL PRODUCTS-0.9% Estee Lauder Cos., Inc. (The), Cl. A 146,750 9,089,695 ------------------------------------------------------------------------------------- TOBACCO-0.9% Philip Morris International, Inc. 111,910 9,916,345 ------------------------------------------------------------------------------------- ENERGY-10.8% ------------------------------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES-5.1% Cameron International Corp.(1) 222,310 11,744,637 ------------------------------------------------------------------------------------- Ensco plc, Sponsored ADR 187,140 9,905,320 ------------------------------------------------------------------------------------- National Oilwell Varco, Inc. 174,650 13,879,436 ------------------------------------------------------------------------------------- Schlumberger Ltd. 250,260 17,500,682 ---------- 53,030,075
1 | Oppenheimer Capital Appreciation Fund/VA Oppenheimer Capital Appreciation Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Shares Value ------------------------------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS-5.7% Apache Corp. 116,920 $11,743,445 -------------------------------------------------------------------------------------- Chevron Corp. 147,540 15,822,190 ------------------------------------------------------------------------------------- ConocoPhillips 119,730 9,100,677 ------------------------------------------------------------------------------------- Noble Energy, Inc. 50,300 4,918,334 ------------------------------------------------------------------------------------- Occidental Petroleum Corp. 188,300 17,931,809 ---------- 59,516,455 ------------------------------------------------------------------------------------- FINANCIALS-1.9% ------------------------------------------------------------------------------------- COMMERCIAL BANKS-0.8% Standard Chartered plc 321,920 8,032,553 ------------------------------------------------------------------------------------- CONSUMER FINANCE-1.1% American Express Co. 197,380 11,420,407 ------------------------------------------------------------------------------------- HEALTH CARE-11.2% ------------------------------------------------------------------------------------- BIOTECHNOLOGY-1.8% Alexion Pharmaceuticals, Inc.(1) 69,370 6,441,698 ------------------------------------------------------------------------------------- Vertex Pharmaceuticals, Inc.(1) 307,110 12,594,581 ---------- 19,036,279 ------------------------------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES-1.4% Baxter International, Inc. 246,500 14,735,770 ------------------------------------------------------------------------------------- LIFE SCIENCES TOOLS & SERVICES-0.9% Mettler-Toledo International, Inc.(1) 48,150 8,895,713 ------------------------------------------------------------------------------------- PHARMACEUTICALS-7.1% Allergan, Inc. 227,990 21,757,086 ------------------------------------------------------------------------------------- Bristol-Myers Squibb Co. 461,380 15,571,575 ------------------------------------------------------------------------------------- Novo Nordisk AS, Cl. B 129,825 17,974,695 ------------------------------------------------------------------------------------- Perrigo Co. 61,270 6,329,804 ------------------------------------------------------------------------------------- Roche Holding AG 71,931 12,518,400 ---------- 74,151,560 ------------------------------------------------------------------------------------- INDUSTRIALS-14.4% ------------------------------------------------------------------------------------- AEROSPACE & DEFENSE-2.7% Precision Castparts Corp. 79,690 13,778,401 ------------------------------------------------------------------------------------- United Technologies Corp. 170,310 14,125,511 ------------ 27,903,912 ------------------------------------------------------------------------------------- AIR FREIGHT & LOGISTICS-1.3% United Parcel Service, Inc., Cl. B 172,300 13,908,056 ------------------------------------------------------------------------------------- ELECTRICAL EQUIPMENT-1.1% Emerson Electric Co. 211,990 11,061,638 ------------------------------------------------------------------------------------- INDUSTRIAL CONGLOMERATES-1.6% Danaher Corp. 298,210 16,699,760 ------------------------------------------------------------------------------------- MACHINERY-5.7% Caterpillar, Inc. 135,150 14,396,178 ------------------------------------------------------------------------------------- Cummins, Inc. 63,250 7,592,530 ------------------------------------------------------------------------------------- Deere & Co. 127,680 10,329,312 ------------------------------------------------------------------------------------- Joy Global, Inc. 162,747 11,961,905 ------------------------------------------------------------------------------------- Parker-Hannifin Corp. 181,380 15,335,679 ---------- 59,615,604 ------------------------------------------------------------------------------------- ROAD & RAIL-2.0% Hunt (J.B.) Transport Services, Inc. 48,760 2,651,081 -------------------------------------------------------------------------------------
2 | Oppenheimer Capital Appreciation Fund/VA Oppenheimer Capital Appreciation Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Shares Value ---------------------------------------------------------------------------------------------- ROAD & RAIL CONTINUED Union Pacific Corp. 169,780 $18,247,954 ----------- 20,899,035 ---------------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY-29.1% ---------------------------------------------------------------------------------------------- COMMUNICATIONS EQUIPMENT-5.6% Juniper Networks, Inc.(1) 480,380 10,991,094 ---------------------------------------------------------------------------------------------- QUALCOMM, Inc. 699,950 47,610,599 ---------- 58,601,693 ---------------------------------------------------------------------------------------------- COMPUTERS & PERIPHERALS-8.8% Apple, Inc.(1) 144,040 86,347,659 ---------------------------------------------------------------------------------------------- SanDisk Corp.(1) 104,510 5,182,651 ---------- 91,530,310 ---------------------------------------------------------------------------------------------- ELECTRONIC EQUIPMENT & INSTRUMENTS-1.0% Corning, Inc. 776,930 10,939,174 ---------------------------------------------------------------------------------------------- INTERNET SOFTWARE & SERVICES-4.4% eBay, Inc.(1) 424,910 15,674,930 ---------------------------------------------------------------------------------------------- Google, Inc., Cl. A(1) 46,980 30,125,455 ---------- 45,800,385 ---------------------------------------------------------------------------------------------- IT SERVICES-3.2% International Business Machines Corp. 55,840 11,651,016 ---------------------------------------------------------------------------------------------- Teradata Corp.(1) 134,950 9,196,843 ---------------------------------------------------------------------------------------------- Visa, Inc., Cl. A 102,187 12,058,066 ---------- 32,905,925 ---------------------------------------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT-2.1% Broadcom Corp., Cl. A 359,940 14,145,642 ---------------------------------------------------------------------------------------------- Texas Instruments, Inc. 219,590 7,380,420 --------- 21,526,062 ---------------------------------------------------------------------------------------------- SOFTWARE-4.0% Intuit, Inc. 269,070 16,179,179 ---------------------------------------------------------------------------------------------- Oracle Corp. 408,350 11,907,486 ---------------------------------------------------------------------------------------------- Vmware, Inc., Cl. A(1) 121,260 13,625,986 ---------- 41,712,651 ---------------------------------------------------------------------------------------------- MATERIALS-4.2% ---------------------------------------------------------------------------------------------- CHEMICALS-3.8% Ecolab, Inc. 192,860 11,903,319 ---------------------------------------------------------------------------------------------- Monsanto Co. 130,600 10,416,656 ---------------------------------------------------------------------------------------------- Praxair, Inc. 155,372 17,811,846 ---------- 40,131,821 ---------------------------------------------------------------------------------------------- METALS & MINING-0.4% Freeport-McMoRan Copper & Gold, Inc., Cl. B 103,550 3,939,042 ---------- Total Common Stocks (Cost $671,295,999) 1,034,484,652 ---------------------------------------------------------------------------------------------- INVESTMENT COMPANY-0.5% Oppenheimer Institutional Money Market Fund, Cl. E, 0.22% (2,3) (Cost $5,157,883) 5,157,883 5,157,883
3 | Oppenheimer Capital Appreciation Fund/VA Oppenheimer Capital Appreciation Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Value -------------------------------------------------------------------------------- TOTAL INVESTMENTS, AT VALUE (COST $676,453,882) 99.8% $ 1,039,642,535 -------------------------------------------------------------------------------- Other Assets Net of Liabilities 0.2 2,277,542 ------------------------------- Net Assets 100.0% $ 1,041,920,077 ===============================
Footnotes to Statement of Investments ------ * March 30, 2012 represents the last business day of the Fund's quarterly period. See accompanying Notes. 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 March 30, 2012, 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 30, 2011(A) ADDITIONS REDUCTIONS MARCH 30, 2012 ------------------------------------------------------------------------------------------------------------------------------------ Oppenheimer Institutional Money Market Fund, Cl. E 8,136,365 48,485,028 51,463,510 5,157,883
VALUE INCOME ---------------------------------------------------------------------------------------------------------------------------- Oppenheimer Institutional Money Market Fund, Cl. E $ 5,157,883 $ 1,620
A. December 30, 2011 represents the last business day of the Fund's 2011 fiscal year. See accompanying Notes. 3. Rate shown is the 7-day yield as of March 30, 2012. FOREIGN CURRENCY EXCHANGE CONTRACTS AS OF MARCH 30, 2012 ARE AS FOLLOWS:
CONTRACT AMOUNT EXPIRATION UNREALIZED COUNTERPARTY/CONTRACT DESCRIPTION BUY/SELL (000'S) DATE VALUE DEPRECIATION ------------------------------------------------------------------------------------------------------------------------------ DEUTSCHE BANK CAPITAL CORP. Swiss Franc (CHF) Sell 226 CHF 4/2/12 $ 250,790 $ 797 ------------------------------------------------------------------------------------------------------------------------------ JP MORGAN CHASE Danish Krone (DKK) Sell 928 DKK 4/2/12 166,266 140 ------------------------------------------------------------------------------------------------------------------------------ NOMURA SECURITIES Euro (EUR) Sell 823 EUR 4/2/12 1,097,738 2,088 STATE STREET ------------------------------------------------------------------------------------------------------------------------------ British Pound Sterling (GBP) Sell 82 GBP 4/2/12 131,515 996 ------------ Total unrealized depreciation $ 4,021 ============
NOTES TO STATEMENT OF INVESTMENTS QUARTERLY AND ANNUAL PERIODS. The last day of the Fund's quarterly period was the last day the New York Stock Exchange was open for trading. The Fund's financial statements have been presented through that date to maintain consistency with the Fund's net asset value calculations used for shareholder transactions. The last day of the Fund's fiscal year was the last day the New York Stock Exchange was open for trading. The Fund's financial statements have been presented through that date to maintain consistency with the Fund's net asset value calculations used for shareholder transactions. 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 4 | Oppenheimer Capital Appreciation Fund/VA Oppenheimer Capital Appreciation Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) 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. 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. The Fund's Board has adopted procedures for the valuation of the Fund's securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a "fair valuation" for any security for which market quotations are not "readily available." The Valuation Committee's fair valuation determinations are subject to review, approval and ratification by the Fund's Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Valuation Methods and inputs Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or dealers. The following methodologies are used to determine the market value or the fair value of the types of securities described below: Securities traded on a registered U.S. securities exchange (including exchange-traded derivatives other than futures and futures options) 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. 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 security of a foreign issuer traded on a foreign exchange but not listed on a registered U.S. securities exchange is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the third party pricing service used by the Manager, prior to the time when the Fund's assets are valued. If the last sale price is unavailable, the security is valued at the most recent official closing price on the principal exchange on which it is traded. If the last sales price or official closing price for a foreign security is not available, the security is valued at the mean between the bid and asked price per the exchange or, if not available from the exchange, obtained from two dealers. If bid and asked prices are not available from either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of priority); (1) using a bid from the exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer. Shares of a registered investment company that are not traded on an exchange are valued at that investment company's net asset value per share. Corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, event-linked bonds, loans, mortgage-backed securities, collateralized mortgage obligations, and asset-backed securities are valued at the mean between the "bid" and "asked" prices utilizing evaluated prices obtained from third party pricing services or broker-dealers who may use matrix pricing methods to determine the evaluated prices. Short-term money market type debt securities with a remaining maturity 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. Short-term debt securities with a remaining maturity in excess of sixty days are valued at the mean between the "bid" and "asked" prices utilizing evaluated prices obtained from third party pricing services or broker-dealers. 5 | Oppenheimer Capital Appreciation Fund/VA Oppenheimer Capital Appreciation Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) Forward foreign currency exchange contracts are valued utilizing current and forward currency rates obtained from third party pricing services. When the settlement date of a contract is an interim date for which a quotation is not available, interpolated values are derived using the nearest dated forward currency rate. A description of the standard inputs that may generally be considered by the third party pricing vendors in determining their evaluated prices is provided below.
SECURITY TYPE STANDARD INPUTS GENERALLY CONSIDERED BY THIRD-PARTY PRICING VENDORS ---------------------------------------------------------------------------------------------------------- Corporate debt,government Reported trade data, broker-dealer price quotations, benchmark debt, municipal, mortgage- yields, issuer spreads on comparable securities, the credit quality, yield, backed and asset-backed maturity, and other appropriate factors. securities Loans Information obtained from market participants regarding reported trade data and broker-dealer price quotations. Event-linked bonds Information obtained from market participants regarding reported trade data and broker-dealer price quotations.
If a market value or price cannot be determined for a security using the methodologies described above, or if, in the "good faith" opinion of the Manager, the market value or price obtained does not constitute a "readily available market quotation," or a significant event has occurred that would materially affect the value of the security the security is fair valued either (i) by a standardized fair valuation methodology applicable to the security type or the significant event as previously approved by the Valuation Committee and the Fund's Board or (ii) as determined in good faith by the Manager's Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. Fair value determinations by the Manager are subject to review, approval and ratification by the Fund's Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Those fair valuation standardized methodologies include, but are not limited to, valuing securities at the last sale price or 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 further adjusted for any discounts related to security-specific 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 nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security. To assess the continuing appropriateness of security valuations, the Manager, or its third party service provider who is subject to oversight by the Manager, regularly compares prior day prices, prices on comparable securities, and sale prices to the current day prices and challenges those prices exceeding certain tolerance levels with the third party pricing service or broker source. For those securities valued by fair valuations, whether through a standardized fair valuation methodology or a fair valuation determination, the Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available. Classifications 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. 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). 6 | Oppenheimer Capital Appreciation Fund/VA Oppenheimer Capital Appreciation Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. The table below categorizes amounts as of March 30, 2012 based on valuation input level:
LEVEL 1- LEVEL 2- LEVEL 3- UNADJUSTED OTHER SIGNIFICANT SIGNIFICANT QUOTED PRICES OBSERVABLE INPUTS UNOBSERVABLE INPUTS VALUE ------------------------------------------------------------------------------------------------------------------------ ASSETS TABLE INVESTMENTS, AT VALUE: Common Stocks Consumer Discretionary $ 165,719,200 $ - $ - $ 165,719,200 Consumer Staples 122,771,572 - - 122,771,572 Energy 112,546,530 - - 112,546,530 Financials 19,452,960 - - 19,452,960 Health Care 116,819,322 - - 116,819,322 Industrials 150,088,005 - - 150,088,005 Information Technology 303,016,200 - - 303,016,200 Materials 44,070,863 - - 44,070,863 Investment Company 5,157,883 - - 5,157,883 -------------------------------------------------------------------------------------------- Total Assets $1,039,642,535 $ - $ - $1,039,642,535 LIABILITIES TABLE OTHER FINANCIAL INSTRUMENTS: Foreign currency exchange contracts $ - $ (4,021) $ - $ (4,021) --------------------------------------------------------------------------------------------- Total Liabilities $ - $ (4,021) - $ (4,021)
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 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 INTO LEVEL 1* TRANSFERS OUT OF LEVEL 2* --------------------------------------------------------------------------- ASSETS TABLE INVESTMENTS, AT VALUE: Common Stocks Consumer Staples $ 13,234,908 $ (13,234,908) Financials 5,760,745 (5,760,745) ------------------------------------------- Total Assets $ 18,995,653 $ (18,995,653)
----------- * Transferred from Level 2 to Level 1 due to the presence of a readily available unadjusted quoted market price. As of the prior reporting period end, these securities were absent 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. There have been no significant changes to the fair valuation methodologies of the Fund during the period. RISK EXPOSURES AND THE USE OF DERIVATIVE INSTRUMENTS 7 | Oppenheimer Capital Appreciation Fund/VA Oppenheimer Capital Appreciation Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) 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. 8 | Oppenheimer Capital Appreciation Fund/VA Oppenheimer Capital Appreciation Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (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 March 30, 2012, the Fund had daily average contract amounts on forward foreign currency contracts to buy and sell of $116,114 and $1,235,980, 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 March 30, 2012 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 $ 678,901,480 ================== Gross unrealized appreciation $ 370,215,403 Gross unrealized depreciation (9,474,348) ------------------ Net unrealized appreciation $ 360,741,055 ==================
9 | Oppenheimer Capital Appreciation Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value ------------------------------------------------------------------------------------------------------------------------------ ASSET-BACKED SECURITIES-9.9% AESOP Funding II LLC, Automobile Receivables Nts., Series 2011-1A, Cl. A, 1.85%, 11/20/13(1) $ 235,000 $ 235,738 ------------------------------------------------------------------------------------------------------------------------------ Ally Master Owner Trust 2010-3, Asset-Backed Certificates, Series 2010-3, Cl. A, 2.88%, 4/15/15(1) 710,000 722,924 ------------------------------------------------------------------------------------------------------------------------------ Ally Master Owner Trust, Asset-Backed Nts., Series 2011-1, Cl. A2, 2.15%, 1/15/16 230,000 234,995 ------------------------------------------------------------------------------------------------------------------------------ Ally Master Owner Trust, Automobile Receivables Nts., Series 2011-4, Cl. A2, 1.54%, 9/15/16 545,000 548,750 ------------------------------------------------------------------------------------------------------------------------------ AmeriCredit Automobile Receivables Trust 2009-1, Automobile Receivables-Backed Nts., Series 2009-1, Cl. A3, 3.04%, 10/15/13 7,682 7,713 ------------------------------------------------------------------------------------------------------------------------------ AmeriCredit Automobile Receivables Trust 2010-1, Automobile Receivables-Backed Nts., Series 2010-1, Cl. D, 6.65%, 7/17/17 300,000 326,899 ------------------------------------------------------------------------------------------------------------------------------ AmeriCredit Automobile Receivables Trust 2010-2, Automobile Receivables-Backed Nts.: Series 2010-2, Cl. C, 4.52%, 10/8/15 430,000 452,431 Series 2010-2, Cl. D, 6.24%, 6/8/16 275,000 301,442 ------------------------------------------------------------------------------------------------------------------------------ AmeriCredit Automobile Receivables Trust 2010-3, Automobile Receivables-Backed Nts., Series 2010-3, Cl. A2, 0.77%, 12/9/13 95,699 95,725 ------------------------------------------------------------------------------------------------------------------------------ AmeriCredit Automobile Receivables Trust 2010-4, Automobile Receivables-Backed Nts., Series 2010-4, Cl. D, 4.20%, 11/8/16 755,000 792,886 ------------------------------------------------------------------------------------------------------------------------------ AmeriCredit Automobile Receivables Trust 2011-1, Automobile Receivables-Backed Nts., Series 2011-1, Cl. D, 4.26%, 2/8/17 120,000 126,321 ------------------------------------------------------------------------------------------------------------------------------ AmeriCredit Automobile Receivables Trust 2011-2, Automobile Receivables-Backed Nts.: Series 2011-2, Cl. A3, 1.61%, 10/8/15 140,000 141,211 Series 2011-2, Cl. B, 2.33%, 3/8/16 440,000 447,552 Series 2011-2, Cl. D, 4%, 5/8/17 405,000 425,085 ------------------------------------------------------------------------------------------------------------------------------ AmeriCredit Automobile Receivables Trust 2011-4, Automobile Receivables-Backed Nts., Series 2011-4, Cl. D, 4.08%, 7/10/17 650,000 650,806 ------------------------------------------------------------------------------------------------------------------------------ AmeriCredit Automobile Receivables Trust 2011-5, Automobile Receivables-Backed Nts.: Series 2011-5, Cl. D, 1.55%, 7/8/16 360,000 363,836 Series 2011-5, Cl. D, 5.05%, 12/8/17 435,000 452,678 ------------------------------------------------------------------------------------------------------------------------------ AmeriCredit Prime Automobile Receivables Trust 2010-2, Automobile Receivables Nts., Series 2010-2, Cl. A2, 1.22%, 10/8/13 138 138 ------------------------------------------------------------------------------------------------------------------------------ Avis Budget Rental Car Funding AESOP LLC, Automobile Receivable Nts.: Series 2011-2A, Cl. A, 2.37%, 11/20/14(1) 455,000 461,961 Series 2012-1A, Cl. A, 2.044%, 8/20/16(1) 345,000 345,842 ------------------------------------------------------------------------------------------------------------------------------ Centre Point Funding LLC, Asset-Backed Nts., Series 2010-1A, Cl. 1, 5.43%, 7/20/15(1) 98,136 102,876 ------------------------------------------------------------------------------------------------------------------------------ Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15 310,000 323,470
1 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value ------------------------------------------------------------------------------------------------------------------------------ Citibank Omni Master Trust, Credit Card Receivables: Series 2009-A13, Cl. A13, 5.35%, 8/15/18(1) $ 915,000 $ 1,004,877 Series 2009-A17, Cl. A17, 4.90%, 11/15/18(1) 665,000 728,583 ------------------------------------------------------------------------------------------------------------------------------ CNH Wholesale Master Note Trust 2011-1, Equipment Nts., Series 2011-1, Cl. 1A, 1.042%, 1/20/41(2) 465,000 465,421 ------------------------------------------------------------------------------------------------------------------------------ Credit Acceptance Auto Loan Trust, Automobile Receivable Nts., Series 2012-1A, Cl. A, 2.20%, 9/16/19(1) 260,000 259,948 ------------------------------------------------------------------------------------------------------------------------------ DSC Floorplan Master Owner Trust, Automobile Receivable Nts., Series 2011-1, Cl. A, 3.91%, 3/15/16 400,000 405,924 ------------------------------------------------------------------------------------------------------------------------------ DT Auto Owner Trust 2009-1, Automobile Receivable Nts., Series 2009-1, Cl. A1, 2.98%, 10/15/15(1) 117,819 118,222 ------------------------------------------------------------------------------------------------------------------------------ DT Auto Owner Trust 2011-1A, Automobile Receivable Nts., Series 2011-1A, Cl. C, 3.05%, 8/15/15(1) 570,000 571,795 ------------------------------------------------------------------------------------------------------------------------------ DT Auto Owner Trust 2011-2A, Automobile Receivable Nts., Series 2011-2A, Cl. C, 3.05%, 7/15/13(1) 134,000 133,933 ------------------------------------------------------------------------------------------------------------------------------ DT Auto Owner Trust 2011-3A, Automobile Receivable Nts., Series 2011-3A, Cl. C, 4.03%, 12/15/41(1) 435,000 435,444 ------------------------------------------------------------------------------------------------------------------------------ Exeter Automobile Receivables Trust, Automobile Receivable Nts., Series 2012-1A, Cl. A, 2.02%, 8/15/16(3) 353,593 353,519 ------------------------------------------------------------------------------------------------------------------------------ First Investors Auto Owner Trust 2011-1, Automobile Receivable Nts., Series 2011-1, Cl. A2, 1.47%, 3/16/15 239,374 239,230 ------------------------------------------------------------------------------------------------------------------------------ Ford Credit Floorplan Master Owner Trust 2011-1, Asset- Backed Nts., Series 2011-1, Cl. A1, 2.12%, 2/15/16 490,000 501,482 ------------------------------------------------------------------------------------------------------------------------------ Ford Credit Floorplan Master Owner Trust, Automobile Receivable Nts., Series 2012-1, Cl. A, 0.712%, 1/15/16(2) 685,000 687,638 ------------------------------------------------------------------------------------------------------------------------------ GE Dealer Floorplan Master Note Trust, Asset-Backed Securities, Series 2009-2A, Cl. A, 2.024%, 10/20/14(1),(2) 460,000 463,752 ------------------------------------------------------------------------------------------------------------------------------ Hertz Vehicle Financing LLC, Automobile Receivable Nts., Series 2010-1A, Cl. A1, 2.60%, 2/25/15(1) 1,015,000 1,033,492 ------------------------------------------------------------------------------------------------------------------------------ Rental Car Finance Corp., Automobile Receivable Nts., Series 2011-1A, Cl. A1, 2.51%, 2/25/16(1) 365,000 365,414 ------------------------------------------------------------------------------------------------------------------------------ Santander Drive Auto Receivables Trust 2010-2, Automobile Receivables Nts., Series 2010-2, Cl. A2, 0.95%, 8/15/13 105,967 105,990 ------------------------------------------------------------------------------------------------------------------------------ Santander Drive Auto Receivables Trust 2010-3, Automobile Receivables Nts., Series 2010-3, Cl. C, 3.06%, 11/15/17 485,000 486,502 ------------------------------------------------------------------------------------------------------------------------------ Santander Drive Auto Receivables Trust 2010-A, Automobile Receivables Nts., Series 2010-A, Cl. A2, 1.37%, 8/15/13(1) 126,069 126,271 ------------------------------------------------------------------------------------------------------------------------------ Santander Drive Auto Receivables Trust 2011-1, Automobile Receivables Nts., Series 2011-1, Cl. D, 4.01%, 2/15/17 465,000 467,033 ------------------------------------------------------------------------------------------------------------------------------ Santander Drive Auto Receivables Trust 2011-4, Automobile Receivables Nts., Series 2011-4, Cl. A3, 1.64%, 9/15/15 40,000 40,119 ------------------------------------------------------------------------------------------------------------------------------ Santander Drive Auto Receivables Trust 2011-S1A, Automobile Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/17(3) 432,902 431,889 ------------------------------------------------------------------------------------------------------------------------------ Santander Drive Auto Receivables Trust 2011-S2A, Automobile Receivables Nts., Series 2011-S2A, Cl. D, 3.35%, 6/15/17(1) 336,006 335,586 ------------------------------------------------------------------------------------------------------------------------------ Santander Drive Auto Receivables Trust 2012-1, Automobile Receivables Nts., Series 2012-1, Cl. A2, 1.25%, 4/15/15 345,000 345,055 ------------------------------------------------------------------------------------------------------------------------------
2 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value ------------------------------------------------------------------------------------------------------------------------------ Santander Drive Auto Receivables Trust 2012-2, Automobile Receivables Nts., Series 2012-2, Cl. D, 5%, 2/15/18 $ 515,000 $ 516,185 ------------------------------------------------------------------------------------------------------------------------------ Westlake Automobile Receivables Trust 2011-1, Automobile Receivables Nts., Series 2011-1, Cl. A3, 1.49%, 6/16/14(1) 205,000 205,471 ----------- Total Asset-Backed Securities (Cost $18,261,563) 18,390,054 ------------------------------------------------------------------------------------------------------------------------------ MORTGAGE-BACKED OBLIGATIONS-63.0% ------------------------------------------------------------------------------------------------------------------------------ GOVERNMENT AGENCY-50.5% ------------------------------------------------------------------------------------------------------------------------------ FHLMC/FNMA/FHLB/SPONSORED-50.1% Federal Home Loan Mortgage Corp.: 4.50%, 4/1/42(4) 3,455,000 3,664,459 5%, 12/15/34 17,743 19,158 5.50%, 9/1/39 1,225,307 1,334,622 6%, 5/15/18-10/15/29 2,323,994 2,569,237 6.50%, 4/15/18-4/1/34 547,607 616,416 7%, 8/15/16-10/1/37 650,449 750,035 8%, 4/1/16 152,088 164,442 9%, 8/1/22-5/1/25 58,549 67,576 10.50%, 11/14/20 2,594 3,145 ------------------------------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Series 151, Cl. F, 9%, 5/15/21 15,012 17,422 Series 1674, Cl. Z, 6.75%, 2/15/24 44,582 51,305 Series 2006-11, Cl. PS, 23.68%, 3/25/36(2) 371,216 563,638 Series 2034, Cl. Z, 6.50%, 2/15/28 5,459 6,260 Series 2042, Cl. N, 6.50%, 3/15/28 15,751 18,058 Series 2043, Cl. ZP, 6.50%, 4/15/28 634,842 739,308 Series 2046, Cl. G, 6.50%, 4/15/28 40,721 46,673 Series 2053, Cl. Z, 6.50%, 4/15/28 6,531 7,491 Series 2066, Cl. Z, 6.50%, 6/15/28 707,894 811,884 Series 2195, Cl. LH, 6.50%, 10/15/29 531,790 610,353 Series 2220, Cl. PD, 8%, 3/15/30 2,670 3,180 Series 2326, Cl. ZP, 6.50%, 6/15/31 152,611 175,814 Series 2461, Cl. PZ, 6.50%, 6/15/32 726,064 837,875 Series 2470, Cl. LF, 1.242%, 2/15/32(2) 6,308 6,441 Series 2500, Cl. FD, 0.742%, 3/15/32(2) 144,118 145,320 Series 2526, Cl. FE, 0.642%, 6/15/29(2) 203,427 204,408 Series 2538, Cl. F, 0.842%, 12/15/32(2) 783,052 789,452 Series 2551, Cl. FD, 0.642%, 1/15/33(2) 134,015 134,654 Series 2936, Cl. PE, 5%, 2/1/35 69,000 77,835 Series 3019, Cl. MD, 4.75%, 1/1/31 26,830 26,825 Series 3025, Cl. SJ, 23.864%, 8/15/35(2) 72,872 114,190 Series 3094, Cl. HS, 23.497%, 6/15/34(2) 212,489 305,728 Series 3242, Cl. QA, 5.50%, 3/1/30 13,139 13,136 Series 3822, Cl. JA, 5%, 6/1/40 56,076 60,302 Series 3848, Cl. WL, 4%, 4/1/40 63,040 66,307 ------------------------------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 205, Cl. IO, 14.033%, 9/1/29(5) 18,716 3,508 Series 206, Cl. IO, 0%, 12/1/29(5),(6) 231,830 52,852 Series 2074, Cl. S, 63.784%, 7/17/28(5) 3,975 818
3 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value ------------------------------------------------------------------------------------------------------------------------------ FHLMC/FNMA/FHLB/SPONSORED CONTINUED Series 2079, Cl. S, 75.054%, 7/17/28(5) $ 6,867 $ 1,465 Series 2130, Cl. SC, 50.741%, 3/15/29(5) 261,327 49,101 Series 243, Cl. 6, 0.583%, 12/15/32(5) 254,308 57,555 Series 2526, Cl. SE, 42.936%, 6/15/29(5) 9,187 1,894 Series 2527, Cl. SG, 52.403%, 2/15/32(5) 36,262 90 Series 2531, Cl. ST, 99.999%, 2/15/30(5) 74,043 1,366 Series 2796, Cl. SD, 63.687%, 7/15/26(5) 415,958 74,427 Series 2802, Cl. AS, 88.239%, 4/15/33(5) 198,152 12,443 Series 2819, Cl. S, 58.42%, 6/15/34(5) 87,350 15,549 Series 2920, Cl. S, 66.483%, 1/15/35(5) 1,573,764 312,381 Series 3004, Cl. SB, 99.999%, 7/15/35(5) 89,262 15,556 Series 3110, Cl. SL, 99.999%, 2/15/26(5) 232,373 29,792 Series 3450, Cl. BI, 10.188%, 5/15/38(5) 1,023,504 142,300 Series 3451, Cl. SB, 15.774%, 5/15/38(5) 247,182 30,634 Series 3662, Cl. SM, 24.714%, 10/15/32(5) 734,996 100,431 ------------------------------------------------------------------------------------------------------------------------------ Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 3.857%, 6/1/26(7) 97,403 86,065 ------------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn.: 2.50%, 4/1/27(4) 7,160,000 7,260,688 2.647%, 10/1/36(2) 179,339 191,629 3.50%, 4/1/27(4) 3,785,000 3,970,702 4%, 4/1/27-4/1/42(4) 8,650,000 9,077,123 4.50%, 4/1/27-4/1/42(4) 11,345,000 12,079,457 5%, 2/25/22-7/25/22 14,476 15,679 5%, 4/1/42(4) 9,533,000 10,298,621 5.50%, 4/1/42(4) 5,039,000 5,490,936 6%, 4/1/42(4) 1,170,000 1,289,194 6.50%, 5/25/17-1/1/34 966,270 1,062,858 6.50%, 4/1/42(4) 1,331,000 1,490,928 7%, 11/1/17-7/25/35 452,046 501,740 7.50%, 1/1/33 10,776 12,861 8.50%, 7/1/32 16,961 20,717 ------------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn., 15 yr., 3%, 4/1/27(4) 7,875,000 8,154,316 ------------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn., 30 yr., 3.50%, 4/1/42(4) 1,395,000 1,432,927 ------------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Trust 1989-17, Cl. E, 10.40%, 4/25/19 8,814 9,706 Trust 1993-87, Cl. Z, 6.50%, 6/25/23 526,508 600,226 Trust 1998-58, Cl. PC, 6.50%, 10/25/28 421,635 483,391 Trust 1998-61, Cl. PL, 6%, 11/25/28 208,652 235,674 Trust 1999-54, Cl. LH, 6.50%, 11/25/29 342,541 392,403 Trust 2001-44, Cl. QC, 6%, 9/25/16 18,251 19,513 Trust 2001-51, Cl. OD, 6.50%, 10/25/31 26,778 31,101 Trust 2001-74, Cl. QE, 6%, 12/25/31 599,933 679,202 Trust 2002-12, Cl. PG, 6%, 3/25/17 9,517 10,319 Trust 2003-28, Cl. KG, 5.50%, 4/25/23 3,964,000 4,408,763 Trust 2004-101, Cl. BG, 5%, 1/25/20 1,276,387 1,368,428 Trust 2004-9, Cl. AB, 4%, 7/1/17 136,305 136,972
4 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value ------------------------------------------------------------------------------------------------------------------------------ FHLMC/FNMA/FHLB/SPONSORED CONTINUED Trust 2005-30, Cl. CU, 5%, 4/1/29 $ 18,635 $ 18,638 Trust 2006-46, Cl. SW, 23.313%, 6/25/36(2) 267,056 403,257 Trust 2006-50, Cl. KS, 23.314%, 6/25/36(2) 393,164 594,910 Trust 2007-42, Cl. A, 6%, 2/1/33 643,237 676,644 Trust 2009-36, Cl. FA, 1.182%, 6/25/37(2) 534,052 542,079 ------------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn., Interest-Only Stripped Mtg.- Backed Security: Trust 2001-61, Cl. SH, 40.476%, 11/18/31(5) 23,562 4,554 Trust 2001-63, Cl. SD, 38.215%, 12/18/31(5) 7,607 1,404 Trust 2001-65, Cl. S, 39.096%, 11/25/31(5) 591,165 114,875 Trust 2001-68, Cl. SC, 28.357%, 11/25/31(5) 4,986 951 Trust 2001-81, Cl. S, 30.535%, 1/25/32(5) 162,092 34,127 Trust 2002-28, Cl. SA, 38.231%, 4/25/32(5) 4,583 907 Trust 2002-38, Cl. SO, 51.636%, 4/25/32(5) 11,329 2,186 Trust 2002-39, Cl. SD, 42.637%, 3/18/32(5) 7,491 1,534 Trust 2002-47, Cl. NS, 36.139%, 4/25/32(5) 456,005 92,508 Trust 2002-48, Cl. S, 35.588%, 7/25/32(5) 7,458 1,482 Trust 2002-51, Cl. S, 36.394%, 8/25/32(5) 418,614 84,922 Trust 2002-52, Cl. SD, 40.081%, 9/25/32(5) 527,219 109,085 Trust 2002-52, Cl. SL, 38.26%, 9/25/32(5) 4,737 961 Trust 2002-53, Cl. SK, 40.785%, 4/25/32(5) 26,100 5,464 Trust 2002-56, Cl. SN, 37.706%, 7/25/32(5) 10,168 2,022 Trust 2002-60, Cl. SM, 36.602%, 8/25/32(5) 80,199 13,473 Trust 2002-7, Cl. SK, 37.759%, 1/25/32(5) 36,602 6,153 Trust 2002-77, Cl. BS, 30.399%, 12/18/32(5) 47,946 8,566 Trust 2002-77, Cl. IS, 48.101%, 12/18/32(5) 19,300 4,026 Trust 2002-77, Cl. JS, 28.715%, 12/18/32(5) 78,987 13,427 Trust 2002-77, Cl. SA, 30.62%, 12/18/32(5) 76,692 13,749 Trust 2002-77, Cl. SH, 41.557%, 12/18/32(5) 221,852 45,949 Trust 2002-84, Cl. SA, 41.651%, 12/25/32(5) 548,645 99,454 Trust 2002-9, Cl. MS, 32.761%, 3/25/32(5) 8,452 1,719 Trust 2002-90, Cl. SN, 37.837%, 8/25/32(5) 41,258 6,931 Trust 2002-90, Cl. SY, 44.156%, 9/25/32(5) 27,459 4,615 Trust 2003-26, Cl. DI, 9.412%, 4/25/33(5) 18,286 3,307 Trust 2003-33, Cl. SP, 42.058%, 5/25/33(5) 595,334 87,822 Trust 2003-4, Cl. S, 37.313%, 2/25/33(5) 378,216 61,982 Trust 2003-89, Cl. XS, 99.999%, 11/25/32(5) 211,527 8,775 Trust 2004-54, Cl. DS, 50.035%, 11/25/30(5) 371,671 68,418 Trust 2005-14, Cl. SE, 45.486%, 3/25/35(5) 307,177 49,056 Trust 2005-40, Cl. SA, 60.929%, 5/25/35(5) 858,636 164,384 Trust 2005-40, Cl. SB, 72.545%, 5/25/35(5) 40,743 7,805 Trust 2005-71, Cl. SA, 65.826%, 8/25/25(5) 1,001,232 135,793 Trust 2005-93, Cl. SI, 24.007%, 10/25/35(5) 825,329 117,874 Trust 2006-129, Cl. SM, 27.131%, 1/25/37(5) 340,189 52,369 Trust 2006-60, Cl. DI, 42.051%, 4/25/35(5) 205,903 27,695
5 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value ------------------------------------------------------------------------------------------------------------------------------ FHLMC/FNMA/FHLB/SPONSORED CONTINUED Trust 2008-46, Cl. EI, 9.748%, 6/25/38(5) $ 1,020,525 $ 145,449 Trust 2008-55, Cl. SA, 23.088%, 7/25/38(5) 167,498 23,125 Trust 2008-67, Cl. KS, 62.835%, 8/25/34(5) 1,726,688 137,516 Trust 2009-8, Cl. BS, 17.59%, 2/25/24(5) 515,739 55,506 Trust 221, Cl. 2, 39.14%, 5/1/23(5) 6,762 1,477 Trust 222, Cl. 2, 24.997%, 6/1/23(5) 752,771 155,771 Trust 252, Cl. 2, 37.482%, 11/1/23(5) 658,475 145,687 Trust 294, Cl. 2, 14.444%, 2/1/28(5) 73,560 13,259 Trust 301, Cl. 2, 1.867%, 4/1/29(5) 7,880 1,466 Trust 303, Cl. IO, 6.757%, 11/1/29(5) 116,254 25,221 Trust 320, Cl. 2, 10.173%, 4/1/32(5) 510,307 96,247 Trust 321, Cl. 2, 1.429%, 4/1/32(5) 1,573,917 288,955 Trust 324, Cl. 2, 0.096%, 7/1/32(5) 16,256 3,071 Trust 331, Cl. 5, 2.706%, 2/1/33(5) 22,513 4,621 Trust 331, Cl. 9, 13.247%, 2/1/33(5) 429,938 85,698 Trust 334, Cl. 12, 4.69%, 2/1/33(5) 40,137 8,009 Trust 334, Cl. 17, 20.937%, 2/1/33(5) 300,451 63,581 Trust 339, Cl. 12, 2.498%, 7/1/33(5) 568,336 112,194 Trust 339, Cl. 7, 0%, 7/1/33(5),(6) 1,314,282 206,147 Trust 343, Cl. 13, 6.299%, 9/1/33(5) 541,844 88,822 Trust 343, Cl. 18, 1.072%, 5/1/34(5) 148,184 25,669 Trust 345, Cl. 9, 99.999%, 1/1/34(5) 528,327 74,402 Trust 351, Cl. 10, 10.518%, 4/1/34(5) 200,566 31,826 Trust 351, Cl. 8, 5.137%, 4/1/34(5) 319,427 51,552 Trust 356, Cl. 10, 0%, 6/1/35(5),(6) 261,986 41,069 Trust 356, Cl. 12, 0%, 2/1/35(5),(6) 130,750 20,325 Trust 362, Cl. 13, 1.46%, 8/1/35(5) 468,680 88,370 Trust 364, Cl. 15, 0%, 9/1/35(5),(6) 27,856 4,752 Trust 364, Cl. 16, 3.439%, 9/1/35(5) 543,404 96,186 Trust 365, Cl. 16, 4.251%, 3/1/36(5) 857,513 149,447 ------------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Trust 1993-184, Cl. M, 4.368%, 9/25/23(7) 233,797 196,331 ----------- 92,874,853 ------------------------------------------------------------------------------------------------------------------------------ GNMA/GUARANTEED-0.4% Government National Mortgage Assn.: 7%, 12/29/23-3/15/26 23,823 27,613 8.50%, 8/1/17-12/15/17 84,462 95,615 ------------------------------------------------------------------------------------------------------------------------------ Government National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Series 1999-32, Cl. ZB, 8%, 9/16/29 71,606 84,526 Series 2000-7, Cl. Z, 8%, 1/16/30 30,366 36,491 ------------------------------------------------------------------------------------------------------------------------------ Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Series 1998-19, Cl. SB, 70.066%, 7/16/28(5) 14,638 3,167 Series 2001-21, Cl. SB, 90.72%, 1/16/27(5) 525,516 96,587 Series 2002-15, Cl. SM, 79.808%, 2/16/32(5) 544,959 103,401
6 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value ------------------------------------------------------------------------------------------------------------------------------ GNMA/GUARANTEED CONTINUED Series 2004-11, Cl. SM, 78.574%, 1/17/30(5) $ 434,330 $ 94,345 Series 2007-17, Cl. AI, 21.527%, 4/16/37(5) 164,510 33,461 Series 2011-52, Cl. HS, 7.51%, 4/16/41(5) 1,061,460 249,138 ----------- 824,344 ------------------------------------------------------------------------------------------------------------------------------ NON-AGENCY-12.5% ------------------------------------------------------------------------------------------------------------------------------ COMMERCIAL-8.6% Asset Securitization Corp., Commercial Interest-Only Stripped Mtg.-Backed Security, Series 1997-D4, Cl. PS1, 1.485%, 4/14/29(5) 2,843,556 132,436 ------------------------------------------------------------------------------------------------------------------------------ Banc of America Commercial Mortgage Trust 2007-1, Commercial Mtg. Pass-Through Certificates, Series 2007-1, Cl. A4, 5.451%, 1/1/49 710,000 803,254 ------------------------------------------------------------------------------------------------------------------------------ Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2007-3, Cl. A4, 5.633%, 6/1/49(2) 385,000 429,197 ------------------------------------------------------------------------------------------------------------------------------ Bear Stearns Commercial Mortgage Securities Trust 2007- PWR17, Commercial Mtg. Pass-Through Certificates, Series 2007-PWR17, Cl. AM, 5.898%, 6/1/50(2) 440,000 462,490 ------------------------------------------------------------------------------------------------------------------------------ Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed Pass-Through Certificates, Series 1997- CTL1, 0%, 6/22/24(1),(5),(6) 2,599,504 129,715 ------------------------------------------------------------------------------------------------------------------------------ CFCRE Commercial Mortgage Trust, Commercial Mtg. Pass- Through Certificates, Series 2011-C1, Cl. A1, 1.871%, 4/1/44(1) 128,018 128,656 ------------------------------------------------------------------------------------------------------------------------------ CHL Mortgage Pass-Through Trust 2005-17, Mtg. Pass- Through Certificates, Series 2005-17, Cl. 1A8, 5.50%, 9/1/35 64,575 63,275 ------------------------------------------------------------------------------------------------------------------------------ CHL Mortgage Pass-Through Trust 2007-J3, Mtg. Pass- Through Certificates, Series 2007-J3, Cl. A9, 6%, 7/1/37 306,227 245,545 ------------------------------------------------------------------------------------------------------------------------------ Citigroup, Inc./Deutsche Bank 2007-CD4 Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates: Series 2007-CD4, Cl. A2B, 5.205%, 12/11/49 224,072 226,232 Series 2007-CD4, Cl. A4, 5.322%, 12/1/49 875,000 960,722 ------------------------------------------------------------------------------------------------------------------------------ Deutsche Mortgage & Asset Receiving, Commercial Mtg. Pass- Through Certificates, Interest-Only Stripped Mtg.-Backed Security, Series 2010-C1, Cl. XPA, 4.719%, 9/1/20(1),(5) 4,602,164 319,574 ------------------------------------------------------------------------------------------------------------------------------ First Horizon Alternative Mortgage Securities Trust 2004-FA2, Mtg. Pass-Through Certificates, Series 2004-FA2, Cl. 3A1, 6%, 1/25/35 495,641 475,067 ------------------------------------------------------------------------------------------------------------------------------ First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 196,791 125,162 ------------------------------------------------------------------------------------------------------------------------------ Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2006-GG7, Commercial Mtg. Pass-Through Certificates, Series 2006-GG7, Cl. AM, 5.883%, 7/1/38(2) 850,000 887,671 ------------------------------------------------------------------------------------------------------------------------------ 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 1,280,000 1,418,586 ------------------------------------------------------------------------------------------------------------------------------ Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2007-GG9, Commercial Mtg. Pass-Through Certificates, Series 2007-GG9, Cl. AM, 5.475%, 3/1/39 495,000 493,061 ------------------------------------------------------------------------------------------------------------------------------ GS Mortgage Securities Corp. II, Commercial Mtg. Obligations, Series 2011-GC3, Cl. A1, 2.331%, 3/1/44 332,431 339,303 ------------------------------------------------------------------------------------------------------------------------------
7 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value ------------------------------------------------------------------------------------------------------------------------------ COMMERCIAL CONTINUED ------------------------------------------------------------------------------------------------------------------------------ GS Mortgage Securities Trust 2006-GG6, Commercial Mtg. Pass-Through Certificates, Series 2006-GG6, Cl. AM, 5.622%, 4/1/38 $ 420,274 $ 434,795 ------------------------------------------------------------------------------------------------------------------------------ GSR Mortgage Loan Trust 2005-AR4, Mtg. Pass-Through Certificates, Series 2005-AR4, Cl. 6A1, 5.25%, 7/1/35 355,361 346,890 ------------------------------------------------------------------------------------------------------------------------------ IndyMac Index Mortgage Loan Trust 2005-AR23, Mtg. Pass- Through Certificates, Series 2005-AR23, Cl. 6A1, 5.051%, 11/1/35(2) 640,045 470,362 ------------------------------------------------------------------------------------------------------------------------------ JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: Series 2011-C3, Cl. A1, 1.875%, 2/1/46(1) 378,815 382,676 Series 2007-LDPX, Cl. A2S2, 5.187%, 1/1/49(3) 1,140,210 1,157,313 ------------------------------------------------------------------------------------------------------------------------------ JPMorgan Mortgage Trust 2007-S3, Mtg. Pass-Through Certificates, Series 2007-S3, Cl. 1A90, 7%, 8/1/37 633,022 548,427 ------------------------------------------------------------------------------------------------------------------------------ LB-UBS Commercial Mortgage Trust 2007-C6, Commercial Mtg. Pass-Through Certificates, Series 2007-C6, Cl. A4, 5.858%, 7/11/40 880,000 999,873 ------------------------------------------------------------------------------------------------------------------------------ Lehman Brothers Commercial Conduit Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 1998-C1, Cl. IO, 0%, 2/18/30(5),(6) 3,002,580 44,362 ------------------------------------------------------------------------------------------------------------------------------ Lehman Structured Securities Corp., Commercial Mtg. Pass- Through Certificates, Series 2002-GE1, Cl. A, 2.514%, 7/1/24(1) 126,440 99,078 ------------------------------------------------------------------------------------------------------------------------------ Mastr Alternative Loan Trust 2004-6, Mtg. Pass-Through Certificates, Series 2004-6, Cl. 10A1, 6%, 7/25/34 897,622 923,514 ------------------------------------------------------------------------------------------------------------------------------ Merrill Lynch Mortgage Trust 2006-C2, Commercial Mtg. Pass- Through Certificates, Series 2006-C2, Cl. AM, 5.782%, 8/1/43 425,000 442,072 ------------------------------------------------------------------------------------------------------------------------------ Morgan Stanley Capital I Trust 2007-IQ15, Commercial Mtg. Pass-Through Certificates, Series 2007-IQ15, Cl. AM, 5.882%, 6/1/49(2) 490,000 485,691 ------------------------------------------------------------------------------------------------------------------------------ Salomon Brothers Mortgage Securities VII, Inc., Interest-Only Commercial Mtg. Pass-Through Certificates, Series 1999-C1, Cl. X, 0%, 5/18/32(5),(6) 40,411,739 80,136 ------------------------------------------------------------------------------------------------------------------------------ Structured Adjustable Rate Mortgage Loan Trust, Mtg. Pass- Through Certificates, Series 2007-6, Cl. 3A1, 4.957%, 7/1/37(2) 584,791 393,855 ------------------------------------------------------------------------------------------------------------------------------ Wachovia Bank Commercial Mortgage Trust 2007-C34, Commercial Mtg. Pass-Through Certificates, Series 2007-C34, Cl. A3, 5.678%, 5/1/46 520,000 592,512 ------------------------------------------------------------------------------------------------------------------------------ WaMu Mortgage Pass-Through Certificates 2005-AR14 Trust, Mtg. Pass-Through Certificates, Series 2005-AR14, Cl. 1A4, 2.46%, 12/1/35(2) 351,230 307,673 ------------------------------------------------------------------------------------------------------------------------------ Wells Fargo Mortgage-Backed Securities 2007-AR3 Trust, Mtg. Pass-Through Certificates, Series 2007-AR3, Cl. A4, 5.771%, 4/1/37(2) 172,408 151,113 ------------------------------------------------------------------------------------------------------------------------------ Wells Fargo Mortgage-Backed Securities 2007-AR8 Trust, Mtg. Pass-Through Certificates, Series 2007-AR8, Cl. A1, 6.021%, 11/1/37(2) 436,828 359,867 ----------- 15,860,155
8 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value ------------------------------------------------------------------------------------------------------------------------------ MULTIFAMILY-0.5% Citigroup Mortgage Loan Trust, Inc. 2006-AR3, Mtg. Pass- Through Certificates, Series 2006-AR3, Cl. 1A2A, 5.652%, 6/1/36(2) $ 399,540 $ 352,837 ------------------------------------------------------------------------------------------------------------------------------ JPMorgan Mortgage Trust 2007-A3, Mtg. Pass-Through Certificates, Series 2007-A3, Cl. 3A2M, 5.178%, 5/1/37(2) 151,451 131,841 ------------------------------------------------------------------------------------------------------------------------------ Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg. Pass-Through Certificates, Series 2006-AR6, Cl. 3A1, 2.668%, 3/25/36(2) 495,546 424,118 ----------- 908,796 ------------------------------------------------------------------------------------------------------------------------------ OTHER-0.4% Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2007-GG9, Commercial Mtg. Pass-Through Certificates, Series 2007-GG9, Cl. A4, 5.444%, 3/1/39 700,000 773,261 ------------------------------------------------------------------------------------------------------------------------------ Salomon Brothers Mortgage Securities VI, Inc., Interest-Only Stripped Mtg.-Backed Security, Series 1987-3, Cl. B, 35.806%, 10/23/17(5) 483 39 ------------------------------------------------------------------------------------------------------------------------------ Salomon Brothers Mortgage Securities VI, Inc., Principal-Only Stripped Mtg.-Backed Security, Series1987-3, Cl. A, 3.315%, 10/23/17(7) 715 701 ----------- 774,001 ------------------------------------------------------------------------------------------------------------------------------ RESIDENTIAL-3.0% Argent Securities Trust 2006-M3, Asset-Backed Pass-Through Certificates, Series 2006-M3, Cl. A2B, 0.342%, 9/25/36(2) 19,562 6,438 ------------------------------------------------------------------------------------------------------------------------------ Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2007-4, Cl. AM, 5.791%, 2/1/51(2) 470,000 471,872 ------------------------------------------------------------------------------------------------------------------------------ Banc of America Funding 2007-C Trust, Mtg. Pass-Through Certificates, Series 2007-C, Cl. 1A4, 5.538%, 5/1/36(2) 155,000 148,270 ------------------------------------------------------------------------------------------------------------------------------ Carrington Mortgage Loan Trust, Asset-Backed Pass-Through Certificates, Series 2006-FRE1, Cl. A2, 0.352%, 7/25/36(2) 318,040 293,345 ------------------------------------------------------------------------------------------------------------------------------ CHL Mortgage Pass-Through Trust 2005-29, Mtg. Pass- Through Certificates, Series 2005-29, Cl. A1, 5.75%, 12/1/35 221,479 194,569 ------------------------------------------------------------------------------------------------------------------------------ CHL Mortgage Pass-Through Trust 2005-30, Mtg. Pass- Through Certificates, Series 2005-30, Cl. A5, 5.50%, 1/1/36 303,802 300,463 ------------------------------------------------------------------------------------------------------------------------------ CHL Mortgage Pass-Through Trust 2005-J4, Mtg. Pass- Through Certificates, Series 2005-J4, Cl. A7, 5.50%, 11/1/35 35,913 35,808 ------------------------------------------------------------------------------------------------------------------------------ Countrywide Alternative Loan Trust 2007-19, Mtg. Pass- Through Certificates, Series 2007-19, Cl. 1A34, 6%, 8/1/37 361,771 260,403 ------------------------------------------------------------------------------------------------------------------------------ Countrywide Home Loans, Asset-Backed Certificates: Series 2002-4, Cl. A1, 0.982%, 2/25/33(2) 10,578 10,278 Series 2005-16, Cl. 2AF2, 5.343%, 5/1/36(2) 408,144 316,345 ------------------------------------------------------------------------------------------------------------------------------ CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 0.362%, 6/25/47(2) 30,584 27,358 ------------------------------------------------------------------------------------------------------------------------------ GSR Mortgage Loan Trust 2006-5F, Mtg. Pass-Through Certificates, Series 2006-5F, Cl. 2A1, 6%, 6/1/36 329,400 319,625 ------------------------------------------------------------------------------------------------------------------------------ JPMorgan Alternative Loan Trust 2006-S4, Mtg. Pass-Through Certificates, Series 2006-S4, Cl. A6, 5.71%, 12/1/36 513,075 454,520 ------------------------------------------------------------------------------------------------------------------------------
9 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value ------------------------------------------------------------------------------------------------------------------------------ RESIDENTIAL CONTINUED ------------------------------------------------------------------------------------------------------------------------------ Mastr Asset-Backed Securities Trust 2006-WMC3, Mtg. Pass- Through Certificates, Series 2006-WMC3, Cl. A3, 0.342%, 8/25/36(2) $ 62,574 $ 20,774 ------------------------------------------------------------------------------------------------------------------------------ Merrill Lynch Mortgage Investors Trust 2006-3, Mtg. Pass- Through Certificates, Series MLCC 2006-3, Cl. 2A1, 2.485%, 10/25/36(2) 43,267 39,652 ------------------------------------------------------------------------------------------------------------------------------ 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 ------------------------------------------------------------------------------------------------------------------------------ RALI Series 2003-QS1 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 208,361 216,129 ------------------------------------------------------------------------------------------------------------------------------ RALI Series 2006-QS13 Trust, Mtg. Asset-Backed Pass-Through Certificates: Series 2006-QS13, Cl. 1A5, 6%, 9/25/36 52,819 35,922 ------------------------------------------------------------------------------------------------------------------------------ Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 1,851 1,259 ------------------------------------------------------------------------------------------------------------------------------ RALI Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-QS6, Cl. A28, 5.75%, 4/25/37 23,077 14,833 ------------------------------------------------------------------------------------------------------------------------------ Residential Asset Securitization Trust 2005-A15, Mtg. Pass- Through Certificates, Series 2005-A15, Cl. 1A4, 5.75%, 2/1/36 150,723 120,388 ------------------------------------------------------------------------------------------------------------------------------ Structured Adjustable Rate Mortgage Loan Trust, Mtg. Pass- Through Certificates, Series 2004-5, Cl. 3A1, 2.53%, 5/1/34(2) 132,491 127,316 ------------------------------------------------------------------------------------------------------------------------------ WaMu Mortgage Pass-Through Certificates 2007-HY1 Trust, Mtg. Pass-Through Certificates, Series 2007-HY1, Cl. 4A1, 2.634%, 2/1/37(2) 57,975 41,586 ------------------------------------------------------------------------------------------------------------------------------ WaMu Mortgage Pass-Through Certificates 2007-HY5 Trust, Mtg. Pass-Through Certificates, Series 2007-HY5, Cl. 3A1, 5.388%, 5/1/37(2) 803,829 722,632 ------------------------------------------------------------------------------------------------------------------------------ Wells Fargo Alternative Loan 2007-PA5 Trust, Mtg. Asset- Backed Pass-Through Certificates, Series 2007-PA5, Cl. 1A1, 6.25%, 11/1/37 344,122 315,268 ------------------------------------------------------------------------------------------------------------------------------ Wells Fargo Mortgage-Backed Securities 2005-9 Trust, Mtg. Pass-Through Certificates, Series 2005-9, Cl. 2A6, 5.25%, 10/25/35 450,298 456,459 ------------------------------------------------------------------------------------------------------------------------------ Wells Fargo Mortgage-Backed Securities 2006-AR14 Trust, Mtg. Pass-Through Certificates, Series 2006-AR14, Cl. 1A2, 5.669%, 10/1/36(2) 368,867 334,867 ----------- 5,555,980 ----------- Total Mortgage-Backed Obligations (Cost $117,062,127) 116,798,129 ------------------------------------------------------------------------------------------------------------------------------ U.S. GOVERNMENT OBLIGATIONS-2.1% Federal Home Loan Mortgage Corp. Nts.: 2%, 8/25/16 180,000 187,245 2.375%, 1/13/22 894,000 879,144 2.50%, 5/27/16 255,000 271,010 5%, 2/16/17 295,000 348,060 5.25%, 4/18/16(9) 515,000 602,633 5.50%, 7/18/16 295,000 351,369 ------------------------------------------------------------------------------------------------------------------------------ Federal National Mortgage Assn. Nts.: 1.125%, 4/27/17 927,000 921,914 5.375%, 6/12/17 260,000 313,285 ----------- Total U.S. Government Obligations (Cost $3,782,502) 3,874,660
10 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value ------------------------------------------------------------------------------------------------------------------------------ CORPORATE BONDS AND NOTES-44.8% ------------------------------------------------------------------------------------------------------------------------------ CONSUMER DISCRETIONARY-7.2% ------------------------------------------------------------------------------------------------------------------------------ AUTO COMPONENTS-0.2% Dana Holding Corp., 6.75% Sr. Unsec. Nts., 2/15/21 $ 420,000 $ 449,400 ------------------------------------------------------------------------------------------------------------------------------ AUTOMOBILES-0.7% Daimler Finance North America LLC, 2.30% Sr. Unsec. Nts., 1/9/15(1) 349,000 358,048 ------------------------------------------------------------------------------------------------------------------------------ DaimlerChrysler NA Holdings Corp., 8.50% Nts., 1/18/31 237,000 345,144 ------------------------------------------------------------------------------------------------------------------------------ Ford Motor Credit Co. LLC, 5.875% Sr. Unsec. Nts., 8/2/21 513,000 554,117 ----------- 1,257,309 ------------------------------------------------------------------------------------------------------------------------------ DIVERSIFIED CONSUMER SERVICES-0.3% Service Corp. International, 6.75% Sr. Unsec. Nts., 4/1/15 496,000 544,360 ------------------------------------------------------------------------------------------------------------------------------ HOTELS, RESTAURANTS & LEISURE-0.7% Darden Restaurants, Inc., 4.50% Sr. Unsec. Unsub. Nts., 10/15/21 238,000 244,537 ------------------------------------------------------------------------------------------------------------------------------ Hyatt Hotels Corp., 5.75% Sr. Unsec. Unsub. Nts., 8/15/15(1) 753,000 828,109 ------------------------------------------------------------------------------------------------------------------------------ Starwood Hotels & Resorts Worldwide, Inc., 7.15% Sr. Unsec. Unsub. Nts., 12/1/19 116,000 138,040 ----------- 1,210,686 ------------------------------------------------------------------------------------------------------------------------------ HOUSEHOLD DURABLES-0.8% Jarden Corp., 6.125% Sr. Unsec. Nts., 11/15/22 467,000 491,518 ------------------------------------------------------------------------------------------------------------------------------ Newell Rubbermaid, Inc., 5.50% Sr. Unsec. Nts., 4/15/13 438,000 456,831 ------------------------------------------------------------------------------------------------------------------------------ Whirlpool Corp.: 5.50% Sr. Unsec. Unsub. Nts., 3/1/13 152,000 157,571 8% Sr. Unsec. Nts., 5/1/12 380,000 381,940 ----------- 1,487,860 ------------------------------------------------------------------------------------------------------------------------------ LEISURE EQUIPMENT & PRODUCTS-0.2% Mattel, Inc., 5.625% Sr. Unsec. Nts., 3/15/13 395,000 413,252 ------------------------------------------------------------------------------------------------------------------------------ MEDIA-2.4% CBS Corp., 3.375% Sr. Unsec. Unsub. Nts., 3/1/22 231,000 223,360 ------------------------------------------------------------------------------------------------------------------------------ Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22 292,000 423,937 ------------------------------------------------------------------------------------------------------------------------------ CSC Holdings, Inc., 7.625% Sr. Unsec. Debs., 7/15/18 430,000 481,600 ------------------------------------------------------------------------------------------------------------------------------ DIRECTV Holdings LLC/DIRECTV Financing Co., Inc.: 5.15% Sr. Unsec. Nts., 3/15/42(1) 263,000 256,364 7.625% Sr. Unsec. Unsub. Nts., 5/15/16 46,000 48,227 ------------------------------------------------------------------------------------------------------------------------------ Dish DBS Corp., 6.75% Sr. Unsec. Nts., 6/1/21 459,000 496,868 ------------------------------------------------------------------------------------------------------------------------------ Historic TW, Inc., 9.125% Debs., 1/15/13 149,000 158,170 ------------------------------------------------------------------------------------------------------------------------------ Interpublic Group of Cos., Inc. (The): 4% Sr. Nts., 3/15/22 135,000 132,408 6.25% Sr. Unsec. Nts., 11/15/14 190,000 208,050 10% Sr. Unsec. Nts., 7/15/17 458,000 526,700 ------------------------------------------------------------------------------------------------------------------------------ News America, Inc., 6.15% Sr. Unsec. Nts., 2/15/41 162,000 185,685 ------------------------------------------------------------------------------------------------------------------------------ Time Warner Entertainment Co. LP, 8.375% Sr. Nts., 7/15/33 257,000 343,472 ------------------------------------------------------------------------------------------------------------------------------ Virgin Media Secured Finance plc: 5.25% Sr. Sec. Nts., 1/15/21 254,000 273,439 6.50% Sr. Sec. Nts., 1/15/18 555,000 605,644 ----------- 4,363,924 ------------------------------------------------------------------------------------------------------------------------------ MULTILINE RETAIL-0.6% Family Dollar Stores, Inc., 5% Sr. Unsec. Nts., 2/1/21 261,000 273,346 ------------------------------------------------------------------------------------------------------------------------------
11 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value ------------------------------------------------------------------------------------------------------------------------------ MULTILINE RETAIL CONTINUED Macy's Retail Holdings, Inc., 5.75% Sr. Unsec. Nts., 7/15/14 $ 765,000 $ 838,927 ----------- 1,112,273 ------------------------------------------------------------------------------------------------------------------------------ SPECIALTY RETAIL-1.1% Limited Brands, Inc., 6.625% Sr. Nts., 4/1/21 455,000 495,381 ------------------------------------------------------------------------------------------------------------------------------ Rent-A-Center, Inc., 6.625% Sr. Unsec. Nts., 11/15/20 508,000 529,590 ------------------------------------------------------------------------------------------------------------------------------ Sally Holdings LLC/Sally Capital, Inc., 6.875% Sr. Unsec. Nts., 11/15/19(1) 467,000 499,690 ------------------------------------------------------------------------------------------------------------------------------ Staples, Inc., 9.75% Sr. Unsec. Unsub. Nts., 1/15/14 398,000 452,370 ----------- 1,977,031 ------------------------------------------------------------------------------------------------------------------------------ TEXTILES, APPAREL & LUXURY GOODS-0.2% Phillips-Van Heusen Corp., 7.375% Sr. Unsec. Unsub. Nts., 5/15/20 400,000 443,000 ------------------------------------------------------------------------------------------------------------------------------ CONSUMER STAPLES-2.9% ------------------------------------------------------------------------------------------------------------------------------ BEVERAGES-0.6% Anheuser-Busch InBev Worldwide, Inc., 8.20% Sr. Unsec. Unsub. Nts., 1/15/39 181,000 274,712 ------------------------------------------------------------------------------------------------------------------------------ Fortune Brands, Inc., 6.375% Sr. Unsec. Unsub. Nts., 6/15/14 126,000 138,627 ------------------------------------------------------------------------------------------------------------------------------ Pernod-Ricard SA, 4.25% Sr. Unsec. Nts., 7/15/22(1) 459,000 460,949 ------------------------------------------------------------------------------------------------------------------------------ SABMiller Holdings, Inc., 4.95% Sr. Unsec. Nts., 1/15/42 295,000 305,820 ----------- 1,180,108 ------------------------------------------------------------------------------------------------------------------------------ FOOD & STAPLES RETAILING-0.6% Delhaize Group: 5.70% Sr. Unsec. Nts., 10/1/40 133,000 123,007 5.875% Sr. Unsec. Unsub. Bonds, 2/1/14 407,000 437,801 ------------------------------------------------------------------------------------------------------------------------------ Kroger Co. (The), 5% Sr. Nts., 4/15/13 443,000 461,789 ----------- 1,022,597 ------------------------------------------------------------------------------------------------------------------------------ FOOD PRODUCTS-0.9% Bunge Ltd. Finance Corp.: 5.35% Sr. Unsec. Unsub. Nts., 4/15/14 210,000 222,819 8.50% Sr. Unsec. Nts., 6/15/19 200,000 244,591 ------------------------------------------------------------------------------------------------------------------------------ Kraft Foods, Inc.: 6% Sr. Unsec. Nts., 2/11/13 410,000 428,439 6.50% Sr. Unsec. Unsub. Nts., 2/9/40 262,000 322,583 ------------------------------------------------------------------------------------------------------------------------------ TreeHouse Foods, Inc., 7.75% Sr. Unsec. Nts., 3/1/18 485,000 526,831 ----------- 1,745,263 ------------------------------------------------------------------------------------------------------------------------------ TOBACCO-0.8% Altria Group, Inc., 10.20% Sr. Unsec. Nts., 2/6/39 358,000 555,319 ------------------------------------------------------------------------------------------------------------------------------ Lorillard Tobacco Co., 7% Sr. Unsec. Nts., 8/4/41 311,000 334,700 ------------------------------------------------------------------------------------------------------------------------------ Reynolds American, Inc., 7.25% Sr. Sec. Nts., 6/1/13 460,000 490,209 ----------- 1,380,228 ------------------------------------------------------------------------------------------------------------------------------ ENERGY-5.3% ------------------------------------------------------------------------------------------------------------------------------ ENERGY EQUIPMENT & SERVICES-1.4% Ensco plc, 4.70% Sr. Unsec. Nts., 3/15/21 524,000 566,165 ------------------------------------------------------------------------------------------------------------------------------ Nabors Industries, Inc., 6.15% Sr. Unsec. Unsub. Nts., 2/15/18 593,000 692,662 ------------------------------------------------------------------------------------------------------------------------------ Noble Holding International Ltd., 7.375% Sr. Unsec. Bonds, 3/15/14 403,000 447,217 ------------------------------------------------------------------------------------------------------------------------------ Precision Drilling Corp.: 6.50% Sr. Unsec. Nts., 12/15/21(1) 217,000 227,850
12 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value ------------------------------------------------------------------------------------------------------------------------------ ENERGY EQUIPMENT & SERVICES CONTINUED 6.625% Sr. Unsec. Nts., 11/15/20 $ 208,000 $ 218,920 ------------------------------------------------------------------------------------------------------------------------------ Rowan Cos., Inc., 5% Sr. Unsec. Nts., 9/1/17 499,000 531,725 ----------- 2,684,539 ------------------------------------------------------------------------------------------------------------------------------ OIL, GAS & CONSUMABLE FUELS-3.9% Anadarko Petroleum Corp., 6.20% Sr. Unsec. Nts., 3/15/40 316,000 358,267 ------------------------------------------------------------------------------------------------------------------------------ Canadian Oil Sands Ltd., 5.80% Sr. Unsec. Nts., 8/15/13(1) 457,000 482,738 ------------------------------------------------------------------------------------------------------------------------------ El Paso Pipeline Partners LP, 6.50% Sr. Unsec. Nts., 4/1/20 665,000 746,228 ------------------------------------------------------------------------------------------------------------------------------ Energy Transfer Partners LP: 4.65% Sr. Unsec. Unsub. Nts., 6/1/21 374,000 381,587 5.20% Sr. Unsec. Unsub. Nts., 2/1/22 136,000 142,492 ------------------------------------------------------------------------------------------------------------------------------ Enterprise Products Operating LLC, 4.85% Sr. Unsec. Unsub. Nts., 8/15/42 250,000 238,938 ------------------------------------------------------------------------------------------------------------------------------ Kaneb Pipe Line Operating Partnership LP, 5.875% Sr. Unsec. Nts., 6/1/13 757,000 787,670 ------------------------------------------------------------------------------------------------------------------------------ Newfield Exploration Co., 6.875% Sr. Unsec. Sub. Nts., 2/1/20 446,000 469,415 ------------------------------------------------------------------------------------------------------------------------------ Nexen, Inc., 6.40% Sr. Unsec. Unsub. Bonds, 5/15/37 466,000 512,623 ------------------------------------------------------------------------------------------------------------------------------ Phillips 66, 4.30% Unsec. Nts., 4/1/22(1) 314,000 319,917 ------------------------------------------------------------------------------------------------------------------------------ Plains All American Pipeline LP/PAA Finance Corp., 5.15% Sr. Unsec. Unsub. Nts., 6/1/42 261,000 255,126 ------------------------------------------------------------------------------------------------------------------------------ Range Resources Corp., 8% Sr. Unsec. Sub. Nts., 5/15/19 451,000 497,228 ------------------------------------------------------------------------------------------------------------------------------ Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.50% Sr. Sec. Nts., 9/30/14(1) 420,000 454,125 ------------------------------------------------------------------------------------------------------------------------------ Rockies Express Pipeline LLC, 3.90% Sr. Unsec. Unsub. Nts., 4/15/15(1) 471,000 438,030 ------------------------------------------------------------------------------------------------------------------------------ Southwestern Energy Co., 4.10% Sr. Unsec. Nts., 3/15/22(1) 232,000 230,344 ------------------------------------------------------------------------------------------------------------------------------ Woodside Finance Ltd.: 4.60% Sr. Unsec. Nts., 5/10/21(1) 354,000 368,738 5% Sr. Unsec. Nts., 11/15/13(1) 455,000 477,997 ----------- 7,161,463 ------------------------------------------------------------------------------------------------------------------------------ FINANCIALS-16.0% ------------------------------------------------------------------------------------------------------------------------------ CAPITAL MARKETS-3.4% Blackstone Holdings Finance Co. LLC, 6.625% Sr. Unsec. Nts., 8/15/19(1) 800,000 856,424 ------------------------------------------------------------------------------------------------------------------------------ Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 477,000 445,306 ------------------------------------------------------------------------------------------------------------------------------ Goldman Sachs Group, Inc. (The): 5.25% Sr. Unsec. Nts., 7/27/21 396,000 392,578 5.75% Sr. Unsec. Nts., 1/24/22 282,000 290,538 6.25% Sr. Nts., 2/1/41 443,000 437,761 ------------------------------------------------------------------------------------------------------------------------------ Macquarie Bank Ltd.: 5% Sr. Nts., 2/22/17(1) 146,000 147,238 6.625% Unsec. Sub. Nts., 4/7/21(1) 672,000 675,474 ------------------------------------------------------------------------------------------------------------------------------ Morgan Stanley: 5.50% Sr. Unsec. Unsub. Nts., 7/24/20(1) 262,000 256,044 5.625% Sr. Unsec. Nts., 9/23/19 1,091,000 1,079,663 ------------------------------------------------------------------------------------------------------------------------------ Nomura Holdings, Inc.: 4.125% Sr. Unsec. Unsub. Nts., 1/19/16 433,000 436,808 6.70% Sr. Unsec. Nts., 3/4/20 42,000 45,511 ------------------------------------------------------------------------------------------------------------------------------ Raymond James Financial, Inc., 5.625% Sr. Nts., 4/1/24 458,000 467,972 ------------------------------------------------------------------------------------------------------------------------------
13 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value ------------------------------------------------------------------------------------------------------------------------------ CAPITAL MARKETS CONTINUED ------------------------------------------------------------------------------------------------------------------------------ TD Ameritrade Holding Corp., 2.95% Sr. Unsec. Unsub. Nts., 12/1/12 $ 509,000 $ 516,521 ------------------------------------------------------------------------------------------------------------------------------ UBS AG Stamford CT, 2.25% Sr. Unsec. Nts., 8/12/13 181,000 182,188 ----------- 6,230,026 ------------------------------------------------------------------------------------------------------------------------------ COMMERCIAL BANKS-3.8% ANZ National International Ltd., 2.375% Sr. Unsec. Nts., 12/21/12(1) 507,000 512,862 ------------------------------------------------------------------------------------------------------------------------------ Fifth Third Cap Trust IV, 6.50% Jr. Unsec. Sub. Nts., 4/15/37 845,000 845,000 ------------------------------------------------------------------------------------------------------------------------------ HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/35(2) 1,190,000 1,122,360 ------------------------------------------------------------------------------------------------------------------------------ Lloyds TSB Bank plc, 6.50% Unsec. Sub. Nts., 9/14/20(1) 810,000 802,306 ------------------------------------------------------------------------------------------------------------------------------ Mercantile Bankshares Corp., 4.625% Unsec. Sub. Nts., Series B, 4/15/13 308,000 318,564 ------------------------------------------------------------------------------------------------------------------------------ Nordea Bank AB, 3.125% Sr. Nts., 3/20/17(1) 865,000 866,692 ------------------------------------------------------------------------------------------------------------------------------ Sumitomo Mitsui Banking Corp., 8% Unsec. Sub. Nts., 6/15/12 466,000 471,334 ------------------------------------------------------------------------------------------------------------------------------ Wells Fargo & Co., 7.98% Jr. Sub. Perpetual Bonds, Series K(10) 1,204,000 1,316,875 ------------------------------------------------------------------------------------------------------------------------------ Zions Bancorp: 7.75% Sr. Unsec. Nts., 9/23/14 385,000 421,814 4.50% Sr. Unsec. Unsub. Nts., 3/27/17 326,000 324,249 ----------- 7,002,056 ------------------------------------------------------------------------------------------------------------------------------ CONSUMER FINANCE-1.1% American Express Bank FSB, 5.50% Sr. Unsec. Nts., 4/16/13 441,000 461,769 ------------------------------------------------------------------------------------------------------------------------------ Discover Bank, 8.70% Unsec. Sub. Nts., 11/18/19 659,000 821,007 ------------------------------------------------------------------------------------------------------------------------------ SLM Corp., 6.25% Sr. Nts., 1/25/16 697,000 725,369 ----------- 2,008,145 ------------------------------------------------------------------------------------------------------------------------------ DIVERSIFIED FINANCIAL SERVICES-2.4% Bank of America Corp., 5.70% Sr. Unsec. Unsub. Nts., 1/24/22 490,000 519,488 ------------------------------------------------------------------------------------------------------------------------------ Citigroup, Inc., 6.125% Sr. Unsec. Unsub. Nts., 11/21/17 756,000 844,629 ------------------------------------------------------------------------------------------------------------------------------ ING Bank NV: 3.75% Unsec. Nts., 3/7/17(1) 473,000 468,910 5% Sr. Unsec. Nts., 6/9/21(1) 339,000 344,769 ------------------------------------------------------------------------------------------------------------------------------ JPMorgan Chase & Co., 7.90% Perpetual Bonds, Series 1(10) 1,494,000 1,642,387 ------------------------------------------------------------------------------------------------------------------------------ Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Bonds, 5/14/38 655,000 715,219 ----------- 4,535,402 ------------------------------------------------------------------------------------------------------------------------------ INSURANCE-4.1% American International Group, Inc., 3.80% Unsec. Nts., 3/22/17 382,000 387,144 ------------------------------------------------------------------------------------------------------------------------------ Burlington Northern Santa Fe LLC, 5.75% Sr. Unsec. Bonds, 5/1/40 143,000 163,364 ------------------------------------------------------------------------------------------------------------------------------ CNA Financial Corp.: 5.75% Sr. Unsec. Unsub. Nts., 8/15/21 368,000 392,723 5.875% Sr. Unsec. Unsub. Bonds, 8/15/20 260,000 279,088 ------------------------------------------------------------------------------------------------------------------------------ Gulf South Pipeline Co. LP, 5.75% Sr. Unsec. Nts., 8/15/12(1) 455,000 461,258 ------------------------------------------------------------------------------------------------------------------------------ International Lease Finance Corp., 5.75% Sr. Unsec. Unsub. Nts., 5/15/16 441,000 440,824 ------------------------------------------------------------------------------------------------------------------------------ Irish Life & Permanent Group Holdings plc, 3.60% Sr. Unsec. Unsub. Nts., 1/14/13(1) 320,000 313,600 ------------------------------------------------------------------------------------------------------------------------------ Liberty Mutual Group, Inc., 5% Sr. Nts., 6/1/21(1) 685,000 685,054 ------------------------------------------------------------------------------------------------------------------------------ Lincoln National Corp., 6.05% Jr. Unsec. Sub. Bonds, 4/20/67 945,000 888,300 ------------------------------------------------------------------------------------------------------------------------------ Prudential Covered Trust 2012-1, 2.997% Sec. Nts., 9/30/15(1) 600,000 607,274 ------------------------------------------------------------------------------------------------------------------------------
14 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value ------------------------------------------------------------------------------------------------------------------------------ INSURANCE CONTINUED ------------------------------------------------------------------------------------------------------------------------------ Swiss Re Capital I LP, 6.854% Perpetual Bonds(1),(10) $ 958,000 $ 904,960 ------------------------------------------------------------------------------------------------------------------------------ Unum Group, 5.625% Sr. Unsec. Unsub. Nts., 9/15/20 779,000 825,563 ------------------------------------------------------------------------------------------------------------------------------ Willis Group Holdings plc, 4.125% Sr. Unsec. Unsub. Nts., 3/15/16 463,000 470,975 ------------------------------------------------------------------------------------------------------------------------------ ZFS Finance USA Trust V, 6.50% Jr. Sub. Bonds, 5/9/37(1),(2) 848,000 822,560 ----------- 7,642,687 ------------------------------------------------------------------------------------------------------------------------------ REAL ESTATE INVESTMENT TRUSTS-1.2% American Tower Corp.: 5.05% Sr. Unsec. Unsub. Nts., 9/1/20 130,000 134,512 7% Sr. Unsec. Nts., 10/15/17 413,000 481,672 ------------------------------------------------------------------------------------------------------------------------------ Brandywine Operating Partnership LP, 5.75% Sr. Unsec. Unsub. Nts., 4/1/12 237,000 237,000 ------------------------------------------------------------------------------------------------------------------------------ CommonWealth REIT, 5.75% Sr. Unsec. Unsub. Bonds, 2/15/14 425,000 439,869 ------------------------------------------------------------------------------------------------------------------------------ Duke Realty LP, 6.25% Sr. Unsec. Unsub. Nts., 5/15/13 476,000 499,369 ------------------------------------------------------------------------------------------------------------------------------ WEA Finance LLC/WT Finance Aust Pty Ltd., 7.50% Sr. Unsec. Nts., 6/2/14(1) 408,000 450,756 ----------- 2,243,178 ------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE-1.1% ------------------------------------------------------------------------------------------------------------------------------ BIOTECHNOLOGY-0.3% Celgene Corp., 5.70% Sr. Unsec. Nts., 10/15/40 291,000 304,977 ------------------------------------------------------------------------------------------------------------------------------ Gilead Sciences, Inc., 5.65% Sr. Unsec. Nts., 12/1/41 243,000 259,726 ----------- 564,703 ------------------------------------------------------------------------------------------------------------------------------ HEALTH CARE PROVIDERS & SERVICES-0.5% Aristotle Holding, Inc., 3.90% Unsec. Nts., 2/15/22(1) 318,000 321,941 ------------------------------------------------------------------------------------------------------------------------------ McKesson Corp., 6% Sr. Unsec. Unsub. Nts., 3/1/41 237,000 294,656 ------------------------------------------------------------------------------------------------------------------------------ Quest Diagnostics, Inc., 5.75% Sr. Unsec. Nts., 1/30/40 310,000 323,716 ----------- 940,313 ------------------------------------------------------------------------------------------------------------------------------ PHARMACEUTICALS-0.3% Mylan, Inc., 6% Sr. Nts., 11/15/18(1) 511,000 536,550 ------------------------------------------------------------------------------------------------------------------------------ INDUSTRIALS-3.0% ------------------------------------------------------------------------------------------------------------------------------ AEROSPACE & DEFENSE-0.3% BE Aerospace, Inc., 8.50% Sr. Unsec. Nts., 7/1/18 453,000 502,830 ------------------------------------------------------------------------------------------------------------------------------ COMMERCIAL SERVICES & SUPPLIES-0.5% Corrections Corp. of America, 7.75% Sr. Nts., 6/1/17 483,000 528,885 ------------------------------------------------------------------------------------------------------------------------------ R.R. Donnelley & Sons Co., 8.60% Sr. Unsec. Unsub. Nts., 8/15/16 434,000 462,210 ----------- 991,095 ------------------------------------------------------------------------------------------------------------------------------ INDUSTRIAL CONGLOMERATES-0.8% General Electric Capital Corp.: 4.25% Sr. Unsec. Nts., Series A, 6/15/12 460,000 463,354 5.25% Sr. Unsec. Nts., 10/19/12 28,000 28,706 6.375% Unsec. Sub. Bonds, 11/15/67 934,000 955,015 ----------- 1,447,075 ------------------------------------------------------------------------------------------------------------------------------ MACHINERY-1.1% CNH Capital LLC, 6.25% Sr. Unsec. Nts., 11/1/16(1) 489,000 526,898 ------------------------------------------------------------------------------------------------------------------------------ ITT Corp., 7.375% Unsec. Debs., 11/15/15 320,000 369,600 ------------------------------------------------------------------------------------------------------------------------------ Joy Global, Inc., 5.125% Sr. Unsec. Unsub. Nts., 10/15/21 242,000 262,437 ------------------------------------------------------------------------------------------------------------------------------ Kennametal, Inc., 3.875% Sr. Unsec. Unsub. Nts., 2/15/22 342,000 344,926 ------------------------------------------------------------------------------------------------------------------------------
15 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value ------------------------------------------------------------------------------------------------------------------------------ MACHINERY CONTINUED SPX Corp., 6.875% Sr. Unsec. Nts., 9/1/17(1) $ 412,000 $ 453,200 ----------- 1,957,061 ------------------------------------------------------------------------------------------------------------------------------ PROFESSIONAL SERVICES-0.0% FTI Consulting, Inc., 6.75% Sr. Unsec. Nts., 10/1/20 76,000 81,795 ------------------------------------------------------------------------------------------------------------------------------ ROAD & RAIL-0.3% CSX Corp., 5.50% Sr. Unsec. Nts., 4/15/41 150,000 162,902 ------------------------------------------------------------------------------------------------------------------------------ Kansas City Southern de Mexico, 8% Sr. Unsec. Unsub. Nts., 2/1/18 430,000 481,600 ----------- 644,502 ------------------------------------------------------------------------------------------------------------------------------ INFORMATION TECHNOLOGY-1.3% ------------------------------------------------------------------------------------------------------------------------------ COMMUNICATIONS EQUIPMENT-0.1% Juniper Networks, Inc., 5.95% Sr. Unsec. Unsub. Nts., 3/15/41 201,000 230,412 ------------------------------------------------------------------------------------------------------------------------------ COMPUTERS & PERIPHERALS-0.2% Hewlett-Packard Co., 4.65% Sr. Unsec. Nts., 12/9/21 363,000 380,339 ------------------------------------------------------------------------------------------------------------------------------ ELECTRONIC EQUIPMENT & INSTRUMENTS-0.4% Arrow Electronics, Inc., 5.125% Sr. Unsec. Unsub. Nts., 3/1/21 491,000 502,506 ------------------------------------------------------------------------------------------------------------------------------ Corning, Inc., 4.75% Sr. Unsec. Unsub. Nts., 3/15/42 182,000 176,357 ----------- 678,863 ------------------------------------------------------------------------------------------------------------------------------ OFFICE ELECTRONICS-0.2% Xerox Corp., 5.65% Sr. Unsec. Nts., 5/15/13 435,000 455,321 ------------------------------------------------------------------------------------------------------------------------------ SOFTWARE-0.4% BMC Software, Inc., 4.25% Sr. Unsec. Nts., 2/15/22 158,000 158,650 ------------------------------------------------------------------------------------------------------------------------------ Symantec Corp., 4.20% Sr. Unsec. Unsub. Nts., 9/15/20 573,000 585,342 ----------- 743,992 ------------------------------------------------------------------------------------------------------------------------------ MATERIALS-3.0% ------------------------------------------------------------------------------------------------------------------------------ CHEMICALS-0.8% Agrium, Inc., 6.125% Sr. Unsec. Nts., 1/15/41 230,000 266,162 ------------------------------------------------------------------------------------------------------------------------------ Airgas, Inc., 3.25% Sr. Nts., 10/1/15 842,000 876,428 ------------------------------------------------------------------------------------------------------------------------------ Mosaic Co. (The), 4.875% Sr. Unsec. Unsub. Nts., 11/15/41 302,000 301,322 ----------- 1,443,912 ------------------------------------------------------------------------------------------------------------------------------ CONTAINERS & PACKAGING-0.6% Crown Americas LLC/Crown Americas Capital Corp. III, 6.25% Sr. Unsec. Nts., 2/1/21 446,000 481,680 ------------------------------------------------------------------------------------------------------------------------------ Rock-Tenn Co., 4.90% Sr. Unsec. Nts., 3/1/22(1) 162,000 162,014 ------------------------------------------------------------------------------------------------------------------------------ Sealed Air Corp., 8.375% Sr. Unsec. Nts., 9/15/21(1) 388,000 437,955 ----------- 1,081,649 ------------------------------------------------------------------------------------------------------------------------------ METALS & MINING-1.5% ArcelorMittal, 6.25% Sr. Unsec. Unsub. Nts., 2/25/22 256,000 259,220 ------------------------------------------------------------------------------------------------------------------------------ Cliffs Natural Resources, Inc., 6.25% Sr. Unsec. Unsub. Nts., 10/1/40 124,000 131,751 ------------------------------------------------------------------------------------------------------------------------------ Freeport-McMoRan Copper & Gold, Inc., 3.55% Sr. Unsec. Nts., 3/1/22 331,000 318,423 ------------------------------------------------------------------------------------------------------------------------------ Petrohawk Energy Corp., 6.25% Sr. Unsec. Nts., 6/1/19 720,000 819,000 ------------------------------------------------------------------------------------------------------------------------------ Teck Resources Ltd., 7% Sr. Unsec. Unsub. Nts., 9/15/12 476,000 485,285 ------------------------------------------------------------------------------------------------------------------------------ Xstrata Canada Corp.: 5.375% Sr. Unsec. Unsub. Nts., 6/1/15 245,000 267,573 6% Sr. Unsec. Unsub. Nts., 10/15/15 432,000 476,920
16 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value ------------------------------------------------------------------------------------------------------------------------------ METALS & MINING CONTINUED 7.25% Sr. Unsec. Unsub. Nts., 7/15/12 $ 80,000 $ 81,483 ----------- 2,839,655 ------------------------------------------------------------------------------------------------------------------------------ PAPER & FOREST PRODUCTS-0.1% International Paper Co., 6% Sr. Unsec. Unsub. Nts., 11/15/41 202,000 219,390 ------------------------------------------------------------------------------------------------------------------------------ TELECOMMUNICATION SERVICES-2.8% ------------------------------------------------------------------------------------------------------------------------------ DIVERSIFIED TELECOMMUNICATION SERVICES-2.7% AT&T, Inc., 6.30% Sr. Unsec. Bonds, 1/15/38 590,000 693,803 ------------------------------------------------------------------------------------------------------------------------------ British Telecommunications plc, 9.875% Bonds, 12/15/30 298,000 438,636 ------------------------------------------------------------------------------------------------------------------------------ CenturyLink, Inc., 7.65% Sr. Unsec. Unsub. Nts., 3/15/42 362,000 340,293 ------------------------------------------------------------------------------------------------------------------------------ Frontier Communications Corp., 8.25% Sr. Unsec. Nts., 4/15/17 495,000 534,600 ------------------------------------------------------------------------------------------------------------------------------ Qwest Corp., 7.625% Sr. Unsec. Unsub. Nts., 6/15/15 500,000 582,014 ------------------------------------------------------------------------------------------------------------------------------ Telecom Italia Capital SA: 7.175% Sr. Unsec. Unsub. Nts., 6/18/19 605,000 647,350 7.721% Sr. Unsec. Unsub. Nts., 6/4/38 192,000 188,160 ------------------------------------------------------------------------------------------------------------------------------ Telefonica Emisiones SAU, 5.462% Sr. Unsec. Unsub. Nts., 2/16/21 692,000 673,670 ------------------------------------------------------------------------------------------------------------------------------ Verizon Communications, Inc., 6.40% Sr. Unsec. Nts., 2/15/38 286,000 346,627 ------------------------------------------------------------------------------------------------------------------------------ Windstream Corp., 7.875% Sr. Unsec. Unsub. Nts., 11/1/17 439,000 486,193 ----------- 4,931,346 ------------------------------------------------------------------------------------------------------------------------------ WIRELESS TELECOMMUNICATION SERVICES-0.1% America Movil SAB de CV, 6.125% Sr. Unsec. Unsub. Nts., 3/30/40 215,000 251,083 ------------------------------------------------------------------------------------------------------------------------------ UTILITIES-2.2% ------------------------------------------------------------------------------------------------------------------------------ ELECTRIC UTILITIES-1.4% Allegheny Energy Supply Co. LLC, 8.25% Bonds, 4/15/12(1) 447,000 447,877 ------------------------------------------------------------------------------------------------------------------------------ Edison International, 3.75% Sr. Unsec. Unsub. Nts., 9/15/17 376,000 394,858 ------------------------------------------------------------------------------------------------------------------------------ Great Plains Energy, Inc., 2.75% Sr. Unsec. Unsub. Nts., 8/15/13 464,000 472,068 ------------------------------------------------------------------------------------------------------------------------------ Northeast Utilities Co., 7.25% Sr. Unsec. Nts., 4/1/12 470,000 470,000 ------------------------------------------------------------------------------------------------------------------------------ Oncor Electric Delivery Co., 7% Debs., 9/1/22 82,000 99,662 ------------------------------------------------------------------------------------------------------------------------------ PPL WEM Holdings plc, 5.375% Sr. Unsec. Nts., 5/1/21(1) 655,000 707,526 ----------- 2,591,991 ------------------------------------------------------------------------------------------------------------------------------ ENERGY TRADERS-0.3% TransAlta Corp., 5.75% Sr. Unsec. Nts., 12/15/13 455,000 484,445 ------------------------------------------------------------------------------------------------------------------------------ GAS UTILITIES-0.2% Southwest Gas Corp., 3.875% Sr. Unsec. Unsub. Nts., 4/1/22 320,000 326,970 ------------------------------------------------------------------------------------------------------------------------------ MULTI-UTILITIES-0.3% CMS Energy Corp., 6.25% Sr. Unsec. Nts., 2/1/20 424,000 465,123 ------------------------------------------------------------------------------------------------------------------------------ Pacific Gas & Electric Co., 4.50% Sr. Unsec. Nts., 12/15/41 116,000 116,200 ----------- 581,323 ----------- Total Corporate Bonds and Notes (Cost $80,347,813) 83,001,402
Shares ------------------------------------------------------------------------------------------------------------------------- INVESTMENT COMPANY-13.3% Oppenheimer Institutional Money Market Fund, Cl. E, 0.22%(11),(12) (Cost $24,645,907) 24,645,907 24,645,907
17 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Value --------------------------------------------------------------------------------------- TOTAL INVESTMENTS, AT VALUE (COST $244,099,912) 133.1% $246,710,152 --------------------------------------------------------------------------------------- Liabilities in Excess of Other Assets (33.1) (61,296,732) -------------------------------- Net Assets 100.0% $185,413,420 ================================
Footnotes to Statement of Investments ------------- * March 30, 2012 represents the last business day of the Fund's quarterly period. See accompanying Notes. 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 $26,884,869 or 14.50% of the Fund's net assets as of March 30, 2012. 2. Represents the current interest rate for a variable or increasing rate security. 3. Restricted security. The aggregate value of restricted securities as of March 30, 2012 was $2,212,322, which represents 1.19% of the Fund's net assets. See accompanying Notes. Information concerning restricted securities is as follows:
UNREALIZED ACQUISITION APPRECIATION SECURITY DATES COST VALUE (DEPRECIATION) -------------------------------------------------------------------------------------------------------------------------- Exeter Automobile Receivables Trust, Automobile Receivable Nts., Series 2012-1A, Cl. A, 2.02%, 8/15/16 2/23/12 $ 353,591 $ 353,519 $ (72) JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 2007- LDPX, Cl. A2S2, 5.187%, 1/1/49 7/14/10 1,125,957 1,157,313 31,356 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 2/4/11-2/9/12 433,377 431,889 (1,488) ------------------------------------------ $ 5,194,041 $ 2,212,322 $ (2,981,719) ==========================================
4. All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after March 30, 2012. See accompanying Notes. 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 $5,894,267 or 3.18% of the Fund's net assets as of March 30, 2012. 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 $283,097 or 0.15% of the Fund's net assets as of March 30, 2012. 8. 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. 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 $523,062. 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 March 30, 2012, 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 30, 2011(A) ADDITIONS REDUCTIONS MARCH 30, 2012 ----------------------------------------------------------------------------------------------------------------- Oppenheimer Institutional Money Market Fund, Cl. E 28,319,973 19,866,362 23,540,428 24,645,907
VALUE INCOME ----------------------------------------------------------------------------------------------------------------- Oppenheimer Institutional Money Market Fund, Cl. E $ 24,645,907 $ 13,731
18 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) A. December 30, 2011 represents the last business day of the Fund's 2011 fiscal year. See accompanying Notes. 12. Rate shown is the 7-day yield as of March 30, 2012. FUTURES CONTRACTS AS OF MARCH 30, 2012 ARE AS FOLLOWS
UNREALIZED NUMBER OF EXPIRATION APPRECIATION CONTRACT DESCRIPTION BUY/SELL CONTRACTS DATE VALUE (DEPRECIATION) ----------------------------------------------------------------------------------------- U.S. Long Bonds Buy 21 6/20/12 $ 2,892,750 $ (52,225) U.S. Treasury Nts., 2 yr. Sell 109 6/29/12 23,995,328 10,465 U.S. Treasury Nts., 5 yr. Sell 72 6/29/12 8,822,813 29,591 U.S. Treasury Nts., 10 yr. Sell 30 6/20/12 3,884,531 (6,893) U.S. Treasury Ultra Bonds Buy 54 6/20/12 8,152,313 (342,066) --------------- $ (361,128) ===============
NOTES TO STATEMENT OF INVESTMENTS QUARTERLY AND ANNUAL PERIODS. The last day of the Fund's quarterly period was the last day the New York Stock Exchange was open for trading. The Fund's financial statements have been presented through that date to maintain consistency with the Fund's net asset value calculations used for shareholder transactions. The last day of the Fund's fiscal year was the last day the New York Stock Exchange was open for trading. The Fund's financial statements have been presented through that date to maintain consistency with the Fund's net asset value calculations used for shareholder transactions. 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 March 30, 2012, 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 $65,795,386 Sold securities 1,547,682
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 19 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) 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 March 30, 2012 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. 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. The Fund's Board has adopted procedures for the valuation of the Fund's securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a "fair valuation" for any security for which market quotations are not "readily available." The Valuation Committee's fair valuation determinations are subject to review, approval and ratification by the Fund's Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Valuation Methods and inputs Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or dealers. The following methodologies are used to determine the market value or the fair value of the types of securities described below: Securities traded on a registered U.S. securities exchange (including exchange-traded derivatives other than futures and futures options) 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. 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 security of a foreign issuer traded on a foreign exchange but not listed on a registered U.S. securities exchange is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the third party pricing service used by the Manager, prior to the time when the Fund's assets are valued. If the last sale price is unavailable, the security is valued at the most recent official closing price on the principal exchange on which it is traded. If the last sales price or official closing price for a foreign security is not available, the security is valued at the mean between the bid and asked price per the exchange or, if not available from the exchange, obtained from two dealers. If bid and asked prices are not available from either the exchange or two dealers, the security is valued by 20 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) using one of the following methodologies (listed in order of priority); (1) using a bid from the exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer. Shares of a registered investment company that are not traded on an exchange are valued at that investment company's net asset value per share. Corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, event-linked bonds, loans, mortgage-backed securities, collateralized mortgage obligations, and asset-backed securities are valued at the mean between the "bid" and "asked" prices utilizing evaluated prices obtained from third party pricing services or broker-dealers who may use matrix pricing methods to determine the evaluated prices. Short-term money market type debt securities with a remaining maturity 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. Short-term debt securities with a remaining maturity in excess of sixty days are valued at the mean between the "bid" and "asked" prices utilizing evaluated prices obtained from third party pricing services or broker-dealers. Futures contracts and futures options 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. A description of the standard inputs that may generally be considered by the third party pricing vendors in determining their evaluated prices is provided below.
SECURITY TYPE STANDARD INPUTS GENERALLY CONSIDERED BY THIRD-PARTY PRICING VENDORS ------------------------------------- ------------------------------------------------------------------- Reported trade data, broker-dealer price quotations, Corporate debt, government debt, benchmark yields, issuer spreads on comparable securities, municipal, mortgage-backed and asset- the credit quality, yield, maturity, and other appropriate backed securities factors. Loans Information obtained from market participants regarding reported trade data and broker-dealer price quotations. Event-linked bonds Information obtained from market participants regarding reported trade data and broker-dealer price quotations.
If a market value or price cannot be determined for a security using the methodologies described above, or if, in the "good faith" opinion of the Manager, the market value or price obtained does not constitute a "readily available market quotation," or a significant event has occurred that would materially affect the value of the security the security is fair valued either (i) by a standardized fair valuation methodology applicable to the security type or the significant event as previously approved by the Valuation Committee and the Fund's Board or (ii) as determined in good faith by the Manager's Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. Fair value determinations by the Manager are subject to review, approval and ratification by the Fund's Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Those fair valuation standardized methodologies include, but are not limited to, valuing securities at the last sale price or 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 further adjusted for any discounts related to security-specific 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 nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security. To assess the continuing appropriateness of security valuations, the Manager, or its third party service provider who is subject to oversight by the Manager, regularly compares prior day prices, prices on comparable securities, and sale prices to the current day prices and challenges those prices exceeding certain tolerance levels with the third party pricing service or broker source. For those 21 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) securities valued by fair valuations, whether through a standardized fair valuation methodology or a fair valuation determination, the Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available. Classifications 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. 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 inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. The table below categorizes amounts as of March 30, 2012 based on valuation input level:
LEVEL 2- LEVEL 3- LEVEL 1- OTHER SIGNIFICANT SIGNIFICANT UNADJUSTED OBSERVABLE UNOBSERVABLE QUOTED PRICES INPUTS INPUTS VALUE ------------------------------------------------------------------------------------------------------- ASSETS TABLE INVESTMENTS, AT VALUE: Asset-Backed Securities $ - $ 18,390,054 $ - $ 18,390,054 Mortgage-Backed Obligations - 116,798,129 - 116,798,129 U.S. Government Obligations - 3,874,660 - 3,874,660 Corporate Bonds and Notes - 83,001,402 - 83,001,402 Investment Company 24,645,907 - - 24,645,907 ------------------------------------------------------------------------- Total Investments, at Value 24,645,907 222,064,245 - 246,710,152 OTHER FINANCIAL INSTRUMENTS: Futures margins 24,773 - - 24,773 ------------------------------------------------------------------------- Total Assets $ 24,670,680 $ 222,064,245 $ - $246,734,925 ------------------------------------------------------------------------- LIABILITIES TABLE OTHER FINANCIAL INSTRUMENTS: Futures margins $ (116,438) $ - $ - $ (116,438) ------------------------------------------------------------------------- Total Liabilities $ (116,438) $ - $ - $ (116,438)
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. There have been no significant changes to the fair valuation methodologies of the Fund during the period. 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 22 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) 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. 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. 23 | Oppenheimer Core Bond Fund/VA Oppenheimer Core Bond Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) Futures contracts traded on a commodities or futures exchange will be valued at the final settlement price or official closing price on the principal exchange as reported by such principal exchange at its trading session ending at, or most recently prior to, the time when the Fund's assets are valued. Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin) in an amount equal to a certain percentage of the contract value. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealized gains and losses. Futures contracts are reported on a schedule following the Statement of Investments. Securities held in collateralized accounts to cover initial margin requirements on open futures contracts are noted in the Statement of Investments. Cash held by the broker to cover initial margin requirements on open futures contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted in the Statement of Assets and Liabilities in the annual and semiannual reports. The net change in unrealized appreciation and depreciation is reported in the Statement of Operations in the annual and semiannual reports. Realized gains (losses) are reported in the Statement of Operations in the annual and semiannual reports at the closing or expiration of futures contracts. The Fund has purchased futures contracts on various bonds and notes to increase exposure to interest rate risk. The Fund has sold futures contracts on various bonds and notes to decrease exposure to interest rate risk. During the period ended March 30, 2012, the Fund had an ending monthly average market value of $14,649,617 and $39,067,436 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 March 30, 2012, 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 March 30, 2012 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 $244,145,428 Federal tax cost of other investments (25,296,481) ------------ Total federal tax cost $218,848,947 ============ Gross unrealized appreciation $7,788,296 Gross unrealized depreciation (5,584,700) ------------ Net unrealized appreciation $ 2,203,596 ============
24 | Oppenheimer Core Bond Fund/VA Oppenheimer Global Securities Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Shares Value -------------------------------------------------------------------------------------------------- COMMON STOCKS-99.2% CONSUMER DISCRETIONARY-18.4% -------------------------------------------------------------------------------------------------- AUTOMOBILES-1.7% Bayerische Motoren Werke (BMW) AG, Preference 771,969 $ 45,852,358 -------------------------------------------------------------------------------------------------- DIVERSIFIED CONSUMER SERVICES-0.0% Zee Learn Ltd.(1) 492,103 142,478 -------------------------------------------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE-3.8% Carnival Corp. 1,202,316 38,570,297 -------------------------------------------------------------------------------------------------- Lottomatica SpA(1) 552,870 10,500,098 -------------------------------------------------------------------------------------------------- McDonald's Corp. 521,140 51,123,834 ----------------- 100,194,229 -------------------------------------------------------------------------------------------------- HOUSEHOLD DURABLES-0.3% Sony Corp. 434,000 9,028,620 -------------------------------------------------------------------------------------------------- LEISURE EQUIPMENT & PRODUCTS-0.4% Nintendo Co. Ltd. 61,000 9,239,993 -------------------------------------------------------------------------------------------------- MEDIA-4.3% Grupo Televisa SA, Sponsored GDR 1,274,106 26,858,154 -------------------------------------------------------------------------------------------------- McGraw-Hill Cos., Inc. (The) 634,460 30,752,276 -------------------------------------------------------------------------------------------------- Walt Disney Co. (The) 1,037,370 45,416,059 -------------------------------------------------------------------------------------------------- Wire & Wireless India Ltd.(1) 2,281,600 373,959 -------------------------------------------------------------------------------------------------- Zee Entertainment Enterprises Ltd. 4,094,715 10,187,558 ----------------- 113,588,006 -------------------------------------------------------------------------------------------------- MULTILINE RETAIL-1.1% Pinault-Printemps-Redoute SA 164,970 28,382,787 -------------------------------------------------------------------------------------------------- SPECIALTY RETAIL-4.0% Abercrombie & Fitch Co., Cl. A 224,010 11,113,136 -------------------------------------------------------------------------------------------------- Industria de Diseno Textil SA 439,965 42,142,848 -------------------------------------------------------------------------------------------------- Kingfisher plc 1,924,960 9,443,142 -------------------------------------------------------------------------------------------------- Tiffany & Co. 633,480 43,792,472 ----------------- 106,491,598 -------------------------------------------------------------------------------------------------- TEXTILES, APPAREL & LUXURY GOODS-2.8% LVMH Moet Hennessy Louis Vuitton SA 281,770 48,421,644 -------------------------------------------------------------------------------------------------- Tod's SpA 238,587 26,840,600 ----------------- 75,262,244 -------------------------------------------------------------------------------------------------- CONSUMER STAPLES-8.8% -------------------------------------------------------------------------------------------------- BEVERAGES-3.8% Carlsberg AS, Cl. B 199,346 16,470,742 -------------------------------------------------------------------------------------------------- Companhia de Bebidas das Americas, Sponsored ADR, Preference 675,675 27,918,891 -------------------------------------------------------------------------------------------------- Fomento Economico Mexicano SA de CV, UBD 5,205,149 42,800,550 -------------------------------------------------------------------------------------------------- Grupo Modelo SA de CV, Series C 2,015,307 14,129,738 -------------------------------------------------------------------------------------------------- 101,319,921 FOOD & STAPLES RETAILING-0.5% E-Mart Co. Ltd. 61,139 13,489,917 -------------------------------------------------------------------------------------------------- FOOD PRODUCTS-2.8% Nestle SA 522,946 32,904,988 -------------------------------------------------------------------------------------------------- Unilever plc 1,241,413 40,983,308 ----------------- 73,888,296
1 | Oppenheimer Global Securities Fund/VA Oppenheimer Global Securities Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Shares Value -------------------------------------------------------------------------------------------------- HOUSEHOLD PRODUCTS-1.7% Colgate-Palmolive Co. 475,810 $ 46,524,702 ENERGY-4.3% -------------------------------------------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES-2.9% Technip SA 419,990 49,477,476 -------------------------------------------------------------------------------------------------- Transocean Ltd. 505,762 27,665,181 ----------------- 77,142,657 -------------------------------------------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS-1.4% Total SA 602,560 30,731,131 -------------------------------------------------------------------------------------------------- YPF SA, Sponsored ADR 214,830 6,103,320 ----------------- 36,834,451 -------------------------------------------------------------------------------------------------- FINANCIALS-14.0% -------------------------------------------------------------------------------------------------- CAPITAL MARKETS-3.9% Credit Suisse Group AG 1,218,077 34,719,310 -------------------------------------------------------------------------------------------------- Goldman Sachs Group, Inc. (The) 259,310 32,250,385 -------------------------------------------------------------------------------------------------- UBS AG(1) 2,716,046 38,061,351 ----------------- 105,031,046 -------------------------------------------------------------------------------------------------- COMMERCIAL BANKS-3.4% Banco Bilbao Vizcaya Argentaria SA 3,367,795 26,801,682 -------------------------------------------------------------------------------------------------- ICICI Bank Ltd., Sponsored ADR 537,020 18,725,887 -------------------------------------------------------------------------------------------------- Itau Unibanco Holding SA, ADR, Preference 578,240 11,096,426 -------------------------------------------------------------------------------------------------- Societe Generale SA, Cl. A 425,759 12,472,554 -------------------------------------------------------------------------------------------------- Sumitomo Mitsui Financial Group, Inc. 655,000 21,748,266 ----------------- 90,844,815 -------------------------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES-1.0% BM&F BOVESPA SA 4,348,400 26,655,672 -------------------------------------------------------------------------------------------------- INSURANCE-5.2% Aflac, Inc. 480,300 22,088,997 -------------------------------------------------------------------------------------------------- Allianz SE 324,402 38,709,835 -------------------------------------------------------------------------------------------------- Dai-ichi Life Insurance Co. 21,622 30,285,945 -------------------------------------------------------------------------------------------------- Fidelity National Financial, Inc., Cl. A 821,110 14,804,613 -------------------------------------------------------------------------------------------------- Prudential plc 2,651,717 31,704,390 ----------------- 137,593,780 -------------------------------------------------------------------------------------------------- REAL ESTATE MANAGEMENT & DEVELOPMENT-0.5% DLF Ltd. 3,100,027 12,276,582 HEALTH CARE-10.5% -------------------------------------------------------------------------------------------------- BIOTECHNOLOGY-3.1% Amgen, Inc. 353,590 24,040,584 -------------------------------------------------------------------------------------------------- Amylin Pharmaceuticals, Inc.(1) 1,101,708 27,498,632 -------------------------------------------------------------------------------------------------- Gilead Sciences, Inc.(1) 299,030 14,607,616 -------------------------------------------------------------------------------------------------- Theravance, Inc.(1) 598,130 11,663,535 -------------------------------------------------------------------------------------------------- ThromboGenics NV(1) 131,644 4,377,072 ----------------- 82,187,439 -------------------------------------------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES-1.3% Zimmer Holdings, Inc. 531,810 34,184,747 -------------------------------------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES-3.4% Aetna, Inc. 847,050 42,488,028 --------------------------------------------------------------------------------------------------
2 | Oppenheimer Global Securities Fund/VA Oppenheimer Global Securities Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Shares Value -------------------------------------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES CONTINUED WellPoint, Inc. 657,315 $ 48,509,847 ----------------- 90,997,875 -------------------------------------------------------------------------------------------------- PHARMACEUTICALS-2.7% Allergan, Inc. 104,180 9,941,897 -------------------------------------------------------------------------------------------------- Bayer AG 444,545 31,269,160 -------------------------------------------------------------------------------------------------- Mitsubishi Tanabe Pharma Corp. 826,300 11,646,912 -------------------------------------------------------------------------------------------------- Roche Holding AG 104,226 18,138,811 ----------------- 70,996,780 -------------------------------------------------------------------------------------------------- INDUSTRIALS-12.5% -------------------------------------------------------------------------------------------------- AEROSPACE & DEFENSE-3.0% Embraer SA, ADR 867,823 27,752,980 -------------------------------------------------------------------------------------------------- European Aeronautic Defense & Space Co. 1,297,340 53,127,975 ----------------- 80,880,955 -------------------------------------------------------------------------------------------------- BUILDING PRODUCTS-1.8% Assa Abloy AB, Cl. B 1,514,863 47,581,325 -------------------------------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES-0.2% Mulitplus SA 253,800 5,255,493 -------------------------------------------------------------------------------------------------- CONSTRUCTION & ENGINEERING-0.6% FLSmidth & Co. AS 223,410 15,680,143 -------------------------------------------------------------------------------------------------- ELECTRICAL EQUIPMENT-2.1% Emerson Electric Co. 461,440 24,077,939 -------------------------------------------------------------------------------------------------- Nidec Corp. 212,700 19,376,078 -------------------------------------------------------------------------------------------------- Prysmian SpA 683,137 12,008,357 ----------------- 55,462,374 -------------------------------------------------------------------------------------------------- INDUSTRIAL CONGLOMERATES-3.8% 3M Co. 397,600 35,469,896 -------------------------------------------------------------------------------------------------- Siemens AG 653,062 65,838,377 ----------------- 101,308,273 -------------------------------------------------------------------------------------------------- MACHINERY-0.8% Fanuc Ltd. 115,300 20,722,671 -------------------------------------------------------------------------------------------------- ROAD & RAIL-0.2% All America Latina Logistica 1,308,600 6,530,634 -------------------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY-27.4% -------------------------------------------------------------------------------------------------- COMMUNICATIONS EQUIPMENT-4.7% -------------------------------------------------------------------------------------------------- Juniper Networks, Inc.(1) 1,264,000 28,920,320 -------------------------------------------------------------------------------------------------- Telefonaktiebolaget LM Ericsson, B Shares 9,165,656 94,970,483 ----------------- 123,890,803 -------------------------------------------------------------------------------------------------- COMPUTERS & PERIPHERALS-0.3% Fusion-io, Inc.(1) 306,160 8,698,006 -------------------------------------------------------------------------------------------------- ELECTRONIC EQUIPMENT & INSTRUMENTS-4.2% Corning, Inc. 1,391,750 19,595,840 -------------------------------------------------------------------------------------------------- Hoya Corp. 686,800 15,425,410 -------------------------------------------------------------------------------------------------- Keyence Corp. 109,311 25,915,378 -------------------------------------------------------------------------------------------------- Kyocera Corp. 172,300 15,949,220 -------------------------------------------------------------------------------------------------- Murata Manufacturing Co. Ltd. 553,500 33,118,189 ----------------- 110,004,037 -------------------------------------------------------------------------------------------------- INTERNET SOFTWARE & SERVICES-4.7% eBay, Inc.(1) 2,308,740 85,169,419 --------------------------------------------------------------------------------------------------
3 | Oppenheimer Global Securities Fund/VA Oppenheimer Global Securities Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Shares Value -------------------------------------------------------------------------------------------------- INTERNET SOFTWARE & SERVICES CONTINUED Google, Inc., Cl. A(1) 62,740 $ 40,231,398 125,400,817 -------------------------------------------------------------------------------------------------- IT SERVICES-1.2% Infosys Ltd. 557,544 31,368,895 -------------------------------------------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT-4.8% Altera Corp. 1,387,340 55,243,879 -------------------------------------------------------------------------------------------------- Maxim Integrated Products, Inc. 1,475,275 42,178,112 -------------------------------------------------------------------------------------------------- Taiwan Semiconductor Manufacturing Co. Ltd. 10,778,184 31,004,009 ----------------- 128,426,000 -------------------------------------------------------------------------------------------------- SOFTWARE-7.5% Adobe Systems, Inc.(1) 1,012,583 34,741,723 -------------------------------------------------------------------------------------------------- Intuit, Inc. 960,780 57,771,701 -------------------------------------------------------------------------------------------------- Microsoft Corp. 1,359,400 43,840,650 -------------------------------------------------------------------------------------------------- SAP AG 918,335 64,129,984 ----------------- 200,484,058 -------------------------------------------------------------------------------------------------- MATERIALS-1.4% -------------------------------------------------------------------------------------------------- CHEMICALS-0.8% Linde AG 125,495 22,520,109 -------------------------------------------------------------------------------------------------- METALS & MINING-0.6% Iluka Resources Ltd. 861,200 15,870,009 TELECOMMUNICATION SERVICES-1.2% -------------------------------------------------------------------------------------------------- WIRELESS TELECOMMUNICATION SERVICES-1.2% KDDI Corp. 4,861 31,629,783 UTILITIES-0.7% -------------------------------------------------------------------------------------------------- ELECTRIC UTILITIES-0.7% Fortum OYJ 809,831 19,657,403 ----------------- Total Common Stocks (Cost $1,917,972,324) 2,639,522,781 -------------------------------------------------------------------------------------------------- INVESTMENT COMPANY-0.6% Oppenheimer Institutional Money Market Fund, Cl. E, 0.22% (2,3) (Cost $15,841,557) 15,841,557 15,841,557 -------------------------------------------------------------------------------------------------- TOTAL INVESTMENTS, AT VALUE (COST $1,933,813,881) 99.8% 2,655,364,338 -------------------------------------------------------------------------------------------------- Other Assets Net of Liabilities 0.2 5,853,837 ----------------------------------------- Net Assets 100.0% $2,661,218,175 =========================================
Footnotes to Statement of Investments ------------ * March 30, 2012 represents the last business day of the Fund's quarterly period. See accompanying Notes. 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 March 30, 2012, 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 30, 2011(A) ADDITIONS REDUCTIONS MARCH 30, 2012 ------------------------------------------------------------------------------------------------------------------ Oppenheimer Institutional Money Market Fund, Cl. E 36,459,796 57,699,053 78,317,292 15,841,557
VALUE INCOME -------------------------------------------------------------------------------------------------- Oppenheimer Institutional Money Market Fund, Cl. E $ 15,841,557 $ 11,508
4 | Oppenheimer Global Securities Fund/VA Oppenheimer Global Securities Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) A. December 30, 2011 represents the last business day of the Fund's 2011 fiscal year. See accompanying Notes. 3. Rate shown is the 7-day yield as of March 30, 2012. Distribution of investments representing geographic holdings, as a percentage of total investments at value, is as follows:
Geographic Holdings Value Percent ---------------------------------------------------------------------------------------------- United States $ 1,068,817,278 40.2% Germany 268,319,823 10.1 Japan 244,086,465 9.2 France 222,613,567 8.4 Sweden 142,551,808 5.4 Switzerland 123,824,460 4.7 Brazil 105,210,096 4.0 Mexico 83,788,442 3.1 United Kingdom 82,130,840 3.1 India 73,075,359 2.7 Spain 68,944,530 2.6 Italy 49,349,055 1.9 Denmark 32,150,885 1.2 Taiwan 31,004,009 1.2 Finland 19,657,403 0.7 Australia 15,870,009 0.6 Korea, Republic of South 13,489,917 0.5 Argentina 6,103,320 0.2 Belgium 4,377,072 0.2 -------------------------------------------- Total $ 2,655,364,338 100.0% ============================================
FOREIGN CURRENCY EXCHANGE CONTRACTS AS OF MARCH 30, 2012 ARE AS FOLLOWS:
COUNTERPARTY/CONTRACT CONTRACT AMOUNT EXPIRATION UNREALIZED UNREALIZED DESCRIPTION BUY/SELL (000'S) DATE VALUE APPRECIATION DEPRECIATION ----------------------------------------------------------------------------------------------------------------------------------- BROWN BROTHERS HARRIMAN: Euro (EUR) Buy 3,159 EUR 4/3/12 $4,213,838 $ 22,116 $ -- Euro (EUR) Sell 3,021 EUR 4/3/12 4,028,892 -- 21,145 --------------------------- 22,116 21,145 ----------------------------------------------------------------------------------------------------------------------------------- CREDIT SUISSE Danish Krone (DKK) Buy 2,534 DKK 4/2/12 454,249 876 -- ----------------------------------------------------------------------------------------------------------------------------------- DEUTSCHE BANK SECURITIES, INC. Danish Krone (DKK) Buy 12,627 DKK 4/3/12 2,263,148 10,737 -- ----------------------------------------------------------------------------------------------------------------------------------- NOMURA SECURITIES: Euro (EUR) Buy 1,002 EUR 4/2/12 1,336,311 2,542 -- Euro (EUR) Sell 711 EUR 4/2/12 947,861 -- 1,803 --------------------------- 2,542 1,803 --------------------------- Total unrealized appreciation and depreciation $ 36,271 $ 22,948 ===========================
5 | Oppenheimer Global Securities Fund/VA Oppenheimer Global Securities Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) NOTES TO STATEMENT OF INVESTMENTS QUARTERLY AND ANNUAL PERIODS. The last day of the Fund's quarterly period was the last day the New York Stock Exchange was open for trading. The Fund's financial statements have been presented through that date to maintain consistency with the Fund's net asset value calculations used for shareholder transactions. The last day of the Fund's fiscal year was the last day the New York Stock Exchange was open for trading. The Fund's financial statements have been presented through that date to maintain consistency with the Fund's net asset value calculations used for shareholder transactions. 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. 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. The Fund's Board has adopted procedures for the valuation of the Fund's securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a "fair valuation" for any security for which market quotations are not "readily available." The Valuation Committee's fair valuation determinations are subject to review, approval and ratification by the Fund's Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Valuation Methods and inputs Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or dealers. The following methodologies are used to determine the market value or the fair value of the types of securities described below: Securities traded on a registered U.S. securities exchange (including exchange-traded derivatives other than futures and futures options) 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. 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 security of a foreign issuer traded on a foreign exchange but not listed on a registered U.S. securities exchange is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the third party pricing service used by the Manager, prior to the time when the Fund's assets are valued. If the last sale price is unavailable, the security is valued at the most recent official closing price on the principal exchange on which it is traded. If the last sales price or official closing price for a foreign security is not available, the security is valued at the mean between the bid and asked price per the exchange or, if not available from the exchange, obtained from two dealers. If bid and asked prices are not available from either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of priority); (1) using a bid from the exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer. 6 | Oppenheimer Global Securities Fund/VA Oppenheimer Global Securities Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) Shares of a registered investment company that are not traded on an exchange are valued at that investment company's net asset value per share. Corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, event-linked bonds, loans, mortgage-backed securities, collateralized mortgage obligations, and asset-backed securities are valued at the mean between the "bid" and "asked" prices utilizing evaluated prices obtained from third party pricing services or broker-dealers who may use matrix pricing methods to determine the evaluated prices. Short-term money market type debt securities with a remaining maturity 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. Short-term debt securities with a remaining maturity in excess of sixty days are valued at the mean between the "bid" and "asked" prices utilizing evaluated prices obtained from third party pricing services or broker-dealers. Forward foreign currency exchange contracts are valued utilizing current and forward currency rates obtained from third party pricing services. When the settlement date of a contract is an interim date for which a quotation is not available, interpolated values are derived using the nearest dated forward currency rate. A description of the standard inputs that may generally be considered by the third party pricing vendors in determining their evaluated prices is provided below.
SECURITY TYPE STANDARD INPUTS GENERALLY CONSIDERED BY THIRD-PARTY PRICING VENDORS ------------------------------------- ------------------------------------------------------------------- Corporate debt, government debt, Reported trade data, broker-dealer price quotations, municipal, mortgage-backed and asset- benchmark yields, issuer spreads on comparable securities, backed securities the credit quality, yield, maturity, and other appropriate factors. Loans Information obtained from market participants regarding reported trade data and broker-dealer price quotations. Event-linked bonds Information obtained from market participants regarding reported trade data and broker-dealer price quotations.
If a market value or price cannot be determined for a security using the methodologies described above, or if, in the "good faith" opinion of the Manager, the market value or price obtained does not constitute a "readily available market quotation," or a significant event has occurred that would materially affect the value of the security the security is fair valued either (i) by a standardized fair valuation methodology applicable to the security type or the significant event as previously approved by the Valuation Committee and the Fund's Board or (ii) as determined in good faith by the Manager's Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. Fair value determinations by the Manager are subject to review, approval and ratification by the Fund's Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Those fair valuation standardized methodologies include, but are not limited to, valuing securities at the last sale price or 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 further adjusted for any discounts related to security-specific 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 nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security. To assess the continuing appropriateness of security valuations, the Manager, or its third party service provider who is subject to oversight by the Manager, regularly compares prior day prices, prices on comparable securities, and sale prices to the current day prices and challenges those prices exceeding certain tolerance levels with the third party pricing service or broker source. For those securities valued by fair valuations, whether through a standardized fair valuation methodology or a fair valuation determination, the Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available. 7 | Oppenheimer Global Securities Fund/VA Oppenheimer Global Securities Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) Classifications 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. 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 inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. The table below categorizes amounts as of March 30, 2012 based on valuation input level:
LEVEL 2- LEVEL 3- LEVEL 1- OTHER SIGNIFICANT SIGNIFICANT UNADJUSTED OBSERVABLE UNOBSERVABLE QUOTED PRICES INPUTS INPUTS VALUE ------------------------------------------------------------------------------------------------------------------------- ASSETS TABLE INVESTMENTS, AT VALUE: Common Stocks Consumer Discretionary $ 469,913,700 $ 18,268,613 $ -- $ 488,182,313 Consumer Staples 235,222,836 -- -- 235,222,836 Energy 113,977,108 -- -- 113,977,108 Financials 320,367,684 52,034,211 -- 372,401,895 Health Care 266,719,929 11,646,912 -- 278,366,841 Industrials 312,699,197 20,722,671 -- 333,421,868 Information Technology 653,289,829 74,982,787 -- 728,272,616 Materials 38,390,118 -- -- 38,390,118 Telecommunication Services -- 31,629,783 -- 31,629,783 Utilities 19,657,403 -- -- 19,657,403 Investment Company 15,841,557 -- -- 15,841,557 ------------------------------------------------------------------------------------ Total Investments, at Value 2,446,079,361 209,284,977 -- 2,655,364,338 OTHER FINANCIAL INSTRUMENTS: Foreign currency exchange contracts -- 36,271 -- 36,271 ------------------------------------------------------------------------------------ Total Assets $2,446,079,361 $ 209,321,248 $ -- $ 2,655,400,609 ------------------------------------------------------------------------------------ LIABILITIES TABLE OTHER FINANCIAL INSTRUMENTS: Foreign currency exchange contracts $ -- $ (22,948) $ -- $ (22,948) ------------------------------------------------------------------------------------ Total Liabilities $ -- $ (22,948) $ -- $ (22,948)
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. 8 | Oppenheimer Global Securities Fund/VA Oppenheimer Global Securities Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) The table below shows the 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 INTO TRANSFERS OUT TRANSFERS INTO TRANSFERS OUT LEVEL 1* OF LEVEL 1** LEVEL 2** OF LEVEL 2* --------------------------------------------------------------------------------------------------------------------------- ASSETS TABLE INVESTMENTS, AT VALUE: Common Stocks Consumer Discretionary $ 66,468,995 $ (8,400,676) $ 8,400,676 $ (66,468,995) Energy 39,253,414 -- -- (39,253,414) Financials 69,828,179 (39,510,269) 39,510,269 (69,828,179) Health Care -- (13,075,658) 13,075,658 -- Industrials 53,630,016 (17,646,278) 17,646,278 (53,630,016) Information Technology 94,139,824 (66,259,725) 66,259,725 (94,139,824) Telecommunication Services -- (31,261,466) 31,261,466 -- Utilities 17,229,805 -- -- (17,229,805) ----------------------------------------------------------------------------------- Total Assets $ 340,550,233 $ (176,154,072) $ 176,154,072 $ (340,550,233) -----------------------------------------------------------------------------------
------------ * Transferred from Level 2 to Level 1 due to the presence of a readily available unadjusted quoted market price. As of the prior reporting period end, these securities were absent 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. ** 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. There have been no significant changes to the fair valuation methodologies of the Fund during the period. 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 9 | Oppenheimer Global Securities Fund/VA Oppenheimer Global Securities Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities. 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 March 30, 2012, the maximum amount of loss that the Fund would incur if the counterparties to its derivative transactions failed to perform would be $ 36,271, which represents gross payments to be received by the Fund on these derivative contracts were they to be unwound as of period end. 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 10 | Oppenheimer Global Securities Fund/VA Oppenheimer Global Securities Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) 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 March 30, 2012, the Fund had daily average contract amounts on forward foreign currency contracts to buy and sell of $2,969,861 and $3,461,173, 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 March 30, 2012 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 $ 1,962,766,638 =================== Gross unrealized appreciation $ 768,857,980 Gross unrealized depreciation (76,182,384) ------------------- Net unrealized appreciation $ 692,675,596 ===================
Oppenheimer High Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value -------------------------------------------------------------------------------------------------------------------- LOAN PARTICIPATIONS-5.7% Brock Holdings III, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 10%, 2/15/18(1) $ 155,000 $ 153,063 -------------------------------------------------------------------------------------------------------------------- Cengage Learning Holdings II LP, Sr. Sec. Credit Facilities 1st Lien Term Loan: 209,452 193,818 2.25%, 7/3/14(1,2) 2.50%, 7/3/14(1) 432,149 399,893 -------------------------------------------------------------------------------------------------------------------- Clear Channel Communications, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B, 2.50%, 1/29/16(1) 452,763 368,265 -------------------------------------------------------------------------------------------------------------------- Crestwood Holdings LLC, Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B, 8.25%, 3/8/18(1,2) 280,000 285,483 -------------------------------------------------------------------------------------------------------------------- Entegra Holdings LLC, Sr. Sec. Credit Facilities 3rd Lien Term Loan, Tranche B, 3.898%, 10/19/15(1,3) 1,488,292 853,287 -------------------------------------------------------------------------------------------------------------------- iStar Financial, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche A2, 5.75%, 3/19/17(1,2) 565,000 564,386 -------------------------------------------------------------------------------------------------------------------- Lone Star Intermediate Super Holdings LLC, Sr. Sec. Credit Facilities Term Loan, 9.50%, 8/7/19(1,2) 340,000 345,525 -------------------------------------------------------------------------------------------------------------------- Nuveen Investments, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 8.25%, 3/1/19(1,2) 640,000 652,800 -------------------------------------------------------------------------------------------------------------------- OneLink Communications/San Juan Cable LLC, Sr. Sec. Credit Facilities 2nd Lien Term Loan, Tranche B, 10%, 10/31/13(1) 420,000 410,025 -------------------------------------------------------------------------------------------------------------------- PQ Corp., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 6.75%, 7/30/15(1,2) 625,000 602,344 -------------------------------------------------------------------------------------------------------------------- Revel Entertainment LLC, Sr. Sec. Credit Facilities 1st Lien Term Loan: 7.50%, 2/17/17(1,2) 85,000 83,968 9%, 2/17/17(1,2) 500,000 493,929 -------------------------------------------------------------------------------------------------------------------- Springleaf Financial Services, Sr. Sec. Credit Facilities 1st Lien Term Loan, 5.50%, 5/10/17(1,2) 305,000 281,553 -------------------------------------------------------------------------------------------------------------------- Texas Competitive Electric Holdings Co. LLC, Non-Extended Sr. Sec. Credit Facilities 1st Lien Term Loan, 3.743%, 10/10/14(1,2) 445,000 273,489 -------------------------------------------------------------------------------------------------------------------- Walter Investment Management Corp., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 12.50%, 9/28/16(1) 655,000 671,375 ---------- Total Loan Participations (Cost $6,608,817) 6,633,203 -------------------------------------------------------------------------------------------------------------------- CORPORATE BONDS AND NOTES-86.3% -------------------------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY-21.0% -------------------------------------------------------------------------------------------------------------------- AUTO COMPONENTS-2.6% -------------------------------------------------------------------------------------------------------------------- Goodyear Tire & Rubber Co. (The), 8.25% Sr. Unsec. Unsub. Nts., 8/15/20 610,000 651,175 -------------------------------------------------------------------------------------------------------------------- Tower Automotive Holdings USA LLC/TA Holdings Finance, Inc., 10.625% Sr. Sec. Nts., 9/1/17(4) 1,335,000 1,455,150 -------------------------------------------------------------------------------------------------------------------- UCI International, Inc., 8.625% Sr. Unsec. Nts., 2/15/19 170,000 175,525 -------------------------------------------------------------------------------------------------------------------- Visteon Corp., 6.75% Sr. Unsec. Nts., 4/15/19 690,000 703,800 ---------- 2,985,650 -------------------------------------------------------------------------------------------------------------------- AUTOMOBILES-0.1% Jaguar Land Rover plc, 7.75% Sr. Unsec. Bonds, 5/15/18(4) 110,000 113,300 -------------------------------------------------------------------------------------------------------------------- DIVERSIFIED CONSUMER SERVICES-0.3% Monitronics International, Inc., 9.125% Sr. Nts., 4/1/20(4) 130,000 132,275 --------------------------------------------------------------------------------------------------------------------
1 | Oppenheimer High Income Fund/VA Oppenheimer High Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value ----------------------------------------------------------------------------------------------------------------- DIVERSIFIED CONSUMER SERVICES CONTINUED ServiceMaster Co., 8% Sr. Nts., 2/15/20(4) $ 170,000 $ 181,900 ---------- 314,175 ----------------------------------------------------------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE-6.4% Boyd Gaming Corp., 9.125% Sr. Unsec. Nts., 12/1/18 530,000 554,513 ----------------------------------------------------------------------------------------------------------------- Burger King Corp., 9.875% Sr. Unsec. Unsub. Nts., 10/15/18 245,000 275,625 ----------------------------------------------------------------------------------------------------------------- Chester Downs & Marina LLC, 9.25% Sr. Sec. Nts., 1/15/20(4) 275,000 291,156 ----------------------------------------------------------------------------------------------------------------- CKE Restaurants, Inc., 11.375% Sec. Nts., 7/15/18 115,000 131,963 ----------------------------------------------------------------------------------------------------------------- Equinox Holdings, Inc., 9.50% Sr. Sec. Nts., 2/1/16(4) 510,000 547,931 ----------------------------------------------------------------------------------------------------------------- Harrah's Operating Co., Inc., 10% Sr. Sec. Nts., 12/15/18 2,703,000 2,101,583 ----------------------------------------------------------------------------------------------------------------- HOA Restaurants Group LLC/HOA Finance Corp., 11.25% Sr. Sec. Nts., 4/1/17(4) 715,000 709,638 ----------------------------------------------------------------------------------------------------------------- Isle of Capri Casinos, Inc., 7.75% Sr. Unsec. Unsub. Nts., 3/15/19 585,000 593,775 ----------------------------------------------------------------------------------------------------------------- Landry's Restaurants, Inc., 11.625% Sr. Sec. Nts., 12/1/15 415,000 464,281 ----------------------------------------------------------------------------------------------------------------- MGM Mirage, Inc., 6.625% Sr. Unsec. Nts., 7/15/15 955,000 986,038 ----------------------------------------------------------------------------------------------------------------- Mohegan Tribal Gaming Authority, 8% Sr. Sub. Nts., 4/1/12 255,000 255,000 ----------------------------------------------------------------------------------------------------------------- Penn National Gaming, Inc., 8.75% Sr. Unsec. Sub. Nts., 8/15/19 435,000 490,463 ---------- 7,401,966 ----------------------------------------------------------------------------------------------------------------- HOUSEHOLD DURABLES-1.4% Beazer Homes USA, Inc.: 6.875% Sr. Unsec. Nts., 7/15/15 280,000 263,900 9.125% Sr. Unsec. Nts., 5/15/19 790,000 683,350 ----------------------------------------------------------------------------------------------------------------- Jarden Corp., 6.125% Sr. Unsec. Nts., 11/15/22 65,000 68,413 ----------------------------------------------------------------------------------------------------------------- Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Luxembourg SA: 9% Sr. Nts., 4/15/19(4) 285,000 282,150 9% Sr. Nts., 5/15/18(4) 295,000 295,738 ---------- 1,593,551 ----------------------------------------------------------------------------------------------------------------- MEDIA-8.4% Affinion Group Holdings, Inc., 11.625% Sr. Unsec. Nts., 11/15/15 325,000 295,750 ----------------------------------------------------------------------------------------------------------------- Affinion Group, Inc., 7.875% Sr. Unsec. Nts., 12/15/18 760,000 695,400 ----------------------------------------------------------------------------------------------------------------- AMC Entertainment, Inc., 8.75% Sr. Unsec. Nts., 6/1/19 265,000 278,913 ----------------------------------------------------------------------------------------------------------------- Belo (A.H.) Corp., 7.75% Sr. Unsec. Unsub. Debs., 6/1/27 719,000 695,633 ----------------------------------------------------------------------------------------------------------------- Cequel Communications Holdings I LLC, 8.625% Sr. Unsec. Nts., 11/15/17(4) 505,000 544,769 ----------------------------------------------------------------------------------------------------------------- Clear Channel Communications, Inc., 5.75% Sr. Unsec. Unsub. Nts., 1/15/13 860,000 857,850 ----------------------------------------------------------------------------------------------------------------- CSC Holdings LLC, 6.75% Sr. Unsec. Nts., 11/15/21(4) 520,000 544,050 ----------------------------------------------------------------------------------------------------------------- Cumulus Media, Inc., 7.75% Sr. Nts., 5/1/19(4) 350,000 332,500 ----------------------------------------------------------------------------------------------------------------- Entravision Communications Corp., 8.75% Sr. Sec. Nts., 8/1/17 535,000 569,106 ----------------------------------------------------------------------------------------------------------------- Gray Television, Inc., 10.50% Sr. Sec. Nts., 6/29/15 520,000 543,400 ----------------------------------------------------------------------------------------------------------------- Kabel BW Erste Beteiligungs GmbH/Kabel Baden- Wurttemberg GmbH & Co. KG, 7.50% Sr. Sec. Nts., 3/15/19(4) 395,000 428,575 ----------------------------------------------------------------------------------------------------------------- Lamar Media Corp., 5.875% Sr. Sub. Nts., 2/1/22(4) 220,000 224,950 ----------------------------------------------------------------------------------------------------------------- Newport Television LLC/NTV Finance Corp., 13.75% Sr. Nts., 3/15/17(4) 649,232 658,970 ----------------------------------------------------------------------------------------------------------------- Nexstar Broadcasting, Inc./Mission Broadcasting, Inc., 8.875% Sec. Nts., 4/15/17 515,000 554,913 -----------------------------------------------------------------------------------------------------------------
2 | Oppenheimer High Income Fund/VA Oppenheimer High Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value ----------------------------------------------------------------------------------------------------------------------- MEDIA CONTINUED ----------------------------------------------------------------------------------------------------------------------- Sinclair Television Group, Inc., 8.375% Sr. Unsec. Nts., 10/15/18 $ 705,000 $764,925 ----------------------------------------------------------------------------------------------------------------------- Univision Communications, Inc., 7.875% Sr. Sec. Nts., 11/1/20(4) 250,000 263,750 ----------------------------------------------------------------------------------------------------------------------- UPCB Finance V Ltd., 7.25% Sr. Sec. Nts., 11/15/21(4) 350,000 371,875 ----------------------------------------------------------------------------------------------------------------------- UPCB Finance VI Ltd., 6.875% Sr. Sec. Nts., 1/15/22(5) 560,000 578,200 ----------------------------------------------------------------------------------------------------------------------- Virgin Media Finance plc: 5.25% Sr. Unsec. Unsub. Nts., 2/15/22 215,000 214,194 8.375% Sr. Unsec. Unsub. Nts., 10/15/19 245,000 275,625 --------- 9,693,348 ----------------------------------------------------------------------------------------------------------------------- SPECIALTY RETAIL-1.4% Burlington Coat Factory Warehouse Corp., 10% Sr. Unsec. Nts., 2/15/19 140,000 146,300 ----------------------------------------------------------------------------------------------------------------------- J. Crew Group, Inc., 8.125% Sr. Unsec. Nts., 3/1/19 275,000 281,188 ----------------------------------------------------------------------------------------------------------------------- Limited Brands, Inc., 5.625% Sr. Nts., 2/15/22 560,000 567,700 ----------------------------------------------------------------------------------------------------------------------- Michaels Stores, Inc., 7.75% Sr. Unsec. Nts., 11/1/18 45,000 48,150 ----------------------------------------------------------------------------------------------------------------------- Sally Holdings LLC/Sally Capital, Inc., 6.875% Sr. Unsec. Nts., 11/15/19(4) 515,000 551,050 --------- 1,594,388 ----------------------------------------------------------------------------------------------------------------------- TEXTILES, APPAREL & LUXURY GOODS-0.4% Levi Strauss & Co., 7.625% Sr. Unsec. Unsub. Nts., 5/15/20 265,000 281,563 ----------------------------------------------------------------------------------------------------------------------- Quiksilver, Inc., 6.875% Sr. Unsec. Nts., 4/15/15 210,000 212,100 --------- 493,663 ----------------------------------------------------------------------------------------------------------------------- CONSUMER STAPLES-3.5% FOOD & STAPLES RETAILING-0.2% Rite Aid Corp., 7.50% Sr. Sec. Nts., 3/1/17 265,000 271,625 ----------------------------------------------------------------------------------------------------------------------- FOOD PRODUCTS-2.9% American Seafoods Group LLC, 10.75% Sr. Sub. Nts., 5/15/16(4) 620,000 568,850 ----------------------------------------------------------------------------------------------------------------------- ASG Consolidated LLC, 15% Sr. Nts., 5/15/17(3,4) 1,202,532 940,981 ----------------------------------------------------------------------------------------------------------------------- Bumble Bee Acquisition Corp., 9% Sr. Sec. Nts., 12/15/17(4) 471,000 482,775 ----------------------------------------------------------------------------------------------------------------------- Post Holdings, Inc., 7.375% Sr. Unsec. Nts., 2/15/22(4) 535,000 561,750 ----------------------------------------------------------------------------------------------------------------------- Southern States Cooperative, Inc., 11.25% Sr. Nts., 5/15/15(4) 690,000 740,025 --------- 3,294,381 ----------------------------------------------------------------------------------------------------------------------- HOUSEHOLD PRODUCTS-0.3% Central Garden & Pet Co., 8.25% Sr. Sub. Nts., 3/1/18 40,000 41,450 ----------------------------------------------------------------------------------------------------------------------- Spectrum Brands Holdings, Inc., 9.50% Sr. Sec. Nts., 6/15/18 250,000 283,125 --------- 324,575 ----------------------------------------------------------------------------------------------------------------------- PERSONAL PRODUCTS-0.1% NBTY, Inc., 9% Sr. Unsec. Nts., 10/1/18 125,000 138,281 ----------------------------------------------------------------------------------------------------------------------- ENERGY-10.9% ENERGY EQUIPMENT & SERVICES-2.9% Forbes Energy Services Ltd., 9% Sr. Unsec. Nts., 6/15/19 470,000 460,600 ----------------------------------------------------------------------------------------------------------------------- Global Geophysical Services, Inc., 10.50% Sr. Unsec. Nts., 5/1/17 425,000 425,000 ----------------------------------------------------------------------------------------------------------------------- Hercules Offshore, Inc., 7.125% Sr. Sec. Nts., 4/1/17(2,4) 280,000 280,700 ----------------------------------------------------------------------------------------------------------------------- Hornbeck Offshore Services, Inc., 5.875% Sr. Unsec. Nts., 4/1/20(4) 565,000 569,238 ----------------------------------------------------------------------------------------------------------------------- Offshore Group Investments Ltd., 11.50% Sr. Sec. Nts., 8/1/15 765,000 845,325 ----------------------------------------------------------------------------------------------------------------------- Precision Drilling Corp., 6.625% Sr. Unsec. Nts., 11/15/20 525,000 552,563 -----------------------------------------------------------------------------------------------------------------------
3 | Oppenheimer High Income Fund/VA Oppenheimer High Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value --------------------------------------------------------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES CONTINUED SESI LLC, 6.375% Sr. Unsec. Nts., 5/1/19 $ 200,000 $ 213,000 ---------- 3,346,426 --------------------------------------------------------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS-8.0% Antero Resources Finance Corp., 9.375% Sr. Unsec. Nts., 12/1/17 585,000 636,188 --------------------------------------------------------------------------------------------------------------- Atlas Pipeline Partners LP/Atlas Pipeline Finance Corp., 8.75% Sr. Unsec. Sub. Nts., 6/15/18 440,000 470,800 --------------------------------------------------------------------------------------------------------------- ATP Oil & Gas Corp., 11.875% Sr. Sec. Nts., 5/1/15 210,000 154,350 --------------------------------------------------------------------------------------------------------------- Bill Barrett Corp., 7.625% Sr. Unsec. Unsub. Nts., 10/1/19 340,000 346,800 --------------------------------------------------------------------------------------------------------------- Breitburn Energy Partners LP/Breitburn Finance Corp., 8.625% Sr. Unsec. Nts., 10/15/20 665,000 709,888 --------------------------------------------------------------------------------------------------------------- Chaparral Energy, Inc., 9.875% Sr. Unsec. Nts., 10/1/20 510,000 571,200 --------------------------------------------------------------------------------------------------------------- Chesapeake Midstream Partners LP/CHKM Finance Corp., 6.125% Sr. Unsec. Nts., 7/15/22(4) 540,000 546,750 --------------------------------------------------------------------------------------------------------------- Cimarex Energy Co., 5.875% Sr. Unsec. Unsub. Nts., 5/1/22(2) 850,000 869,125 --------------------------------------------------------------------------------------------------------------- Cloud Peak Energy Resources LLC/Cloud Peak Energy Finance Corp., 8.50% Sr. Unsec. Unsub. Nts., 12/15/19 105,000 109,988 --------------------------------------------------------------------------------------------------------------- Continental Resources, Inc., 5% Sr. Unsec. Nts., 9/15/22(4) 340,000 342,125 --------------------------------------------------------------------------------------------------------------- James River Coal Co., 7.875% Sr. Unsec. Unsub. Nts., 4/1/19 395,000 270,575 --------------------------------------------------------------------------------------------------------------- Linn Energy LLC/Linn Energy Finance Corp., 8.625% Sr. Unsec. Nts., 4/15/20 735,000 795,638 --------------------------------------------------------------------------------------------------------------- MEG Energy Corp., 6.50% Sr. Unsec. Nts., 3/15/21(4) 795,000 836,738 --------------------------------------------------------------------------------------------------------------- Murray Energy Corp., 10.25% Sr. Sec. Nts., 10/15/15(4) 380,000 371,450 --------------------------------------------------------------------------------------------------------------- Navios Maritime Acquisition Corp., 8.625% Sr. Sec. Nts., 11/1/17 195,000 176,475 --------------------------------------------------------------------------------------------------------------- Quicksilver Resources, Inc.: 8.25% Sr. Unsec. Nts., 8/1/15 280,000 278,600 11.75% Sr. Nts., 1/1/16 395,000 419,688 --------------------------------------------------------------------------------------------------------------- Samson Investment Co., 9.75% Sr. Unsec. Nts., 2/15/20(5) 425,000 430,313 --------------------------------------------------------------------------------------------------------------- SandRidge Energy, Inc.: 8.75% Sr. Unsec. Nts., 1/15/20 255,000 265,200 9.875% Sr. Unsec. Nts., 5/15/16 305,000 332,450 --------------------------------------------------------------------------------------------------------------- Venoco, Inc., 8.875% Sr. Unsec. Nts., 2/15/19 345,000 317,400 ---------- 9,251,741 --------------------------------------------------------------------------------------------------------------- FINANCIALS-10.4% CAPITAL MARKETS-4.3% Edgen Murray Corp., 12.25% Sr. Sec. Nts., 1/15/15 360,000 369,000 --------------------------------------------------------------------------------------------------------------- Nationstar Mortgage/Nationstar Capital Corp., 10.875% Sr. Unsec. Nts., 4/1/15 1,555,000 1,644,392 --------------------------------------------------------------------------------------------------------------- Nuveen Investments, Inc.: 5.50% Sr. Unsec. Nts., 9/15/15 235,000 216,200 10.50% Sr. Unsec. Unsub. Nts., 11/15/15 240,000 249,900 --------------------------------------------------------------------------------------------------------------- Pinafore LLC/Pinafore, Inc., 9% Sec. Nts., 10/1/18 790,000 878,875 --------------------------------------------------------------------------------------------------------------- Springleaf Finance Corp., 6.90% Nts., Series J, 12/15/17 370,000 290,450 --------------------------------------------------------------------------------------------------------------- Verso Paper Holdings LLC, 11.375% Sr. Unsec. Sub. Nts., Series B, 8/1/16 1,500,000 963,750 --------------------------------------------------------------------------------------------------------------- Verso Paper Holdings LLC/Verso Paper, Inc., 8.75% Sr. Sec. Nts., 2/1/19 625,000 346,875 ---------- 4,959,442
4 | Oppenheimer High Income Fund/VA Oppenheimer High Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value -------------------------------------------------------------------------------------------------------------------- COMMERCIAL BANKS-1.0% CIT Group, Inc., 7% Sec. Bonds, 5/2/17(4) $1,100,000 $1,104,125 -------------------------------------------------------------------------------------------------------------------- CONSUMER FINANCE-0.5% Speedy Cash, Inc., 10.75% Sr. Sec. Nts., 5/15/18(4) 270,000 280,800 -------------------------------------------------------------------------------------------------------------------- TMX Finance LLC/TitleMax Finance Corp., 13.25% Sr. Sec. Nts., 7/15/15 255,000 283,050 ---------- 563,850 -------------------------------------------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES-0.5% PHH Corp., 9.25% Sr. Unsec. Unsub. Nts., 3/1/16 585,000 597,431 -------------------------------------------------------------------------------------------------------------------- INSURANCE-1.0% International Lease Finance Corp.: 8.625% Sr. Unsec. Unsub. Nts., 9/15/15 410,000 452,538 8.75% Sr. Unsec. Unsub. Nts., 3/15/17 622,000 693,530 ---------- 1,146,068 -------------------------------------------------------------------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS-1.4% DuPont Fabros Technology LP, 8.50% Sr. Unsec. Nts., 12/15/17 255,000 281,775 -------------------------------------------------------------------------------------------------------------------- FelCor Escrow Holdings LLC, 6.75% Sr. Sec. Nts., 6/1/19 565,000 573,475 -------------------------------------------------------------------------------------------------------------------- OMEGA Healthcare Investors, Inc., 6.75% Sr. Unsec. Nts., 10/15/22 695,000 740,175 ---------- 1,595,425 REAL ESTATE MANAGEMENT & DEVELOPMENT-1.7% Ainsworth Lumber Co. Ltd., 11% Sr. Unsec. Unsub. Nts., 7/29/15(3,4) 858,277 678,039 -------------------------------------------------------------------------------------------------------------------- Realogy Corp.: 7.625% Sr. Sec. Nts., 1/15/20(5) 560,000 585,200 9% Sr. Sec. Nts., 1/15/20(5) 285,000 293,550 -------------------------------------------------------------------------------------------------------------------- Wallace Theater Holdings, Inc., 12.50% Sr. Sec. Nts., 6/15/13(1,4) 530,000 469,050 ---------- 2,025,839 -------------------------------------------------------------------------------------------------------------------- HEALTH CARE-5.4% -------------------------------------------------------------------------------------------------------------------- BIOTECHNOLOGY-0.2% Grifols SA, 8.25% Sr. Sec. Nts., 2/1/18 195,000 212,063 -------------------------------------------------------------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES-1.5% Accellent, Inc., 10% Sr. Unsec. Sub. Nts., 11/1/17 325,000 266,906 -------------------------------------------------------------------------------------------------------------------- Alere, Inc.: 7.875% Sr. Unsec. Unsub. Nts., 2/1/16 290,000 303,775 8.625% Sr. Unsec. Sub. Nts., 10/1/18 290,000 301,600 -------------------------------------------------------------------------------------------------------------------- Biomet, Inc.: 10.375% Sr. Unsec. Nts., 10/15/17(3) 305,000 330,163 11.625% Sr. Unsec. Sub. Nts., 10/15/17 275,000 298,719 -------------------------------------------------------------------------------------------------------------------- Chiron Merger Sub, Inc., 10.50% Sec. Nts., 11/1/18(4) 290,000 304,138 ---------- 1,805,301 -------------------------------------------------------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES-3.0% Catalent Pharma Solutions, Inc., 9.50% Sr. Unsec. Nts., 4/15/15(3) 445,151 459,618 -------------------------------------------------------------------------------------------------------------------- Fresenius Medical Care US Finance II, Inc.: 5.625% Sr. Unsec. Nts., 7/31/19(4) 180,000 185,850 5.875% Sr. Unsec. Nts., 1/31/22(4) 90,000 92,700 -------------------------------------------------------------------------------------------------------------------- Gentiva Health Services, Inc., 11.50% Sr. Unsec. Unsub. Nts., 9/1/18 340,000 318,750 -------------------------------------------------------------------------------------------------------------------- HealthSouth Corp., 8.125% Sr. Unsec. Unsub. Nts., 2/15/20 514,000 565,400 --------------------------------------------------------------------------------------------------------------------
5 | Oppenheimer High Income Fund/VA Oppenheimer High Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value ------------------------------------------------------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES CONTINUED ------------------------------------------------------------------------------------------------------------------- Kindred Healthcare, Inc., 8.25% Sr. Unsec. Nts., 6/1/19 $ 620,000 $543,275 ------------------------------------------------------------------------------------------------------------------- Multiplan, Inc., 9.875% Sr. Nts., 9/1/18(4) 240,000 260,400 ------------------------------------------------------------------------------------------------------------------- Oncure Holdings, Inc., 11.75% Sr. Sec. Nts., 5/15/17 315,000 207,900 ------------------------------------------------------------------------------------------------------------------- PSS World Medical, Inc., 6.375% Sr. Unsec. Unsub. Nts., 3/1/22(4) 130,000 134,225 ------------------------------------------------------------------------------------------------------------------- Radiation Therapy Services, Inc., 9.875% Sr. Unsec. Sub. Nts., 4/15/17 335,000 270,513 ------------------------------------------------------------------------------------------------------------------- US Oncology, Inc., Escrow Shares (related to 9.125% Sr. Sec. Nts., 8/15/17)(6) 435,000 10,875 ------------------------------------------------------------------------------------------------------------------- Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc., 8% Sr. Nts., 2/1/18 375,000 384,375 --------- 3,433,881 ------------------------------------------------------------------------------------------------------------------- HEALTH CARE TECHNOLOGY-0.1% MedAssets, Inc., 8% Sr. Unsec. Nts., 11/15/18 75,000 79,125 ------------------------------------------------------------------------------------------------------------------- LIFE SCIENCES TOOLS & SERVICES-0.2% Jaguar Holding Co./Jaguar Merger Sub, Inc., 9.50% Sr. Unsec. Nts., 12/1/19(4) 220,000 239,800 ------------------------------------------------------------------------------------------------------------------- PHARMACEUTICALS-0.4% DJO Finance LLC/DJO Finance Corp., 10.875% Sr. Unsec. Nts., 11/15/14 150,000 153,000 ------------------------------------------------------------------------------------------------------------------- Valeant Pharmaceuticals International, Inc., 6.875% Sr. Unsec. Nts., 12/1/18(4) 190,000 192,375 ------------------------------------------------------------------------------------------------------------------- Warner Chilcott Co. LLC/Warner Chilcott Finance LLC, 7.75% Sr. Unsec. Nts., 9/15/18 145,000 151,888 --------- 497,263 ------------------------------------------------------------------------------------------------------------------- INDUSTRIALS-12.3% ------------------------------------------------------------------------------------------------------------------- AEROSPACE & DEFENSE-3.5% BE Aerospace, Inc., 6.875% Sr. Nts., 10/1/20 240,000 264,000 ------------------------------------------------------------------------------------------------------------------- DynCorp International, Inc., 10.375% Sr. Unsec. Nts., 7/1/17 1,085,000 948,019 ------------------------------------------------------------------------------------------------------------------- Huntington Ingalls Industries, Inc., 7.125% Sr. Unsec. Unsub. Nts., 3/15/21 805,000 866,381 ------------------------------------------------------------------------------------------------------------------- Kratos Defense & Security Solutions, Inc., 10% Sr. Sec. Nts., 6/1/17 267,000 290,363 ------------------------------------------------------------------------------------------------------------------- Schaeffler Finance BV, 8.50% Sr. Sec. Nts., 2/15/19(5) 130,000 138,125 ------------------------------------------------------------------------------------------------------------------- TransDigm, Inc., 7.75% Sr. Unsec. Sub. Nts., 12/15/18 760,000 826,500 ------------------------------------------------------------------------------------------------------------------- Triumph Group, Inc., 8.625% Sr. Unsec. Nts., 7/15/18 650,000 731,250 --------- 4,064,638 ------------------------------------------------------------------------------------------------------------------- AIR FREIGHT & LOGISTICS-0.5% AMGH Merger Sub, Inc., 9.25% Sr. Sec. Nts., 11/1/18(4) 510,000 532,950 ------------------------------------------------------------------------------------------------------------------- AIRLINES-0.5% American Airlines 2011-2 Class A Pass Through Trust, 8.625% Sec. Certificates, 4/15/23 560,000 590,800 ------------------------------------------------------------------------------------------------------------------- BUILDING PRODUCTS-1.1% Associated Materials LLC, 9.125% Sr. Sec. Nts., 11/1/17(4) 265,000 259,038 ------------------------------------------------------------------------------------------------------------------- Ply Gem Industries, Inc., 13.125% Sr. Unsec. Sub. Nts., 7/15/14 880,000 893,200 ------------------------------------------------------------------------------------------------------------------- Roofing Supply Group LLC/Roofing Supply Finance, Inc., 8.625% Sr. Sec. Nts., 12/1/17(4) 67,000 71,355 --------- 1,223,593
6 | Oppenheimer High Income Fund/VA Oppenheimer High Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value ---------------------------------------------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES-1.6% R.R. Donnelley & Sons Co., 7.25% Sr. Nts., 5/15/18 $1,130,000 $1,101,750 ---------------------------------------------------------------------------------------------------------------- STHI Holding Corp., 8% Sec. Nts., 3/15/18(4) 200,000 213,000 ---------------------------------------------------------------------------------------------------------------- West Corp., 8.625% Sr. Unsec. Nts., 10/1/18 500,000 551,250 ---------- 1,866,000 ---------------------------------------------------------------------------------------------------------------- MACHINERY-2.3% Cleaver-Brooks, Inc., 12.25% Sr. Sec. Nts., 5/1/16(5) 540,000 561,600 ---------------------------------------------------------------------------------------------------------------- CNH Capital LLC, 6.25% Sr. Unsec. Nts., 11/1/16(4) 150,000 161,625 ---------------------------------------------------------------------------------------------------------------- Manitowoc Co., Inc. (The), 8.50% Sr. Unsec. Nts., 11/1/20 755,000 834,275 ---------------------------------------------------------------------------------------------------------------- Terex Corp., 8% Sr. Unsec. Sub. Nts., 11/15/17 540,000 561,600 ---------------------------------------------------------------------------------------------------------------- Thermadyne Holdings Corp.: 9% Sr. Sec. Nts., 12/15/17 335,000 345,050 9% Sr. Sec. Nts., 12/15/17(4) 170,000 175,100 ---------- 2,639,250 ---------------------------------------------------------------------------------------------------------------- MARINE-0.8% Marquette Transportation Co./Marquette Transportation Finance Corp., 10.875% Sec. Nts., 1/15/17 780,000 825,825 ---------------------------------------------------------------------------------------------------------------- Navios Maritime Holdings, Inc./Navios Maritime Finance U.S., Inc., 8.875% Sr. Sec. Nts., 11/1/17 160,000 164,800 ---------- 990,625 ---------------------------------------------------------------------------------------------------------------- PROFESSIONAL SERVICES-0.2% Altegrity, Inc., 10.50% Sr. Unsec. Sub. Nts., 11/1/15(5) 280,000 267,400 ---------------------------------------------------------------------------------------------------------------- ROAD & RAIL-1.0% Hertz Corp., 7.50% Sr. Unsec. Nts., 10/15/18 670,000 714,388 ---------------------------------------------------------------------------------------------------------------- Western Express, Inc., 12.50% Sr. Sec. Nts., 4/15/15(4) 1,045,000 438,900 ---------- 1,153,288 ---------------------------------------------------------------------------------------------------------------- TRADING COMPANIES & DISTRIBUTORS-0.8% ---------------------------------------------------------------------------------------------------------------- UR Financing Escrow Corp.: 7.375% Sr. Unsec. Nts., 5/15/20(4) 685,000 702,125 7.625% Sr. Unsec. Nts., 4/15/22(4) 170,000 175,100 ---------- 877,225 ---------------------------------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY-6.1% ---------------------------------------------------------------------------------------------------------------- COMMUNICATIONS EQUIPMENT-0.7% Avaya, Inc., 7% Sr. Sec. Nts., 4/1/19(4) 550,000 554,125 ---------------------------------------------------------------------------------------------------------------- ViaSat, Inc., 6.875% Sr. Unsec. Unsub. Nts., 6/15/20(4) 253,000 260,590 ---------- 814,715 ---------------------------------------------------------------------------------------------------------------- COMPUTERS & PERIPHERALS-0.4% Seagate HDD Cayman, 7% Sr. Unsec. Nts., 11/1/21(4) 470,000 507,600 ---------------------------------------------------------------------------------------------------------------- ELECTRONIC EQUIPMENT & INSTRUMENTS-0.5% CDW LLC/CDW Finance Corp., 12.535% Sr. Unsec. Sub. Nts., 10/12/17 550,000 600,188 ---------------------------------------------------------------------------------------------------------------- INTERNET SOFTWARE & SERVICES-1.1% ITC DeltaCom, Inc., 10.50% Sr. Sec. Nts., 4/1/16 1,035,000 1,091,925 ---------------------------------------------------------------------------------------------------------------- Lawson Software, Inc., 9.375% Sr. Nts., 4/1/19(2,4) 105,000 108,938 ---------- 1,200,863 ---------------------------------------------------------------------------------------------------------------- IT SERVICES-1.3% Ceridian Corp., 11.25% Sr. Unsec. Nts., 11/15/15 535,000 485,513 ----------------------------------------------------------------------------------------------------------------
7 | Oppenheimer High Income Fund/VA Oppenheimer High Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value -------------------------------------------------------------------------------------------------------------------- IT SERVICES CONTINUED First Data Corp.: 8.875% Sr. Sec. Nts., 8/15/20(4) $ 395,000 $ 430,056 9.875% Sr. Unsec. Nts., 9/24/15 265,000 267,650 12.625% Sr. Unsec. Nts., 1/15/21 270,000 272,025 ---------- 1,455,244 -------------------------------------------------------------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT-1.9% Advanced Micro Devices, Inc., 7.75% Sr. Unsec. Nts., 8/1/20 775,000 856,375 -------------------------------------------------------------------------------------------------------------------- Amkor Technologies, Inc., 6.625% Sr. Unsec. Nts., 6/1/21 265,000 275,269 -------------------------------------------------------------------------------------------------------------------- Freescale Semiconductor, Inc.: 9.25% Sr. Sec. Nts., 4/15/18(4) 225,000 247,500 10.75% Sr. Unsec. Nts., 8/1/20 503,000 567,133 -------------------------------------------------------------------------------------------------------------------- NXP BV/NXP Funding LLC, 9.75% Sr. Sec. Nts., 8/1/18(4) 245,000 278,075 ---------- 2,224,352 -------------------------------------------------------------------------------------------------------------------- SOFTWARE-0.2% SunGard Data Systems, Inc., 7.375% Sr. Unsec. Nts., 11/15/18 160,000 170,800 -------------------------------------------------------------------------------------------------------------------- MATERIALS-8.6% -------------------------------------------------------------------------------------------------------------------- CHEMICALS-3.1% Ferro Corp., 7.875% Sr. Unsec. Nts., 8/15/18 260,000 266,500 -------------------------------------------------------------------------------------------------------------------- Hexion U.S. Finance Corp./Hexion Nova Scotia Finance ULC: 8.875% Sr. Sec. Nts., 2/1/18 280,000 291,200 9% Sec. Nts., 11/15/20 380,000 355,300 -------------------------------------------------------------------------------------------------------------------- Ineos Finance plc, 8.375% Sr. Sec. Bonds, 2/15/19(4) 440,000 466,400 -------------------------------------------------------------------------------------------------------------------- Lyondell Chemical Co., 8% Sr. Sec. Nts., 11/1/17 986,000 1,111,715 -------------------------------------------------------------------------------------------------------------------- LyondellBasell Industries NV, 6% Sr. Nts., 11/15/21(4) 440,000 464,200 -------------------------------------------------------------------------------------------------------------------- Momentive Performance Materials, Inc., 9% Sec. Nts., 1/15/21 615,000 541,200 -------------------------------------------------------------------------------------------------------------------- Scotts Miracle-Gro Co. (The), 6.625% Sr. Unsec. Unsub. Nts., 12/15/20 70,000 74,025 ---------- 3,570,540 -------------------------------------------------------------------------------------------------------------------- CONSTRUCTION MATERIALS-0.7% Building Materials Corp. of America, 6.75% Sr. Nts., 5/1/21(4) 435,000 462,731 -------------------------------------------------------------------------------------------------------------------- Ply Gem Industries, Inc., 8.25% Sr. Sec. Nts., 2/15/18 370,000 374,163 ---------- 836,894 -------------------------------------------------------------------------------------------------------------------- CONTAINERS & PACKAGING-0.7% Polymer Group, Inc., 7.75% Sr. Sec. Nts., 2/1/19 650,000 687,375 -------------------------------------------------------------------------------------------------------------------- Rock-Tenn Co., 4.45% Sr. Unsec. Nts., 3/1/19(4) 130,000 130,731 ---------- 818,106 -------------------------------------------------------------------------------------------------------------------- METALS & MINING-1.1% Aleris International, Inc., 7.625% Sr. Unsec. Nts., 2/15/18 1,050,000 1,103,813 -------------------------------------------------------------------------------------------------------------------- Novelis, Inc., 8.75% Sr. Unsec. Nts., 12/15/20 135,000 148,500 ---------- 1,252,313 -------------------------------------------------------------------------------------------------------------------- PAPER & FOREST PRODUCTS-3.0% ABI Escrow Corp., 10.25% Sr. Sec. Nts., 10/15/18(4) 369,000 425,273 -------------------------------------------------------------------------------------------------------------------- Appleton Papers, Inc., 10.50% Sr. Sec. Nts., 6/15/15(4) 985,000 1,026,863 -------------------------------------------------------------------------------------------------------------------- Catalyst Paper Corp., 11% Sr. Sec. Nts., 12/15/16(4,6) 1,117,000 586,425 -------------------------------------------------------------------------------------------------------------------- Mercer International, Inc., 9.50% Sr. Unsec. Nts., 12/1/17 475,000 494,000 -------------------------------------------------------------------------------------------------------------------- NewPage Corp., 11.375% Sr. Sec. Nts., 12/31/14(6) 895,000 604,125 --------------------------------------------------------------------------------------------------------------------
8 | Oppenheimer High Income Fund/VA Oppenheimer High Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value ------------------------------------------------------------------------------------------------------------------------ PAPER & FOREST PRODUCTS CONTINUED Norske Skogindustrier ASA, 6.125% Unsec. Bonds, 10/15/15(4) $ 375,000 $277,500 ---------- 3,414,186 ------------------------------------------------------------------------------------------------------------------------ TELECOMMUNICATION SERVICES-5.4% ------------------------------------------------------------------------------------------------------------------------ DIVERSIFIED TELECOMMUNICATION SERVICES-3.2% Cincinnati Bell, Inc.: 8.25% Sr. Nts., 10/15/17 385,000 395,106 8.75% Sr. Unsec. Sub. Nts., 3/15/18 550,000 516,313 ------------------------------------------------------------------------------------------------------------------------ Frontier Communications Corp.: 8.25% Sr. Unsec. Nts., 4/15/17 270,000 291,600 8.50% Sr. Unsec. Nts., 4/15/20 180,000 190,350 ------------------------------------------------------------------------------------------------------------------------ Intelsat Bermuda Ltd.: 11.25% Sr. Unsec. Nts., 2/4/17 585,000 609,863 11.50% Sr. Unsec. Nts., 2/4/17(3) 710 740 ------------------------------------------------------------------------------------------------------------------------ Level 3 Financing, Inc., 9.375% Sr. Unsec. Unsub. Nts., 4/1/19 535,000 587,163 ------------------------------------------------------------------------------------------------------------------------ Wind Acquisition Finance SA, 7.25% Sr. Sec. Nts., 2/15/18(4) 560,000 529,200 ------------------------------------------------------------------------------------------------------------------------ Windstream Corp., 7.50% Sr. Unsec. Nts., 6/1/22(4) 570,000 597,075 ---------- 3,717,410 WIRELESS TELECOMMUNICATION SERVICES-2.2% ------------------------------------------------------------------------------------------------------------------------ Cricket Communications, Inc., 7.75% Sr. Unsec. Nts., 10/15/20 700,000 690,375 ------------------------------------------------------------------------------------------------------------------------ MetroPCS Wireless, Inc., 6.625% Sr. Unsec. Nts., 11/15/20 545,000 542,956 ------------------------------------------------------------------------------------------------------------------------ Nextel Communications, Inc., 7.375% Sr. Nts., Series D, 8/1/15 590,000 572,300 ------------------------------------------------------------------------------------------------------------------------ Sprint Capital Corp., 8.75% Nts., 3/15/32 135,000 116,438 ------------------------------------------------------------------------------------------------------------------------ Sprint Nextel Corp., 9% Sr. Unsec. Nts., 11/15/18(4) 515,000 566,500 ---------- 2,488,569 UTILITIES-2.7% ------------------------------------------------------------------------------------------------------------------------ ELECTRIC UTILITIES-0.9% Energy Future Intermediate Holding Co. LLC, 10% Sr. Sec. Nts., 12/1/20 507,000 555,165 ------------------------------------------------------------------------------------------------------------------------ Texas Competitive Electric Holdings Co. LLC: 10.25% Sr. Unsec. Nts., Series A, 11/1/15 1,610,000 376,338 10.25% Sr. Unsec. Nts., Series B, 11/1/15 410,000 91,225 ---------- 1,022,728 ------------------------------------------------------------------------------------------------------------------------ ENERGY TRADERS-1.2% AES Corp. (The), 8% Sr. Unsec. Unsub. Nts., 10/15/17 245,000 277,156 ------------------------------------------------------------------------------------------------------------------------ Calpine Corp., 7.50% Sr. Sec. Nts., 2/15/21(4) 255,000 273,488 ------------------------------------------------------------------------------------------------------------------------ Energy Future Holdings Corp., 10% Sr. Sec. Nts., 1/15/20 530,000 577,700 ------------------------------------------------------------------------------------------------------------------------ First Wind Capital LLC, 10.25% Sr. Sec. Nts., 6/1/18(4) 75,000 75,750 ------------------------------------------------------------------------------------------------------------------------ Foresight Energy LLC, 9.625% Sr. Unsec. Nts., 8/15/17(4) 160,000 168,800 ------------------------------------------------------------------------------------------------------------------------ United Maritime Group LLC, 11.75% Sr. Sec. Nts., 6/15/15 15,000 15,656 ---------- 1,388,550 ------------------------------------------------------------------------------------------------------------------------ GAS UTILITIES-0.6% AmeriGas Finance LLC/AmeriGas Finance Corp., 6.75% Sr. Unsec. Nts., 5/20/20 545,000 554,538 ------------------------------------------------------------------------------------------------------------------------ Ferrellgas LP/Ferrellgas Finance Corp., 6.50% Sr. Unsec. Nts., 5/1/21 170,000 154,275 ---------- 708,813 ---------- Total Corporate Bonds and Notes (Cost $100,399,620) 99,474,323
9 | Oppenheimer High Income Fund/VA Oppenheimer High Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Shares Value ----------------------------------------------------------------------------------------------------------------- PREFERRED STOCKS-1.0% Ally Financial, Inc., 7% Cum., Series G(7) 584 $ 486,563 ----------------------------------------------------------------------------------------------------------------- Greektown Superholdings, Inc., Cv., Series A-1(7) 11,550 627,021 ----------- Total Preferred Stocks (Cost $1,685,203) 1,113,584 ----------------------------------------------------------------------------------------------------------------- COMMON STOCKS-2.0% AbitibiBowater, Inc. (7) 18,219 260,167 ----------------------------------------------------------------------------------------------------------------- American Media Operations, Inc. (7) 58,065 754,845 ----------------------------------------------------------------------------------------------------------------- Dana Holding Corp. 17,634 273,327 ----------------------------------------------------------------------------------------------------------------- Gaylord Entertainment Co., Cl. A (7) 3,811 117,379 ----------------------------------------------------------------------------------------------------------------- Global Aviation Holdings, Inc. (7) 300 - ----------------------------------------------------------------------------------------------------------------- Greektown Superholdings, Inc., Series A-1 (7) 874 44,137 ----------------------------------------------------------------------------------------------------------------- Huntsman Corp. 6,611 92,620 ----------------------------------------------------------------------------------------------------------------- Kaiser Aluminum Corp. 458 21,645 ----------------------------------------------------------------------------------------------------------------- LyondellBasell Industries NV, Cl. A 6,926 302,320 ----------------------------------------------------------------------------------------------------------------- Magellan Health Services, Inc. (7) 33 1,611 ----------------------------------------------------------------------------------------------------------------- Orbcomm, Inc. (7) 1,127 4,339 ----------------------------------------------------------------------------------------------------------------- Visteon Corp. (7) 5,532 293,196 ----------------------------------------------------------------------------------------------------------------- Walter Industries, Inc. 1,011 59,861 ----------------------------------------------------------------------------------------------------------------- Whiting Petroleum Corp. (7) 2,034 110,446 ----------- Total Common Stocks (Cost $4,509,835) 2,335,893
Units ------------------------------------------------------------------------------------------------------------------ RIGHTS, WARRANTS AND CERTIFICATES-0.0% MediaNews Group, Inc. Wts., Strike Price $0.001, Exp. 3/19/17( 7) (Cost $3,168,495) 11,017 396
Shares ------------------------------------------------------------------------------------------------------------------ INVESTMENT COMPANY-4.5% Oppenheimer Institutional Money Market Fund, Cl. E, 0.22%(8),(9) (Cost $5,141,336) 5,141,336 5,141,336 ------------------------------------------------------------------------------------------------------------------ TOTAL INVESTMENTS, AT VALUE (COST $121,513,306) 99.5% 114,698,735 ------------------------------------------------------------------------------------------------------------------ Other Assets Net of Liabilities 0.5 618,285 ----------------------------------- Net Assets 100.0% $115,317,020 ===================================
Footnotes to Statement of Investments -------------- * March 30, 2012 represents the last business day of the Fund's quarterly period. See accompanying Notes. 1. Represents the current interest rate for a variable or increasing rate security. 2. All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after March 30, 2012. See accompanying Notes. 3. Interest or dividend is paid-in-kind, when applicable. 4. Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $29,279,624 or 25.39% of the Fund's net assets as of March 30, 2012. 5. Restricted security. The aggregate value of restricted securities as of March 30, 2012 was $2,854,388, which represents 2.48% of the Fund's net assets. See accompanying Notes. Information concerning restricted securities is as follows: 10 | Oppenheimer High Income Fund/VA Oppenheimer High Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
ACQUISITION UNREALIZED SECURITY DATES COST VALUE APPRECIATION ---------------------------------------------------------------------------------------------------------------------------- Altegrity, Inc., 10.50% Sr. Unsec. Sub. Nts., 11/1/15 5/14/09-2/8/10 $255,929 $267,400 $11,471 Cleaver-Brooks, Inc., 12.25% Sr. Sec. Nts., 5/1/16 4/21/10-5/3/11 547,899 561,600 13,701 Realogy Corp., 7.625% Sr. Sec. Nts., 1/15/20 1/25/12-2/1/12 562,131 585,200 23,069 Realogy Corp., 9% Sr. Sec. Nts., 1/15/20 1/25/12-2/1/12 284,450 293,550 9,100 Samson Investment Co., 9.75% Sr. Unsec. Nts., 2/15/20 2/3/12 425,000 430,313 5,313 Schaeffler Finance BV, 8.50% Sr. Sec. Nts., 2/15/19 2/2/12 130,000 138,125 8,125 UPCB Finance VI Ltd., 6.875% Sr. Sec. Nts., 1/15/22 1/31/12 561,922 578,200 16,278 --------------------------------------------- $2,767,331 $2,854,388 $87,057 =============================================
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 March 30, 2012, 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 30, 2011(A) ADDITIONS REDUCTIONS MARCH 30, 2012 ------------------------------------------------------------------------------------------------------------------------------- Oppenheimer Institutional Money Market Fund, Cl. E 11,964,562 12,244,852 19,068,078 5,141,336
VALUE INCOME ------------------------------------------------------------------------------------------------------------------------------- Oppenheimer Institutional Money Market Fund, Cl. E $5,141,336 $3,973
a. December 30, 2011 represents the last business day of the Fund's 2011 fiscal year. See accompanying Notes. 9. Rate shown is the 7-day yield as of March 30, 2012. NOTES TO STATEMENT OF INVESTMENTS QUARTERLY AND ANNUAL PERIODS. The last day of the Fund's quarterly period was the last day the New York Stock Exchange was open for trading. The Fund's financial statements have been presented through that date to maintain consistency with the Fund's net asset value calculations used for shareholder transactions. The last day of the Fund's fiscal year was the last day the New York Stock Exchange was open for trading. The Fund's financial statements have been presented through that date to maintain consistency with the Fund's net asset value calculations used for shareholder transactions. 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 11 | Oppenheimer High Income Fund/VA Oppenheimer High Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) 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 March 30, 2012, the Fund had purchased securities issued on a when-issued or delayed delivery basis and sold securities issued on a delayed delivery basis as follows:
WHEN-ISSUED OR DELAYED DELIVERY BASIS TRANSACTIONS -------------------------------- Purchased securities $ 3,782,816 Sold securities 796,856
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 March 30, 2012 is as follows:
Cost $1,930,185 Market Value $1,201,425 Market Value as a % of Net Assets 1.04%
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. 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. The Fund's Board has adopted procedures for the valuation of the Fund's securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a "fair valuation" for any security for which market quotations are not "readily available." The Valuation Committee's fair valuation determinations are subject to review, approval and ratification by the Fund's Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Valuation Methods and inputs Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or dealers. The following methodologies are used to determine the market value or the fair value of the types of securities described below: Securities traded on a registered U.S. securities exchange (including exchange-traded derivatives other than futures and futures options) 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. 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 security of a foreign issuer traded on a foreign exchange but not listed on a registered U.S. securities exchange is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the third party pricing service used by the Manager, 12 | Oppenheimer High Income Fund/VA Oppenheimer High Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) prior to the time when the Fund's assets are valued. If the last sale price is unavailable, the security is valued at the most recent official closing price on the principal exchange on which it is traded. If the last sales price or official closing price for a foreign security is not available, the security is valued at the mean between the bid and asked price per the exchange or, if not available from the exchange, obtained from two dealers. If bid and asked prices are not available from either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of priority); (1) using a bid from the exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer. Shares of a registered investment company that are not traded on an exchange are valued at that investment company's net asset value per share. Corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, event-linked bonds, loans, mortgage-backed securities, collateralized mortgage obligations, and asset-backed securities are valued at the mean between the "bid" and "asked" prices utilizing evaluated prices obtained from third party pricing services or broker-dealers who may use matrix pricing methods to determine the evaluated prices. Short-term money market type debt securities with a remaining maturity 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. Short-term debt securities with a remaining maturity in excess of sixty days are valued at the mean between the "bid" and "asked" prices utilizing evaluated prices obtained from third party pricing services or broker-dealers. A description of the standard inputs that may generally be considered by the third party pricing vendors in determining their evaluated prices is provided below.
STANDARD INPUTS GENERALLY CONSIDERED BY THIRD-PARTY SECURITY TYPE PRICING VENDORS ------------------------------------- ---------------------------------------------------------- Corporate debt, government debt, Reported trade data, broker-dealer price quotations, municipal, mortgage-backed and asset- benchmark yields, issuer spreads on comparable securities, backed securities the credit quality, yield, maturity, and other appropriate factors. Loans Information obtained from market participants regarding reported trade data and broker-dealer price quotations. Event-linked bonds Information obtained from market participants regarding reported trade data and broker-dealer price quotations.
If a market value or price cannot be determined for a security using the methodologies described above, or if, in the "good faith" opinion of the Manager, the market value or price obtained does not constitute a "readily available market quotation," or a significant event has occurred that would materially affect the value of the security the security is fair valued either (i) by a standardized fair valuation methodology applicable to the security type or the significant event as previously approved by the Valuation Committee and the Fund's Board or (ii) as determined in good faith by the Manager's Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. Fair value determinations by the Manager are subject to review, approval and ratification by the Fund's Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Those fair valuation standardized methodologies include, but are not limited to, valuing securities at the last sale price or 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 further adjusted for any discounts related to security-specific 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 nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security. To assess the continuing appropriateness of security valuations, the Manager, or its third party service provider who is subject to oversight by the Manager, regularly compares prior day prices, prices on comparable securities, and sale prices to the current day prices and challenges those prices exceeding certain tolerance levels with the third party pricing service or broker source. For those 13 | Oppenheimer High Income Fund/VA Oppenheimer High Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) securities valued by fair valuations, whether through a standardized fair valuation methodology or a fair valuation determination, the Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available. Classifications 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. 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 inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. The table below categorizes amounts as of March 30, 2012 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 $ - $ 6,633,203 $ - $ 6,633,203 Corporate Bonds and Notes - 99,474,323 - 99,474,323 Preferred Stocks - 486,563 627,021 1,113,584 Common Stocks 1,243,715 1,092,178 - 2,335,893 Rights, Warrants and Certificates - - 396 396 Investment Company 5,141,336 - - 5,141,336 -------------- ------------------ ------------- ------------ Total Assets $ 6,385,051 $ 107,686,267 $ 627,417 $114,698,735 -------------- ------------------ ------------- ------------
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 transfers between 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 INTO LEVEL 2* TRANSFERS OUT OF LEVEL 3* --------------------------------------------------- --------------------------- ASSETS TABLE INVESTMENTS, AT VALUE: Common Stocks $ 52,929 $ (52,929) ------------------------ -------------------------- Total Assets $ 52,929 $ (52,929) ------------------------ --------------------------
----------- * Transferred from Level 3 to Level 2 due to the availability of market data and increase in market activity for this security. There have been no significant changes to the fair valuation methodologies of the Fund during the period. 14 | Oppenheimer High Income Fund/VA Oppenheimer High Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) RESTRICTED SECURITIES As of March 30, 2012, 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 March 30, 2012 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 $ 121,656,162 =============== Gross unrealized appreciation $ 4,212,324 Gross unrealized depreciation (11,169,751) --------------- Net unrealized depreciation $ (6,957,427) ===============
15 | Oppenheimer High Income Fund/VA Oppenheimer Main Street Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Shares Value -------------------------------------------------------------------------------------- COMMON STOCKS-98.1% -------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY-11.4% -------------------------------------------------------------------------------------- AUTOMOBILES-3.1% Ford Motor Co. 3,541,400 $ 44,232,086 -------------------------------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE-1.8% Hyatt Hotels Corp., Cl. A(1) 431,658 18,440,430 -------------------------------------------------------------------------------------- McDonald's Corp. 70,606 6,926,449 ------------- 25,366,879 -------------------------------------------------------------------------------------- MEDIA-3.2% McGraw-Hill Cos., Inc. (The) 941,071 45,613,711 -------------------------------------------------------------------------------------- SPECIALTY RETAIL-3.3% AutoZone, Inc.(1) 34,670 12,890,306 -------------------------------------------------------------------------------------- CarMax, Inc.(1) 314,310 10,890,842 -------------------------------------------------------------------------------------- TJX Cos., Inc. (The) 581,420 23,088,188 ------------- 46,869,336 -------------------------------------------------------------------------------------- CONSUMER STAPLES-10.6% -------------------------------------------------------------------------------------- BEVERAGES-2.4% Dr. Pepper Snapple Group, Inc. 834,770 33,566,102 -------------------------------------------------------------------------------------- FOOD PRODUCTS-4.0% General Mills, Inc. 319,150 12,590,468 -------------------------------------------------------------------------------------- J.M. Smucker Co. (The) 347,730 28,291,313 -------------------------------------------------------------------------------------- Mead Johnson Nutrition Co., Cl. A 202,022 16,662,775 ------------- 57,544,556 -------------------------------------------------------------------------------------- TOBACCO-4.2% Philip Morris International, Inc. 670,419 59,405,828 -------------------------------------------------------------------------------------- ENERGY-11.1% -------------------------------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES-1.4% National Oilwell Varco, Inc. 251,210 19,963,659 -------------------------------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS-9.7% Chevron Corp. 600,139 64,358,906 -------------------------------------------------------------------------------------- Kinder Morgan, Inc. 386,630 14,943,250 -------------------------------------------------------------------------------------- Noble Energy, Inc. 290,230 28,378,689 -------------------------------------------------------------------------------------- Occidental Petroleum Corp. 325,610 31,007,840 ------------- 138,688,685 -------------------------------------------------------------------------------------- FINANCIALS-17.0% -------------------------------------------------------------------------------------- CAPITAL MARKETS-1.0% Blackstone Group LP (The) 930,700 14,835,358 -------------------------------------------------------------------------------------- COMMERCIAL BANKS-3.9% CIT Group, Inc.(1) 1,181,870 48,740,319 -------------------------------------------------------------------------------------- M&T Bank Corp. 80,100 6,959,088 ------------- 55,699,407 -------------------------------------------------------------------------------------- CONSUMER FINANCE-1.7% Discover Financial Services 722,080 24,074,147 -------------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES-8.3% Citigroup, Inc. 997,949 36,475,036 -------------------------------------------------------------------------------------- CME Group, Inc. 82,060 23,742,420 -------------------------------------------------------------------------------------- JPMorgan Chase & Co. 1,005,290 46,223,234
1 | Oppenheimer Main Street Fund/VA Oppenheimer Main Street Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Shares Value --------------------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES CONTINUED MSCI, Inc., Cl. A(1) 306,830 $ 11,294,412 -------------- 117,735,102 --------------------------------------------------------------------------------------------- INSURANCE-2.1% Berkshire Hathaway, Inc., Cl. B(1) 87,240 7,079,526 --------------------------------------------------------------------------------------------- Marsh & McLennan Cos., Inc. 694,410 22,769,704 -------------- 29,849,230 --------------------------------------------------------------------------------------------- HEALTH CARE-11.8% --------------------------------------------------------------------------------------------- BIOTECHNOLOGY-1.3% Celgene Corp.(1) 231,702 17,961,539 --------------------------------------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES-1.4% Covidien plc 266,850 14,591,358 --------------------------------------------------------------------------------------------- Edwards Lifesciences Corp.(1) 76,590 5,570,391 -------------- 20,161,749 --------------------------------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES-3.9% DaVita, Inc.(1) 129,220 11,651,767 --------------------------------------------------------------------------------------------- Medco Health Solutions, Inc.(1) 159,750 11,230,425 --------------------------------------------------------------------------------------------- WellPoint, Inc. 449,910 33,203,358 -------------- 56,085,550 --------------------------------------------------------------------------------------------- PHARMACEUTICALS-5.2% Abbott Laboratories 603,210 36,970,741 --------------------------------------------------------------------------------------------- Bristol-Myers Squibb Co. 871,900 29,426,625 --------------------------------------------------------------------------------------------- Watson Pharmaceuticals, Inc.(1) 119,430 8,008,976 -------------- 74,406,342 --------------------------------------------------------------------------------------------- INDUSTRIALS-9.7% --------------------------------------------------------------------------------------------- AEROSPACE & DEFENSE-1.8% Boeing Co. (The) 350,950 26,100,152 --------------------------------------------------------------------------------------------- AIR FREIGHT & LOGISTICS-2.3% United Parcel Service, Inc., Cl. B 414,130 33,428,574 --------------------------------------------------------------------------------------------- INDUSTRIAL CONGLOMERATES-2.9% Tyco International Ltd. 736,200 41,359,716 --------------------------------------------------------------------------------------------- MACHINERY-0.5% Xylem, Inc. 262,460 7,283,265 --------------------------------------------------------------------------------------------- ROAD & RAIL-2.2% CSX Corp. 1,343,910 28,920,943 --------------------------------------------------------------------------------------------- QR National Ltd. 439,800 1,699,266 -------------- 30,620,209 --------------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY-21.4% --------------------------------------------------------------------------------------------- COMMUNICATIONS EQUIPMENT-2.6% QUALCOMM, Inc. 545,181 37,083,212 --------------------------------------------------------------------------------------------- COMPUTERS & PERIPHERALS-7.9% Apple, Inc.(1) 187,802 112,581,665 --------------------------------------------------------------------------------------------- ELECTRONIC EQUIPMENT & INSTRUMENTS-0.8% Corning, Inc. 792,770 11,162,202 --------------------------------------------------------------------------------------------- INTERNET SOFTWARE & SERVICES-6.1% eBay, Inc.(1) 1,366,045 50,393,400
2 | Oppenheimer Main Street Fund/VA Oppenheimer Main Street Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Shares Value INTERNET SOFTWARE & SERVICES CONTINUED ------------------------------------------------------------------------------- Google, Inc., Cl. A(1) 57,110 $ 36,621,216 ---------------- 87,014,616 ------------------------------------------------------------------------------- IT SERVICES-2.1% International Business Machines Corp. 142,470 29,726,366 ------------------------------------------------------------------------------- SOFTWARE-1.9% Microsoft Corp. 446,617 14,403,398 ------------------------------------------------------------------------------- Oracle Corp. 432,460 12,610,534 ---------------- 27,013,932 ------------------------------------------------------------------------------- MATERIALS-1.5% ------------------------------------------------------------------------------- CHEMICALS-1.0% Praxair, Inc. 122,880 14,086,963 ------------------------------------------------------------------------------- CONSTRUCTION MATERIALS-0.5% Vulcan Materials Co. 174,400 7,452,112 ------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES-2.1% ------------------------------------------------------------------------------- WIRELESS TELECOMMUNICATION SERVICES-2.1% America Movil SAB de CV, ADR, Series L 1,177,642 29,240,851 ------------------------------------------------------------------------------- UTILITIES-1.5% ------------------------------------------------------------------------------- ENERGY TRADERS-1.5% AES Corp. (The)(1) 1,600,790 20,922,321 ---------------- Total Common Stocks (Cost $962,211,928) 1,397,135,422 ------------------------------------------------------------------------------- INVESTMENT COMPANY-0.5% Oppenheimer Institutional Money Market Fund, Cl. E, 0.22%(2,3) (Cost $6,556,533) 6,556,533 6,556,533 ------------------------------------------------------------------------------- Total Investments, at Value (Cost $968,768,461) 98.6% 1,403,691,955 ------------------------------------------------------------------------------- Other Assets Net of Liabilities 1.4 20,504,946 --------------------------------- Net Assets 100.0% $ 1,424,196,901 =================================
Footnotes to Statement of Investments ---------- * March 30, 2012 represents the last business day of the Fund's quarterly period. See accompanying Notes. 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 March 30, 2012, 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 30, 2011(A) ADDITIONS REDUCTIONS MARCH 30, 2012 --------------------------------------------------------------------------------------------- Oppenheimer Institutional Money Market Fund, Cl. E - 64,814,384 58,257,851 6,556,533
VALUE INCOME ---------------------------------------------------------------------- Oppenheimer Institutional Money Market Fund, Cl. E $ 6,556,533 $ 2,134
---------- a. December 30, 2011 represents the last business day of the Fund's 2011 fiscal year. See accompanying Notes. 3. Rate shown is the 7-day yield as of March 30, 2012. 3 | Oppenheimer Main Street Fund/VA Oppenheimer Main Street Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) NOTES TO STATEMENT OF INVESTMENTS QUARTERLY AND ANNUAL PERIODS. The last day of the Fund's quarterly period was the last day the New York Stock Exchange was open for trading. The Fund's financial statements have been presented through that date to maintain consistency with the Fund's net asset value calculations used for shareholder transactions. The last day of the Fund's fiscal year was the last day the New York Stock Exchange was open for trading. The Fund's financial statements have been presented through that date to maintain consistency with the Fund's net asset value calculations used for shareholder transactions. 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. 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. The Fund's Board has adopted procedures for the valuation of the Fund's securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a "fair valuation" for any security for which market quotations are not "readily available." The Valuation Committee's fair valuation determinations are subject to review, approval and ratification by the Fund's Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Valuation Methods and inputs Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or dealers. The following methodologies are used to determine the market value or the fair value of the types of securities described below: Securities traded on a registered U.S. securities exchange (including exchange-traded derivatives other than futures and futures options) 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. 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 security of a foreign issuer traded on a foreign exchange but not listed on a registered U.S. securities exchange is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the third party pricing service used by the Manager, prior to the time when the Fund's assets are valued. If the last sale price is unavailable, the security is valued at the most recent official closing price on the principal exchange on which it is traded. If the last sales price or official closing price for a foreign security is not available, the security is valued at the mean between the bid and asked price per the exchange or, if not available from the exchange, obtained from two dealers. If bid and asked prices are not available from either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of priority); (1) using a bid from the exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer. 4 | Oppenheimer Main Street Fund/VA Oppenheimer Main Street Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) Shares of a registered investment company that are not traded on an exchange are valued at that investment company's net asset value per share. Corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, event-linked bonds, loans, mortgage-backed securities, collateralized mortgage obligations, and asset-backed securities are valued at the mean between the "bid" and "asked" prices utilizing evaluated prices obtained from third party pricing services or broker-dealers who may use matrix pricing methods to determine the evaluated prices. Short-term money market type debt securities with a remaining maturity 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. Short-term debt securities with a remaining maturity in excess of sixty days are valued at the mean between the "bid" and "asked" prices utilizing evaluated prices obtained from third party pricing services or broker-dealers. A description of the standard inputs that may generally be considered by the third party pricing vendors in determining their evaluated prices is provided below.
STANDARD INPUTS GENERALLY CONSIDERED SECURITY TYPE BY THIRD-PARTY PRICING VENDORS ------------------------------------------------------------------------------------------------- Reported trade data, broker-dealer price quotations, Corporate debt, government debt, benchmark yields, issuer spreads on comparable securities, municipal, mortgage-backed and asset- the credit quality, yield, maturity, and other appropriate backed securities factors. Information obtained from market participants regarding Loans reported trade data and broker-dealer price quotations. Event-linked bonds Information obtained from market participants regarding reported trade data and broker-dealer price quotations.
If a market value or price cannot be determined for a security using the methodologies described above, or if, in the "good faith" opinion of the Manager, the market value or price obtained does not constitute a "readily available market quotation," or a significant event has occurred that would materially affect the value of the security the security is fair valued either (i) by a standardized fair valuation methodology applicable to the security type or the significant event as previously approved by the Valuation Committee and the Fund's Board or (ii) as determined in good faith by the Manager's Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. Fair value determinations by the Manager are subject to review, approval and ratification by the Fund's Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Those fair valuation standardized methodologies include, but are not limited to, valuing securities at the last sale price or 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 further adjusted for any discounts related to security-specific 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 nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security. To assess the continuing appropriateness of security valuations, the Manager, or its third party service provider who is subject to oversight by the Manager, regularly compares prior day prices, prices on comparable securities, and sale prices to the current day prices and challenges those prices exceeding certain tolerance levels with the third party pricing service or broker source. For those securities valued by fair valuations, whether through a standardized fair valuation methodology or a fair valuation determination, the Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available. 5 | Oppenheimer Main Street Fund/VA Oppenheimer Main Street Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) Classifications 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. 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 inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. The table below categorizes amounts as of March 30, 2012 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 $ 162,082,012 $ - $ - $ 162,082,012 Consumer Staples 150,516,486 - - 150,516,486 Energy 158,652,344 - - 158,652,344 Financials 242,193,244 - - 242,193,244 Health Care 168,615,180 - - 168,615,180 Industrials 138,791,916 - - 138,791,916 Information Technology 304,581,993 - - 304,581,993 Materials 21,539,075 - - 21,539,075 Telecommunication Services 29,240,851 - - 29,240,851 Utilities 20,922,321 - - 20,922,321 Investment Company 6,556,533 - - 6,556,533 ------------------------------------------------------------------------------ Total Assets $1,403,691,955 $ - $ - $ 1,403,691,955 ==============================================================================
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 in the annual and semiannual reports included in the above table are reported at their market value at measurement date. There have been no significant changes to the fair valuation methodologies of the Fund during the period. 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 March 30, 2012 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 $ 973,059,482 ============== Gross unrealized appreciation $ 432,868,170 Gross unrealized depreciation (2,235,697) -------------- Net unrealized appreciation $ 430,632,473 ==============
6 | Oppenheimer Main Street Fund/VA Oppenheimer Main Street Small- & Mid-Cap Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Shares Value -------------------------------------------------------------------------------- COMMON STOCKS-98.1% -------------------------------------------------------------------------------- CONSUMER DISCRETIONARY-16.3% -------------------------------------------------------------------------------- AUTO COMPONENTS-1.3% Dana Holding Corp. 708,217 $10,977,364 -------------------------------------------------------------------------------- Standard Motor Products, Inc. 67,912 1,204,759 ----------- 12,182,123 -------------------------------------------------------------------------------- DISTRIBUTORS-0.9% Pool Corp. 200,969 7,520,260 -------------------------------------------------------------------------------- VOXX International Corp.(1) 64,080 868,925 ----------- 8,389,185 -------------------------------------------------------------------------------- DIVERSIFIED CONSUMER SERVICES-0.5% Bridgepoint Education, Inc.(1) 65,672 1,625,382 -------------------------------------------------------------------------------- Capella Education Co.(1) 11,420 410,549 -------------------------------------------------------------------------------- Coinstar, Inc.(1) 25,999 1,652,236 -------------------------------------------------------------------------------- DeVry, Inc. 5,722 193,804 -------------------------------------------------------------------------------- Grand Canyon Education, Inc.(1) 6,700 118,992 -------------------------------------------------------------------------------- Regis Corp. 46,657 859,889 -------------------------------------------------------------------------------- Service Corp. International 13,797 155,354 ----------- 5,016,206 -------------------------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE-3.1% Ameristar Casinos, Inc. 84,204 1,568,721 -------------------------------------------------------------------------------- Bob Evans Farms, Inc. 40,566 1,530,150 -------------------------------------------------------------------------------- Brinker International, Inc. 79,944 2,202,457 -------------------------------------------------------------------------------- CEC Entertainment, Inc. 24,030 910,977 -------------------------------------------------------------------------------- Cheesecake Factory, Inc. (The)(1) 50,242 1,476,612 -------------------------------------------------------------------------------- Cracker Barrel Old Country Store, Inc. 81,989 4,574,986 -------------------------------------------------------------------------------- Denny's Corp.(1) 47,570 192,183 -------------------------------------------------------------------------------- Dunkin' Brands Group, Inc. 466,033 14,032,254 -------------------------------------------------------------------------------- Multimedia Games, Inc.(1) 44,110 483,446 -------------------------------------------------------------------------------- P.F. Chang's China Bistro, Inc. 2,858 112,948 -------------------------------------------------------------------------------- Papa John's International, Inc.(1) 55,043 2,072,919 -------------------------------------------------------------------------------- Ruth's Chris Steak House, Inc.(1) 6,160 46,754 -------------------------------------------------------------------------------- Texas Roadhouse, Inc., Cl. A 19,335 321,734 ----------- 29,526,141 -------------------------------------------------------------------------------- HOUSEHOLD DURABLES-1.4% CSS Industries, Inc. 12,788 248,854 -------------------------------------------------------------------------------- Helen of Troy Ltd.(1) 26,713 908,509 -------------------------------------------------------------------------------- Jarden Corp. 55,945 2,250,667 -------------------------------------------------------------------------------- La-Z-Boy, Inc.(1) 50,170 750,543 -------------------------------------------------------------------------------- Toll Brothers, Inc.(1) 393,510 9,440,305 ----------- 13,598,878 -------------------------------------------------------------------------------- INTERNET & CATALOG RETAIL-0.0% HSN, Inc. 3,436 130,671 -------------------------------------------------------------------------------- LEISURE EQUIPMENT & PRODUCTS-0.0% Leapfrog Enterprises, Inc.(1) 19,530 163,271 -------------------------------------------------------------------------------- Polaris Industries, Inc. 1,529 110,317 ----------- 273,588
1 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA Oppenheimer Main Street Small- & Mid-Cap Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Shares Value -------------------------------------------------------------------------------- MEDIA-1.6% Dish Network Corp., Cl. A 30,319 $ 998,405 ------------------------------------------------------------------------------- IMAX Corp.(1) 445,536 10,888,900 ------------------------------------------------------------------------------- Scholastic Corp. 36,245 1,278,724 ------------------------------------------------------------------------------- Sinclair Broadcast Group, Inc., Cl. A 103,727 1,147,221 ------------------------------------------------------------------------------- Valassis Communications, Inc.(1) 53,651 1,233,973 ----------- 15,547,223 ------------------------------------------------------------------------------- MULTILINE RETAIL-0.6% Big Lots, Inc.(1) 50,171 2,158,356 ------------------------------------------------------------------------------- Dillard's, Inc., Cl. A 18,453 1,162,908 ------------------------------------------------------------------------------- Fred's, Inc. 55,761 814,668 ------------------------------------------------------------------------------- Saks, Inc.(1) 166,182 1,929,373 ---------- 6,065,305 ------------------------------------------------------------------------------- SPECIALTY RETAIL-4.6% Aaron's, Inc. 5,930 153,587 ------------------------------------------------------------------------------- Advance Auto Parts, Inc. 19,627 1,738,363 ------------------------------------------------------------------------------- AnnTaylor Stores Corp.(1) 71,173 2,038,395 ------------------------------------------------------------------------------- Ascena Retail Group, Inc.(1) 54,175 2,401,036 ------------------------------------------------------------------------------- CarMax, Inc.(1) 226,830 7,859,660 ------------------------------------------------------------------------------- Cato Corp., Cl. A 76,887 2,125,157 ------------------------------------------------------------------------------- Chico's FAS, Inc. 148,459 2,241,731 ------------------------------------------------------------------------------- Dick's Sporting Goods, Inc. 3,196 153,664 ------------------------------------------------------------------------------- Express, Inc.(1) 90,526 2,261,339 ------------------------------------------------------------------------------- Finish Line, Inc. (The), Cl. A 97,583 2,070,711 ------------------------------------------------------------------------------- Foot Locker, Inc. 78,081 2,424,415 ------------------------------------------------------------------------------- GameStop Corp., Cl. A 90,105 1,967,893 ------------------------------------------------------------------------------- Hibbett Sports, Inc.(1) 2,636 143,794 ------------------------------------------------------------------------------- Hot Topic, Inc. 35,610 361,442 ------------------------------------------------------------------------------- Men's Wearhouse, Inc. (The) 55,705 2,159,683 ------------------------------------------------------------------------------- Monro Muffler Brake, Inc. 172,159 7,142,877 ------------------------------------------------------------------------------- Pier 1 Imports, Inc.(1) 240,040 4,363,927 ------------------------------------------------------------------------------- RadioShack Corp. 7,105 44,193 ------------------------------------------------------------------------------- Rent-A-Center, Inc. 21,750 821,063 ------------------------------------------------------------------------------- Sally Beauty Holdings, Inc.(1) 31,005 768,924 ------------------------------------------------------------------------------- Systemax, Inc.(1) 14,880 250,877 ------------------------------------------------------------------------------- Wet Seal, Inc., Cl. A(1) 186,721 644,187 ---------- 44,136,918 ------------------------------------------------------------------------------- TEXTILES, APPAREL & LUXURY GOODS-2.3% Fossil, Inc.(1) 66,062 8,718,863 ------------------------------------------------------------------------------- Iconix Brand Group, Inc.(1) 4,943 85,909 ------------------------------------------------------------------------------- PVH Corp. 147,108 13,141,158 ---------- 21,945,930 ------------------------------------------------------------------------------- CONSUMER STAPLES-2.4% BEVERAGES-0.3% Constellation Brands, Inc., Cl. A(1) 51,408 1,212,715 ------------------------------------------------------------------------------- Cott Corp.(1) 70,156 462,328 -------------------------------------------------------------------------------
2 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA Oppenheimer Main Street Small- & Mid-Cap Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Shares Value ------------------------------------------------------------------------------ BEVERAGES CONTINUED Dr. Pepper Snapple Group, Inc. 19,571 $ 786,950 --------- 2,461,993 ------------------------------------------------------------------------------ FOOD & STAPLES RETAILING-0.4% Andersons, Inc. (The) 4,760 231,764 ------------------------------------------------------------------------------ Casey's General Stores, Inc. 21,330 1,182,962 ------------------------------------------------------------------------------ Safeway, Inc. 41,810 844,980 ------------------------------------------------------------------------------ Spartan Stores, Inc. 29,987 543,364 ------------------------------------------------------------------------------ Susser Holdings Corp.(1) 13,094 336,123 ------------------------------------------------------------------------------ Village Super Market, Inc., Cl. A 6,465 204,229 ------------------------------------------------------------------------------ Weis Markets, Inc. 12,132 528,955 ---------- 3,872,377 ------------------------------------------------------------------------------ FOOD PRODUCTS-0.8% Smithfield Foods, Inc.(1) 44,590 982,318 ------------------------------------------------------------------------------ TreeHouse Foods, Inc.(1) 115,252 6,857,494 --------- 7,839,812 ------------------------------------------------------------------------------ HOUSEHOLD PRODUCTS-0.5% Church & Dwight Co., Inc. 103,269 5,079,802 ------------------------------------------------------------------------------ PERSONAL PRODUCTS-0.3% Medifast, Inc.(1) 99,922 1,744,638 ------------------------------------------------------------------------------ USANA Health Sciences, Inc.(1) 30,450 1,136,699 --------- 2,881,337 ------------------------------------------------------------------------------ TOBACCO-0.1% Universal Corp. 30,797 1,435,140 ------------------------------------------------------------------------------ ENERGY-5.9% ------------------------------------------------------------------------------ ENERGY EQUIPMENT & SERVICES-1.0% Basic Energy Services, Inc.(1) 19,242 333,849 ------------------------------------------------------------------------------ C&J Energy Services, Inc.(1) 80,270 1,428,003 ------------------------------------------------------------------------------ Helix Energy Solutions Group, Inc.(1) 93,758 1,668,892 ------------------------------------------------------------------------------ Key Energy Services, Inc.(1) 18,100 279,645 ------------------------------------------------------------------------------ Matrix Service Co.(1) 48,596 680,830 ------------------------------------------------------------------------------ Nabors Industries Ltd.(1) 7,030 122,955 ------------------------------------------------------------------------------ Newpark Resources, Inc.(1) 196,777 1,611,604 ------------------------------------------------------------------------------ Parker Drilling Co.(1) 271,643 1,621,709 ------------------------------------------------------------------------------ RPC, Inc. 196,757 2,087,592 --------- 9,835,079 ------------------------------------------------------------------------------ OIL, GAS & CONSUMABLE FUELS-4.9% Crosstex Energy, Inc. 23,960 338,794 ------------------------------------------------------------------------------ CVR Energy, Inc.(1) 43,316 1,158,703 ------------------------------------------------------------------------------ Delek US Holdings, Inc. 22,620 350,836 ------------------------------------------------------------------------------ Energy Partners Ltd.(1) 148,840 2,472,232 ------------------------------------------------------------------------------ Energy XXI (Bermuda) Ltd.(1) 105,883 3,823,435 ------------------------------------------------------------------------------ Gran Tierra Energy, Inc.(1) 57,070 358,970 ------------------------------------------------------------------------------ Green Plains Renewable Energy, Inc.(1) 44,860 484,039 ------------------------------------------------------------------------------ HollyFrontier Corp. 508,033 16,333,261 ------------------------------------------------------------------------------ Kosmos Energy Ltd.(1) 278,293 3,684,599 ------------------------------------------------------------------------------
3 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA Oppenheimer Main Street Small- & Mid-Cap Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Shares Value ------------------------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS CONTINUED ------------------------------------------------------------------------------- PAA Natural Gas Storage LP 258,233 $4,906,427 ------------------------------------------------------------------------------- Renewable Energy Group, Inc.(1) 234,110 2,425,380 ------------------------------------------------------------------------------- Rex Stores Corp.(1) 18,130 556,591 ------------------------------------------------------------------------------- Stone Energy Corp.(1) 12,870 367,953 ------------------------------------------------------------------------------- Targa Resources Corp. 19,440 883,548 ------------------------------------------------------------------------------- Tesoro Corp.(1) 67,651 1,815,753 ------------------------------------------------------------------------------- TransGlobe Energy Corp.(1) 85,383 1,031,427 ------------------------------------------------------------------------------- VAALCO Energy, Inc.(1) 229,497 2,168,747 ------------------------------------------------------------------------------- W&T Offshore, Inc. 78,361 1,651,850 ------------------------------------------------------------------------------- Warren Resources, Inc.(1) 114,690 373,889 ------------------------------------------------------------------------------- Western Refining, Inc. 109,457 2,059,981 ---------- 47,246,415 ------------------------------------------------------------------------------- FINANCIALS-21.1% ------------------------------------------------------------------------------- CAPITAL MARKETS-1.3% Apollo Global Management LLC 192,064 2,742,674 ------------------------------------------------------------------------------- Federated Investors, Inc., Cl. B 50,457 1,130,741 ------------------------------------------------------------------------------- Financial Engines, Inc.(1) 116,800 2,611,648 ------------------------------------------------------------------------------- GFI Group, Inc. 8,890 33,426 ------------------------------------------------------------------------------- KBW, Inc. 250,591 4,635,934 ------------------------------------------------------------------------------- Knight Capital Group, Inc., Cl. A(1) 88,390 1,137,579 ---------- 12,292,002 ------------------------------------------------------------------------------- COMMERCIAL BANKS-2.3% Banco Latinoamericano de Exportaciones SA, Cl. E 5,490 115,894 ------------------------------------------------------------------------------- CapitalSource, Inc. 1,479,819 9,766,805 ------------------------------------------------------------------------------- Citizens & Northern Corp. 9,086 181,720 ------------------------------------------------------------------------------- CVB Financial Corp. 102,690 1,205,581 ------------------------------------------------------------------------------- Eagle Bancorp, Inc.(1) 23,763 397,793 ------------------------------------------------------------------------------- First Horizon National Corp. 12,944 134,359 ------------------------------------------------------------------------------- First Midwest Bancorp, Inc. 201,275 2,411,275 ------------------------------------------------------------------------------- FirstMerit Corp. 361,166 6,089,259 ------------------------------------------------------------------------------- Grupo Financiero Galicia SA, ADR 18,410 118,376 ------------------------------------------------------------------------------- Lakeland Financial Corp. 4,189 109,040 ------------------------------------------------------------------------------- NBT Bancorp, Inc. 2,697 59,550 ------------------------------------------------------------------------------- Republic Bancorp, Inc., Cl. A 14,202 339,712 ------------------------------------------------------------------------------- Southside Bancshares, Inc. 19,830 438,243 ------------------------------------------------------------------------------- State Bank Financial Corp.(1) 18,066 316,336 ------------------------------------------------------------------------------- Univest Corp. of Pennsylvania 20,020 335,936 ------------------------------------------------------------------------------- WesBanco, Inc. 32,269 649,898 ---------- 22,669,777 ------------------------------------------------------------------------------- CONSUMER FINANCE-0.3% EZCORP, Inc., Cl. A(1) 59,014 1,915,299 ------------------------------------------------------------------------------- First Cash Financial Services, Inc.(1) 2,180 93,500 ------------------------------------------------------------------------------- World Acceptance Corp.(1) 8,274 506,783 --------- 2,515,582 ------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES-2.4% Moody's Corp. 197,050 8,295,805 -------------------------------------------------------------------------------
4 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA Oppenheimer Main Street Small- & Mid-Cap Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Shares Value -------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES CONTINUED MSCI, Inc., Cl. A(1) 411,996 $15,165,573 ---------- 23,461,378 -------------------------------------------------------------------------------- INSURANCE-4.5% Allied World Assurance Holdings Ltd. 20,420 1,402,241 -------------------------------------------------------------------------------- Alterra Capital Holdings Ltd. 117,423 2,698,381 -------------------------------------------------------------------------------- American Equity Investment Life Holding Co. 91,510 1,168,583 -------------------------------------------------------------------------------- American Financial Group, Inc. 61,618 2,377,222 -------------------------------------------------------------------------------- AmTrust Financial Services, Inc. 196,868 5,291,812 -------------------------------------------------------------------------------- Assurant, Inc. 40,830 1,653,615 -------------------------------------------------------------------------------- Assured Guaranty Ltd. 109,773 1,813,450 -------------------------------------------------------------------------------- Brown & Brown, Inc. 284,020 6,753,996 -------------------------------------------------------------------------------- CNO Financial Group, Inc.(1) 245,471 1,909,764 -------------------------------------------------------------------------------- FBL Financial Group, Inc., Cl. A 6,955 234,384 -------------------------------------------------------------------------------- Hanover Insurance Group, Inc. 20,860 857,763 -------------------------------------------------------------------------------- HCC Insurance Holdings, Inc. 67,880 2,115,820 -------------------------------------------------------------------------------- Horace Mann Educators Corp. 76,824 1,353,639 -------------------------------------------------------------------------------- Maiden Holdings Ltd. 89,740 807,660 -------------------------------------------------------------------------------- Meadowbrook Insurance Group, Inc. 127,040 1,185,283 -------------------------------------------------------------------------------- Montpelier Re Holdings Ltd. 3,350 64,722 -------------------------------------------------------------------------------- Primerica, Inc. 80,435 2,027,766 -------------------------------------------------------------------------------- ProAssurance Corp. 18,176 1,601,487 -------------------------------------------------------------------------------- Protective Life Corp. 38,122 1,129,174 -------------------------------------------------------------------------------- Reinsurance Group of America, Inc. 35,361 2,102,919 -------------------------------------------------------------------------------- StanCorp Financial Group, Inc. 10,540 431,508 -------------------------------------------------------------------------------- Symetra Financial Corp. 172,303 1,986,654 -------------------------------------------------------------------------------- Torchmark Corp. 34,737 1,731,639 -------------------------------------------------------------------------------- Tower Group, Inc. 17,490 392,301 ---------- 43,091,783 -------------------------------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS-8.7% Acadia Realty Trust 1,700 38,318 -------------------------------------------------------------------------------- American Campus Communities, Inc. 44,997 2,012,266 -------------------------------------------------------------------------------- BRE Properties, Inc., Cl. A 39,137 1,978,375 -------------------------------------------------------------------------------- Camden Property Trust 1,840 120,980 -------------------------------------------------------------------------------- CBL & Associates Properties, Inc. 32,390 612,819 -------------------------------------------------------------------------------- Chatham Lodging Trust 151,450 1,921,901 -------------------------------------------------------------------------------- Colonial Properties Trust 14,760 320,735 -------------------------------------------------------------------------------- CubeSmart 178,141 2,119,878 -------------------------------------------------------------------------------- CYS Investments, Inc. 388,619 5,087,023 -------------------------------------------------------------------------------- Digital Realty Trust, Inc. 138,435 10,240,037 -------------------------------------------------------------------------------- Douglas Emmett, Inc. 48,590 1,108,338 -------------------------------------------------------------------------------- EastGroup Properties, Inc. 37,543 1,885,409 -------------------------------------------------------------------------------- Equity Lifestyle Properties, Inc. 15,770 1,099,800 -------------------------------------------------------------------------------- Essex Property Trust, Inc. 9,019 1,366,469 -------------------------------------------------------------------------------- Extra Space Storage, Inc. 90,366 2,601,637 -------------------------------------------------------------------------------- Federal Realty Investment Trust 18,231 1,764,578 -------------------------------------------------------------------------------- First Industrial Realty Trust, Inc.(1) 14,240 175,864 -------------------------------------------------------------------------------- Glimcher Realty Trust 147,741 1,509,913 -------------------------------------------------------------------------------- Hatteras Financial Corp. 229,270 6,396,633 -------------------------------------------------------------------------------- Home Properties of New York, Inc. 38,304 2,336,927 --------------------------------------------------------------------------------
5 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA Oppenheimer Main Street Small- & Mid-Cap Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Shares Value -------------------------------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS CONTINUED ------------------------------------------------------------------------------- Hospitality Properties Trust 22,118 $ 585,463 -------------------------------------------------------------------------------- Kilroy Realty Corp. 33,807 1,575,744 -------------------------------------------------------------------------------- LaSalle Hotel Properties 399,626 11,245,476 -------------------------------------------------------------------------------- Mid-America Apartment Communities, Inc. 103,215 6,918,501 -------------------------------------------------------------------------------- Post Properties, Inc. 23,099 1,082,419 -------------------------------------------------------------------------------- PS Business Parks, Inc. 11,691 766,228 -------------------------------------------------------------------------------- Sovran Self Storage, Inc. 29,839 1,486,877 -------------------------------------------------------------------------------- Starwood Property Trust, Inc. 335,582 7,053,934 -------------------------------------------------------------------------------- Sun Communities, Inc. 45,717 1,980,918 -------------------------------------------------------------------------------- Tanger Factory Outlet Centers, Inc. 74,187 2,205,580 -------------------------------------------------------------------------------- Taubman Centers, Inc. 34,453 2,513,346 -------------------------------------------------------------------------------- Weingarten Realty Investors 54,520 1,440,964 ---------- 83,553,350 -------------------------------------------------------------------------------- REAL ESTATE MANAGEMENT & DEVELOPMENT-0.2% Altisource Portfolio Solutions SA(1) 18,320 1,110,925 -------------------------------------------------------------------------------- MI Developments, Inc. 24,660 852,989 --------- 1,963,914 -------------------------------------------------------------------------------- THRIFTS & MORTGAGE FINANCE-1.4% BankUnited, Inc. 162,805 4,070,125 -------------------------------------------------------------------------------- Flushing Financial Corp. 28,313 381,093 -------------------------------------------------------------------------------- OceanFirst Financial Corp. 17,040 242,650 -------------------------------------------------------------------------------- Ocwen Financial Corp.(1) 363,690 5,684,475 -------------------------------------------------------------------------------- Oritani Financial Corp. 209,090 3,069,441 ---------- 13,447,784 -------------------------------------------------------------------------------- HEALTH CARE-10.2% ------------------------------------------------------------------------------- BIOTECHNOLOGY-1.3% Achillion Pharmaceuticals, Inc.(1) 158,709 1,520,432 -------------------------------------------------------------------------------- Aveo Pharmaceuticals, Inc.(1) 113,386 1,407,120 -------------------------------------------------------------------------------- Halozyme Therapeutics, Inc.(1) 250,182 3,192,322 -------------------------------------------------------------------------------- Indevus Pharmaceuticals, Inc.(1) 2,500 25 -------------------------------------------------------------------------------- Medivation, Inc.(1) 28,831 2,154,252 -------------------------------------------------------------------------------- Myriad Genetics, Inc.(1) 85,323 2,018,742 -------------------------------------------------------------------------------- PDL BioPharma, Inc. 311,849 1,980,241 -------------------------------------------------------------------------------- United Therapeutics Corp.(1) 4,604 216,987 ---------- 12,490,121 -------------------------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES-1.5% ConMed Corp. 54,634 1,631,918 -------------------------------------------------------------------------------- Cyberonics, Inc.(1) 27,048 1,031,340 -------------------------------------------------------------------------------- Dexcom, Inc.(1) 364,450 3,801,214 -------------------------------------------------------------------------------- Greatbatch, Inc.(1) 201,431 4,939,088 -------------------------------------------------------------------------------- IDEXX Laboratories, Inc.(1) 1,225 107,126 -------------------------------------------------------------------------------- Orthofix International NV(1) 55,180 2,073,664 -------------------------------------------------------------------------------- RTI Biologics, Inc.(1) 171,282 633,743 -------------------------------------------------------------------------------- Vascular Solutions, Inc.(1) 25,920 279,677 --------------------------------------------------------------------------------
6 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA Oppenheimer Main Street Small- & Mid-Cap Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Shares Value -------------------------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES CONTINUED Young Innovations, Inc. 10,022 $ 309,880 ---------- 14,807,650 -------------------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES-4.2% AMERIGROUP Corp.(1) 69,740 4,692,107 -------------------------------------------------------------------------------- AmSurg Corp.(1) 54,191 1,516,264 -------------------------------------------------------------------------------- Assisted Living Concepts, Inc. 23,340 387,677 -------------------------------------------------------------------------------- Bio-Reference Laboratories, Inc.(1) 18,480 434,465 -------------------------------------------------------------------------------- Centene Corp.(1) 38,607 1,890,585 -------------------------------------------------------------------------------- Chemed Corp. 25,040 1,569,507 -------------------------------------------------------------------------------- DaVita, Inc.(1) 7,510 677,177 -------------------------------------------------------------------------------- Ensign Group, Inc. (The) 50,390 1,368,592 -------------------------------------------------------------------------------- Hanger Orthopedic Group, Inc.(1) 42,030 918,776 -------------------------------------------------------------------------------- HealthSouth Corp.(1) 423,380 8,670,822 -------------------------------------------------------------------------------- HMS Holdings Corp.(1) 155,019 4,838,143 -------------------------------------------------------------------------------- LifePoint Hospitals, Inc.(1) 36,401 1,435,655 -------------------------------------------------------------------------------- Lincare Holdings, Inc. 72,087 1,865,612 -------------------------------------------------------------------------------- Magellan Health Services, Inc.(1) 1,651 80,585 -------------------------------------------------------------------------------- Metropolitan Health Networks, Inc.(1) 113,954 1,067,749 -------------------------------------------------------------------------------- Molina Healthcare, Inc.(1) 46,534 1,564,938 -------------------------------------------------------------------------------- Patterson Cos., Inc. 47,886 1,599,392 -------------------------------------------------------------------------------- PSS World Medical, Inc.(1) 71,688 1,816,574 -------------------------------------------------------------------------------- Schein (Henry), Inc.(1) 18,430 1,394,782 -------------------------------------------------------------------------------- Select Medical Holdings Corp.(1) 142,132 1,092,995 -------------------------------------------------------------------------------- Triple-S Management Corp., Cl. B(1) 29,681 685,631 -------------------------------------------------------------------------------- U.S. Physical Therapy, Inc. 36,293 836,554 -------------------------------------------------------------------------------- Universal Health Services, Inc., Cl. B 4,570 191,529 ---------- 40,596,111 -------------------------------------------------------------------------------- HEALTH CARE TECHNOLOGY-0.4% Allscripts Healthcare Solutions, Inc.(1) 90,710 1,505,786 -------------------------------------------------------------------------------- MedAssets, Inc.(1) 61,500 809,340 -------------------------------------------------------------------------------- Medidata Solutions, Inc.(1) 20,006 532,960 -------------------------------------------------------------------------------- Omnicell, Inc.(1) 64,010 973,592 --------- 3,821,678 -------------------------------------------------------------------------------- LIFE SCIENCES TOOLS & SERVICES-0.7% Cambrex Corp.(1) 137,894 963,879 -------------------------------------------------------------------------------- PerkinElmer, Inc. 6 166 -------------------------------------------------------------------------------- Waters Corp.(1) 59,105 5,476,669 --------- 6,440,714 -------------------------------------------------------------------------------- PHARMACEUTICALS-2.1% Endo Pharmaceuticals Holdings, Inc.(1) 38,770 1,501,562 -------------------------------------------------------------------------------- MAP Pharmaceuticals, Inc.(1) 125,170 1,797,441 -------------------------------------------------------------------------------- Medicines Co. (The)(1) 40,937 821,606 -------------------------------------------------------------------------------- Obagi Medical Products, Inc.(1) 25,760 345,184 -------------------------------------------------------------------------------- Par Pharmaceutical Cos., Inc.(1) 3,150 122,000 --------------------------------------------------------------------------------
7 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA Oppenheimer Main Street Small- & Mid-Cap Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Shares Value ---------------------------------------------------------------------------- PHARMACEUTICALS CONTINUED ---------------------------------------------------------------------------- Questcor Pharmaceuticals, Inc.(1) 374,480 $14,087,938 ---------------------------------------------------------------------------- Warner Chilcott plc, Cl. A(1) 87,404 1,469,261 ---------- 20,144,992 ---------------------------------------------------------------------------- INDUSTRIALS-16.1% AEROSPACE & DEFENSE-1.4% Aerovironment, Inc.(1) 22,880 613,413 ---------------------------------------------------------------------------- B/E Aerospace, Inc.(1) 202,180 9,395,305 ---------------------------------------------------------------------------- Curtiss-Wright Corp. 45,497 1,683,844 ---------------------------------------------------------------------------- Exelis, Inc. 12,253 153,408 ---------------------------------------------------------------------------- LMI Aerospace, Inc.(1) 14,490 263,718 ---------------------------------------------------------------------------- Moog, Inc., Cl. A(1) 37,279 1,598,896 ---------- 13,708,584 ---------------------------------------------------------------------------- AIR FREIGHT & LOGISTICS-0.7% Forward Air Corp. 20,320 745,134 ---------------------------------------------------------------------------- Hub Group, Inc., Cl. A(1) 145,158 5,230,043 ---------------------------------------------------------------------------- Park-Ohio Holdings Corp.(1) 17,052 341,893 --------- 6,317,070 ---------------------------------------------------------------------------- AIRLINES-0.4% Alaska Air Group, Inc.(1) 59,180 2,119,828 ---------------------------------------------------------------------------- JetBlue Airways Corp.(1) 277,100 1,355,019 ---------------------------------------------------------------------------- Spirit Airlines, Inc.(1) 27,761 557,163 --------- 4,032,010 ---------------------------------------------------------------------------- BUILDING PRODUCTS-0.0% Gibraltar Industries, Inc.(1) 5,980 90,597 ---------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES-2.3% Acco Brands Corp.(1) 42,460 526,929 ---------------------------------------------------------------------------- Cintas Corp. 39,980 1,564,018 ---------------------------------------------------------------------------- Deluxe Corp. 91,137 2,134,429 ---------------------------------------------------------------------------- Encore Capital Group, Inc.(1) 51,641 1,164,505 ---------------------------------------------------------------------------- Intersections, Inc. 32,350 413,433 ---------------------------------------------------------------------------- Knoll, Inc. 44,979 748,451 ---------------------------------------------------------------------------- Quad Graphics, Inc. 8,937 124,224 ---------------------------------------------------------------------------- Steelcase, Inc., Cl. A 8,040 77,184 ---------------------------------------------------------------------------- Sykes Enterprises, Inc.(1) 87,116 1,376,433 ---------------------------------------------------------------------------- Tetra Tech, Inc.(1) 76,444 2,015,064 ---------------------------------------------------------------------------- Waste Connections, Inc. 365,090 11,876,378 ---------- 22,021,048 ---------------------------------------------------------------------------- CONSTRUCTION & ENGINEERING-2.2% Aecom Technology Corp.(1) 283,816 6,348,964 ---------------------------------------------------------------------------- EMCOR Group, Inc. 3,927 108,856 ---------------------------------------------------------------------------- Granite Construction, Inc. 12,000 344,880 ---------------------------------------------------------------------------- Great Lakes Dredge & Dock Co. 15,870 114,581 ---------------------------------------------------------------------------- KBR, Inc. 291,321 10,356,462 ---------------------------------------------------------------------------- Primoris Services Corp. 85,708 1,376,470 ----------------------------------------------------------------------------
8 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA Oppenheimer Main Street Small- & Mid-Cap Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Shares Value ------------------------------------------------------------------------------- CONSTRUCTION & ENGINEERING CONTINUED URS Corp. 50,031 $ 2,127,318 ---------- 20,777,531 ------------------------------------------------------------------------------- ELECTRICAL EQUIPMENT-1.6% AZZ, Inc. 2,407 124,297 ------------------------------------------------------------------------------- Belden, Inc. 24,260 919,697 ------------------------------------------------------------------------------- Brady Corp., Cl. A 36,860 1,192,421 ------------------------------------------------------------------------------- EnerSys, Inc.(1) 42,020 1,455,993 ------------------------------------------------------------------------------- Generac Holdings, Inc.(1) 105,692 2,594,739 ------------------------------------------------------------------------------- General Cable Corp.(1) 78,493 2,282,576 ------------------------------------------------------------------------------- Regal-Beloit Corp. 101,289 6,639,494 ---------- 15,209,217 ------------------------------------------------------------------------------- INDUSTRIAL CONGLOMERATES-0.1% Standex International Corp. 20,056 826,107 ------------------------------------------------------------------------------- MACHINERY-1.6% Actuant Corp., Cl. A 69,970 2,028,430 ------------------------------------------------------------------------------- AGCO Corp.(1) 11,210 529,224 ------------------------------------------------------------------------------- Albany International Corp., Cl. A 52,079 1,195,213 ------------------------------------------------------------------------------- Altra Holdings, Inc.(1) 10,890 209,088 ------------------------------------------------------------------------------- Barnes Group, Inc. 36,630 963,735 ------------------------------------------------------------------------------- Briggs & Stratton Corp. 20,125 360,841 ------------------------------------------------------------------------------- Columbus McKinnon Corp.(1) 24,290 395,684 ------------------------------------------------------------------------------- Freightcar America, Inc. 58,548 1,316,745 ------------------------------------------------------------------------------- Gardner Denver, Inc. 1,235 77,830 ------------------------------------------------------------------------------- Kadant, Inc.(1) 31,150 741,993 ------------------------------------------------------------------------------- Miller Industries, Inc. 30,206 511,086 ------------------------------------------------------------------------------- NACCO Industries, Inc., Cl. A 1,660 193,174 ------------------------------------------------------------------------------- Navistar International Corp.(1) 20,081 812,276 ------------------------------------------------------------------------------- Tennant Co. 9,070 399,080 ------------------------------------------------------------------------------- Toro Co. (The) 1,164 82,772 ------------------------------------------------------------------------------- TriMas Corp.(1) 11,570 259,052 ------------------------------------------------------------------------------- Wabtec Corp. 61,079 4,603,524 ------------------------------------------------------------------------------- Watts Water Technologies, Inc., Cl. A 19,290 786,068 ------------------------------------------------------------------------------- Xylem, Inc. 5,293 146,881 ---------- 15,612,696 ------------------------------------------------------------------------------- PROFESSIONAL SERVICES-3.2% Dun & Bradstreet Corp. 1,354 114,724 ------------------------------------------------------------------------------- GP Strategies Corp.(1) 34,531 604,293 ------------------------------------------------------------------------------- ICF International, Inc.(1) 53,131 1,347,933 ------------------------------------------------------------------------------- Insperity, Inc. 49,228 1,508,346 ------------------------------------------------------------------------------- Korn-Ferry International(1) 373,481 6,255,807 ------------------------------------------------------------------------------- Navigant Consulting, Inc.(1) 72,452 1,007,807 ------------------------------------------------------------------------------- Robert Half International, Inc. 560,395 16,979,969 ------------------------------------------------------------------------------- Towers Watson & Co., Cl. A 25,961 1,715,243 ------------------------------------------------------------------------------- TrueBlue, Inc.(1) 86,798 1,551,948 ---------- 31,086,070
9 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA Oppenheimer Main Street Small- & Mid-Cap Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Shares Value -------------------------------------------------------------------------------- ROAD & RAIL-2.1% Genesee & Wyoming, Inc., Cl. A(1) 72,731 $ 3,969,658 -------------------------------------------------------------------------------- Old Dominion Freight Line, Inc.(1) 278,144 13,259,124 -------------------------------------------------------------------------------- Swift Transportation Co.(1) 132,870 1,533,320 -------------------------------------------------------------------------------- Werner Enterprises, Inc. 42,810 1,064,257 ---------- 19,826,359 -------------------------------------------------------------------------------- TRADING COMPANIES & DISTRIBUTORS-0.5% Applied Industrial Technologies, Inc. 36,653 1,507,538 -------------------------------------------------------------------------------- Beacon Roofing Supply, Inc.(1) 73,754 1,899,903 -------------------------------------------------------------------------------- Interline Brands, Inc.(1) 86,855 1,876,937 --------- 5,284,378 -------------------------------------------------------------------------------- INFORMATION TECHNOLOGY-16.5% COMMUNICATIONS EQUIPMENT-2.8% Arris Group, Inc.(1) 80,270 907,051 -------------------------------------------------------------------------------- Aruba Networks, Inc.(1) 590,536 13,157,142 -------------------------------------------------------------------------------- Brocade Communications Systems, Inc.(1) 312,872 1,799,014 -------------------------------------------------------------------------------- Finisar Corp.(1) 366,481 7,384,592 -------------------------------------------------------------------------------- Globecomm Systems, Inc.(1) 33,659 487,382 -------------------------------------------------------------------------------- Plantronics, Inc. 40,822 1,643,494 -------------------------------------------------------------------------------- Polycom, Inc.(1) 69,790 1,330,895 ---------- 26,709,570 -------------------------------------------------------------------------------- COMPUTERS & PERIPHERALS-1.8% Electronics for Imaging, Inc.(1) 85,464 1,420,412 -------------------------------------------------------------------------------- Lexmark International, Inc., Cl. A 3,655 121,492 -------------------------------------------------------------------------------- NCR Corp.(1) 69,720 1,513,621 -------------------------------------------------------------------------------- QLogic Corp.(1) 108,127 1,920,336 -------------------------------------------------------------------------------- Synaptics, Inc.(1) 52,587 1,919,951 -------------------------------------------------------------------------------- Western Digital Corp.(1) 259,043 10,721,790 ---------- 17,617,602 -------------------------------------------------------------------------------- ELECTRONIC EQUIPMENT & INSTRUMENTS-0.8% Avnet, Inc.(1) 6,763 246,106 -------------------------------------------------------------------------------- DDi Corp. 49,430 603,046 -------------------------------------------------------------------------------- Elster Group SE, ADR(1) 48,948 773,868 -------------------------------------------------------------------------------- Flextronics International Ltd.(1) 28,230 204,103 -------------------------------------------------------------------------------- GSI Group, Inc.(1) 46,190 557,051 -------------------------------------------------------------------------------- Insight Enterprises, Inc.(1) 37,390 819,963 -------------------------------------------------------------------------------- Itron, Inc.(1) 2,420 109,892 -------------------------------------------------------------------------------- Jabil Circuit, Inc. 3,044 76,465 -------------------------------------------------------------------------------- Molex, Inc. 53,490 1,504,139 -------------------------------------------------------------------------------- MTS Systems Corp. 3,448 183,054 -------------------------------------------------------------------------------- Newport Corp.(1) 86,792 1,537,954 -------------------------------------------------------------------------------- SYNNEX Corp.(1) 31,780 1,212,089 -------------------------------------------------------------------------------- Zygo Corp.(1) 6,020 117,811 --------- 7,945,541
10 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA Oppenheimer Main Street Small- & Mid-Cap Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Shares Value -------------------------------------------------------------------------------- INTERNET SOFTWARE & SERVICES-0.8% Ancestry.com, Inc.(1) 17,978 $ 408,820 -------------------------------------------------------------------------------- AOL, Inc.(1) 12,898 244,675 -------------------------------------------------------------------------------- Demand Media, Inc.(1) 24,678 178,916 -------------------------------------------------------------------------------- Digital River, Inc.(1) 8,971 167,847 -------------------------------------------------------------------------------- IAC/InterActiveCorp 7,940 389,775 -------------------------------------------------------------------------------- j2 Global, Inc. 170,893 4,901,211 -------------------------------------------------------------------------------- ValueClick, Inc.(1) 60,917 1,202,502 --------- 7,493,746 -------------------------------------------------------------------------------- IT SERVICES-3.1% Acxiom Corp.(1) 134,812 1,979,040 -------------------------------------------------------------------------------- Alliance Data Systems Corp.(1) 920 115,883 -------------------------------------------------------------------------------- Amdocs Ltd.(1) 42,358 1,337,666 -------------------------------------------------------------------------------- Booz Allen Hamilton Holding Corp. 92,425 1,573,998 -------------------------------------------------------------------------------- Broadridge Financial Solutions, Inc. 72,375 1,730,486 -------------------------------------------------------------------------------- CACI International, Inc., Cl. A(1) 92,124 5,738,404 -------------------------------------------------------------------------------- Convergys Corp.(1) 142,259 1,899,158 -------------------------------------------------------------------------------- CSG Systems International, Inc.(1) 64,466 976,015 -------------------------------------------------------------------------------- Euronet Worldwide, Inc.(1) 77,436 1,617,638 -------------------------------------------------------------------------------- Genpact Ltd.(1) 38,500 627,550 -------------------------------------------------------------------------------- Global Cash Access, Inc.(1) 40,490 315,822 -------------------------------------------------------------------------------- Global Payments, Inc. 35,663 1,692,923 -------------------------------------------------------------------------------- Heartland Payment Systems, Inc. 40,530 1,168,885 -------------------------------------------------------------------------------- Henry (Jack) & Associates, Inc. 1,627 55,513 -------------------------------------------------------------------------------- iGate Corp.(1) 17,630 295,479 -------------------------------------------------------------------------------- ManTech International Corp. 50,560 1,742,298 -------------------------------------------------------------------------------- Maximus, Inc. 27,459 1,116,758 -------------------------------------------------------------------------------- SAIC, Inc.(1) 130,300 1,719,960 -------------------------------------------------------------------------------- Sapient Corp. 102,080 1,270,896 -------------------------------------------------------------------------------- TeleTech Holdings, Inc.(1) 44,380 714,518 -------------------------------------------------------------------------------- TNS, Inc.(1) 42,700 927,871 -------------------------------------------------------------------------------- Total System Services, Inc. 71,800 1,656,426 ---------- 30,273,187 -------------------------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT-4.0% Brooks Automation, Inc. 20,738 255,700 -------------------------------------------------------------------------------- Cabot Microelectronics Corp. 2,566 99,766 -------------------------------------------------------------------------------- Cavuim, Inc.(1) 150,211 4,647,528 -------------------------------------------------------------------------------- Cypress Semiconductor Corp. 4,974 77,744 -------------------------------------------------------------------------------- Entegris, Inc.(1) 178,810 1,670,085 -------------------------------------------------------------------------------- Entropic Communications, Inc.(1) 5 29 -------------------------------------------------------------------------------- GT Advanced Technologies, Inc.(1) 164,986 1,364,434 -------------------------------------------------------------------------------- Integrated Silicon Solution, Inc.(1) 39,390 439,592 -------------------------------------------------------------------------------- IXYS Corp.(1) 51,189 675,695 -------------------------------------------------------------------------------- Lattice Semiconductor Corp.(1) 52,367 336,720 -------------------------------------------------------------------------------- Semtech Corp.(1) 466,548 13,277,956 --------------------------------------------------------------------------------
11 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA Oppenheimer Main Street Small- & Mid-Cap Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Shares Value -------------------------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT CONTINUED Skyworks Solutions, Inc.(1) 562,829 $15,562,222 ---------- 38,407,471 -------------------------------------------------------------------------------- SOFTWARE-3.2% Actuate Corp.(1) 110,894 696,414 -------------------------------------------------------------------------------- Cadence Design Systems, Inc.(1) 164,332 1,945,691 -------------------------------------------------------------------------------- Ebix, Inc. 7,540 174,626 -------------------------------------------------------------------------------- FactSet Research Systems, Inc. 40,383 3,999,532 -------------------------------------------------------------------------------- Fair Isaac Corp. 3,606 158,303 -------------------------------------------------------------------------------- Fortinet, Inc.(1) 231,461 6,399,897 -------------------------------------------------------------------------------- JDA Software Group, Inc.(1) 11,202 307,831 -------------------------------------------------------------------------------- Manhattan Associates, Inc.(1) 2,291 108,891 -------------------------------------------------------------------------------- Mentor Graphics Corp.(1) 10,230 152,018 -------------------------------------------------------------------------------- Net 1 UEPS Technologies, Inc.(1) 63,480 573,859 -------------------------------------------------------------------------------- NetScout Systems, Inc.(1) 25,665 522,026 -------------------------------------------------------------------------------- SeaChange International, Inc.(1) 50,650 394,057 -------------------------------------------------------------------------------- Synopsys, Inc.(1) 65,160 1,997,806 -------------------------------------------------------------------------------- TIBCO Software, Inc.(1) 364,616 11,120,788 -------------------------------------------------------------------------------- Vasco Data Security International, Inc.(1) 39,700 428,363 -------------------------------------------------------------------------------- Websense, Inc.(1) 85,776 1,809,016 ---------- 30,789,118 -------------------------------------------------------------------------------- MATERIALS-5.7% -------------------------------------------------------------------------------- CHEMICALS-2.0% American Vanguard Corp. 31,991 693,885 -------------------------------------------------------------------------------- Cytec Industries, Inc. 147,918 8,991,935 -------------------------------------------------------------------------------- Ferro Corp.(1) 218,688 1,299,007 -------------------------------------------------------------------------------- Fuller (H.B.) Co. 68,113 2,236,150 -------------------------------------------------------------------------------- Huntsman Corp. 15,632 219,004 -------------------------------------------------------------------------------- Koppers Holdings, Inc. 27,827 1,073,009 -------------------------------------------------------------------------------- Kronos Worldwide, Inc. 40,770 1,016,804 -------------------------------------------------------------------------------- Olin Corp. 79,108 1,720,599 -------------------------------------------------------------------------------- PolyOne Corp. 5 72 -------------------------------------------------------------------------------- Schulman (A.), Inc. 64,768 1,750,031 -------------------------------------------------------------------------------- Tredegar Corp. 8,157 159,796 -------------------------------------------------------------------------------- Valspar Corp. (The) 9,569 462,087 ---------- 19,622,379 -------------------------------------------------------------------------------- CONTAINERS & PACKAGING-1.7% Ball Corp. 37,570 1,611,002 -------------------------------------------------------------------------------- Boise, Inc. 28,549 234,387 -------------------------------------------------------------------------------- Graphic Packaging Holding Co.(1) 104,667 577,762 -------------------------------------------------------------------------------- Myers Industries, Inc. 51,795 763,976 -------------------------------------------------------------------------------- Packaging Corp. of America 365,050 10,801,830 -------------------------------------------------------------------------------- Silgan Holdings, Inc. 40,944 1,809,725 ---------- 15,798,682 -------------------------------------------------------------------------------- METALS & MINING-1.4% Aurizon Mines Ltd.(1) 28,470 137,795 --------------------------------------------------------------------------------
12 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA Oppenheimer Main Street Small- & Mid-Cap Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Shares Value -------------------------------------------------------------------------------- METALS & MINING CONTINUED -------------------------------------------------------------------------------- Century Aluminum Co.(1) 342,087 $ 3,037,733 -------------------------------------------------------------------------------- Compass Minerals International, Inc. 65,864 4,725,083 -------------------------------------------------------------------------------- Nevsun Resources Ltd. 141,940 522,339 -------------------------------------------------------------------------------- Noranda Aluminum Holding Corp. 23,189 231,194 -------------------------------------------------------------------------------- Pan American Silver Corp. 57,864 1,276,480 -------------------------------------------------------------------------------- Steel Dynamics, Inc. 124,743 1,813,763 -------------------------------------------------------------------------------- Worthington Industries, Inc. 103,337 1,982,004 ---------- 13,726,391 -------------------------------------------------------------------------------- PAPER & FOREST PRODUCTS-0.6% Buckeye Technologies, Inc. 60,202 2,045,062 -------------------------------------------------------------------------------- Clearwater Paper Corp.(1) 3,190 105,940 -------------------------------------------------------------------------------- Glatfelter 116,520 1,838,686 -------------------------------------------------------------------------------- KapStone Paper & Packing Corp.(1) 76,430 1,505,671 -------------------------------------------------------------------------------- Neenah Paper, Inc. 18,610 553,461 --------- 6,048,820 -------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES-0.6% DIVERSIFIED TELECOMMUNICATION SERVICES-0.3% Telecom Argentina SA, Sponsored ADR 83,718 1,483,483 -------------------------------------------------------------------------------- Telecom Corp. of New Zealand Ltd., Sponsored ADR 29,681 294,436 -------------------------------------------------------------------------------- Vonage Holdings Corp.(1) 589,148 1,302,017 --------- 3,079,936 -------------------------------------------------------------------------------- WIRELESS TELECOMMUNICATION SERVICES-0.3% Telephone & Data Systems, Inc. 61,416 1,421,780 -------------------------------------------------------------------------------- USA Mobility, Inc. 90,266 1,257,405 --------- 2,679,185 -------------------------------------------------------------------------------- UTILITIES-3.3% -------------------------------------------------------------------------------- ELECTRIC UTILITIES-0.5% Companhia Energetica de Minas Gerais, Sponsored AD R 4,188 99,591 -------------------------------------------------------------------------------- Companhia Paranaense de Energia-Copel, Sponsored A DR 66,566 1,564,967 -------------------------------------------------------------------------------- El Paso Electric Co. 42,980 1,396,420 -------------------------------------------------------------------------------- Portland General Electric Co. 85,392 2,133,092 --------- 5,194,070 -------------------------------------------------------------------------------- ENERGY TRADERS-1.4% AES Corp. (The)(1) 1,050,087 13,724,637 -------------------------------------------------------------------------------- GAS UTILITIES-0.0% Southwest Gas Corp. 820 35,047 -------------------------------------------------------------------------------- MULTI-UTILITIES-0.9% CenterPoint Energy, Inc. 68,290 1,346,679 -------------------------------------------------------------------------------- CMS Energy Corp. 101,953 2,242,966 -------------------------------------------------------------------------------- NorthWestern Corp. 45,846 1,625,699 -------------------------------------------------------------------------------- Teco Energy, Inc. 100,713 1,767,513 -------------------------------------------------------------------------------- Vectren Corp. 51,839 1,506,441 --------- 8,489,298 -------------------------------------------------------------------------------- WATER UTILITIES-0.5% Aqua America, Inc. 191,513 4,268,820 ----------- Total Common Stocks (Cost $773,293,848) 945,456,126
13 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA Oppenheimer Main Street Small- & Mid-Cap Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Shares Value ---------------------------------------------------------------------------------- INVESTMENT COMPANY-3.9% Oppenheimer Institutional Money Market Fund, Cl. E, 0.22% (2,3) (Cost $37,574,167) 37,574,167 $ 37,574,167 ---------------------------------------------------------------------------------- TOTAL INVESTMENTS, AT VALUE (COST $810,868,015) 102.0% 983,030,293 ---------------------------------------------------------------------------------- LIABILITIES IN EXCESS OF OTHER ASSETS (2.0) (19,654,809) -------------------- NET ASSETS 100.0% $963,375,484 ====================
Footnotes to Statement of Investments * March 30, 2012 represents the last business day of the Fund's quarterly period. See accompanying Notes. 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 March 30, 2012, 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 30, 2011 (A) ADDITIONS REDUCTIONS MARCH 30, 2012 ------------------------------------------------------------------------------------------------------------------------ Oppenheimer Institutional Money Market Fund, Cl. E 17,286,356 106,301,746 86,013,935 37,574,167
VALUE INCOME ----------------------------------------------------------------------------------------- Oppenheimer Institutional Money Market Fund, Cl. E $37,574,167 $ 17,205
a. December 30, 2011 represents the last business day of the Fund's 2011 fiscal year. See accompanying Notes. 3. Rate shown is the 7-day yield as of March 30, 2012. NOTES TO STATEMENT OF INVESTMENTS QUARTERLY AND ANNUAL PERIODS. The last day of the Fund's quarterly period was the last day the New York Stock Exchange was open for trading. The Fund's financial statements have been presented through that date to maintain consistency with the Fund's net asset value calculations used for shareholder transactions. The last day of the Fund's fiscal year was the last day the New York Stock Exchange was open for trading. The Fund's financial statements have been presented through that date to maintain consistency with the Fund's net asset value calculations used for shareholder transactions. 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. 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. 14 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA Oppenheimer Main Street Small- & Mid-Cap Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) The Fund's Board has adopted procedures for the valuation of the Fund's securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a "fair valuation" for any security for which market quotations are not "readily available." The Valuation Committee's fair valuation determinations are subject to review, approval and ratification by the Fund's Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Valuation Methods and inputs Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or dealers. The following methodologies are used to determine the market value or the fair value of the types of securities described below: Securities traded on a registered U.S. securities exchange (including exchange-traded derivatives other than futures and futures options) 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. 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 security of a foreign issuer traded on a foreign exchange but not listed on a registered U.S. securities exchange is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the third party pricing service used by the Manager, prior to the time when the Fund's assets are valued. If the last sale price is unavailable, the security is valued at the most recent official closing price on the principal exchange on which it is traded. If the last sales price or official closing price for a foreign security is not available, the security is valued at the mean between the bid and asked price per the exchange or, if not available from the exchange, obtained from two dealers. If bid and asked prices are not available from either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of priority); (1) using a bid from the exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer. Shares of a registered investment company that are not traded on an exchange are valued at that investment company's net asset value per share. Corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, event-linked bonds, loans, mortgage-backed securities, collateralized mortgage obligations, and asset-backed securities are valued at the mean between the "bid" and "asked" prices utilizing evaluated prices obtained from third party pricing services or broker-dealers who may use matrix pricing methods to determine the evaluated prices. Short-term money market type debt securities with a remaining maturity 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. Short-term debt securities with a remaining maturity in excess of sixty days are valued at the mean between the "bid" and "asked" prices utilizing evaluated prices obtained from third party pricing services or broker-dealers. A description of the standard inputs that may generally be considered by the third party pricing vendors in determining their evaluated prices is provided below.
SECURITY TYPE STANDARD INPUTS GENERALLY CONSIDERED BY THIRD-PARTY PRICING VENDORS -------------------------------------------------------------------------------------------------------------------- Corporate debt, government debt, municipal, Reported trade data, broker-dealer price quotations, mortgage-backed and asset-backed securities benchmark yields, issuer spreads on comparable securities, the credit quality, yield, maturity, and other appropriate factors. Loans Information obtained from market participants regarding reported trade data and broker-dealer price quotations. Event-linked bonds Information obtained from market participants regarding reported trade data and broker-dealer price quotations.
15 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA Oppenheimer Main Street Small- & Mid-Cap Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) If a market value or price cannot be determined for a security using the methodologies described above, or if, in the "good faith" opinion of the Manager, the market value or price obtained does not constitute a "readily available market quotation," or a significant event has occurred that would materially affect the value of the security the security is fair valued either (i) by a standardized fair valuation methodology applicable to the security type or the significant event as previously approved by the Valuation Committee and the Fund's Board or (ii) as determined in good faith by the Manager's Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. Fair value determinations by the Manager are subject to review, approval and ratification by the Fund's Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Those fair valuation standardized methodologies include, but are not limited to, valuing securities at the last sale price or 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 further adjusted for any discounts related to security-specific 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 nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security. To assess the continuing appropriateness of security valuations, the Manager, or its third party service provider who is subject to oversight by the Manager, regularly compares prior day prices, prices on comparable securities, and sale prices to the current day prices and challenges those prices exceeding certain tolerance levels with the third party pricing service or broker source. For those securities valued by fair valuations, whether through a standardized fair valuation methodology or a fair valuation determination, the Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available. Classifications 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. 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 inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. The table below categorizes amounts as of March 30, 2012 based on valuation input level:
LEVEL 1- LEVEL 2- LEVEL 3- UNADJUSTED OTHER SIGNIFICANT SIGNIFICANT VALUE QUOTED PRICES OBSERVABLE INPUTS UNOBSERVABLE INPUTS -------------------------------------------------------------------------------------------------------------------------- ASSETS TABLE INVESTMENTS, AT VALUE: Common Stocks Consumer Discretionary $ 156,812,168 $ - $ - $156,812,168 Consumer Staples 23,570,461 - - 23,570,461 Energy 57,081,494 - - 57,081,494 Financials 202,995,570 - - 202,995,570 Health Care 98,301,241 - 25 98,301,266 Industrials 154,791,667 - - 154,791,667 Information Technology 159,236,235 - - 159,236,235
16 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA Oppenheimer Main Street Small- & Mid-Cap Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
LEVEL 1- LEVEL 2- LEVEL 3- UNADJUSTED OTHER SIGNIFICANT SIGNIFICANT VALUE QUOTED PRICES OBSERVABLE INPUTS UNOBSERVABLE INPUTS -------------------------------------------------------------------------------------------------------------------------- Materials 55,196,272 - - 55,196,272 Telecommunication Services 5,759,121 - - 5,759,121 Utilities 31,711,872 - - 31,711,872 Investment Company 37,574,167 - - 37,574,167 ----------------------------------------------------------------------------------- Total Assets $983,030,268 $ - $ 25 $983,030,293 -----------------------------------------------------------------------------------
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. There have been no significant changes to the fair valuation methodologies of the Fund during the period. 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 March 30, 2012 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 $816,612,286 ============ Gross unrealized appreciation $180,806,584 Gross unrealized depreciation (14,388,577) ------------ Net unrealized appreciation $166,418,007 ============
17 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA Oppenheimer Money Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Maturity Final Legal Principal Date** Maturity Date*** Amount Value ----------------------------------------------------------------------------------------------------------------------------------- CERTIFICATES OF DEPOSIT-23.4% YANKEE CERTIFICATES OF DEPOSIT-23.4% Bank of Nova Scotia, Houston TX: 0.35% 8/8/12 8/8/12 $ 1,000,000 $ 1,000,000 0.52% 5/24/12 5/24/12 3,000,000 3,000,000 0.52% 5/25/12 5/25/12 3,600,000 3,600,000 ----------------------------------------------------------------------------------------------------------------------------------- DnB Bank ASA NY, 0.15% 4/2/12 4/2/12 5,000,000 5,000,000 ----------------------------------------------------------------------------------------------------------------------------------- Nordea Bank Finland plc, New York, 0.15% 4/9/12 4/9/12 4,400,000 4,400,000 ----------------------------------------------------------------------------------------------------------------------------------- Rabobank Nederland NV, New York: 0.39% 7/20/12 7/20/12 3,000,000 3,000,000 0.50%(1) 5/16/12 5/16/12 2,500,000 2,500,000 ----------------------------------------------------------------------------------------------------------------------------------- Royal Bank of Canada, New York: 0.49%(1) 4/1/12 9/10/12 4,000,000 4,000,000 0.54%(1) 6/14/12 12/11/12 3,000,000 3,000,000 0.77% 11/28/12 11/28/12 1,300,000 1,300,000 ----------------------------------------------------------------------------------------------------------------------------------- Toronto Dominion Bank, New York, 0.21% 5/11/12 5/11/12 2,000,000 2,000,000 ----------------------------------------------------------------------------------------------------------------------------------- Westpac Banking Corp., New York, 0.33%(1) 4/16/12 6/11/12 5,000,000 5,001,095 ------------ Total Certificates of Deposit (Cost $37,801,095) 37,801,095 ----------------------------------------------------------------------------------------------------------------------------------- DIRECT BANK OBLIGATIONS-6.5% Commonwealth Bank of Australia, 0.19%(2) 5/21/12 5/21/12 2,000,000 1,999,472 ----------------------------------------------------------------------------------------------------------------------------------- ING (US) Funding LLC, 0.20% 4/10/12 4/10/12 3,000,000 2,999,854 ----------------------------------------------------------------------------------------------------------------------------------- National Australia Funding (Delaware), Inc., 0.21%(2) 5/1/12 5/1/12 2,800,000 2,799,510 ----------------------------------------------------------------------------------------------------------------------------------- Rabobank USA Financial Corp., 0.35% 6/22/12 6/22/12 1,000,000 999,203 ----------------------------------------------------------------------------------------------------------------------------------- Svenska Handelsbanken, Inc., 0.27%(2) 6/19/12 6/19/12 1,700,000 1,698,993 ------------ Total Direct Bank Obligations (Cost $10,497,032) 10,497,032 ----------------------------------------------------------------------------------------------------------------------------------- SHORT-TERM NOTES/COMMERCIAL PAPER-67.5% ----------------------------------------------------------------------------------------------------------------------------------- BANKS-4.8% HSBC USA, Inc.: 0.23% 5/7/12 5/7/12 1,750,000 1,749,598 0.25% 4/23/12 4/23/12 6,000,000 5,999,102 ------------ 7,748,700 ----------------------------------------------------------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES-4.7% General Electric Capital Corp.: 0.32% 8/3/12 8/3/12 1,600,000 1,598,236 0.34% 6/19/12 6/19/12 2,400,000 2,398,209 ----------------------------------------------------------------------------------------------------------------------------------- General Electric Capital Services: 0.29% 4/5/12 4/5/12 2,400,000 2,399,923 0.29% 4/10/12 4/10/12 1,200,000 1,199,913 ------------ 7,596,281 ----------------------------------------------------------------------------------------------------------------------------------- LEASING & FACTORING-6.6% American Honda Finance Corp.: 0.57%(1) 6/29/12 6/29/12 1,500,000 1,500,000 0.72%(1,3) 6/26/12 9/26/12 1,500,000 1,500,000 ----------------------------------------------------------------------------------------------------------------------------------- Toyota Motor Credit Corp.: 0.59% 11/8/12 11/8/12 2,400,000 2,391,307
1 | Oppenheimer Money Fund/VA Oppenheimer Money Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Maturity Final Legal Principal Date** Maturity Date*** Amount Value ------------------------------------------------------------------------------------------------------------------------------ 0.67%(1) 6/21/12 12/17/12 $ 2,300,000 $ 2,300,000 0.76%(1) 4/18/12 10/18/12 3,000,000 3,000,000 ------------ 10,691,307 ------------------------------------------------------------------------------------------------------------------------------ MUNICIPAL-11.4% Austin Cnty., TX Industrial Development Corp. Revenue Bonds, Justin Industries, Inc., Series 1984, 0.20%(1) 4/7/12 4/7/12 5,000,000 5,000,000 ------------------------------------------------------------------------------------------------------------------------------ Carroll Cnty., KY Solid Waste Disposal Revenue Bonds, North American Stainless Project, Series 2006, 0.21%(1) 4/7/12 4/7/12 4,300,000 4,300,000 ------------------------------------------------------------------------------------------------------------------------------ Chicago, IL Industrial Development Revenue Bonds, Freedman Seating Co. Project, Series 1998, 0.35%(1) 4/7/12 4/7/12 1,215,000 1,215,000 ------------------------------------------------------------------------------------------------------------------------------ Cobb Cnty., GA Development Authority Revenue Bonds, Presbyterian Village-Austell, Inc., 0.26%(1) 4/7/12 4/7/12 2,570,000 2,570,000 ------------------------------------------------------------------------------------------------------------------------------ Health Care Revenue Bonds, SFO Associates Project, Series 1994, 0.24%(1) 4/7/12 4/7/12 1,500,000 1,500,000 ------------------------------------------------------------------------------------------------------------------------------ IL Finance Authority, Freedman Seating Co. Project, Series 2005, 0.35%(1) 4/7/12 4/7/12 1,085,000 1,085,000 ------------------------------------------------------------------------------------------------------------------------------ San Antonio, TX Industrial Development Authority Revenue Bonds, Tindall Corp. Project, 0.24%(1) 4/7/12 4/7/12 2,800,000 2,800,000 ------------ 18,470,000 ------------------------------------------------------------------------------------------------------------------------------ PERSONAL PRODUCTS-4.3% Reckitt Benckiser Treasury Services plc: 0.55%(2) 10/11/12 10/11/12 4,000,000 3,988,206 0.55%(2) 10/18/12 10/18/12 1,000,000 996,944 0.70%(2) 7/6/12 7/6/12 2,000,000 1,996,267 ------------ 6,981,417 ------------------------------------------------------------------------------------------------------------------------------ RECEIVABLES FINANCE-17.0% Alpine Securitization Corp.: 0.19% 4/3/12 4/3/12 750,000 749,992 0.20% 4/12/12 4/12/12 2,300,000 2,299,859 ------------------------------------------------------------------------------------------------------------------------------ Market Street Funding LLC, 0.22%(2) 4/4/12 4/4/12 5,000,000 4,999,908 ------------------------------------------------------------------------------------------------------------------------------ Mont Blanc Capital Corp.: 0.20%(2) 4/9/12 4/9/12 2,800,000 2,799,876 0.24%(2) 4/18/12 4/18/12 1,000,000 999,887 0.25%(2) 4/16/12 4/16/12 3,060,000 3,059,681 ------------------------------------------------------------------------------------------------------------------------------ Old Line Funding Corp., 0.24%(2) 6/20/12 6/20/12 1,100,000 1,099,413 ------------------------------------------------------------------------------------------------------------------------------ Sheffield Receivables Corp., 0.13%(2) 4/2/12 4/2/12 3,881,000 3,880,986 ------------------------------------------------------------------------------------------------------------------------------ Thunder Bay Funding LLC: 0.20%(2) 5/21/12 5/21/12 1,800,000 1,799,500 0.24%(2) 5/23/12 5/23/12 5,773,000 5,770,999 ------------ 27,460,101
2 | Oppenheimer Money Fund/VA Oppenheimer Money Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Maturity Final Legal Principal Date** Maturity Date*** Amount Value ----------------------------------------------------------------------------------------------------------------------------------- SPECIAL PURPOSE FINANCIAL-18.7% Concord Minutemen Cap. Corp. LLC: 0.46% 4/11/12 4/11/12 $ 2,100,000 $ 2,099,732 0.46% 5/2/12 5/2/12 1,000,000 999,604 0.46% 5/8/12 5/8/12 4,700,000 4,697,778 ----------------------------------------------------------------------------------------------------------------------------------- Crown Point Capital Co., 0.18% 4/2/12 4/2/12 7,000,000 6,999,965 ----------------------------------------------------------------------------------------------------------------------------------- FCAR Owner Trust I: 0.24% 5/2/12 5/2/12 3,400,000 3,399,297 0.24% 5/4/12 5/4/12 1,590,000 1,589,650 0.30% 4/5/12 4/5/12 2,600,000 2,599,913 ----------------------------------------------------------------------------------------------------------------------------------- Lexington Parker Capital Co. LLC: 0.18%(2) 4/2/12 4/2/12 900,000 899,996 0.18%(2) 4/3/12 4/3/12 6,000,000 5,999,893 0.18%(2) 4/5/12 4/5/12 1,000,000 999,980 ------------ 30,285,808 ------------ Total Short-Term Notes/Commercial Paper (Cost $109,233,614) 109,233,614 ----------------------------------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT OBLIGATIONS-1.8% U.S. Treasury Nts.: 0.75% 5/31/12 5/31/12 2,000,000 2,001,512 1.00% 4/30/12 4/30/12 1,000,000 1,000,548 ------------ Total U.S. Government Obligations (Cost $3,002,060) 3,002,060 ----------------------------------------------------------------------------------------------------------------------------------- Total Investments, at Value (Cost $160,533,801) 99.2% 160,533,801 ----------------------------------------------------------------------------------------------------------------------------------- Other Assets Net of Liabilities 0.8 1,297,811 ----------------------------------- Net Assets 100.0% $161,831,612 ===================================
Footnotes to Statement of Investments -------- * March 30, 2012 represents the last business day of the Fund's quarterly period. See accompanying Notes. 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 $45,789,511 or 28.29% 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 0.93% of the Fund's net assets as of March 30, 2012. 3 | Oppenheimer Money Fund/VA Oppenheimer Money Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) NOTES TO STATEMENT OF INVESTMENTS QUARTERLY AND ANNUAL PERIODS. The last day of the Fund's quarterly period was the last day the New York Stock Exchange was open for trading. The Fund's financial statements have been presented through that date to maintain consistency with the Fund's net asset value calculations used for shareholder transactions. The last day of the Fund's fiscal year was the last day the New York Stock Exchange was open for trading. The Fund's financial statements have been presented through that date to maintain consistency with the Fund's net asset value calculations used for shareholder transactions. 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. The Fund's Board has adopted procedures for the valuation of the Fund's securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a "fair valuation" for any security for which market quotations are not "readily available." The Valuation Committee's fair valuation determinations are subject to review, approval and ratification by the Fund's Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Valuation Methods and inputs 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. If a market value or price cannot be determined for a security using the methodologies described above, or if, in the "good faith" opinion of the Manager, the market value or price obtained does not constitute a "readily available market quotation," or a significant event has occurred that would materially affect the value of the security the security is fair valued either (i) by a standardized fair valuation methodology applicable to the security type or the significant event as previously approved by the Valuation Committee and the Fund's Board or (ii) as determined in good faith by the Manager's Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. Fair value determinations by the Manager are subject to review, approval and ratification by the Fund's Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Those fair valuation standardized methodologies include, but are not limited to, valuing securities at the last sale price or 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 further adjusted for any discounts related to security-specific 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 nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security. To assess the continuing appropriateness of security valuations, the Manager, or its third party service provider who is subject to oversight by the Manager, regularly compares prior day prices, prices on comparable securities, and sale prices to the current day prices and challenges those prices exceeding certain tolerance levels with the third party pricing service or broker source. For those securities valued by fair valuations, whether through a standardized fair valuation methodology or a fair valuation determination, the Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available. 4 | Oppenheimer Money Fund/VA Oppenheimer Money Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) Classifications 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. 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 inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. The table below categorizes amounts as of March 30, 2012 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 $ - $ 37,801,095 $ - $ 37,801,095 Direct Bank Obligations - 10,497,032 - 10,497,032 Short-Term Notes/Commercial Paper - 109,233,614 - 109,233,614 U.S. Government Obligations - 3,002,060 - 3,002,060 -------------------------------------------------------------------- Total Assets $ - $ 160,533,801 $ - $ 160,533,801 --------------------------------------------------------------------
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 March 30, 2012* (Unaudited)
Shares Value -------------------------------------------------------------------------------------------------------- WHOLLY-OWNED SUBSIDIARY--0.1% Oppenheimer Global Strategic Income Fund/VA (Cayman) Ltd.(1,2) (Cost $1,500,000) 15,000 $ 1,467,754
Principal Amount -------------------------------------------------------------------------------------------------------- ASSET-BACKED SECURITIES--0.6% DSC Floorplan Master Owner Trust, Automobile Receivable Nts., Series 2011-1, Cl. A, 3.91%, 3/15/16 $ 520,000 527,701 -------------------------------------------------------------------------------------------------------- DT Auto Owner Trust 2011-1A, Automobile Receivable Nts., Series 2011-1A, Cl. C, 3.05%, 8/15/15(3) 720,000 722,267 -------------------------------------------------------------------------------------------------------- Embarcadero Aircraft Securitization Trust, Airplane Receivable Nts., Series 2000-A, Cl. B, 0.656%, 8/15/25(4,5) 1,820,063 -- -------------------------------------------------------------------------------------------------------- GE Dealer Floorplan Master Note Trust, Asset-Backed Securities, Series 2009-2A, Cl. A, 2.024%, 10/20/14(3,6) 270,000 272,202 -------------------------------------------------------------------------------------------------------- Ice 1 Em CLO Ltd./Ice 1 Em CLO Corp., Sr. Sec. Sub. Term Nts.: Series 2007-1A, Cl. B, 2.456%, 8/15/22(5,6) 7,870,000 4,958,100 Series 2007-1A, Cl. C, 3.756%, 8/15/22(5,6) 5,270,000 3,109,300 Series 2007-1A, Cl. D, 5.756%, 8/15/22(5,6) 5,270,000 3,056,600 -------------------------------------------------------------------------------------------------------- Santander Drive Auto Receivables Trust 2011-S1A, Automobile Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/17(5) 198,413 197,949 -------------------------------------------------------------------------------------------------------- SLM Student Loan Trust, Student Loan Receivables, Series 2005-B, Cl. B, 0.874%, 6/15/39(6) 2,487,000 1,203,275 ---------------- Total Asset-Backed Securities (Cost $22,420,059) 14,047,394 -------------------------------------------------------------------------------------------------------- MORTGAGE-BACKED OBLIGATIONS--19.5% -------------------------------------------------------------------------------------------------------- GOVERNMENT AGENCY--7.0% -------------------------------------------------------------------------------------------------------- FHLMC/FNMA/FHLB/SPONSORED--6.6% Federal Home Loan Mortgage Corp.: 4.50%, 4/1/42(7) 4,305,000 4,565,991 5%, 9/15/33 1,415,651 1,528,527 5.50%, 9/1/39 1,333,798 1,452,791 6%, 5/15/18-10/1/37 700,041 769,647 6.50%, 3/15/18-8/15/32 1,639,571 1,847,971 7%, 10/1/31-10/1/37 408,364 469,613 7.50%, 1/1/32 672,049 805,507 -------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Series 1360, Cl. PZ, 7.50%, 9/15/22 766,915 892,320 Series 151, Cl. F, 9%, 5/15/21 22,517 26,133 Series 1674, Cl. Z, 6.75%, 2/15/24 601,853 692,623 Series 1897, Cl. K, 7%, 9/15/26 1,373,775 1,613,163 Series 2006-11, Cl. PS, 23.68%, 3/25/36(6) 430,013 652,914 Series 2043, Cl. ZP, 6.50%, 4/15/28 564,304 657,163 Series 2106, Cl. FG, 0.692%, 12/15/28(6) 968,059 974,362 Series 2122, Cl. F, 0.692%, 2/15/29(6) 28,990 29,180 Series 2148, Cl. ZA, 6%, 4/15/29 782,151 884,028 Series 2195, Cl. LH, 6.50%, 10/15/29 425,149 487,957 Series 2326, Cl. ZP, 6.50%, 6/15/31 58,697 67,621 Series 2344, Cl. FP, 1.192%, 8/15/31(6) 292,073 298,648 Series 2368, Cl. PR, 6.50%, 10/15/31 233,702 269,370 Series 2412, Cl. GF, 1.192%, 2/15/32(6) 542,888 555,111 Series 2449, Cl. FL, 0.792%, 1/15/32(6) 367,632 371,483
1 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value -------------------------------------------------------------------------------------------------------- FHLMC/FNMA/FHLB/SPONSORED CONTINUED Series 2451, Cl. FD, 1.242%, 3/15/32(6) $ 187,571 $ 191,970 Series 2453, Cl. BD, 6%, 5/15/17 76,878 82,815 Series 2461, Cl. PZ, 6.50%, 6/15/32 874,594 1,009,278 Series 2464, Cl. FI, 1.242%, 2/15/32(6) 174,527 178,198 Series 2470, Cl. AF, 1.242%, 3/15/32(6) 321,826 329,373 Series 2470, Cl. LF, 1.242%, 2/15/32(6) 178,603 182,360 Series 2471, Cl. FD, 1.242%, 3/15/32(6) 264,592 270,148 Series 2477, Cl. FZ, 0.792%, 6/15/31(6) 717,849 724,343 Series 2500, Cl. FD, 0.742%, 3/15/32(6) 24,205 24,407 Series 2517, Cl. GF, 1.242%, 2/15/32(6) 155,286 158,553 Series 2526, Cl. FE, 0.642%, 6/15/29(6) 44,951 45,168 Series 2551, Cl. FD, 0.642%, 1/15/33(6) 20,733 20,832 Series 2668, Cl. AZ, 4%, 9/1/18 155,803 165,168 Series 2676, Cl. KY, 5%, 9/15/23 3,283,255 3,611,152 Series 3019, Cl. MD, 4.75%, 1/1/31 63,129 63,118 Series 3025, Cl. SJ, 23.864%, 8/15/35(6) 487,089 763,272 Series 3094, Cl. HS, 23.497%, 6/15/34(6) 283,319 407,638 Series 3465, Cl. HA, 4%, 7/1/17 107,098 111,650 Series 3617, Cl. DC, 4%, 7/1/27 518,179 537,534 Series 3676, Cl. DA, 4%, 4/1/22 453,699 462,486 Series 3822, Cl. JA, 5%, 6/1/40 163,914 176,268 Series 3848, Cl. WL, 4%, 4/1/40 742,976 781,470 Series 3917, Cl. BA, 4%, 6/1/38 1,196,251 1,243,065 -------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: Series 192, Cl. IO, 12.583%, 2/1/28(8) 20,650 3,969 Series 205, Cl. IO, 14.019%, 9/1/29(8) 115,623 21,672 Series 2074, Cl. S, 63.476%, 7/17/28(8) 30,471 6,272 Series 2079, Cl. S, 74.953%, 7/17/28(8) 51,630 11,015 Series 2136, Cl. SG, 75.212%, 3/15/29(8) 1,374,197 260,039 Series 2399, Cl. SG, 69.626%, 12/15/26(8) 786,569 160,136 Series 243, Cl. 6, 0.575%, 12/15/32(8) 308,803 69,888 Series 2437, Cl. SB, 81.607%, 4/15/32(8) 2,408,511 520,392 Series 2526, Cl. SE, 41.998%, 6/15/29(8) 56,435 11,636 Series 2795, Cl. SH, 16.652%, 3/15/24(8) 1,165,378 171,134 Series 2802, Cl. AS, 89.866%, 4/15/33(8) 259,485 16,294 Series 2920, Cl. S, 66.50%, 1/15/35(8) 512,876 101,802 Series 3110, Cl. SL, 99.999%, 2/15/26(8) 294,717 37,785 Series 3450, Cl. BI, 10.188%, 5/15/38(8) 608,956 84,664 Series 3451, Cl. SB, 15.774%, 5/15/38(8) 854,581 105,911 Series 3662, Cl. SM, 24.714%, 10/15/32(8) 379,998 51,924 -------------------------------------------------------------------------------------------------------- Federal Home Loan Mortgage Corp., Mtg.-Linked Global Debt Securities, 2.06%, 1/15/22 2,246,426 2,277,482 -------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn.: 2.50%, 4/1/27(7) 9,415,000 9,547,398 2.647%, 10/1/36(6) 4,152,120 4,436,655 3.50%, 4/1/27(7) 4,495,000 4,715,536
2 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value -------------------------------------------------------------------------------------------------------- FHLMC/FNMA/FHLB/SPONSORED CONTINUED 4%, 9/1/18-10/1/18 $ 1,953,294 $ 2,085,408 4%, 4/1/27-4/1/42(7) 10,425,000 10,937,158 4.50%, 4/1/27-4/1/42(7) 14,865,000 15,834,519 5%, 2/25/18-7/25/33 6,116,775 6,638,090 5%, 4/1/42(7) 8,605,000 9,296,091 5.50%, 4/25/21-1/1/36 734,427 802,790 5.50%, 4/1/27-4/1/42(7) 6,243,000 6,802,639 6%, 10/25/16-1/25/19 409,090 440,706 6%, 4/1/42(7) 5,275,000 5,812,392 6.50%, 4/25/17-1/1/34 2,065,067 2,359,307 7%, 11/1/17-6/25/34 2,234,865 2,575,160 7.50%, 2/25/27-3/25/33 2,449,464 2,923,547 8.50%, 7/1/32 2,484 3,034 -------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., 15 yr., 3%, 4/1/27(7) 9,955,000 10,308,091 -------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., 30 yr., 3.50%, 4/1/42(7) 1,725,000 1,771,898 -------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Trust 1999-54, Cl. LH, 6.50%, 11/25/29 412,448 472,485 Trust 2001-51, Cl. OD, 6.50%, 10/25/31 227,613 264,361 Trust 2001-69, Cl. PF, 1.242%, 12/25/31(6) 388,714 396,906 Trust 2001-80, Cl. ZB, 6%, 1/25/32 455,567 514,852 Trust 2002-12, Cl. PG, 6%, 3/25/17 257,900 279,650 Trust 2002-29, Cl. F, 1.242%, 4/25/32(6) 188,350 192,342 Trust 2002-60, Cl. FH, 1.242%, 8/25/32(6) 393,020 401,244 Trust 2002-64, Cl. FJ, 1.242%, 4/25/32(6) 57,999 59,228 Trust 2002-68, Cl. FH, 0.742%, 10/18/32(6) 132,770 133,751 Trust 2002-84, Cl. FB, 1.242%, 12/25/32(6) 817,952 835,384 Trust 2002-9, Cl. PC, 6%, 3/25/17 258,893 280,920 Trust 2002-9, Cl. PR, 6%, 3/25/17 317,002 340,503 Trust 2002-90, Cl. FH, 0.742%, 9/25/32(6) 457,646 460,940 Trust 2003-11, Cl. FA, 1.242%, 9/25/32(6) 817,971 835,403 Trust 2003-112, Cl. AN, 4%, 11/1/18 320,544 339,721 Trust 2003-116, Cl. FA, 0.642%, 11/25/33(6) 66,360 66,739 Trust 2004-101, Cl. BG, 5%, 1/25/20 1,179,446 1,264,496 Trust 2005-109, Cl. AH, 5.50%, 12/25/25 2,160,000 2,453,459 Trust 2005-25, Cl. PS, 27.096%, 4/25/35(6) 470,391 822,933 Trust 2005-31, Cl. PB, 5.50%, 4/25/35 560,000 673,529 Trust 2005-71, Cl. DB, 4.50%, 8/25/25 480,000 524,517 Trust 2006-46, Cl. SW, 23.313%, 6/25/36(6) 703,977 1,063,011 Trust 2007-42, Cl. A, 6%, 2/1/33 823,210 865,964 Trust 2008-14, Cl. BA, 4.25%, 3/1/23 153,810 163,789 Trust 2009-114, Cl. AC, 2.50%, 12/1/23 283,259 292,393 Trust 2009-36, Cl. FA, 1.182%, 6/25/37(6) 365,000 370,486 Trust 2011-122, Cl. EA, 3%, 11/1/29 1,028,588 1,062,697 Trust 2011-122, Cl. EC, 1.50%, 1/1/20 748,677 760,035 Trust 2011-15, Cl. DA, 4%, 3/1/41 844,227 885,848 Trust 2011-3, Cl. KA, 5%, 4/1/40 556,801 608,984 --------------------------------------------------------------------------------------------------------
3 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value -------------------------------------------------------------------------------------------------------- FHLMC/FNMA/FHLB/SPONSORED CONTINUED Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Trust 2001-61, Cl. SH, 39.756%, 11/18/31(8) $ 216,478 $ 41,842 Trust 2001-63, Cl. SD, 37.552%, 12/18/31(8) 54,631 10,080 Trust 2001-68, Cl. SC, 28.164%, 11/25/31(8) 35,734 6,818 Trust 2001-81, Cl. S, 30.578%, 1/25/32(8) 44,097 9,284 Trust 2002-28, Cl. SA, 38.017%, 4/25/32(8) 29,113 5,764 Trust 2002-38, Cl. SO, 51.447%, 4/25/32(8) 159,474 30,769 Trust 2002-48, Cl. S, 35.387%, 7/25/32(8) 45,032 8,949 Trust 2002-52, Cl. SL, 38.105%, 9/25/32(8) 29,254 5,935 Trust 2002-56, Cl. SN, 37.493%, 7/25/32(8) 61,879 12,304 Trust 2002-77, Cl. IS, 47.464%, 12/18/32(8) 271,696 56,673 Trust 2002-77, Cl. SH, 41.592%, 12/18/32(8) 63,706 13,194 Trust 2002-9, Cl. MS, 32.608%, 3/25/32(8) 59,395 12,079 Trust 2003-13, Cl. IO, 14.117%, 3/25/33(8) 512,559 97,467 Trust 2003-26, Cl. DI, 9.563%, 4/25/33(8) 370,841 67,063 Trust 2003-33, Cl. SP, 42.154%, 5/25/33(8) 387,947 57,229 Trust 2003-38, Cl. SA, 36.002%, 3/25/23(8) 535,810 57,886 Trust 2003-4, Cl. S, 37.368%, 2/25/33(8) 113,042 18,525 Trust 2004-56, Cl. SE, 19.737%, 10/25/33(8) 1,695,270 269,285 Trust 2005-14, Cl. SE, 45.573%, 3/25/35(8) 1,662,762 265,543 Trust 2005-40, Cl. SA, 61.031%, 5/25/35(8) 1,398,429 267,726 Trust 2005-40, Cl. SB, 95.733%, 5/25/35(8) 2,327,842 445,918 Trust 2005-63, Cl. SA, 61.008%, 10/25/31(8) 92,288 18,434 Trust 2005-71, Cl. SA, 65.92%, 8/25/25(8) 318,976 43,261 Trust 2006-129, Cl. SM, 27.13%, 1/25/37(8) 622,955 95,898 Trust 2006-51, Cl. SA, 18.539%, 6/25/36(8) 7,818,525 1,042,765 Trust 2006-60, Cl. DI, 42.143%, 4/25/35(8) 1,452,305 195,343 Trust 2006-90, Cl. SX, 99.999%, 9/25/36(8) 1,516,025 325,548 Trust 2007-77, Cl. SB, 69.835%, 12/25/31(8) 568,352 27,168 Trust 2007-88, Cl. XI, 40.759%, 6/25/37(8) 2,350,222 330,383 Trust 2008-46, Cl. EI, 9.748%, 6/25/38(8) 607,184 86,538 Trust 2008-55, Cl. SA, 23.66%, 7/25/38(8) 512,264 70,723 Trust 2009-8, Cl. BS, 17.59%, 2/25/24(8) 510,233 54,914 Trust 2011-84, Cl. IG, 5.965%, 8/1/13(8) 5,227,335 112,627 Trust 214, Cl. 2, 40.117%, 3/1/23(8) 345,973 75,022 Trust 221, Cl. 2, 39.033%, 5/1/23(8) 40,510 8,846 Trust 254, Cl. 2, 31.209%, 1/1/24(8) 662,524 144,407 Trust 2682, Cl. TQ, 99.999%, 10/15/33(8) 545,075 101,254 Trust 2981, Cl. BS, 99.999%, 5/15/35(8) 982,473 169,238 Trust 301, Cl. 2, 1.829%, 4/1/29(8) 144,332 26,849 Trust 313, Cl. 2, 24.882%, 6/1/31(8) 1,484,453 286,148 Trust 319, Cl. 2, 2.692%, 2/1/32(8) 710,650 137,152 Trust 321, Cl. 2, 6.626%, 4/1/32(8) 191,470 35,152 Trust 324, Cl. 2, 0%, 7/1/32(8,9) 198,461 37,487
4 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value -------------------------------------------------------------------------------------------------------- FHLMC/FNMA/FHLB/SPONSORED CONTINUED Trust 328, Cl. 2, 0%, 12/1/32(8,9) $ 470,415 $ 75,531 Trust 331, Cl. 5, 2.418%, 2/1/33(8) 736,410 151,156 Trust 332, Cl. 2, 0%, 3/1/33(8,9) 4,023,253 636,649 Trust 334, Cl. 12, 4.774%, 2/1/33(8) 644,783 128,662 Trust 339, Cl. 15, 10.937%, 7/1/33(8) 1,938,320 350,920 Trust 345, Cl. 9, 99.999%, 1/1/34(8) 739,719 104,171 Trust 351, Cl. 10, 10.384%, 4/1/34(8) 393,772 62,484 Trust 351, Cl. 8, 4.991%, 4/1/34(8) 650,926 105,052 Trust 356, Cl. 10, 0%, 6/1/35(8,9) 535,827 83,997 Trust 356, Cl. 12, 0%, 2/1/35(8,9) 268,038 41,667 Trust 362, Cl. 13, 1.496%, 8/1/35(8) 323,927 61,077 ---------------- 157,328,249 -------------------------------------------------------------------------------------------------------- GNMA/GUARANTEED--0.2% Government National Mortgage Assn.: 1.625%, 12/9/25(6) 5,050 5,226 7%, 3/29/28-7/29/28 225,662 266,663 7.50%, 3/1/27 12,270 13,364 8%, 11/29/25-5/29/26 49,072 51,140 -------------------------------------------------------------------------------------------------------- Government National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Series 1999-32, Cl. ZB, 8%, 9/16/29 904,028 1,067,142 Series 2000-12, Cl. ZA, 8%, 2/16/30 1,984,867 2,385,726 -------------------------------------------------------------------------------------------------------- Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Series 1998-19, Cl. SB, 69.64%, 7/16/28(8) 109,911 23,777 Series 1998-6, Cl. SA, 83.149%, 3/16/28(8) 65,282 14,183 Series 2001-21, Cl. SB, 91.359%, 1/16/27(8) 491,986 90,424 Series 2007-17, Cl. AI, 21.527%, 4/16/37(8) 586,956 119,386 Series 2010-111, Cl. GI, 29.615%, 9/1/13(8) 11,925,424 266,149 Series 2011-52, Cl. HS, 7.51%, 4/16/41(8) 966,145 226,766 ---------------- 4,529,946 -------------------------------------------------------------------------------------------------------- OTHER AGENCY--0.2% NCUA Guaranteed Notes Trust 2010-C1, Gtd. Nts.: Series 2010-C1, Cl. A1, 1.60%, 10/29/20 504,153 510,779 Series 2010-C1, Cl. A2, 2.90%, 10/29/20 1,015,000 1,069,868 Series 2010-C1, Cl. APT, 2.65%, 10/29/20 1,154,071 1,202,952 -------------------------------------------------------------------------------------------------------- NCUA Guaranteed Notes Trust 2010-R1, Gtd. Nts., Series 2010-R1, Cl. 1A, 0.693%, 10/7/20(6) 974,442 975,962 -------------------------------------------------------------------------------------------------------- NCUA Guaranteed Notes Trust 2010-R3, Gtd. Nts., Series 2010-R3, Cl. 3A, 2.40%, 12/8/20 782,278 794,623 ---------------- 4,554,184 -------------------------------------------------------------------------------------------------------- NON-AGENCY--12.5% -------------------------------------------------------------------------------------------------------- COMMERCIAL--7.4% Banc of America Commercial Mortgage Trust 2006-3, Commercial Mtg. Pass-Through Certificates, Series 2006-3, Cl. AM, 5.858%, 7/10/44(6) 4,242,000 4,152,494 --------------------------------------------------------------------------------------------------------
5 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value -------------------------------------------------------------------------------------------------------- COMMERCIAL CONTINUED -------------------------------------------------------------------------------------------------------- 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 $ 5,884,549 -------------------------------------------------------------------------------------------------------- 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 4,241,775 -------------------------------------------------------------------------------------------------------- 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 8,291,486 -------------------------------------------------------------------------------------------------------- Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates: Series 2007-3, Cl. A4, 5.633%, 6/1/49(6) 480,000 535,103 Series 2008-1, Cl. AM, 6.243%, 2/10/51(6) 3,415,000 3,624,099 -------------------------------------------------------------------------------------------------------- Bear Stearns ARM Trust 2007-4, Mtg. Pass-Through Certificates, Series 2007-4, Cl. 22A1, 5.589%, 6/1/47(6) 1,055,432 768,938 -------------------------------------------------------------------------------------------------------- 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 5,805,162 -------------------------------------------------------------------------------------------------------- Bear Stearns Commercial Mortgage Securities Trust 2007-PWR17, Commercial Mtg. Pass-Through Certificates: Series 2007-PWR17, Cl. AJ, 5.898%, 6/1/50(6) 7,400,000 5,899,650 Series 2007-PWR17, Cl. AM, 5.898%, 6/1/50(6) 2,330,000 2,449,092 -------------------------------------------------------------------------------------------------------- CHL Mortgage Pass-Through Trust 2005-17, Mtg. Pass-Through Certificates, Series 2005-17, Cl. 1A8, 5.50%, 9/1/35 3,018,899 2,958,124 -------------------------------------------------------------------------------------------------------- CHL Mortgage Pass-Through Trust 2005-HYB8, Mtg. Pass-Through Certificates, Series 2005-HYB8, Cl. 4A1, 4.959%, 12/20/35(6) 163,063 124,434 -------------------------------------------------------------------------------------------------------- CHL Mortgage Pass-Through Trust 2007-J3, Mtg. Pass-Through Certificates, Series 2007-J3, Cl. A9, 6%, 7/1/37 8,692,805 6,970,221 -------------------------------------------------------------------------------------------------------- Citigroup Commercial Mortgage Trust 2008-C7, Commercial Mtg. Pass-Through Certificates, Series 2008-C7, Cl. AM, 6.074%, 12/1/49(6) 4,270,000 4,238,596 -------------------------------------------------------------------------------------------------------- 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 1,048,560 -------------------------------------------------------------------------------------------------------- DBUBS Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2011-LC1, Cl. E, 5.557%, 11/1/46(3,6) 2,515,000 2,312,100 -------------------------------------------------------------------------------------------------------- Deutsche Alt-B Securities, Inc., Mtg. Pass-Through Certificates: Series 2006-AB2, Cl. A1, 5.885%, 6/25/36 130,281 76,659 Series 2006-AB4, Cl. A1A, 6.005%, 10/25/36 628,524 362,357 -------------------------------------------------------------------------------------------------------- Deutsche Mortgage & Asset Receiving, Commercial Mtg. Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security, Series 2010-C1, Cl. XPA, 4.721%, 9/1/20(3,8) 5,625,940 390,665 -------------------------------------------------------------------------------------------------------- First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 603,493 383,830 -------------------------------------------------------------------------------------------------------- GMAC Commercial Mortgage Securities, Inc., Commercial Mtg. Pass-Through Certificates, Series 1998-C1, Cl. F, 6.986%, 5/15/30(6) 1,567,000 1,565,457 --------------------------------------------------------------------------------------------------------
6 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value -------------------------------------------------------------------------------------------------------- COMMERCIAL CONTINUED -------------------------------------------------------------------------------------------------------- Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2006-GG7, Commercial Mtg. Pass-Through Certificates, Series 2006-GG7, Cl. AJ, 5.883%, 7/10/38(6) $ 6,150,000 $ 5,256,611 -------------------------------------------------------------------------------------------------------- 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 5,372,736 -------------------------------------------------------------------------------------------------------- Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2007-GG9, Commercial Mtg. Pass-Through Certificates, Series 2007-GG9, Cl. AM, 5.475%, 3/1/39 5,650,000 5,627,869 -------------------------------------------------------------------------------------------------------- GS Mortgage Securities Corp. II, Commercial Mtg. Obligations, Series 2011-GC3, Cl. D, 5.543%, 3/1/44(3,6) 3,130,000 2,815,911 -------------------------------------------------------------------------------------------------------- GSR Mortgage Loan Trust 2005-AR4, Mtg. Pass-Through Certificates, Series 2005-AR4, Cl. 6A1, 5.25%, 7/1/35 74,582 72,804 -------------------------------------------------------------------------------------------------------- IndyMac Index Mortgage Loan Trust 2005-AR23, Mtg. Pass-Through Certificates, Series 2005-AR23, Cl. 6A1, 5.051%, 11/1/35(6) 1,568,437 1,152,627 -------------------------------------------------------------------------------------------------------- JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: Series 2006-CIBC15, Cl. AM, 5.855%, 6/1/43 775,000 760,037 Series 2007-CB15, Cl. AJ, 5.502%, 6/1/47 8,281,000 6,235,854 Series 2007-CB18, Cl. A4, 5.44%, 6/1/47 2,315,000 2,586,140 Series 2007-CB18, Cl. AM, 5.466%, 6/1/47 6,400,000 6,616,691 -------------------------------------------------------------------------------------------------------- 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 1,614,946 -------------------------------------------------------------------------------------------------------- JPMorgan Chase Commercial Mortgage Securities Trust 2006-LDP7, Commercial Mtg. Pass-Through Certificates, Series 2006-LDP7, 5.871%, 4/1/45(6) 120,000 129,865 -------------------------------------------------------------------------------------------------------- JPMorgan Chase Commercial Mortgage Securities Trust 2007-CB19, Commercial Mtg. Pass-Through Certificates, Series 2007-CB19, Cl. AM, 5.734%, 2/1/49(6) 5,850,000 5,789,116 -------------------------------------------------------------------------------------------------------- JPMorgan Chase Commercial Mortgage Securities Trust 2007-LDP11, Commercial Mtg. Pass-Through Certificates, Series 2007-LDP11, Cl. ASB, 5.816%, 6/1/49(6) 554,469 595,595 -------------------------------------------------------------------------------------------------------- JPMorgan Mortgage Trust 2006-A7, Mtg. Pass-Through Certificates, Series 2006-A7, Cl. 2A2, 2.721%, 1/1/37(6) 319,212 225,833 -------------------------------------------------------------------------------------------------------- LB-UBS Commercial Mortgage Trust 2006-C3, Commercial Mtg. Pass-Through Certificates, Series 2006-C3, Cl. AJ, 5.72%, 3/11/39 1,325,000 1,154,602 -------------------------------------------------------------------------------------------------------- LB-UBS Commercial Mortgage Trust 2007-C6, Commercial Mtg. Pass-Through Certificates: Series 2007-C6, Cl. A4, 5.858%, 7/11/40 1,095,000 1,244,160 Series 2007-C6, Cl. AM, 6.114%, 7/11/40 5,855,000 5,859,655 -------------------------------------------------------------------------------------------------------- LB-UBS Commercial Mortgage Trust 2008-C1, Commercial Mtg. Pass-Through Certificates, Series 2008-C1, Cl. AM, 6.143%, 4/11/41(6) 2,610,000 2,768,513 -------------------------------------------------------------------------------------------------------- Lehman Structured Securities Corp., Mtg.-Backed Security, 6%, 5/1/29 14,620 2,802 -------------------------------------------------------------------------------------------------------- Mastr Alternative Loan Trust 2004-6, Mtg. Pass-Through Certificates, Series 2004-6, Cl. 10A1, 6%, 7/25/34 257,439 264,865 --------------------------------------------------------------------------------------------------------
7 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value -------------------------------------------------------------------------------------------------------- COMMERCIAL CONTINUED -------------------------------------------------------------------------------------------------------- Merrill Lynch Mortgage Trust 2006-C1, Commercial Mtg. Pass-Through Certificates, Series 2006-C1, Cl. AJ, 5.66%, 5/1/39(6) $ 3,845,000 $ 3,404,596 -------------------------------------------------------------------------------------------------------- ML-CFC Commercial Mortgage Trust 2006-3, Commercial Mtg. Pass-Through Certificates, Series 2006-3, Cl. AJ, 5.485%, 7/1/46 5,820,000 4,809,392 -------------------------------------------------------------------------------------------------------- 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 5,610,344 -------------------------------------------------------------------------------------------------------- Morgan Stanley Capital I Trust 2007-IQ15, Commercial Mtg. Pass-Through Certificates, Series 2007-IQ15, Cl. AM, 5.882%, 6/1/49(6) 6,485,000 6,427,977 -------------------------------------------------------------------------------------------------------- Morgan Stanley Capital I Trust, Commercial Mtg. Pass-Through Certificates, Series 2006-HQ10, Cl. AM, 5.36%, 11/1/41 8,500,000 8,973,170 -------------------------------------------------------------------------------------------------------- RALI Series 2005-QA4 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2005-QA4, Cl. A32, 3.307%, 4/25/35(6) 114,868 14,420 -------------------------------------------------------------------------------------------------------- Residential Asset Securitization Trust 2006-A12, Mtg. Pass-Through Certificates, Series 2006-A12, Cl. 1A, 6.25%, 11/1/36 695,410 469,655 -------------------------------------------------------------------------------------------------------- Sequoia Mortgage Trust, Mtg. Pass-Through Certificates, Series 2012-2, Cl. A2, 3.50%, 3/1/42 555,000 565,580 -------------------------------------------------------------------------------------------------------- STARM Mortgage Loan Trust 2007-1, Mtg. Pass-Through Certificates, Series 2007-1, Cl. 2A1, 5.807%, 2/1/37(6) 9,033,538 6,351,038 -------------------------------------------------------------------------------------------------------- Structured Adjustable Rate Mortgage Loan Trust, Mtg. Pass-Through Certificates, Series 2007-6, Cl. 3A1, 4.957%, 7/1/37(6) 6,911,161 4,654,653 -------------------------------------------------------------------------------------------------------- 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 4,321,737 -------------------------------------------------------------------------------------------------------- Wachovia Bank Commercial Mortgage Trust 2006-C25, Commercial Mtg. Pass-Through Certificates, Series 2006-C25, Cl. AJ, 5.737%, 5/1/43(6) 4,220,000 4,068,112 -------------------------------------------------------------------------------------------------------- WaMu Mortgage Pass-Through Certificates 2006-AR15 Trust, Mtg. Pass-Through Certificates, Series 2006-AR15, Cl. 1A, 0.999%, 11/1/46(6) 1,159,727 771,810 -------------------------------------------------------------------------------------------------------- WaMu Mortgage Pass-Through Certificates 2007-OA3 Trust, Mtg. Pass-Through Certificates, Series 2007-OA3, Cl. 5A, 2.474%, 4/1/47(6) 817,408 480,355 -------------------------------------------------------------------------------------------------------- Wells Fargo Mortgage-Backed Securities 2004-W Trust, Mtg. Pass-Through Certificates, Series 2004-W, Cl. B2, 2.608%, 11/1/34(6) 618,140 24,307 -------------------------------------------------------------------------------------------------------- Wells Fargo Mortgage-Backed Securities 2005-AR1 Trust, Mtg. Pass-Through Certificates, Series 2005-AR1, Cl. 1A1, 2.613%, 2/1/35(6) 3,631,643 3,411,153 -------------------------------------------------------------------------------------------------------- Wells Fargo Mortgage-Backed Securities 2007-AR3 Trust, Mtg. Pass-Through Certificates, Series 2007-AR3, Cl. A4, 5.771%, 4/1/37(6) 2,302,009 2,017,673 -------------------------------------------------------------------------------------------------------- WFRBS Commercial Mortgage Trust 2011-C3, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2011-C3, Cl. XA, 9.116%, 3/1/44(8) 6,083,214 536,774 ---------------- 175,143,329
8 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value --------------------------------------------------------------------------------------------------------- MULTIFAMILY--0.7% Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2006-2, Cl. AJ, 5.766%, 5/1/45(6) $ 4,295,000 $ 3,888,388 --------------------------------------------------------------------------------------------------------- Citigroup Mortgage Loan Trust, Inc. 2006-AR3, Mtg. Pass-Through Certificates, Series 2006-AR3, Cl. 1A2A, 5.652%, 6/1/36(6) 5,865,780 5,180,117 --------------------------------------------------------------------------------------------------------- JPMorgan Mortgage Trust 2007-A3, Mtg. Pass-Through Certificates, Series 2007-A3, Cl. 3A2M, 5.178%, 5/1/37(6) 4,584,827 3,991,191 --------------------------------------------------------------------------------------------------------- Wells Fargo Mortgage-Backed Securities 2005-AR15 Trust, Mtg. Pass-Through Certificates, Series 2005-AR15, Cl. 1A2, 5.028%, 9/1/35(6) 417,899 369,205 --------------------------------------------------------------------------------------------------------- Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg. Pass-Through Certificates, Series 2006-AR6, Cl. 3A1, 2.668%, 3/25/36(6) 3,233,440 2,767,368 ----------------- 16,196,269 --------------------------------------------------------------------------------------------------------- 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 2,557,286 --------------------------------------------------------------------------------------------------------- RESIDENTIAL--4.3% Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl. A2, 1.202%, 5/25/34(6) 920,464 776,553 --------------------------------------------------------------------------------------------------------- Argent Securities Trust 2006-M3, Asset-Backed Pass-Through Certificates, Series 2006-M3, Cl. A2B, 0.342%, 9/25/36(6) 345,596 113,736 --------------------------------------------------------------------------------------------------------- Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2007-4, Cl. AM, 5.791%, 2/1/51(6) 3,960,000 3,975,777 --------------------------------------------------------------------------------------------------------- Banc of America Funding 2007-C Trust, Mtg. Pass-Through Certificates, Series 2007-C, Cl. 1A4, 5.538%, 5/1/36(6) 2,025,000 1,937,080 --------------------------------------------------------------------------------------------------------- Bear Stearns ARM Trust 2004-2, Mtg. Pass-Through Certificates, Series 2004-2, Cl. 12A2, 2.896%, 5/1/34(6) 2,875,942 2,540,507 --------------------------------------------------------------------------------------------------------- Bear Stearns ARM Trust 2004-9, Mtg. Pass-Through Certificates, Series 2004-9, Cl. 23A1, 3.372%, 11/1/34(6) 901,566 906,447 --------------------------------------------------------------------------------------------------------- Chase Mortgage Finance Trust 2007-A1, Multiclass Mtg. Pass-Through Certificates, Series 2007-A1, Cl. 9A1, 2.773%, 2/1/37(6) 1,045,111 1,026,673 --------------------------------------------------------------------------------------------------------- CHL Mortgage Pass-Through Trust 2005-29, Mtg. Pass-Through Certificates, Series 2005-29, Cl. A1, 5.75%, 12/1/35 5,766,978 5,066,267 --------------------------------------------------------------------------------------------------------- CHL Mortgage Pass-Through Trust 2005-J4, Mtg. Pass-Through Certificates, Series 2005-J4, Cl. A7, 5.50%, 11/1/35 1,894,391 1,888,863 --------------------------------------------------------------------------------------------------------- CHL Mortgage Pass-Through Trust 2006-6, Mtg. Pass-Through Certificates, Series 2006-6, Cl. A3, 6%, 4/1/36 568,490 556,142 --------------------------------------------------------------------------------------------------------- CHL Mortgage Pass-Through Trust 2007-HY3, Mtg. Pass-Through Certificates, Series 2007-HY3, Cl. 1A1, 3.051%, 6/1/47(6) 2,141,144 1,545,335 --------------------------------------------------------------------------------------------------------- Citigroup Mortgage Loan Trust, Inc. 2005-2, Mtg. Pass-Through Certificates, Series 2005-2, Cl. 1A3, 3.105%, 5/1/35(6) 2,380,500 2,160,546 --------------------------------------------------------------------------------------------------------- Citigroup Mortgage Loan Trust, Inc. 2005-3, Mtg. Pass-Through Certificates, Series 2005-3, Cl. 2A4, 4.979%, 8/1/35(6) 4,731,615 3,495,528 --------------------------------------------------------------------------------------------------------- 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 5,811,761 ---------------------------------------------------------------------------------------------------------
9 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value -------------------------------------------------------------------------------------------------------- RESIDENTIAL CONTINUED -------------------------------------------------------------------------------------------------------- CitiMortgage Alternative Loan Trust 2006-A5, Real Estate Mtg. Investment Conduit Pass-Through Certificates, Series 2006-A5, Cl. 2A1, 5.50%, 10/1/21 $ 1,219,598 $ 1,162,199 -------------------------------------------------------------------------------------------------------- Countrywide Alternative Loan Trust 2006-43CB, Mtg. Pass-Through Certificates, Series 2006-43CB, Cl.1A10, 6%, 2/1/37 9,698,873 6,639,766 -------------------------------------------------------------------------------------------------------- Countrywide Alternative Loan Trust 2007-19, Mtg. Pass-Through Certificates, Series 2007-19, Cl. 1A4, 6%, 8/1/37 2,745,144 1,933,236 -------------------------------------------------------------------------------------------------------- Countrywide Home Loans, Asset-Backed Certificates, Series 2005-16, Cl. 2AF2, 5.343%, 5/1/36(6) 892,085 691,440 -------------------------------------------------------------------------------------------------------- CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 0.362%, 6/25/47(6) 4,067,608 3,638,626 -------------------------------------------------------------------------------------------------------- CWHEQ Revolving Home Equity Loan Trust, Asset-Backed Certificates: Series 2005-G, Cl. 2A, 0.472%, 12/15/35(6) 163,631 88,898 Series 2006-H, Cl. 2A1A, 0.392%, 11/15/36(6) 65,650 17,889 -------------------------------------------------------------------------------------------------------- GSR Mortgage Loan Trust 2004-5, Mtg. Pass-Through Certificates, Series 2004-5, Cl. 2A1, 2.776%, 5/1/34(6) 2,915,250 2,588,418 -------------------------------------------------------------------------------------------------------- GSR Mortgage Loan Trust 2005-AR7, Mtg. Pass-Through Certificates, Series 2005-AR7, Cl. 4A1, 5.193%, 11/1/35(6) 3,065,922 2,477,242 -------------------------------------------------------------------------------------------------------- GSR Mortgage Loan Trust 2006-5F, Mtg. Pass-Through Certificates, Series 2006-5F, Cl. 2A1, 6%, 6/1/36 915,847 888,668 -------------------------------------------------------------------------------------------------------- Home Equity Mortgage Trust 2005-1, Mtg. Pass-Through 1,046,000 577,138 Certificates, Series 2005-1, Cl. M6, 5.863%, 6/1/35 -------------------------------------------------------------------------------------------------------- JPMorgan Alternative Loan Trust 2006-S4, Mtg. Pass-Through Certificates, Series 2006-S4, Cl. A6, 5.71%, 12/1/36 300,018 265,779 -------------------------------------------------------------------------------------------------------- LB-UBS Commercial Mortgage Trust 2007-C7, Commercial Mtg. Pass-Through Certificates, Series 2007-C7, Cl. AM, 6.158%, 9/11/45(6) 10,430,000 10,547,546 -------------------------------------------------------------------------------------------------------- Mastr Asset-Backed Securities Trust 2006-WMC3, Mtg. Pass-Through Certificates, Series 2006-WMC3, Cl. A3, 0.342%, 8/25/36(6) 1,171,028 388,763 -------------------------------------------------------------------------------------------------------- Merrill Lynch Mortgage Investors Trust 2006-3, Mtg. Pass-Through Certificates, Series MLCC 2006-3, Cl. 2A1, 2.485%, 10/25/36(6) 1,619,233 1,483,942 -------------------------------------------------------------------------------------------------------- NC Finance Trust, Collateralized Mtg. Obligation Pass-Through Certificates, Series 1999-I, Cl. ECFD, 3.405%, 1/25/29(4,5) 66,744 5,340 -------------------------------------------------------------------------------------------------------- Popular ABS Mortgage Pass-Through Trust 2005-6, Mtg. Pass-Through Certificates, Series 2005-6, Cl. A3, 5.68%, 1/1/36 186,693 134,419 -------------------------------------------------------------------------------------------------------- RALI Series 2006-QS13 Trust, Mtg. Asset-Backed Pass-Through Certificates: Series 2006-QS13, Cl. 1A5, 6%, 9/25/36 1,852,175 1,259,682 Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 37,022 25,179 -------------------------------------------------------------------------------------------------------- RALI Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-QS6, Cl. A28, 5.75%, 4/25/37 899,995 578,481 -------------------------------------------------------------------------------------------------------- Residential Asset Securitization Trust 2005-A14, Mtg. Pass-Through Certificates, Series 2005-A14, Cl. A1, 5.50%, 12/1/35 3,455,822 2,889,406 -------------------------------------------------------------------------------------------------------- Residential Asset Securitization Trust 2005-A15, Mtg. Pass-Through Certificates, Series 2005-A15, Cl. 1A4, 5.75%, 2/1/36 4,000,617 3,195,441 -------------------------------------------------------------------------------------------------------- Residential Asset Securitization Trust 2005-A6CB, Mtg. Pass-Through Certificates, Series 2005-A6CB, Cl. A7, 6%, 6/1/35 4,424,753 3,697,921 --------------------------------------------------------------------------------------------------------
10 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value -------------------------------------------------------------------------------------------------------- RESIDENTIAL CONTINUED -------------------------------------------------------------------------------------------------------- Terwin Mortgage Trust, Home Equity Asset-Backed Securities, Series 2006-4SL, Cl. A1, 3.201%, 5/1/37(3,6,10) $ 168,334 $ 82,883 -------------------------------------------------------------------------------------------------------- WaMu Mortgage Pass-Through Certificates 2005-AR12 Trust, Mtg. Pass-Through Certificates, Series 2007-AR12, Cl. 1A8, 2.466%, 10/1/35(6) 2,348,449 2,031,888 -------------------------------------------------------------------------------------------------------- WaMu Mortgage Pass-Through Certificates 2006-AR10 Trust, Mtg. Pass-Through Certificates, Series 2006-AR10, Cl. 1A2, 2.52%, 9/1/36(6) 1,019,525 735,448 -------------------------------------------------------------------------------------------------------- WaMu Mortgage Pass-Through Certificates 2007-HY1 Trust, Mtg. Pass-Through Certificates: Series 2007-HY1, Cl. 4A1, 2.634%, 2/1/37(6) 13,519,817 9,697,812 Series 2007-HY1, Cl. 5A1, 5.066%, 2/1/37(6) 8,231,449 6,139,731 -------------------------------------------------------------------------------------------------------- WaMu Mortgage Pass-Through Certificates 2007-HY5 Trust, Mtg. Pass-Through Certificates, Series 2007-HY5, Cl. 3A1, 5.388%, 5/1/37(6) 1,042,466 937,163 -------------------------------------------------------------------------------------------------------- Wells Fargo Mortgage-Backed Securities 2005-9 Trust, Mtg. Pass-Through Certificates, Series 2005-9, Cl. 2A6, 5.25%, 10/25/35 398,836 404,292 -------------------------------------------------------------------------------------------------------- Wells Fargo Mortgage-Backed Securities 2006-AR14 Trust, Mtg. Pass-Through Certificates, Series 2006-AR14, Cl. 1A2, 5.669%, 10/1/36(6) 3,356,527 3,047,141 ---------------- 100,052,992 ---------------- Total Mortgage-Backed Obligations (Cost $462,664,773) 460,362,255 -------------------------------------------------------------------------------------------------------- U.S. GOVERNMENT OBLIGATIONS--5.7% Federal Home Loan Mortgage Corp. Nts.: 1.125%, 7/27/12 17,545,000 17,598,758 2.375%, 1/13/22 1,113,000 1,094,504 2.50%, 5/27/16 1,000,000 1,062,784 5%, 2/16/17 6,500,000 7,669,116 5.125%, 11/17/17 4,000,000 4,803,676 -------------------------------------------------------------------------------------------------------- Federal National Mortgage Assn. Nts.: 1.125%, 4/27/17 1,120,000 1,113,855 4.375%, 10/15/15 4,000,000 4,508,496 5.375%, 6/12/17 7,297,000 8,792,462 -------------------------------------------------------------------------------------------------------- U.S. Treasury Bills, 0.086%, 6/14/12 10,000,000 9,998,830 -------------------------------------------------------------------------------------------------------- U.S. Treasury Bonds, STRIPS, 4.833%, 2/15/16(11,12) 2,116,000 2,053,843 -------------------------------------------------------------------------------------------------------- U.S. Treasury Nts.: 2%, 11/15/21 13,000,000 12,793,833 2%, 2/15/22(12,13) 65,000,000 63,730,485 ---------------- Total U.S. Government Obligations (Cost $134,668,548) 135,220,642 -------------------------------------------------------------------------------------------------------- FOREIGN GOVERNMENT OBLIGATIONS--28.8% -------------------------------------------------------------------------------------------------------- ARGENTINA--0.4% Argentina (Republic of) Bonds: 2.50%, 12/31/38(6) 4,255,000 1,531,800 7%, 10/3/15 4,320,000 4,077,000 -------------------------------------------------------------------------------------------------------- Argentina (Republic of) Sr. Unsec. Bonds, Series X, 7%, 4/17/17 1,965,000 1,682,859
11 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value -------------------------------------------------------------------------------------------------------- Provincia de Buenos Aires Sr. Unsec. Unsub. Nts., 10.875%, 1/26/21(3) $ 1,605,000 $ 1,203,750 ---------------- 8,495,409 -------------------------------------------------------------------------------------------------------- AUSTRALIA--0.3% New South Wales Treasury Corp. Nts., Series 15, 6%, 4/1/25 630,000 AUD 686,323 -------------------------------------------------------------------------------------------------------- Queensland Treasury Corp. Nts.: Series 15, 6%, 10/14/15 955,000 AUD 1,049,075 Series 17, 6%, 9/14/17 755,000 AUD 842,944 Series 21, 6%, 6/14/21 1,180,000 AUD 1,331,282 Series 24, 5.75%, 7/22/24 1,045,000 AUD 1,124,275 -------------------------------------------------------------------------------------------------------- Victoria Treasury Corp. Nts., Series 1116, 5.75%, 11/15/16 1,580,000 AUD 1,735,686 -------------------------------------------------------------------------------------------------------- Western Australia Treasury Corp. Nts., Series 15, 7%, 4/15/15 630,000 AUD 705,136 ---------------- 7,474,721 -------------------------------------------------------------------------------------------------------- AUSTRIA--0.1% Austria (Republic of) Bonds, 4.35%, 3/15/19(3) 1,315,000 EUR 1,981,124 -------------------------------------------------------------------------------------------------------- Austria (Republic of) Sr. Unsec. Unsub. Nts., Series 1, 3.50%, 9/15/21(3) 210,000 EUR 298,263 ---------------- 2,279,387 -------------------------------------------------------------------------------------------------------- BELGIUM--0.2% Belgium (Kingdom of) Bonds, Series 58, 3.75%, 9/28/20 2,520,000 EUR 3,517,517 -------------------------------------------------------------------------------------------------------- Belgium (Kingdom of) Treasury Bills, 0.358%, 4/19/12(11) 1,300,000 EUR 1,733,664 ---------------- 5,251,181 -------------------------------------------------------------------------------------------------------- BRAZIL--2.5% Brazil (Federative Republic of) Nota Do Tesouro Nacional Bonds, 12.719%, 8/15/20(14) 8,405,000 BRR 10,577,330 -------------------------------------------------------------------------------------------------------- Brazil (Federative Republic of) Nota Do Tesouro Nacional Nts.: 9.762%, 1/1/14 13,195,000 BRR 7,264,496 9.762%, 1/1/17 28,238,000 BRR 15,068,414 9.762%, 1/1/21 33,538,000 BRR 17,178,246 12.322%, 5/15/45(14) 6,470,000 BRR 8,562,042 ---------------- 58,650,528 -------------------------------------------------------------------------------------------------------- CANADA--0.2% Canada (Government of) Nts., 3.75%, 6/1/19 1,850,000 CAD 2,087,220 -------------------------------------------------------------------------------------------------------- Canada (Government of) Treasury Bills, Series 364, 0.896%, 7/5/12(11) 1,835,000 CAD 1,835,276 ---------------- 3,922,496 -------------------------------------------------------------------------------------------------------- COLOMBIA--0.4% Bogota Distrio Capital Sr. Bonds, 9.75%, 7/26/28(3) 3,058,000,000 COP 2,331,535 -------------------------------------------------------------------------------------------------------- Colombia (Republic of) Sr. Unsec. Bonds, 6.125%, 1/18/41 5,495,000 6,758,850 ---------------- 9,090,385 -------------------------------------------------------------------------------------------------------- DENMARK--0.1% Denmark (Kingdom of) Bonds, 4%, 11/15/19 5,560,000 DKK 1,183,310 -------------------------------------------------------------------------------------------------------- FINLAND--0.0% Finland (Republic of) Sr. Unsec. Unsub. Nts., 3.875%, 9/15/17 580,000 EUR 871,296
12 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value -------------------------------------------------------------------------------------------------------- FRANCE--0.2% France (Republic of) Bonds: 3.25%, 10/25/21 1,635,000 EUR $ 2,262,484 3.75% 10/25/19 970,000 EUR 1,410,049 4%, 4/25/60 520,000 EUR 744,580 4.50%, 4/25/41 630,000 EUR 967,874 ------------ 5,384,987 -------------------------------------------------------------------------------------------------------- GERMANY--0.1% Germany (Federal Republic of) Bonds, 3.50%, 7/4/19 905,000 EUR 1,387,662 -------------------------------------------------------------------------------------------------------- GHANA--0.1% Ghana (Republic of) Bonds, 8.50%, 10/4/17(3) 1,505,000 1,730,750 -------------------------------------------------------------------------------------------------------- HUNGARY--1.8% Hungary (Republic of) Bonds: Series 12/C, 6%, 10/24/12 210,000,000 HUF 942,519 Series 12/B, 7.25%, 6/12/12 5,971,000,000 HUF 26,954,632 Series 14/D, 6.75%, 8/22/14 424,000,000 HUF 1,869,659 Series 16/C, 5.50%, 2/12/16 286,000,000 HUF 1,168,774 Series 17/B, 6.75%, 2/24/17 500,000,000 HUF 2,088,106 Series 19/A, 6.50%, 6/24/19 342,000,000 HUF 1,357,454 Series 20/A, 7.50%, 11/12/20 425,000,000 HUF 1,759,890 -------------------------------------------------------------------------------------------------------- Hungary (Republic of) Sr. Unsec. Bonds: 4.50%, 1/29/14 1,470,000 EUR 1,874,677 7.625%, 3/29/41 1,085,000 987,350 -------------------------------------------------------------------------------------------------------- Hungary (Republic of) Sr. Unsec. Nts., 5.75%, 6/11/18 1,190,000 EUR 1,388,135 -------------------------------------------------------------------------------------------------------- Hungary (Republic of) Sr. Unsec. Unsub. Nts., 6.375%, 3/29/21 2,965,000 2,727,800 ------------ 43,118,996 -------------------------------------------------------------------------------------------------------- INDONESIA--0.4% Indonesia (Republic of) Nts., 5.25%, 1/17/42(3) 3,090,000 3,256,088 -------------------------------------------------------------------------------------------------------- Indonesia (Republic of) Sr. Unsec. Bonds, 4.875%, 5/5/21(3) 870,000 947,213 -------------------------------------------------------------------------------------------------------- Indonesia (Republic of) Sr. Unsec. Nts., 7.75%, 1/17/38(3) 2,585,000 3,599,613 -------------------------------------------------------------------------------------------------------- Indonesia (Republic of) Sr. Unsec. Unsub. Bonds, 6.625% 2/17/37(3) 500,000 620,000 -------------------------------------------------------------------------------------------------------- Indonesia (Republic of) Unsec. Nts., 8.50%, 10/12/35(3) 1,275,000 1,902,938 ------------ 10,325,852 -------------------------------------------------------------------------------------------------------- ISRAEL--0.1% Israel (State of) Sr. Unsec. Bonds, 4%, 6/30/22 2,975,000 2,947,077 -------------------------------------------------------------------------------------------------------- ITALY--0.4% Italy (Republic of) Bonds: 4%, 9/1/20 1,545,000 EUR 1,963,932 5%, 9/1/40 1,020,000 EUR 1,202,577 Series EU, 2.575%, 10/15/17(6) 630,000 EUR 746,789 -------------------------------------------------------------------------------------------------------- Italy (Republic of) Nts., 1.50%, 3/1/14(6) 250,000 EUR 323,274 -------------------------------------------------------------------------------------------------------- Italy (Republic of) Sr. Unsec. Bonds, 2.839%, 9/15/23(14) 615,000 EUR 782,984 -------------------------------------------------------------------------------------------------------- Italy (Republic of) Sr. Unsec. Nts., 4.50%, 6/8/15 99,000,000 JPY 1,195,635 -------------------------------------------------------------------------------------------------------- Italy (Republic of) Treasury Bonds: 4.75%, 9/1/21 1,825,000 EUR 2,399,939 5.75%, 2/1/33 880,000 EUR 1,166,897
13 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value -------------------------------------------------------------------------------------------------------- Italy (Repuplic of) Treasury Bonds, 4.75%, 9/15/16 510,000 EUR $ 701,794 ----------- 10,483,821 -------------------------------------------------------------------------------------------------------- JAPAN--2.2% Japan Bonds, 20 yr., Series 112, 2.10%, 6/20/29 1,341,000,000 JPY 17,313,433 -------------------------------------------------------------------------------------------------------- Japan Sr. Unsec. Unsub. Bonds: 2 yr., Series 304, 0.20%, 5/15/13 205,000,000 JPY 2,479,229 5 yr., Series 96, 0.50%, 3/20/16 1,654,000,000 JPY 20,187,932 10 yr., Series 307, 1.30%, 3/20/20 851,000,000 JPY 10,730,733 ----------- 50,711,327 -------------------------------------------------------------------------------------------------------- LATVIA--0.1% Latvia (Republic of) Nts., 5.25%, 2/22/17(3) 2,280,000 2,356,950 -------------------------------------------------------------------------------------------------------- LITHUANUA--0.1% Lithuania (Republic of) Sr. Unsec. Bonds, 6.625%, 2/1/22(3) 2,105,000 2,336,550 -------------------------------------------------------------------------------------------------------- MALAYSIA--0.1% Malaysia (Government of) Sr. Unsec. Bonds, Series1/06, 4.262%, 9/15/16 2,205,000 MYR 747,143 -------------------------------------------------------------------------------------------------------- Wakala Global Sukuk Bhd Bonds, 4.646%, 7/6/21(3) 2,150,000 2,330,316 ----------- 3,077,459 -------------------------------------------------------------------------------------------------------- MEXICO--5.8% United Mexican States Bonds: 4.50%, 12/18/14(14) 151,015,624 MXN 12,685,629 Series M, 6.50%, 6/10/21(6) 174,360,000 MXN 13,968,520 Series M20, 7.50%, 6/3/27(6) 151,640,000 MXN 12,571,311 Series M10, 7.75%, 12/14/17 76,260,000 MXN 6,632,196 Series M10, 8%, 12/17/15 44,000,000 MXN 3,771,080 Series M, 8%, 6/11/20 76,100,000 MXN 6,737,793 Series MI10, 9%, 12/20/12(6) 357,200,000 MXN 28,825,156 Series M20, 10%, 12/5/24(6) 36,770,000 MXN 3,763,693 -------------------------------------------------------------------------------------------------------- United Mexican States Treasury Bills: 4.49%, 5/31/12(11) 35,000,000 MXN 2,716,140 4.507%, 5/3/12(11) 70,000,000 MXN 5,449,296 4.534%, 12/13/12(11) 53,700,000 MXN 4,064,500 4.544%, 6/14/12(11) 215,000,000 MXN 16,649,737 4.59%, 10/18/12(11) 257,700,000 MXN 19,641,221 ----------- 137,476,272 -------------------------------------------------------------------------------------------------------- PANAMA--0.2% Panama (Republic of) Bonds: 6.70%, 1/26/36 1,221,000 1,611,720 8.875%, 9/30/27 950,000 1,460,625 9.375%, 4/1/29 960,000 1,542,240 ----------- 4,614,585 -------------------------------------------------------------------------------------------------------- PERU--0.8% Peru (Republic of) Bonds, 7.35%, 7/21/25 3,190,000 4,373,490 -------------------------------------------------------------------------------------------------------- Peru (Republic of) Sr. Unsec. Bonds, 6.95%, 8/12/31(3) 6,913,000 PEN 2,801,751 -------------------------------------------------------------------------------------------------------- Peru (Republic of) Sr. Unsec. Nts., 7.84%, 8/12/20(3) 22,430,000 PEN 9,767,679
14 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value -------------------------------------------------------------------------------------------------------- Peru (Republic of) Sr. Unsec. Unsub. Bonds, 5.625%, 11/18/50 $ 2,160,000 $ 2,430,000 ---------------- 19,372,920 -------------------------------------------------------------------------------------------------------- PHILIPPINES--0.1% Philippines (Republic of the) Sr. Unsec. Bonds, 5%, 1/13/37 1,965,000 2,058,338 -------------------------------------------------------------------------------------------------------- Philippines (Republic of the) Sr. Unsec. Unsub. Bonds, 6.375%, 10/23/34 1,120,000 1,384,600 ---------------- 3,442,938 -------------------------------------------------------------------------------------------------------- POLAND--1.4% Poland (Republic of) Bonds: Series 0415, 5.50%, 4/25/15 2,165,000 PLZ 712,050 Series 0416, 5%, 4/25/16 57,175,000 PLZ 18,528,331 Series 1017, 5.25%, 10/25/17 26,630,000 PLZ 8,675,204 -------------------------------------------------------------------------------------------------------- Poland (Republic of) Sr. Unsec. Nts.: 5%, 3/23/22 1,700,000 1,800,334 5.125%, 4/21/21 2,480,000 2,661,040 ---------------- 32,376,959 -------------------------------------------------------------------------------------------------------- QATAR--0.2% Qatar (State of) Sr. Nts., 5.25%, 1/20/20(3) 1,645,000 1,821,838 -------------------------------------------------------------------------------------------------------- Qatar (State of) Sr. Unsec. Nts.: 5.75%, 1/20/42(3) 1,270,000 1,379,474 6.40%, 1/20/40(3) 750,000 879,375 ---------------- 4,080,687 -------------------------------------------------------------------------------------------------------- ROMANIA--0.2% Romania Sr. Unsec. Bonds, 6.75%, 2/7/22(3) 4,685,000 4,919,250 -------------------------------------------------------------------------------------------------------- RUSSIA--1.1% Russian Federation Bonds: 5%, 4/29/20(3) 495,000 530,071 Series 5077, 7.35%, 1/20/16 125,200,000 RUR 4,315,325 Series 5079, 7%, 6/3/15 190,200,000 RUR 6,505,763 Series 6206, 7.40%, 6/14/17 242,000,000 RUR 8,306,233 -------------------------------------------------------------------------------------------------------- Russian Federation Unsec. Bonds: 4.50%, 4/4/22(5,7) 2,890,000 2,910,230 5.625%, 4/4/42(5,7) 4,335,000 4,371,848 ---------------- 26,939,470 -------------------------------------------------------------------------------------------------------- SINGAPORE--0.0% Singapore (Republic of) Sr. Unsec. Bonds, 2.375%, 4/1/17 670,000 SGD 579,064 -------------------------------------------------------------------------------------------------------- SOUTH AFRICA--2.3% South Africa (Republic of) Bonds: Series R209, 6.25%, 3/31/36 62,840,000 ZAR 6,066,915 Series R208, 6.75%, 3/31/21 74,080,000 ZAR 8,979,325 Series R213, 7%, 2/28/31 80,695,000 ZAR 8,785,877 Series R207, 7.25%, 1/15/20 115,470,000 ZAR 14,605,909 Series R186, 10.50%, 12/21/26 97,240,000 ZAR 14,965,884 -------------------------------------------------------------------------------------------------------- South Africa (Republic of) Sr. Unsec. Nts., 4.665%, 1/17/24 1,125,000 1,155,938 ---------------- 54,559,848
15 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value -------------------------------------------------------------------------------------------------------- SPAIN--0.2% Instituto de Credito Oficial Sr. Unsec. Unsub. Nts., 5%, 11/14/16 $ 400,000 $ 401,800 -------------------------------------------------------------------------------------------------------- Spain (Kingdom of) Bonds: 4.25%, 10/31/16 1,360,000 EUR 1,827,935 5.85%, 1/31/22 990,000 EUR 1,368,973 -------------------------------------------------------------------------------------------------------- Spain (Kingdom of) Sr. Unsec. Bonds, 4.30%, 10/31/19 755,000 EUR 966,872 -------------------------------------------------------------------------------------------------------- Spain (Kingdom of) Sr. Unsub. Bonds, 4.70%, 7/30/41 505,000 EUR 549,870 ------------- 5,115,450 -------------------------------------------------------------------------------------------------------- SRI LANKA--0.1% Sri Lanka (Democratic Socialist Republic of) Sr. Unsec. Nts.: 6.25%, 10/4/20(3) 1,480,000 1,480,000 6.25% 7/27/21(3) 1,850,000 1,850,503 ------------- 3,330,503 -------------------------------------------------------------------------------------------------------- THE NETHERLANDS--0.2% Netherlands (Kingdom of the) Bonds: 4%, 7/15/18 540,000 EUR 820,181 4%, 7/15/19 1,760,000 EUR 2,691,338 ------------- 3,511,519 -------------------------------------------------------------------------------------------------------- TURKEY--4.4% Turkey (Republic of) Bonds: 6.875%, 3/17/36 3,065,000 3,417,475 7%, 3/11/19 1,430,000 1,640,925 8.68%, 2/20/13(11) 17,180,000 TRY 8,883,322 8.984%, 11/7/12(11) 96,800,000 TRY 51,354,564 9%, 3/5/14 7,115,000 TRY 3,992,033 9%, 3/8/17 7,170,000 TRY 3,992,720 10.012%, 7/17/13(11) 20,600,000 TRY 10,293,065 10.50%, 1/15/20(6) 1,120,000 TRY 668,619 11%, 8/6/14 6,590,000 TRY 3,841,671 15.577%, 8/14/13(14) 2,310,000 TRY 1,927,222 -------------------------------------------------------------------------------------------------------- Turkey (Republic of) Nts., 7.50%, 7/14/17 1,840,000 2,129,800 -------------------------------------------------------------------------------------------------------- Turkey (Republic of) Unsec. Bonds, 6.25%, 9/26/22 6,190,000 6,685,200 -------------------------------------------------------------------------------------------------------- Turkey (Republic of) Unsec. Nts.: 5.125%, 3/25/22 1,345,000 1,338,275 6%, 1/14/41 2,710,000 2,682,900 ------------- 102,847,791 -------------------------------------------------------------------------------------------------------- UKRAINE--0.2% Financing of Infrastructural Projects State Enterprise Gtd. Nts., 8.375%, 11/3/17(3) 1,765,000 1,520,195 -------------------------------------------------------------------------------------------------------- Ukraine (Republic of) Bonds, 7.75%, 9/23/20(3) 1,100,000 946,000 -------------------------------------------------------------------------------------------------------- Ukraine (Republic of) Sr. Unsec. Nts.: 6.75%, 11/14/17(3) 1,680,000 1,478,400 7.95%, 2/23/21(3) 1,070,000 925,550 ------------- 4,870,145
16 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value -------------------------------------------------------------------------------------------------------- UNITED KINGDOM--0.5% United Kingdom Treasury Bonds: 4%, 9/7/16 1,860,000 GBP $ 3,378,741 4.75%, 3/7/20 1,330,000 GBP 2,598,155 4.75%, 12/7/38 2,310,000 GBP 4,645,236 ------------- 10,622,132 -------------------------------------------------------------------------------------------------------- URUGUAY--0.3% Uruguay (Oriental Republic of) Bonds, 7.625%, 3/21/36 2,875,000 4,017,813 -------------------------------------------------------------------------------------------------------- Uruguay (Oriental Republic of) Unsec. Bonds, 8%, 11/18/22 2,491,250 3,444,153 ------------- 7,461,966 -------------------------------------------------------------------------------------------------------- VENEZUELA--1.0% Venezuela (Republic of) Bonds: 9%, 5/7/23 4,535,000 3,888,763 11.95%, 8/5/31 2,555,000 2,529,450 -------------------------------------------------------------------------------------------------------- Venezuela (Republic of) Nts., 8.25%, 10/13/24 2,665,000 2,138,663 -------------------------------------------------------------------------------------------------------- Venezuela (Republic of) Sr. Unsec. Unsub. Nts.: 7.75%, 10/13/19 1,960,000 1,656,200 12.75%, 8/23/22 1,420,000 1,498,100 -------------------------------------------------------------------------------------------------------- Venezuela (Republic of) Unsec. Bonds: 7%, 3/31/38 3,920,000 2,802,800 7.65%, 4/21/25 4,500,000 3,420,000 -------------------------------------------------------------------------------------------------------- Venezuela (Republic of) Unsec. Nts., 13.625%, 8/15/18(3) 5,465,000 5,792,900 ------------- 23,726,876 ------------- Total Foreign Government Obligations (Cost $670,763,413) 680,928,519 -------------------------------------------------------------------------------------------------------- LOAN PARTICIPATIONS--0.9% Brock Holdings III, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 10%, 2/15/18(6) 620,000 612,250 -------------------------------------------------------------------------------------------------------- Cengage Learning Holdings II LP, Sr. Sec. Credit Facilities 1st Lien Term Loan, 2.25%, 7/3/14(6,7) 738,068 682,976 -------------------------------------------------------------------------------------------------------- Cengage Learning Holdings II LP, Sr. Sec. Credit Facilities 1st Lien Term Loan, 2.50%, 7/3/14(6) 1,505,078 1,392,734 -------------------------------------------------------------------------------------------------------- Clear Channel Communications, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B, 2.50%, 1/29/16(6) 3,612,257 2,938,119 -------------------------------------------------------------------------------------------------------- Crestwood Holdings LLC, Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B, 8.25%, 3/8/18(6,7) 1,005,000 1,024,681 -------------------------------------------------------------------------------------------------------- Entegra Holdings LLC, Sr. Sec. Credit Facilities 3rd Lien Term Loan, Tranche B, 3.92%, 10/19/15(6,15) 3,034,709 1,739,899 -------------------------------------------------------------------------------------------------------- Entegra Holdings LLC, Sr. Sec. Credit Facilities 3rd Lien Term Loan, Tranche B, 3.898%, 10/19/15(6,15) 4,870,695 2,792,531 -------------------------------------------------------------------------------------------------------- iStar Financial, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche A2, 5.75%, 3/19/17(6,7) 2,010,000 2,007,815 -------------------------------------------------------------------------------------------------------- Lone Star Intermediate Super Holdings LLC, Sr. Sec. Credit Facilities Term Loan, 9.50%, 8/7/19(6,7) 1,215,000 1,234,744 -------------------------------------------------------------------------------------------------------- Nuveen Investments, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 8.25%, 3/1/19(6,7) 2,275,000 2,320,500
17 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value -------------------------------------------------------------------------------------------------------- OneLink Communications/San Juan Cable LLC, Sr. Sec. Credit Facilities 2nd Lien Term Loan, Tranche B, 10%, 10/31/13(6) $ 1,055,000 $ 1,029,944 -------------------------------------------------------------------------------------------------------- Revel Entertainment LLC, Sr. Sec. Credit Facilities 1st Lien Term Loan: 7.50%, 2/17/17(6,7) 305,000 301,296 9%, 2/17/17(6,7) 1,765,000 1,743,568 -------------------------------------------------------------------------------------------------------- Springleaf Financial Services, Sr. Sec. Credit Facilities 1st Lien Term Loan, 5.50%, 5/10/17(6,7) 1,085,000 1,001,591 -------------------------------------------------------------------------------------------------------- Texas Competitive Electric Holdings Co. LLC, Non-Extended Sr. Sec. Credit Facilities 1st Lien Term Loan, 3.743%, 10/10/14(6) 1,595,000 980,260 ------------- Total Loan Participations (Cost $21,978,810) 21,802,908 -------------------------------------------------------------------------------------------------------- CORPORATE BONDS AND NOTES--26.1% -------------------------------------------------------------------------------------------------------- CONSUMER DISCRETIONARY--3.6% -------------------------------------------------------------------------------------------------------- AUTO COMPONENTS--0.5% Goodyear Tire & Rubber Co. (The), 8.25% Sr. Unsec. Unsub. Nts., 8/15/20 2,190,000 2,337,825 -------------------------------------------------------------------------------------------------------- Tower Automotive Holdings USA LLC/TA Holdings Finance, Inc., 10.625% Sr. Sec. Nts., 9/1/17(3) 4,652,000 5,070,680 -------------------------------------------------------------------------------------------------------- UCI International, Inc., 8.625% Sr. Unsec. Nts., 2/15/19 605,000 624,663 -------------------------------------------------------------------------------------------------------- Visteon Corp., 6.75% Sr. Unsec. Nts., 4/15/19 2,470,000 2,519,400 ------------- 10,552,568 -------------------------------------------------------------------------------------------------------- AUTOMOBILES--0.0% Jaguar Land Rover plc: 7.75% Sr. Unsec. Bonds, 5/15/18(3) 390,000 401,700 8.25% Sr. Nts., 3/15/20(5) 245,000 GBP 392,854 ------------- 794,554 -------------------------------------------------------------------------------------------------------- DIVERSIFIED CONSUMER SERVICES--0.1% Monitronics International, Inc., 9.125% Sr. Nts., 4/1/20(3) 455,000 462,963 -------------------------------------------------------------------------------------------------------- ServiceMaster Co., 8% Sr. Nts., 2/15/20(3) 605,000 647,350 ------------- 1,110,313 -------------------------------------------------------------------------------------------------------- HOTELS, RESTAURANTS & LEISURE--1.1% Boyd Gaming Corp., 9.125% Sr. Unsec. Nts., 12/1/18 1,875,000 1,961,719 -------------------------------------------------------------------------------------------------------- Burger King Corp., 9.875% Sr. Unsec. Unsub. Nts., 10/15/18 860,000 967,500 -------------------------------------------------------------------------------------------------------- Chester Downs & Marina LLC, 9.25% Sr. Sec. Nts., 1/15/20(3) 970,000 1,026,988 -------------------------------------------------------------------------------------------------------- CKE Restaurants, Inc., 11.375% Sec. Nts., 7/15/18 410,000 470,475 -------------------------------------------------------------------------------------------------------- Equinox Holdings, Inc., 9.50% Sr. Sec. Nts., 2/1/16(3) 1,780,000 1,912,388 -------------------------------------------------------------------------------------------------------- Harrah's Operating Co., Inc., 10% Sr. Sec. Nts., 12/15/18 9,522,000 7,403,355 -------------------------------------------------------------------------------------------------------- HOA Restaurants Group LLC/HOA Finance Corp., 11.25% Sr. Sec. Nts., 4/1/17(3) 2,520,000 2,501,100 -------------------------------------------------------------------------------------------------------- Isle of Capri Casinos, Inc., 7.75% Sr. Unsec. Unsub. Nts., 3/15/19 2,030,000 2,060,450 -------------------------------------------------------------------------------------------------------- Landry's Restaurants, Inc., 11.625% Sr. Sec. Nts., 12/1/15 1,465,000 1,638,969 -------------------------------------------------------------------------------------------------------- MGM Mirage, Inc., 6.625% Sr. Unsec. Nts., 7/15/15 3,890,000 4,016,425 -------------------------------------------------------------------------------------------------------- Mohegan Tribal Gaming Authority, 8% Sr. Sub. Nts., 4/1/12 890,000 890,000 -------------------------------------------------------------------------------------------------------- Penn National Gaming, Inc., 8.75% Sr. Unsec. Sub. Nts., 8/15/19 1,550,000 1,747,625 -------------------------------------------------------------------------------------------------------- Premier Cruise Ltd., 11% Sr. Nts., 3/15/08(4,5) 250,000 -- ------------- 26,596,994
18 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value -------------------------------------------------------------------------------------------------------- HOUSEHOLD DURABLES--0.2% Beazer Homes USA, Inc.: 6.875% Sr. Unsec. Nts., 7/15/15 $ 995,000 $ 937,788 9.125% Sr. Unsec. Nts., 5/15/19 2,825,000 2,443,625 -------------------------------------------------------------------------------------------------------- Jarden Corp., 6.125% Sr. Unsec. Nts., 11/15/22 225,000 236,813 -------------------------------------------------------------------------------------------------------- Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Luxembourg SA: 9% Sr. Nts., 4/15/19(3) 1,000,000 990,000 9% Sr. Nts., 5/15/18(3) 1,045,000 1,047,613 ------------- 5,655,839 -------------------------------------------------------------------------------------------------------- MEDIA--1.4% Affinion Group Holdings, Inc., 11.625% Sr. Unsec. Nts., 11/15/15 1,140,000 1,037,400 -------------------------------------------------------------------------------------------------------- Affinion Group, Inc., 7.875% Sr. Unsec. Nts., 12/15/18 3,055,000 2,795,325 -------------------------------------------------------------------------------------------------------- AMC Entertainment, Inc., 8.75% Sr. Unsec. Nts., 6/1/19 940,000 989,350 -------------------------------------------------------------------------------------------------------- Belo (A.H.) Corp., 7.75% Sr. Unsec. Unsub. Debs., 6/1/27 2,983,000 2,886,053 -------------------------------------------------------------------------------------------------------- Cequel Communications Holdings I LLC, 8.625% Sr. Unsec. Nts., 11/15/17(3) 1,800,000 1,941,750 -------------------------------------------------------------------------------------------------------- Clear Channel Communications, Inc., 5.75% Sr. Unsec. Unsub. Nts., 1/15/13 3,010,000 3,002,475 -------------------------------------------------------------------------------------------------------- Cumulus Media, Inc., 7.75% Sr. Nts., 5/1/19(3) 1,230,000 1,168,500 -------------------------------------------------------------------------------------------------------- Entravision Communications Corp., 8.75% Sr. Sec. Nts., 8/1/17 1,905,000 2,026,444 -------------------------------------------------------------------------------------------------------- Gray Television, Inc., 10.50% Sr. Sec. Nts., 6/29/15 1,835,000 1,917,575 -------------------------------------------------------------------------------------------------------- Kabel BW Erste Beteiligungs GmbH/Kabel Baden-Wurttemberg GmbH & Co. KG, 7.50% Sr. Sec. Nts., 3/15/19(3) 1,595,000 1,730,575 -------------------------------------------------------------------------------------------------------- Lamar Media Corp., 5.875% Sr. Sub. Nts., 2/1/22(3) 785,000 802,663 -------------------------------------------------------------------------------------------------------- Newport Television LLC/NTV Finance Corp., 13.75% Sr. Nts., 3/15/17(3) 2,266,028 2,300,018 -------------------------------------------------------------------------------------------------------- Nexstar Broadcasting, Inc./Mission Broadcasting, Inc., 8.875% Sec. Nts., 4/15/17 1,780,000 1,917,950 -------------------------------------------------------------------------------------------------------- Sinclair Television Group, Inc., 8.375% Sr. Unsec. Nts., 10/15/18 2,505,000 2,717,925 -------------------------------------------------------------------------------------------------------- Univision Communications, Inc., 7.875% Sr. Sec. Nts., 11/1/20(3) 945,000 996,975 -------------------------------------------------------------------------------------------------------- UPCB Finance V Ltd., 7.25% Sr. Sec. Nts., 11/15/21(3) 1,225,000 1,301,563 -------------------------------------------------------------------------------------------------------- UPCB Finance VI Ltd., 6.875% Sr. Sec. Nts., 1/15/22(5) 1,965,000 2,028,863 -------------------------------------------------------------------------------------------------------- Virgin Media Finance plc: 5.25% Sr. Unsec. Unsub. Nts., 2/15/22 760,000 757,150 8.375% Sr. Unsec. Unsub. Nts., 10/15/19 860,000 967,500 ------------- 33,286,054 -------------------------------------------------------------------------------------------------------- SPECIALTY RETAIL--0.2% Burlington Coat Factory Warehouse Corp., 10% Sr. Unsec. Nts., 2/15/19 500,000 522,500 -------------------------------------------------------------------------------------------------------- J. Crew Group, Inc., 8.125% Sr. Unsec. Nts., 3/1/19 980,000 1,002,050 -------------------------------------------------------------------------------------------------------- Limited Brands, Inc., 5.625% Sr. Nts., 2/15/22 1,975,000 2,002,156 -------------------------------------------------------------------------------------------------------- Michaels Stores, Inc., 7.75% Sr. Unsec. Nts., 11/1/18 155,000 165,850 -------------------------------------------------------------------------------------------------------- Sally Holdings LLC/Sally Capital, Inc., 6.875% Sr. Unsec. Nts., 11/15/19(3) 1,830,000 1,958,100 ------------- 5,650,656 -------------------------------------------------------------------------------------------------------- TEXTILES, APPAREL & LUXURY GOODS--0.1% Levi Strauss & Co., 7.625% Sr. Unsec. Unsub. Nts., 5/15/20 940,000 998,750 --------------------------------------------------------------------------------------------------------
19 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value -------------------------------------------------------------------------------------------------------- TEXTILES, APPAREL & LUXURY GOODS CONTINUED Quiksilver, Inc., 6.875% Sr. Unsec. Nts., 4/15/15 $ 725,000 $ 732,250 ------------- 1,731,000 -------------------------------------------------------------------------------------------------------- CONSUMER STAPLES--0.9% -------------------------------------------------------------------------------------------------------- BEVERAGES--0.1% AmBev International Finance Co. Ltd., 9.50% Sr. Unsec. Unsub. Nts., 7/24/17(6) 2,080,000 BRR 1,194,195 -------------------------------------------------------------------------------------------------------- FOOD & STAPLES RETAILING--0.2% Cencosud SA, 5.50% Sr. Unsec. Nts., 1/20/21(3) 2,425,000 2,571,264 -------------------------------------------------------------------------------------------------------- Rite Aid Corp., 7.50% Sr. Sec. Nts., 3/1/17 935,000 958,375 ------------- 3,529,639 -------------------------------------------------------------------------------------------------------- FOOD PRODUCTS--0.6% American Seafoods Group LLC, 10.75% Sr. Sub. Nts., 5/15/16(3) 2,150,000 1,972,625 -------------------------------------------------------------------------------------------------------- ASG Consolidated LLC, 15% Sr. Nts., 5/15/17(3,15) 5,015,747 3,924,822 -------------------------------------------------------------------------------------------------------- Bumble Bee Acquisition Corp., 9% Sr. Sec. Nts., 12/15/17(3) 1,662,000 1,703,550 -------------------------------------------------------------------------------------------------------- MHP SA, 10.25% Sr. Unsec. Nts., 4/29/15(3) 2,008,000 1,947,760 -------------------------------------------------------------------------------------------------------- Post Holdings, Inc., 7.375% Sr. Unsec. Nts., 2/15/22(3) 1,890,000 1,984,500 -------------------------------------------------------------------------------------------------------- Southern States Cooperative, Inc., 11.25% Sr. Nts., 5/15/15(3) 2,465,000 2,643,713 ------------- 14,176,970 -------------------------------------------------------------------------------------------------------- HOUSEHOLD PRODUCTS--0.0% Central Garden & Pet Co., 8.25% Sr. Sub. Nts., 3/1/18 135,000 139,894 -------------------------------------------------------------------------------------------------------- Spectrum Brands Holdings, Inc., 9.50% Sr. Sec. Nts., 6/15/18 870,000 985,275 ------------- 1,125,169 -------------------------------------------------------------------------------------------------------- PERSONAL PRODUCTS--0.0% NBTY, Inc., 9% Sr. Unsec. Nts., 10/1/18 460,000 508,875 -------------------------------------------------------------------------------------------------------- ENERGY--5.1% -------------------------------------------------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES--0.5% Forbes Energy Services Ltd., 9% Sr. Unsec. Nts., 6/15/19 1,665,000 1,631,700 -------------------------------------------------------------------------------------------------------- Global Geophysical Services, Inc., 10.50% Sr. Unsec. Nts., 5/1/17 1,510,000 1,510,000 -------------------------------------------------------------------------------------------------------- Hercules Offshore, Inc., 7.125% Sr. Sec. Nts., 4/1/17(3,7) 1,005,000 1,007,513 -------------------------------------------------------------------------------------------------------- Hornbeck Offshore Services, Inc., 5.875% Sr. Unsec. Nts., 4/1/20(3) 2,010,000 2,025,075 -------------------------------------------------------------------------------------------------------- Offshore Group Investments Ltd., 11.50% Sr. Sec. Nts., 8/1/15 3,105,000 3,431,025 -------------------------------------------------------------------------------------------------------- Precision Drilling Corp., 6.625% Sr. Unsec. Nts., 11/15/20 1,850,000 1,947,125 -------------------------------------------------------------------------------------------------------- SESI LLC, 6.375% Sr. Unsec. Nts., 5/1/19 705,000 750,825 ------------- 12,303,263 -------------------------------------------------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS--4.6% Alliance Oil Co. Ltd., 9.875% Sr. Unsec. Nts., 3/11/15(3) 1,500,000 1,602,000 -------------------------------------------------------------------------------------------------------- Antero Resources Finance Corp., 9.375% Sr. Unsec. Nts., 12/1/17 2,070,000 2,251,125 -------------------------------------------------------------------------------------------------------- Atlas Pipeline Partners LP/Atlas Pipeline Finance Corp., 8.75% Sr. Unsec. Sub. Nts., 6/15/18 1,535,000 1,642,450 -------------------------------------------------------------------------------------------------------- ATP Oil & Gas Corp., 11.875% Sr. Sec. Nts., 5/1/15 745,000 547,575 -------------------------------------------------------------------------------------------------------- Bill Barrett Corp., 7.625% Sr. Unsec. Unsub. Nts., 10/1/19 1,185,000 1,208,700 -------------------------------------------------------------------------------------------------------- Breitburn Energy Partners LP/Breitburn Finance Corp., 8.625% Sr. Unsec. Nts., 10/15/20 2,805,000 2,994,338 -------------------------------------------------------------------------------------------------------- Chaparral Energy, Inc., 9.875% Sr. Unsec. Nts., 10/1/20 1,760,000 1,971,200 --------------------------------------------------------------------------------------------------------
20 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value -------------------------------------------------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS CONTINUED -------------------------------------------------------------------------------------------------------- Chesapeake Midstream Partners LP/CHKM Finance Corp., 6.125% Sr. Unsec. Nts., 7/15/22(3) $ 1,880,000 $ 1,903,500 -------------------------------------------------------------------------------------------------------- Cimarex Energy Co., 5.875% Sr. Unsec. Unsub. Nts., 5/1/22(7) 3,040,000 3,108,400 -------------------------------------------------------------------------------------------------------- Cloud Peak Energy Resources LLC/Cloud Peak Energy Finance Corp., 8.50% Sr. Unsec. Unsub. Nts., 12/15/19 380,000 398,050 -------------------------------------------------------------------------------------------------------- Continental Resources, Inc., 5% Sr. Unsec. Nts., 9/15/22(3) 1,215,000 1,222,594 -------------------------------------------------------------------------------------------------------- Gaz Capital SA: 7.288% Sr. Sec. Nts., 8/16/37(3) 7,090,000 8,074,659 8.146% Sr. Sec. Nts., 4/11/18(3) 3,630,000 4,273,708 8.625% Sr. Sec. Nts., 4/28/34(3) 2,290,000 2,895,751 9.25% Sr. Unsec. Unsub. Nts., 4/23/19(3) 4,965,000 6,156,600 -------------------------------------------------------------------------------------------------------- James River Coal Co., 7.875% Sr. Unsec. Unsub. Nts., 4/1/19 1,395,000 955,575 -------------------------------------------------------------------------------------------------------- KazMunayGaz National Co., 6.375% Sr. Unsec. Bonds, 4/9/21(3) 1,600,000 1,775,280 -------------------------------------------------------------------------------------------------------- KMG Finance Sub BV, 9.125% Sr. Unsec. Unsub. Nts., 7/2/18(3) 3,885,000 4,854,968 -------------------------------------------------------------------------------------------------------- Linn Energy LLC/Linn Energy Finance Corp., 8.625% Sr. Unsec. Nts., 4/15/20 3,620,000 3,918,650 -------------------------------------------------------------------------------------------------------- Lukoil International Finance BV: 6.125% Sr. Unsec. Nts., 11/9/20(3) 5,180,000 5,516,700 6.656% Sr. Unsec. Unsub. Bonds, 6/7/22(3) 1,085,000 1,204,350 7.25% Sr. Unsec. Unsub. Nts., 11/5/19(3) 830,000 944,125 -------------------------------------------------------------------------------------------------------- MEG Energy Corp., 6.50% Sr. Unsec. Nts., 3/15/21(3) 3,195,000 3,362,738 -------------------------------------------------------------------------------------------------------- Murray Energy Corp., 10.25% Sr. Sec. Nts., 10/15/15(3) 1,315,000 1,285,413 -------------------------------------------------------------------------------------------------------- Navios Maritime Acquisition Corp., 8.625% Sr. Sec. Nts., 11/1/17 695,000 628,975 -------------------------------------------------------------------------------------------------------- Odebrecht Drilling Norbe VIII/IX Ltd., 6.35% Sr. Sec. Nts., 6/30/21(3) 1,705,200 1,824,564 -------------------------------------------------------------------------------------------------------- OGX Austria GmbH, 8.375% Sr. Unsec. Nts., 4/1/22(3) 845,000 855,563 -------------------------------------------------------------------------------------------------------- Pemex Project Funding Master Trust: 6.625% Sr. Unsec. Unsub. Nts., 6/15/38 830,000 954,500 6.625% Unsec. Unsub. Bonds, 6/15/35 4,225,000 4,858,750 -------------------------------------------------------------------------------------------------------- Pertamina PT (Persero): 5.25% Nts., 5/23/21(3) 2,420,000 2,571,250 6.50% Sr. Unsec. Nts., 5/27/41(3) 1,075,000 1,171,750 -------------------------------------------------------------------------------------------------------- Petrobras International Finance Co., 5.75% Sr. Unsec. Unsub. Nts., 1/20/20 1,685,000 1,874,477 -------------------------------------------------------------------------------------------------------- Petroleos de Venezuela SA: 4.90% Sr. Unsec. Nts., Series 2014, 10/28/14 2,795,000 2,508,513 8.50% Sr. Nts., 11/2/17(3) 4,375,000 3,900,313 12.75% Sr. Unsec. Nts., 2/17/22(3) 2,060,000 2,065,150 -------------------------------------------------------------------------------------------------------- Petroleos Mexicanos: 5.50% Sr. Unsec. Unsub. Nts., 1/21/21 1,690,000 1,871,675 6% Sr. Unsec. Unsub. Nts., 3/5/20 2,050,000 2,344,175 -------------------------------------------------------------------------------------------------------- Petroleum Co. of Trinidad & Tobago Ltd., 9.75% Sr. Unsec. Nts., 8/14/19(3) 2,465,000 3,063,995 -------------------------------------------------------------------------------------------------------- PT Adaro Indonesia, 7.625% Nts., 10/22/19(3) 2,000,000 2,190,000 -------------------------------------------------------------------------------------------------------- Quicksilver Resources, Inc.: 8.25% Sr. Unsec. Nts., 8/1/15 985,000 980,075 11.75% Sr. Nts., 1/1/16 1,395,000 1,482,188 --------------------------------------------------------------------------------------------------------
21 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value -------------------------------------------------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS CONTINUED -------------------------------------------------------------------------------------------------------- Range Resources Corp., 8% Sr. Unsec. Sub. Nts., 5/15/19 $ 875,000 $ 964,688 -------------------------------------------------------------------------------------------------------- Samson Investment Co., 9.75% Sr. Unsec. Nts., 2/15/20(5) 1,510,000 1,528,875 -------------------------------------------------------------------------------------------------------- SandRidge Energy, Inc.: 8.75% Sr. Unsec. Nts., 1/15/20 875,000 910,000 9.875% Sr. Unsec. Nts., 5/15/16 1,290,000 1,406,100 -------------------------------------------------------------------------------------------------------- Schahin II Finance Co. SPV Ltd., 5.875% Sr. Sec. Unsub. Nts., 9/25/22(3) 2,260,000 2,271,300 -------------------------------------------------------------------------------------------------------- Tengizchevroil LLP, 6.124% Nts., 11/15/14(3) 792,960 836,692 -------------------------------------------------------------------------------------------------------- Venoco, Inc., 8.875% Sr. Unsec. Nts., 2/15/19 1,375,000 1,265,000 ------------- 108,397,017 -------------------------------------------------------------------------------------------------------- FINANCIALS--5.3% -------------------------------------------------------------------------------------------------------- CAPITAL MARKETS--0.9% Credit Suisse AG (Guernsey), 1.625% Sec. Bonds, 3/6/15(3) 301,500 302,558 -------------------------------------------------------------------------------------------------------- Edgen Murray Corp., 12.25% Sr. Sec. Nts., 1/15/15 1,420,000 1,455,500 -------------------------------------------------------------------------------------------------------- Korea Development Bank (The), 3.875% Sr. Unsec. Nts., 5/4/17 1,285,000 1,333,037 -------------------------------------------------------------------------------------------------------- Nationstar Mortgage/Nationstar Capital Corp., 10.875% Sr. Unsec. Nts., 4/1/15 5,480,000 5,795,100 -------------------------------------------------------------------------------------------------------- Nuveen Investments, Inc.: 5.50% Sr. Unsec. Nts., 9/15/15 845,000 777,400 10.50% Sr. Unsec. Unsub. Nts., 11/15/15 845,000 879,856 -------------------------------------------------------------------------------------------------------- Pinafore LLC/Pinafore, Inc., 9% Sec. Nts., 10/1/18 2,826,000 3,143,925 -------------------------------------------------------------------------------------------------------- Springleaf Finance Corp., 6.90% Nts., Series J, 12/15/17 1,300,000 1,020,500 -------------------------------------------------------------------------------------------------------- UBS AG (London), 2.25% Sec. Nts., 3/30/17(3) 495,000 494,257 -------------------------------------------------------------------------------------------------------- Verso Paper Holdings LLC, 11.375% Sr. Unsec. Sub. Nts., Series B, 8/1/16 5,310,000 3,411,675 -------------------------------------------------------------------------------------------------------- Verso Paper Holdings LLC/Verso Paper, Inc., 8.75% Sr. Sec. Nts., 2/1/19 2,495,000 1,384,725 ------------- 19,998,533 -------------------------------------------------------------------------------------------------------- COMMERCIAL BANKS--3.3% Akbank TAS, 5.125% Sr. Unsec. Nts., 7/22/15(3) 2,130,000 2,148,105 -------------------------------------------------------------------------------------------------------- Alfa Bank/Alfa Bond Issuance plc, 7.875% Nts., 9/25/17(3) 1,570,000 1,627,305 -------------------------------------------------------------------------------------------------------- Australia & New Zealand Banking Group Ltd., 2.40% Sec. Bonds, 11/23/16(3) 480,000 484,471 -------------------------------------------------------------------------------------------------------- Banco BMG SA: 9.15% Nts., 1/15/16(3) 1,144,000 1,115,400 9.95% Unsec. Unsub. Nts., 11/5/19(3) 1,120,000 1,037,120 -------------------------------------------------------------------------------------------------------- Banco de Credito del Peru, 5.375% Sr. Nts., 9/16/20(3) 480,000 494,400 -------------------------------------------------------------------------------------------------------- Banco de Credito del Peru/Panama, 6.875% Sub. Nts., 9/16/26(3,6) 1,708,000 1,870,260 -------------------------------------------------------------------------------------------------------- Banco del Estado de Chile, 3.875% Sr. Unsec. Nts., 2/8/22(3) 1,440,000 1,432,800 -------------------------------------------------------------------------------------------------------- Banco do Brasil SA, 5.875% Unsec. Sub. Nts., 1/26/22(3) 1,160,000 1,199,440 -------------------------------------------------------------------------------------------------------- Banco do Brasil SA (Cayman), 9.25% Perpetual Jr. Sub. 2,755,000 3,002,950 Bonds(3,16) -------------------------------------------------------------------------------------------------------- Banco do Estado do Rio Grande do Sul SA, 7.375% Sub Nts., 2/2/22(3) 1,920,000 2,025,600 -------------------------------------------------------------------------------------------------------- Banco PanAmericano SA, 8.50% Sr. Unsec. Sub. Nts., 4/23/20(3) 1,160,000 1,310,800 --------------------------------------------------------------------------------------------------------
22 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value -------------------------------------------------------------------------------------------------------- COMMERCIAL BANKS CONTINUED Bank of Scotland plc: 3.875% Sr. Sec. Nts., 2/7/20 650,000 EUR $ 910,843 4.50% Sr. Sec. Nts., 7/13/21 1,834,000 EUR 2,664,367 4.875% Sr. Sec. Nts., 12/20/24 210,000 GBP 348,589 4.875% Sr. Sec. Unsub. Nts., 11/8/16 125,000 GBP 216,032 -------------------------------------------------------------------------------------------------------- BOM Capital plc, 6.699% Sr. Unsec. Nts., 3/11/15(3) 3,740,000 3,908,300 -------------------------------------------------------------------------------------------------------- BPCE SFH SA, 3.75% Sr. Sec. Nts., 9/13/21 580,000 EUR 814,976 -------------------------------------------------------------------------------------------------------- CIT Group, Inc., 7% Sec. Bonds, 5/2/17(3) 3,870,000 3,884,513 -------------------------------------------------------------------------------------------------------- Compagnie de Financement Foncier: 4.875% Sec. Nts., 5/25/21 375,000 EUR 564,684 5.75% Sec. Nts., 10/4/21 150,000 EUR 239,938 -------------------------------------------------------------------------------------------------------- Corp Financiera de Desarrollo SA, 4.75% Sr. Unsec. Nts., 2/8/22(3) 1,460,000 1,511,100 -------------------------------------------------------------------------------------------------------- Grupo Aval Ltd., 5.25% Sr. Unsec. Nts., 2/1/17(3) 1,995,000 2,079,788 -------------------------------------------------------------------------------------------------------- Halyk Savings Bank of Kazakhstan JSC: 7.25% Unsec. Unsub. Nts., 5/3/17(3) 430,000 443,545 9.25% Sr. Nts., 10/16/13(3) 8,010,000 8,530,650 -------------------------------------------------------------------------------------------------------- ICICI Bank Ltd.: 5.50% Sr. Unsec. Nts., 3/25/15(3) 3,090,000 3,212,503 6.375% Bonds, 4/30/22(3,6) 3,060,000 2,922,300 -------------------------------------------------------------------------------------------------------- Lloyds TSB Bank plc: 4.875% Sec. Nts., 1/13/23 225,000 EUR 336,627 6% Sr. Sec. Nts., 2/8/29 250,000 GBP 455,986 -------------------------------------------------------------------------------------------------------- Sberbank of Russia Via SB Capital SA: 5.40% Sr. Unsec. Nts., 3/24/17 3,465,000 3,591,473 6.125% Sr. Nts., 2/7/22(3) 2,835,000 2,923,594 -------------------------------------------------------------------------------------------------------- Societe Generale SCF SA, 2.024% Sec. Unsub. Nts., 6/19/17(6) 100,000 94,907 -------------------------------------------------------------------------------------------------------- Sparebank 1 Boligkreditt AS, 2.30% Sec. Bonds, 6/30/17(5,7) 620,000 618,177 -------------------------------------------------------------------------------------------------------- Stadshypotek AB: 6% Sec. Unsub. Bonds, 3/18/25 7,000,000 SEK 1,167,495 6% Sec. Unsub. Bonds, 9/21/16 4,000,000 SEK 681,827 -------------------------------------------------------------------------------------------------------- Swedbank Hypotek AB: 2.375% Sec. Nts., 4/5/17(3) 470,000 472,153 3.75% Sr. Sec. Unsub. Nts., 3/18/15 6,800,000 SEK 1,067,150 -------------------------------------------------------------------------------------------------------- Toronto-Dominion Bank (The), 1.50% Sec. Bonds, 3/13/17(3) 400,000 396,113 -------------------------------------------------------------------------------------------------------- Turkiye Is Bankasi (Isbank), 5.10% Sr. Unsec. Nts., 2/1/16(3) 1,290,000 1,299,675 -------------------------------------------------------------------------------------------------------- VEB Finance Ltd., 6.902% Sr. Unsec. Unsub. Nts., 7/9/20(3) 3,590,000 3,895,150 -------------------------------------------------------------------------------------------------------- VTB Capital SA: 6.315% Nts., 2/22/18(3) 1,250,000 1,257,000 6.465% Sr. Sec. Unsub. Nts., 3/4/15(3) 800,000 852,000 -------------------------------------------------------------------------------------------------------- Westpac Banking Corp., 2.45% Sr. Sec. Bonds, 11/28/16(3) 480,000 485,382 -------------------------------------------------------------------------------------------------------- WM Covered Bond Program, 4% Sec. Mtg. Nts., Series 2, 9/27/16 4,220,000 EUR 6,011,864 -------------------------------------------------------------------------------------------------------- Yapi ve Kredi Bankasi AS, 6.75% Sr. Unsec. Nts., 2/8/17(3) 1,080,000 1,110,996 ---------------- 76,718,348 -------------------------------------------------------------------------------------------------------- CONSUMER FINANCE--0.1% JSC Astana Finance, 9.16% Nts., 3/14/12(4) 7,200,000 792,000 --------------------------------------------------------------------------------------------------------
23 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value -------------------------------------------------------------------------------------------------------- CONSUMER FINANCE CONTINUED -------------------------------------------------------------------------------------------------------- Speedy Cash, Inc., 10.75% Sr. Sec. Nts., 5/15/18(3) $ 950,000 $ 988,000 -------------------------------------------------------------------------------------------------------- TMX Finance LLC/TitleMax Finance Corp., 13.25% Sr. Sec. Nts., 7/15/15 900,000 999,000 ------------- 2,779,000 -------------------------------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES--0.4% Autopistas del Nordeste Cayman Ltd., 9.39% Nts., 1/15/26(5) 2,472,556 2,344,477 -------------------------------------------------------------------------------------------------------- BA Covered Bond Issuer, 4.25% Sec. Nts., 4/5/17 835,000 EUR 1,150,139 -------------------------------------------------------------------------------------------------------- Banco Invex SA, 30.695% Mtg.-Backed Certificates, Series 062U, 3/13/34(6,14) 4,830,734 MXN 487,062 -------------------------------------------------------------------------------------------------------- Bank of America Corp., 4.75% Sr. Unsec. Nts., 4/3/17 250,000 EUR 345,884 -------------------------------------------------------------------------------------------------------- Caisse Centrale Desjardins du Quebec, 1.60% Sec. Bonds, 3/6/17(3) 405,000 401,633 -------------------------------------------------------------------------------------------------------- GMAC LLC, 8% Sr. Unsec. Nts., 11/1/31 1,260,000 1,395,450 -------------------------------------------------------------------------------------------------------- JPMorgan Hipotecaria su Casita: 8.103% Sec. Nts., 8/26/35(5,14) 5,808,600 MXN 516,482 29.03% Mtg.-Backed Certificates, Series 06U, 9/25/35(14) 1,626,998 MXN 237,150 -------------------------------------------------------------------------------------------------------- Korea Development Bank (The), 4% Sr. Unsec. Unsub. Nts., 9/9/16 1,485,000 1,555,021 -------------------------------------------------------------------------------------------------------- PHH Corp., 9.25% Sr. Unsec. Unsub. Nts., 3/1/16 2,030,000 2,073,138 ------------- 10,506,436 -------------------------------------------------------------------------------------------------------- INSURANCE--0.1% International Lease Finance Corp., 8.75% Sr. Unsec. Unsub. Nts., 3/15/17 1,475,000 1,644,625 -------------------------------------------------------------------------------------------------------- REAL ESTATE INVESTMENT TRUSTS--0.2% FelCor Escrow Holdings LLC, 6.75% Sr. Sec. Nts., 6/1/19 1,980,000 2,009,700 -------------------------------------------------------------------------------------------------------- OMEGA Healthcare Investors, Inc., 6.75% Sr. Unsec. Nts., 10/15/22 2,470,000 2,630,550 ------------- 4,640,250 -------------------------------------------------------------------------------------------------------- REAL ESTATE MANAGEMENT & DEVELOPMENT--0.3% Ainsworth Lumber Co. Ltd., 11% Sr. Unsec. Unsub. Nts., 7/29/15(3,15) 2,992,558 2,364,121 -------------------------------------------------------------------------------------------------------- Realogy Corp.: 7.625% Sr. Sec. Nts., 1/15/20(5) 1,975,000 2,063,875 9% Sr. Sec. Nts., 1/15/20(5) 1,010,000 1,040,300 -------------------------------------------------------------------------------------------------------- Wallace Theater Holdings, Inc., 12.50% Sr. Sec. Nts., 6/15/13(3,6) 2,230,000 1,973,550 ------------- 7,441,846 -------------------------------------------------------------------------------------------------------- THRIFTS & MORTGAGE FINANCE--0.0% Banco Hipotecario SA, 9.75% Sr. Unsec. Nts., 4/27/16(3) 745,000 716,169 -------------------------------------------------------------------------------------------------------- Compagnie de Financement Foncier, 5.625% Sr. Sec. Nts., 6/19/17 70,000 78,070 ------------- 794,239 -------------------------------------------------------------------------------------------------------- HEALTH CARE--0.9% -------------------------------------------------------------------------------------------------------- BIOTECHNOLOGY--0.0% Grifols SA, 8.25% Sr. Sec. Nts., 2/1/18 800,000 870,000 -------------------------------------------------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES--0.2% Accellent, Inc., 10% Sr. Unsec. Sub. Nts., 11/1/17 1,145,000 940,331 --------------------------------------------------------------------------------------------------------
24 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value -------------------------------------------------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES CONTINUED Alere, Inc.: 7.875% Sr. Unsec. Unsub. Nts., 2/1/16 $ 1,045,000 $ 1,094,638 8.625% Sr. Unsec. Sub. Nts., 10/1/18 1,030,000 1,071,200 -------------------------------------------------------------------------------------------------------- Biomet, Inc., 11.625% Sr. Unsec. Sub. Nts., 10/15/17 1,836,000 1,994,355 ------------- 5,100,524 -------------------------------------------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES--0.5% Catalent Pharma Solutions, Inc., 9.50% Sr. Unsec. Nts., 4/15/15(15) 1,593,400 1,645,186 -------------------------------------------------------------------------------------------------------- Fresenius Medical Care US Finance II, Inc.: 5.625% Sr. Unsec. Nts., 7/31/19(3) 625,000 645,313 5.875% Sr. Unsec. Nts., 1/31/22(3) 315,000 324,450 -------------------------------------------------------------------------------------------------------- Gentiva Health Services, Inc., 11.50% Sr. Unsec. Unsub. Nts., 9/1/18 1,170,000 1,096,875 -------------------------------------------------------------------------------------------------------- Kindred Healthcare, Inc., 8.25% Sr. Unsec. Nts., 6/1/19 2,145,000 1,879,556 -------------------------------------------------------------------------------------------------------- Multiplan, Inc., 9.875% Sr. Nts., 9/1/18(3) 1,150,000 1,247,750 -------------------------------------------------------------------------------------------------------- Oncure Holdings, Inc., 11.75% Sr. Sec. Nts., 5/15/17 1,130,000 745,800 -------------------------------------------------------------------------------------------------------- PSS World Medical, Inc., 6.375% Sr. Unsec. Unsub. Nts., 3/1/22(3) 455,000 469,788 -------------------------------------------------------------------------------------------------------- Radiation Therapy Services, Inc., 9.875% Sr. Unsec. Sub. Nts., 4/15/17 1,205,000 973,038 -------------------------------------------------------------------------------------------------------- US Oncology, Inc., Escrow Shares (related to 9.125% Sr. Sec. Nts., 8/15/17)(4) 1,730,000 43,250 -------------------------------------------------------------------------------------------------------- Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc., 8% Sr. Nts., 2/1/18 1,595,000 1,634,875 ------------- 10,705,881 -------------------------------------------------------------------------------------------------------- HEALTH CARE TECHNOLOGY--0.0% MedAssets, Inc., 8% Sr. Unsec. Nts., 11/15/18 305,000 321,775 -------------------------------------------------------------------------------------------------------- LIFE SCIENCES TOOLS & SERVICES--0.0% Jaguar Holding Co./Jaguar Merger Sub, Inc., 9.50% Sr. Unsec. Nts., 12/1/19(3) 770,000 839,300 -------------------------------------------------------------------------------------------------------- PHARMACEUTICALS--0.2% DJO Finance LLC/DJO Finance Corp., 10.875% Sr. Unsec. Nts., 11/15/14 535,000 545,700 -------------------------------------------------------------------------------------------------------- Mylan, Inc., 6% Sr. Nts., 11/15/18(3) 810,000 850,500 -------------------------------------------------------------------------------------------------------- Valeant Pharmaceuticals International, Inc., 6.875% Sr. Unsec. Nts., 12/1/18(3) 765,000 774,563 -------------------------------------------------------------------------------------------------------- Warner Chilcott Co. LLC/Warner Chilcott Finance LLC, 7.75% Sr. Unsec. Nts., 9/15/18 2,320,000 2,430,200 ------------- 4,600,963 -------------------------------------------------------------------------------------------------------- INDUSTRIALS--2.4% -------------------------------------------------------------------------------------------------------- AEROSPACE & DEFENSE--0.5% BE Aerospace, Inc., 6.875% Sr. Nts., 10/1/20 840,000 924,000 -------------------------------------------------------------------------------------------------------- DynCorp International, Inc., 10.375% Sr. Unsec. Nts., 7/1/17 4,005,000 3,499,369 -------------------------------------------------------------------------------------------------------- Huntington Ingalls Industries, Inc., 7.125% Sr. Unsec. Unsub. Nts., 3/15/21 1,410,000 1,517,513 -------------------------------------------------------------------------------------------------------- Kratos Defense & Security Solutions, Inc., 10% Sr. Sec. Nts., 6/1/17 1,040,000 1,131,000 -------------------------------------------------------------------------------------------------------- Schaeffler Finance BV, 8.50% Sr. Sec. Nts., 2/15/19(5) 455,000 483,438 --------------------------------------------------------------------------------------------------------
25 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value -------------------------------------------------------------------------------------------------------- AEROSPACE & DEFENSE CONTINUED TransDigm, Inc., 7.75% Sr. Unsec. Sub. Nts., 12/15/18 $ 2,660,000 $ 2,892,750 ------------- 10,448,070 -------------------------------------------------------------------------------------------------------- AIR FREIGHT & LOGISTICS--0.0% AMGH Merger Sub, Inc., 9.25% Sr. Sec. Nts., 11/1/18(3) 770,000 804,650 -------------------------------------------------------------------------------------------------------- AIRLINES--0.2% American Airlines 2011-2 Class A Pass-Through Trust, 8.625% Sec. Certificates, 4/15/23 420,000 443,100 -------------------------------------------------------------------------------------------------------- Delta Air Lines, Inc., 12.25% Sr. Sec. Nts., 3/15/15(3) 3,630,000 3,929,475 ------------- 4,372,575 -------------------------------------------------------------------------------------------------------- BUILDING PRODUCTS--0.2% Associated Materials LLC, 9.125% Sr. Sec. Nts., 11/1/17(3) 1,105,000 1,080,138 -------------------------------------------------------------------------------------------------------- Ply Gem Industries, Inc., 13.125% Sr. Unsec. Sub. Nts., 7/15/14 3,110,000 3,156,650 -------------------------------------------------------------------------------------------------------- Roofing Supply Group LLC/Roofing Supply Finance, Inc., 8.625% Sr. Sec. Nts., 12/1/17(3) 990,000 1,054,350 ------------- 5,291,138 -------------------------------------------------------------------------------------------------------- COMMERCIAL SERVICES & SUPPLIES--0.2% R.R. Donnelley & Sons Co., 7.25% Sr. Nts., 5/15/18 2,000,000 1,950,000 -------------------------------------------------------------------------------------------------------- STHI Holding Corp., 8% Sec. Nts., 3/15/18(3) 795,000 846,675 -------------------------------------------------------------------------------------------------------- West Corp., 8.625% Sr. Unsec. Nts., 10/1/18 1,785,000 1,967,963 ------------- 4,764,638 -------------------------------------------------------------------------------------------------------- CONSTRUCTION & ENGINEERING--0.2% IIRSA Norte Finance Ltd., 8.75% Sr. Nts., 5/30/24(3) 3,701,713 4,354,325 -------------------------------------------------------------------------------------------------------- Odebrecht Finance Ltd., 7% Sr. Unsec. Nts., 4/21/20(3) 970,000 1,086,206 ------------- 5,440,531 -------------------------------------------------------------------------------------------------------- ELECTRICAL EQUIPMENT--0.1% Thermon Industries, Inc., 9.50% Sr. Sec. Nts., 5/1/17 1,646,000 1,818,830 -------------------------------------------------------------------------------------------------------- MACHINERY--0.4% Cleaver-Brooks, Inc., 12.25% Sr. Sec. Nts., 5/1/16(5) 1,880,000 1,955,200 -------------------------------------------------------------------------------------------------------- CNH Capital LLC, 6.25% Sr. Unsec. Nts., 11/1/16(3) 520,000 560,300 -------------------------------------------------------------------------------------------------------- Manitowoc Co., Inc. (The), 8.50% Sr. Unsec. Nts., 11/1/20 2,655,000 2,933,775 -------------------------------------------------------------------------------------------------------- Terex Corp., 8% Sr. Unsec. Sub. Nts., 11/15/17 1,910,000 1,986,400 -------------------------------------------------------------------------------------------------------- Thermadyne Holdings Corp.: 9% Sr. Sec. Nts., 12/15/17 1,325,000 1,364,750 9% Sr. Sec. Nts., 12/15/17(3) 605,000 623,150 ------------- 9,423,575 -------------------------------------------------------------------------------------------------------- MARINE--0.2% Marquette Transportation Co./Marquette Transportation Finance Corp., 10.875% Sec. Nts., 1/15/17 2,790,000 2,953,913 -------------------------------------------------------------------------------------------------------- Navios Maritime Holdings, Inc./Navios Maritime Finance U.S., Inc., 8.875% Sr. Sec. Nts., 11/1/17 565,000 581,950 ------------- 3,535,863 -------------------------------------------------------------------------------------------------------- PROFESSIONAL SERVICES--0.0% Altegrity, Inc., 10.50% Sr. Unsec. Sub. Nts., 11/1/15(5) 995,000 950,225 -------------------------------------------------------------------------------------------------------- ROAD & RAIL--0.3% Hertz Corp., 7.50% Sr. Unsec. Nts., 10/15/18 3,620,000 3,859,825 --------------------------------------------------------------------------------------------------------
26 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value -------------------------------------------------------------------------------------------------------- ROAD & RAIL CONTINUED -------------------------------------------------------------------------------------------------------- Kazakhstan Temir Zholy Finance BV, 6.375% Sr. Unsec. Nts., 10/6/20(3) $ 825,000 $ 917,813 -------------------------------------------------------------------------------------------------------- Western Express, Inc., 12.50% Sr. Sec. Nts., 4/15/15(3) 3,730,000 1,566,600 ------------- 6,344,238 -------------------------------------------------------------------------------------------------------- TRADING COMPANIES & DISTRIBUTORS--0.1% UR Financing Escrow Corp.: 7.375% Sr. Unsec. Nts., 5/15/20(3) 2,430,000 2,490,750 7.625% Sr. Unsec. Nts., 4/15/22(3) 605,000 623,150 ------------- 3,113,900 -------------------------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY--1.2% -------------------------------------------------------------------------------------------------------- COMMUNICATIONS EQUIPMENT--0.1% Avaya, Inc., 7% Sr. Sec. Nts., 4/1/19(3) 1,955,000 1,969,663 -------------------------------------------------------------------------------------------------------- ViaSat, Inc., 6.875% Sr. Unsec. Unsub. Nts., 6/15/20(3) 913,000 940,390 ------------- 2,910,053 -------------------------------------------------------------------------------------------------------- COMPUTERS & PERIPHERALS--0.1% Seagate HDD Cayman, 7% Sr. Unsec. Nts., 11/1/21(3) 1,665,000 1,798,200 -------------------------------------------------------------------------------------------------------- ELECTRONIC EQUIPMENT & INSTRUMENTS--0.1% CDW LLC/CDW Finance Corp., 12.535% Sr. Unsec. Sub. Nts., 10/12/17 1,920,000 2,095,200 -------------------------------------------------------------------------------------------------------- INTERNET SOFTWARE & SERVICES--0.2% ITC DeltaCom, Inc., 10.50% Sr. Sec. Nts., 4/1/16 3,650,000 3,850,750 -------------------------------------------------------------------------------------------------------- Lawson Software, Inc., 9.375% Sr. Nts., 4/1/19(3,7) 380,000 394,250 ------------- 4,245,000 -------------------------------------------------------------------------------------------------------- IT SERVICES--0.2% Ceridian Corp., 11.25% Sr. Unsec. Nts., 11/15/15 2,145,000 1,946,588 -------------------------------------------------------------------------------------------------------- First Data Corp.: 8.875% Sr. Sec. Nts., 8/15/20(3) 2,390,000 2,602,113 9.875% Sr. Unsec. Nts., 9/24/15 955,000 964,550 12.625% Sr. Unsec. Nts., 1/15/21 950,000 957,125 ------------- 6,470,376 -------------------------------------------------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT--0.4% Advanced Micro Devices, Inc., 7.75% Sr. Unsec. Nts., 8/1/20 2,705,000 2,989,025 -------------------------------------------------------------------------------------------------------- Amkor Technologies, Inc., 6.625% Sr. Unsec. Nts., 6/1/21 935,000 971,231 -------------------------------------------------------------------------------------------------------- Freescale Semiconductor, Inc.: 9.25% Sr. Sec. Nts., 4/15/18(3) 1,710,000 1,881,000 10.75% Sr. Unsec. Nts., 8/1/20 1,950,000 2,198,625 -------------------------------------------------------------------------------------------------------- NXP BV/NXP Funding LLC, 9.75% Sr. Sec. Nts., 8/1/18(3) 855,000 970,425 ------------- 9,010,306 -------------------------------------------------------------------------------------------------------- SOFTWARE--0.1% SunGard Data Systems, Inc.: 7.375% Sr. Unsec. Nts., 11/15/18 560,000 597,800 7.625% Sr. Unsec. Nts., 11/15/20 765,000 820,463 ------------- 1,418,263 -------------------------------------------------------------------------------------------------------- MATERIALS--2.2% -------------------------------------------------------------------------------------------------------- CHEMICALS--0.7% Braskem America Finance Co., 7.125% Sr. Unsec. Nts., 7/22/41(3) 825,000 832,013 --------------------------------------------------------------------------------------------------------
27 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value -------------------------------------------------------------------------------------------------------- CHEMICALS CONTINUED -------------------------------------------------------------------------------------------------------- Braskem Finance Ltd., 5.75% Sr. Unsec. Nts., 4/15/21(3) $ 3,500,000 $ 3,681,300 -------------------------------------------------------------------------------------------------------- Ferro Corp., 7.875% Sr. Unsec. Nts., 8/15/18 1,545,000 1,583,625 -------------------------------------------------------------------------------------------------------- Hexion U.S. Finance Corp./Hexion Nova Scotia Finance ULC: 8.875% Sr. Sec. Nts., 2/1/18 980,000 1,019,200 9% Sec. Nts., 11/15/20 1,340,000 1,252,900 -------------------------------------------------------------------------------------------------------- Ineos Finance plc, 8.375% Sr. Sec. Bonds, 2/15/19(3) 1,480,000 1,568,800 -------------------------------------------------------------------------------------------------------- Lyondell Chemical Co., 8% Sr. Sec. Nts., 11/1/17 3,450,000 3,889,875 -------------------------------------------------------------------------------------------------------- LyondellBasell Industries NV, 6% Sr. Nts., 11/15/21(3) 1,525,000 1,608,875 -------------------------------------------------------------------------------------------------------- Momentive Performance Materials, Inc., 9% Sec. Nts., 1/15/21 2,165,000 1,905,200 -------------------------------------------------------------------------------------------------------- Scotts Miracle-Gro Co. (The), 6.625% Sr. Unsec. Unsub. Nts., 12/15/20 250,000 264,375 ------------- 17,606,163 -------------------------------------------------------------------------------------------------------- CONSTRUCTION MATERIALS--0.2% Building Materials Corp. of America, 6.75% Sr. Nts., 5/1/21(3) 1,540,000 1,638,175 -------------------------------------------------------------------------------------------------------- CEMEX Espana SA, 9.25% Sr. Sec. Nts., 5/12/20(3) 872,000 808,780 -------------------------------------------------------------------------------------------------------- CEMEX SAB de CV, 9% Sr. Sec. Nts., 1/11/18(3) 1,950,000 1,847,625 -------------------------------------------------------------------------------------------------------- Ply Gem Industries, Inc., 8.25% Sr. Sec. Nts., 2/15/18 1,315,000 1,329,794 -------------------------------------------------------------------------------------------------------- Rearden G Holdings Eins GmbH, 7.875% Sr. Unsec. Nts., 3/30/20(3) 165,000 175,610 ------------- 5,799,984 -------------------------------------------------------------------------------------------------------- CONTAINERS & PACKAGING--0.2% Berry Plastics Corp., 9.75% Sec. Nts., 1/15/21 1,580,000 1,734,050 -------------------------------------------------------------------------------------------------------- Polymer Group, Inc., 7.75% Sr. Sec. Nts., 2/1/19 2,075,000 2,194,313 -------------------------------------------------------------------------------------------------------- Rock-Tenn Co., 4.45% Sr. Unsec. Nts., 3/1/19(3) 455,000 457,557 ------------- 4,385,920 -------------------------------------------------------------------------------------------------------- METALS & MINING--0.5% Aleris International, Inc., 7.625% Sr. Unsec. Nts., 2/15/18 3,805,000 4,000,006 -------------------------------------------------------------------------------------------------------- Alrosa Finance SA, 7.75% Nts., 11/3/20(3) 1,580,000 1,694,550 -------------------------------------------------------------------------------------------------------- Consolidated Minerals Ltd., 8.875% Sr. Sec. Nts., 5/1/16(3) 1,245,000 1,061,363 -------------------------------------------------------------------------------------------------------- CSN Islands XI Corp., 6.875% Sr. Unsec. Nts., 9/21/19(3) 820,000 936,276 -------------------------------------------------------------------------------------------------------- Ferrexpo Finance plc, 7.875% Sr. Unsec. Bonds, 4/7/16(3) 1,315,000 1,229,525 -------------------------------------------------------------------------------------------------------- JSC Severstal, 6.70% Nts., 10/25/17(3) 1,940,000 1,971,525 -------------------------------------------------------------------------------------------------------- Novelis, Inc., 8.75% Sr. Unsec. Nts., 12/15/20 465,000 511,500 ------------- 11,404,745 -------------------------------------------------------------------------------------------------------- PAPER & FOREST PRODUCTS--0.6% ABI Escrow Corp., 10.25% Sr. Sec. Nts., 10/15/18(3) 1,554,000 1,790,985 -------------------------------------------------------------------------------------------------------- Appleton Papers, Inc., 10.50% Sr. Sec. Nts., 6/15/15(3) 3,700,000 3,857,250 -------------------------------------------------------------------------------------------------------- Catalyst Paper Corp., 11% Sr. Sec. Nts., 12/15/16(3,4) 3,981,000 2,090,025 -------------------------------------------------------------------------------------------------------- Mercer International, Inc., 9.50% Sr. Unsec. Nts., 12/1/17 2,005,000 2,085,200 -------------------------------------------------------------------------------------------------------- NewPage Corp., 11.375% Sr. Sec. Nts., 12/31/14(4) 4,400,000 2,970,000 -------------------------------------------------------------------------------------------------------- Norske Skogindustrier ASA, 6.125% Unsec. Bonds, 10/15/15(3) 1,500,000 1,110,000 ------------- 13,903,460 -------------------------------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES--1.9% -------------------------------------------------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES--1.0% Axtel SAB de CV, 9% Sr. Unsec. Nts., 9/22/19(3) 1,960,000 1,617,000 --------------------------------------------------------------------------------------------------------
28 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value -------------------------------------------------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES CONTINUED -------------------------------------------------------------------------------------------------------- Brasil Telecom SA, 9.75% Sr. Unsec. Nts., 9/15/16(3) 2,990,000 BRR $ 1,695,281 -------------------------------------------------------------------------------------------------------- Cincinnati Bell, Inc.: 8.25% Sr. Nts., 10/15/17 1,365,000 1,400,831 8.75% Sr. Unsec. Sub. Nts., 3/15/18 1,950,000 1,830,563 -------------------------------------------------------------------------------------------------------- Frontier Communications Corp.: 8.25% Sr. Unsec. Nts., 4/15/17 950,000 1,026,000 8.50% Sr. Unsec. Nts., 4/15/20 635,000 671,513 -------------------------------------------------------------------------------------------------------- Intelsat Bermuda Ltd.: 11.25% Sr. Unsec. Nts., 2/4/17 2,055,000 2,142,338 11.50% Sr. Unsec. Nts., 2/4/17(15) 1,424,414 1,484,952 -------------------------------------------------------------------------------------------------------- Intelsat Jackson Holdings SA, 7.25% Sr. Unsec. Nts., 10/15/20 755,000 795,581 -------------------------------------------------------------------------------------------------------- Level 3 Financing, Inc., 9.375% Sr. Unsec. Unsub. Nts., 4/1/19 1,820,000 1,997,450 -------------------------------------------------------------------------------------------------------- Telemar Norte Leste SA, 5.50% Sr. Unsec. Nts., 10/23/20(3) 4,882,000 5,043,106 -------------------------------------------------------------------------------------------------------- Wind Acquisition Finance SA, 7.25% Sr. Sec. Nts., 2/15/18(3) 1,975,000 1,866,375 -------------------------------------------------------------------------------------------------------- Windstream Corp., 7.50% Sr. Unsec. Nts., 6/1/22(3) 1,975,000 2,068,813 ------------- 23,639,803 -------------------------------------------------------------------------------------------------------- WIRELESS TELECOMMUNICATION SERVICES--0.9% America Movil SAB de CV, 8.46% Sr. Unsec. Unsub. Bonds, 12/18/36 14,700,000 MXN 1,123,186 -------------------------------------------------------------------------------------------------------- Cricket Communications, Inc., 7.75% Sr. Unsec. Nts., 10/15/20 2,440,000 2,406,450 -------------------------------------------------------------------------------------------------------- MetroPCS Wireless, Inc., 6.625% Sr. Unsec. Nts., 11/15/20 1,945,000 1,937,706 -------------------------------------------------------------------------------------------------------- MTS International Funding Ltd., 8.625% Sr. Unsec. Nts., 6/22/20(3) 2,035,000 2,364,283 -------------------------------------------------------------------------------------------------------- Nextel Communications, Inc., 7.375% Sr. Nts., Series D, 8/1/15 2,065,000 2,003,050 -------------------------------------------------------------------------------------------------------- Sprint Capital Corp., 8.75% Nts., 3/15/32 480,000 414,000 -------------------------------------------------------------------------------------------------------- Sprint Nextel Corp., 9% Sr. Unsec. Nts., 11/15/18(3) 1,800,000 1,980,000 -------------------------------------------------------------------------------------------------------- Vimpel Communications/VIP Finance Ireland Ltd. OJSC: 7.748% Sec. Nts., 2/2/21(3) 1,205,000 1,194,456 9.125% Sr. Unsec. Nts., 4/30/18(3) 4,350,000 4,774,125 -------------------------------------------------------------------------------------------------------- VimpelCom Holdings BV, 7.504% Sr. Unsec. Unsub. Nts., 3/1/22(3) 2,035,000 1,984,125 ------------- 20,181,381 -------------------------------------------------------------------------------------------------------- UTILITIES--2.6% -------------------------------------------------------------------------------------------------------- ELECTRIC UTILITIES--1.6% Centrais Eletricas Brasileiras SA: 5.75% Sr. Unsec. Unsub. Nts., 10/27/21(3) 2,495,000 2,743,253 6.875% Sr. Unsec. Unsub. Nts., 7/30/19(3) 1,255,000 1,491,944 -------------------------------------------------------------------------------------------------------- Empresa Distribuidora y Comercializadora Norte SA, 9.75% Nts., 10/25/22(3) 800,000 488,000 -------------------------------------------------------------------------------------------------------- Empresas Publicas de Medellin ESP, 7.625% Sr. Unsec. Nts., 7/29/19(3) 1,435,000 1,719,848 -------------------------------------------------------------------------------------------------------- Energy Future Intermediate Holding Co. LLC, 10% Sr. Sec. Nts., 12/1/20 1,807,000 1,978,665 -------------------------------------------------------------------------------------------------------- Eskom Holdings Ltd.: 5.75% Sr. Unsec. Bonds, 1/26/21(3) 1,565,000 1,651,075 7.85% Sr. Unsec. Unsub. Nts., Series ES26, 4/2/26 31,000,000 ZAR 3,687,282 10% Nts., Series ES23, 1/25/23 44,000,000 ZAR 6,339,619 --------------------------------------------------------------------------------------------------------
29 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value -------------------------------------------------------------------------------------------------------- ELECTRIC UTILITIES CONTINUED Israel Electric Corp. Ltd.: 6.70% Sr. Unsec. Nts., 2/10/17(3) $ 1,415,000 $ 1,459,901 7.25% Nts., 1/15/19(3) 6,165,000 6,299,224 -------------------------------------------------------------------------------------------------------- Majapahit Holding BV: 7.75% Nts., 10/17/16(3) 2,250,000 2,612,813 8% Sr. Unsec. Nts., 8/7/19(3) 1,650,000 2,013,000 -------------------------------------------------------------------------------------------------------- National Power Corp., 5.875% Unsec. Unsub. Bonds, 12/19/16 109,600,000 PHP 2,604,485 -------------------------------------------------------------------------------------------------------- Perusahaan Listrik Negara PT, 5.50% Sr. Unsec. Nts., 11/22/21(3) 2,220,000 2,336,550 -------------------------------------------------------------------------------------------------------- Texas Competitive Electric Holdings Co. LLC: 10.25% Sr. Unsec. Nts., Series A, 11/1/15 5,640,000 1,318,350 10.25% Sr. Unsec. Nts., Series B, 11/1/15 1,460,000 324,850 ------------- 39,068,859 -------------------------------------------------------------------------------------------------------- ENERGY TRADERS--0.6% AES Corp. (The): 7.375% Sr. Unsec. Nts., 7/1/21(3) 525,000 582,750 8% Sr. Unsec. Unsub. Nts., 10/15/17 855,000 967,219 -------------------------------------------------------------------------------------------------------- Calpine Corp.: 7.50% Sr. Sec. Nts., 2/15/21(3) 885,000 949,163 7.875% Sr. Sec. Nts., 1/15/23(3) 555,000 602,175 -------------------------------------------------------------------------------------------------------- Colbun SA, 6% Sr. Unsec. Nts., 1/21/20(3) 1,750,000 1,867,784 -------------------------------------------------------------------------------------------------------- Comision Federal de Electricidad, 4.875% Sr. Nts., 5/26/21(3) 1,725,000 1,845,750 -------------------------------------------------------------------------------------------------------- Energy Future Holdings Corp., 10% Sr. Sec. Nts., 1/15/20 1,840,000 2,005,600 -------------------------------------------------------------------------------------------------------- First Wind Capital LLC, 10.25% Sr. Sec. Nts., 6/1/18(3) 270,000 272,700 -------------------------------------------------------------------------------------------------------- Foresight Energy LLC, 9.625% Sr. Unsec. Nts., 8/15/17(3) 575,000 606,625 -------------------------------------------------------------------------------------------------------- United Maritime Group LLC, 11.75% Sr. Sec. Nts., 6/15/15 3,630,000 3,788,813 ------------- 13,488,579 -------------------------------------------------------------------------------------------------------- GAS UTILITIES--0.2% AmeriGas Finance LLC/AmeriGas Finance Corp., 6.75% Sr. Unsec. Nts., 5/20/20 1,910,000 1,943,425 -------------------------------------------------------------------------------------------------------- Empresa de Energia de Bogota SA ESP, 6.125% Sr. Unsec. Unsub. Nts., 11/10/21(3) 1,140,000 1,214,100 -------------------------------------------------------------------------------------------------------- Ferrellgas LP/Ferrellgas Finance Corp., 6.50% Sr. Unsec. Nts., 5/1/21 680,000 617,100 -------------------------------------------------------------------------------------------------------- Transportadora de Gas Internacional SA ESP, 5.70% Sr. Unsec. Nts., 3/20/22(3) 1,430,000 1,455,740 ------------- 5,230,365 -------------------------------------------------------------------------------------------------------- MULTI-UTILITIES--0.1% Abu Dhabi National Energy Co. (TAQA), 5.875% Sr. Unsec. Nts., 12/13/21(3) 1,690,000 1,808,300 -------------------------------------------------------------------------------------------------------- WATER UTILITIES--0.1% Cia de Saneamento Basico do Estado de Sao Paulo, 6.25% Sr. Unsec. Nts., 12/16/20(3) 1,475,000 1,578,250 ------------- Total Corporate Bonds and Notes (Cost $614,862,830) 615,926,266
Shares -------------------------------------------------------------------------------------------------------- PREFERRED STOCKS--0.2% Ally Financial, Inc., 7% Cum., Series G, Non-Vtg.(2) 2,040 1,699,639
30 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Shares Value -------------------------------------------------------------------------------------------------------- Greektown Superholdings, Inc., Cv., Series A-1(2) 45,600 $ 2,475,510 ---------------- Total Preferred Stocks (Cost $6,426,595) 4,175,149 -------------------------------------------------------------------------------------------------------- COMMON STOCKS--0.4% AbitibiBowater, Inc. (2) 64,416 919,860 -------------------------------------------------------------------------------------------------------- American Media Operations, Inc. (2) 161,731 2,102,503 -------------------------------------------------------------------------------------------------------- Arco Capital Corp. Ltd. (2,5) 690,638 1,035,957 -------------------------------------------------------------------------------------------------------- Dana Holding Corp. 62,573 969,882 -------------------------------------------------------------------------------------------------------- Gaylord Entertainment Co., Cl. A (2) 13,469 414,845 -------------------------------------------------------------------------------------------------------- Global Aviation Holdings, Inc. (2) 100 -- -------------------------------------------------------------------------------------------------------- Greektown Superholdings, Inc., Series A-1 (2) 3,450 174,225 -------------------------------------------------------------------------------------------------------- Huntsman Corp. 25,585 358,446 -------------------------------------------------------------------------------------------------------- Kaiser Aluminum Corp. 229 10,823 -------------------------------------------------------------------------------------------------------- LyondellBasell Industries NV, Cl. A 24,183 1,055,588 -------------------------------------------------------------------------------------------------------- Orbcomm, Inc. (2) 375 1,444 -------------------------------------------------------------------------------------------------------- Premier Holdings Ltd. (2) 18,514 -- -------------------------------------------------------------------------------------------------------- Visteon Corp. (2) 19,571 1,037,263 -------------------------------------------------------------------------------------------------------- Walter Industries, Inc. 3,907 231,333 -------------------------------------------------------------------------------------------------------- Whiting Petroleum Corp. (2) 7,858 426,689 ---------------- Total Common Stocks (Cost $23,095,862) 8,738,858
Units -------------------------------------------------------------------------------------------------------- RIGHTS, WARRANTS AND CERTIFICATES--0.0% MediaNews Group, Inc. Wts., Strike Price $0.001, Exp. 3/19/17(2) (Cost $3,162,655) 11,668 420
Principal Amount -------------------------------------------------------------------------------------------------------- STRUCTURED SECURITIES--4.1% Barclays Bank plc: Indonesia (Republic of) Total Return Linked Bonds, 10.50%, 8/19/30 10,730,000,000 IDR 1,610,556 Indonesia (Republic of) Total Return Linked Bonds, Series 22, 11%, 9/17/25 3,426,000,000 IDR 525,477 Indonesia (Republic of) Total Return Linked Nts., Series 51, 10.50%, 8/19/30 2,650,000,000 IDR 397,761 Indonesia (Republic of) Total Return Linked Nts., Series 51, 11%, 9/17/25 2,650,000,000 IDR 406,455 Russian Federation Total Return Linked Bonds, 7%, 6/5/15(6) 58,900,000 RUR 2,010,046 Russian Federation Total Return Linked Bonds, 7%, 6/5/15(6) 6,300,000 RUR 214,996 -------------------------------------------------------------------------------------------------------- Citigroup Funding, Inc.: ALROSA Russia Corporate Bond Credit Linked Unsec. Nts., 8.25%, 6/25/15(5,6) 19,220,000 RUR 661,939 Russian Federation Credit Linked Nts., 7.35%, 1/22/16(6) 69,100,000 RUR 2,370,388 -------------------------------------------------------------------------------------------------------- Citigroup Global Markets Holdings, Inc.: Colombia (Republic of) Credit Linked Bonds, 11.25%, 10/25/18(5) 3,255,000,000 COP 2,239,357 Colombia (Republic of) Credit Linked Nts., Series 02, 10%, 7/25/24(5,14) 3,660,000,000 COP 2,495,542
31 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value ---------------------------------------------------------------------------------------------------------- Colombia (Republic of) Credit Linked Nts., Series 2, 10%, 7/25/24 10,368,000,000 COP $ 7,069,340 Colombia (Republic of) Total Return Linked Bonds, Series 2, 11%, 7/27/20 2,665,000,000 COP 1,847,426 ---------------------------------------------------------------------------------------------------------- Credit Suisse First Boston International, Moitk Total Return Linked Nts., 21%, 3/30/11(4) 53,910,000 RUR 5,515 ---------------------------------------------------------------------------------------------------------- Credit Suisse First Boston, Inc. (Nassau Branch), Russian Specialized Construction & Installation Administration Total Return Linked Nts., 13%, 5/24/10(4) 97,250,000 RUR 332 ---------------------------------------------------------------------------------------------------------- Credit Suisse Group AG, Russian Moscoblgaz Finance Total Return Linked Nts., 9.25%, 6/27/12 42,600,000 RUR 1,438,243 ---------------------------------------------------------------------------------------------------------- Deutsche Bank AG: Coriolanus Ltd. Sec. Credit Linked Bonds, Series 128, 3.006%, 5/6/25(5,11) 1,831,327 1,291,475 Coriolanus Ltd. Sec. Credit Linked Bonds, 3.061%, 5/6/25(5,11) 2,333,393 1,645,539 Coriolanus Ltd. Sec. Credit Linked Bonds, 3.10%, 5/6/25(5,11) 2,014,511 1,420,659 Coriolanus Ltd. Sec. Credit Linked Bonds, 3.134%, 5/6/25(5,11) 1,800,719 1,269,890 Coriolanus Ltd. Sec. Credit Linked Bonds, 3.187%, 5/6/25(5,11) 2,242,041 1,581,116 Coriolanus Ltd. Sec. Credit Linked Bonds, 3.239%, 5/6/25(5,11) 2,558,949 1,804,604 Coriolanus Ltd. Sec. Credit Linked Bonds, 3.266%, 5/6/25(5,11) 2,044,301 1,441,667 Coriolanus Ltd. Sec. Credit Linked Bonds, 3.343%, 5/6/25(5,11) 1,921,557 1,355,106 Coriolanus Ltd. Sec. Credit Linked Nts., 12.79%, 12/31/17(5,14) 15,420,000 BRR 9,286,324 JSC VTB Bank Credit Linked Nts., 12%, 6/19/12(5,6) 20,500,000 UAH 2,535,657 Opic Reforma I Credit Linked Nts., Cl. 2A, 8.265%, 5/22/15(5,6) 697,693 MXN 52,571 Opic Reforma I Credit Linked Nts., Cl. 2B, 8.265%, 5/22/15(5,6) 1,220,632 MXN 91,973 Opic Reforma I Credit Linked Nts., Cl. 2C, 8.265%, 5/22/15(5,6) 18,404,162 MXN 1,386,735 Opic Reforma I Credit Linked Nts., Cl. 2D, 8.265%, 5/22/15(5,6) 1,341,270 MXN 101,063 Opic Reforma I Credit Linked Nts., Cl. 2E, 8.265%, 5/22/15(5,6) 974,458 MXN 73,424 Opic Reforma I Credit Linked Nts., Cl. 2F, 8.265%, 5/22/15(5,6) 622,337 MXN 46,892 Opic Reforma I Credit Linked Nts., Cl. 2G, 8.265%, 5/22/15(5,6) 114,609 MXN 8,636 Russian Federation Credit Linked Nts., 7.35%, 1/22/16(5,6) 51,800,000 RUR 1,780,466 Russian Federation Credit Linked Nts., 7.40%, 6/16/17(5,6) 51,800,000 RUR 1,771,635 ---------------------------------------------------------------------------------------------------------- Eirles Two Ltd. Sec. Nts.: Series 324, 3.798%, 4/30/12(5,6) 4,100,000 3,838,420 Series 335, 2.248%, 4/30/12(5,6) 6,300,000 6,053,040 ---------------------------------------------------------------------------------------------------------- Goldman Sachs Capital Markets LP, Colombia (Republic of) Credit Linked Nts., 10.476%, 2/8/37(5,11) 63,720,800,000 COP 2,243,012 ---------------------------------------------------------------------------------------------------------- Hallertau SPC Credit Linked Nts.: Series 2007-01, 2.838%, 12/20/17(5,6) 6,250,000 5,617,500 Series 2008-01, 9.888%, 8/2/10(4,5,11) 14,337,604 BRR 785,428 Series 2008-2A, 8.253%, 9/17/13(5) 12,143,750 6,820,359 ---------------------------------------------------------------------------------------------------------- HSBC Bank USA NA, Indonesia (Republic of) Credit Linked Nts., Series 2, 9.50%, 7/15/31(3) 13,330,000,000 IDR 1,865,967 ---------------------------------------------------------------------------------------------------------- JPMorgan Chase & Co.: Colombia (Republic of) Credit Linked Nts., 11%, 7/28/20(5) 1,315,000,000 COP 911,573 Indonesia (Republic of) Credit Linked Nts., Series 4, 11%, 9/17/25 27,180,000,000 IDR 4,168,848
32 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Principal Amount Value ---------------------------------------------------------------------------------------------------------- Indonesia (Republic of) Total Return Linked Nts., Series 53, 11%, 9/17/25(3) 2,100,000,000 IDR $ 322,096 ---------------------------------------------------------------------------------------------------------- JPMorgan Chase Bank NA: Indonesia (Republic of) Credit Linked Nts., Series 1, 9.50%, 7/17/31(3) 3,702,000,000 IDR 518,215 Indonesia (Republic of) Credit Linked Nts., Series 2, 10.50%, 8/19/30(3) 7,055,000,000 IDR 1,058,944 ---------------------------------------------------------------------------------------------------------- LB Peru Trust II Certificates, Series 1998-A, 4.534%, 2/28/16(4,11) 363,871 36,387 ---------------------------------------------------------------------------------------------------------- Lehman Brothers Treasury Co. BV, Microvest Capital Management LLC Credit Linked Nts., 7.55%, 5/24/12(5) 1,089,830 343,732 ---------------------------------------------------------------------------------------------------------- Merrill Lynch, Colombia (Republic of) Credit Linked Nts., 10%, 11/17/16(5) 1,784,000,000 COP 1,053,288 ---------------------------------------------------------------------------------------------------------- Morgan Stanley: Peru (Republic of) Credit Linked Nts., 6.25%, 3/23/17(3) 4,885,000 PEN 1,575,363 Russian Federation Total Return Linked Bonds, Series 007, Cl. VR, 5%, 8/22/34 60,330,143 RUR 971,070 ---------------------------------------------------------------------------------------------------------- Morgan Stanley Capital Services, Inc.: Brazil (Federative Republic of) Credit Linked Nts., 12.551%, 1/5/22(3,11) 28,914,000 BRR 2,670,520 United Mexican States Credit Linked Nts., 5.64%, 11/20/15(3) 2,000,000 1,719,000 ---------------------------------------------------------------------------------------------------------- UBS AG, Indonesia (Republic of) Total Return Linked Nts., Series 1, 9.50%, 7/17/31 14,700,000,000 IDR 2,057,691 ------------- Total Structured Securities (Cost $121,007,724) 96,869,258
Expiration Strike Date Price Contracts ---------------------------------------------------------------------------------------------------------- OPTIONS PURCHASED--0.1% Canadian Dollar (CAD) Put(2) 9/24/12 1AUD per 1.0198CAD 1,240,000 32,070 ---------------------------------------------------------------------------------------------------------- Canadian Dollar (CAD) Put(2) 7/19/12 1AUD per 1.0349CAD 990,000 24,403 ---------------------------------------------------------------------------------------------------------- Euro (EUR) FX Futures, 5/21/12 Call(2) 5/7/12 $ 1.390 50 6,875 ---------------------------------------------------------------------------------------------------------- Euro (EUR) FX Futures, 5/21/12 Call(2) 5/7/12 1.410 250 12,500 ---------------------------------------------------------------------------------------------------------- Euro (EUR) FX Futures, 6/18/12 Call(2) 4/9/12 1.360 13 488 ---------------------------------------------------------------------------------------------------------- Euro (EUR) FX Futures, 6/18/12 Call(2) 4/9/12 1.370 13 163 ---------------------------------------------------------------------------------------------------------- Euro (EUR) FX Futures, 6/18/12 Call(2) 5/7/12 1.380 100 23,750 ---------------------------------------------------------------------------------------------------------- Euro (EUR) FX Futures, 6/18/12 Call(2) 5/7/12 1.370 100 51,250 ---------------------------------------------------------------------------------------------------------- Euro (EUR) FX Futures, 6/18/12 Call(2) 5/7/12 1.390 100 17,500 ---------------------------------------------------------------------------------------------------------- Euro (EUR) FX Futures, 6/18/12 Put(2) 4/9/12 1.240 190 1,188 ---------------------------------------------------------------------------------------------------------- Euro (EUR) FX Futures, 6/18/12 Put(2) 4/9/12 1.270 193 1,206 ----------------------------------------------------------------------------------------------------------
33 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Expiration Strike Date Price Contracts Value -------------------------------------------------------------------------------------------------------- Euro (EUR) FX Futures, 6/18/12 Put(2) 4/9/12 $ 1.280 44 $ 275 -------------------------------------------------------------------------------------------------------- Euro (EUR) FX Futures, 6/18/12 Put(2) 4/9/12 1.290 71 444 -------------------------------------------------------------------------------------------------------- Euro (EUR) FX Futures, 6/18/12 Put(2) 4/9/12 1.250 200 1,250 -------------------------------------------------------------------------------------------------------- Euro (EUR) FX Futures, 6/18/12 Put(2) 4/9/12 1.290 29 181 -------------------------------------------------------------------------------------------------------- Euro (EUR) FX Futures, 6/18/12 Put(2) 4/9/12 1.310 52 2,275 -------------------------------------------------------------------------------------------------------- Euro (EUR) FX Futures, 6/18/12 Put(2) 4/9/12 1.320 139 17,375 -------------------------------------------------------------------------------------------------------- Euro (EUR) FX Futures, 6/18/12 Put(2) 5/7/12 1.190 99 619 -------------------------------------------------------------------------------------------------------- Euro (EUR) FX Futures, 6/18/12 Put(2) 5/7/12 1.210 99 1,238 -------------------------------------------------------------------------------------------------------- Euro (EUR) FX Futures, 6/18/12 Put(2) 5/7/12 1.240 200 7,500 -------------------------------------------------------------------------------------------------------- Euro (EUR) FX Futures, 6/18/12 Put(2) 5/7/12 1.280 100 26,250 -------------------------------------------------------------------------------------------------------- Euro (EUR) FX Futures, 6/18/12 Put(2) 5/7/12 1.270 190 33,250 -------------------------------------------------------------------------------------------------------- Euro (EUR) FX Futures, 6/18/12 Put(2) 6/11/12 1.250 83 32,163 -------------------------------------------------------------------------------------------------------- Euro (EUR) FX Futures, 6/18/12 Put(2) 6/11/12 1.280 50 40,625 -------------------------------------------------------------------------------------------------------- Euro (EUR) FX Futures, 6/18/12 Put(2) 6/11/12 1.300 20 26,500 -------------------------------------------------------------------------------------------------------- Japanese Yen (JPY) Futures, 6/18/12 Call(2) 4/6/12 129.500 26 163 -------------------------------------------------------------------------------------------------------- Japanese Yen (JPY) Futures, 6/18/12 Call(2) 4/6/12 132.500 26 163 -------------------------------------------------------------------------------------------------------- Japanese Yen (JPY) Futures, 6/18/12 Call(2) 4/6/12 135.000 20 125 -------------------------------------------------------------------------------------------------------- Japanese Yen (JPY) Futures, 6/18/12 Call(2) 4/6/12 138.000 20 125 -------------------------------------------------------------------------------------------------------- Japanese Yen (JPY) Futures, 6/18/12 Call(2) 4/9/12 123.000 15 2,625 -------------------------------------------------------------------------------------------------------- Japanese Yen (JPY) Futures, 6/18/12 Call(2) 4/9/12 125.000 20 750 -------------------------------------------------------------------------------------------------------- Japanese Yen (JPY) Futures, 6/18/12 Call(2) 6/11/12 139.000 20 375 -------------------------------------------------------------------------------------------------------- Japanese Yen (JPY) Futures, 6/18/12 Call(2) 6/11/12 143.000 20 125 -------------------------------------------------------------------------------------------------------- Japanese Yen (JPY) Futures, 6/18/12 Call(2) 6/12/12 134.000 50 5,000 -------------------------------------------------------------------------------------------------------- Japanese Yen (JPY) Put(2) 3/29/13 1USD per 85JPY 204,000,000 82,514 --------------------------------------------------------------------------------------------------------
34 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Expiration Strike Date Price Contracts Value -------------------------------------------------------------------------------------------------------- Mexican Nuevo Peso (MXN) Put (2) 9/26/12 1AUD per 13MXN 1,240,000 $ 27,324 -------------------------------------------------------------------------------------------------------- U.S. Long Bonds Futures, 6/20/12 Put(2) 4/9/12 135.000 92 14,375 -------------------------------------------------------------------------------------------------------- U.S. Long Bonds Futures, 6/20/12 Put(2) 4/9/12 137.000 83 45,391 -------------------------------------------------------------------------------------------------------- U.S. Treasury Nts., 10 yr. Futures, 6/20/12 Call(2) 4/9/12 131.000 93 2,906 -------------------------------------------------------------------------------------------------------- U.S. Treasury Nts., 10 yr. Futures, 6/20/12 Put(2) 4/9/12 129.000 105 80,391 -------------------------------------------------------------------------------------------------------- U.S. Treasury Nts., 10 yr. Futures, 6/20/12 Put(2) 4/23/12 125.500 51 3,188 -------------------------------------------------------------------------------------------------------- U.S. Treasury Nts., 10 yr. Futures, 6/20/12 Put(2) 4/23/12 126.500 463 50,641 -------------------------------------------------------------------------------------------------------- U.S. Treasury Nts., 10 yr. Futures, 6/20/12 Put(2) 4/23/12 127.500 240 45,000 -------------------------------------------------------------------------------------------------------- U.S. Treasury Nts., 10 yr. Futures, 6/20/12 Put(2) 4/23/12 128.000 498 132,281 -------------------------------------------------------------------------------------------------------- U.S. Treasury Nts., 10 yr. Futures, 6/20/12 Put(2) 4/23/12 129.000 106 54,656 -------------------------------------------------------------------------------------------------------- U.S. Treasury Nts., 10 yr. Futures, 6/20/12 Put(2) 5/29/12 123.500 483 45,281 -------------------------------------------------------------------------------------------------------- U.S. Treasury Nts., 10 yr. Futures, 6/20/12 Put(2) 5/29/12 127.000 706 275,781 -------------------------------------------------------------------------------------------------------- U.S. Treasury Nts., 3.125%, 11/15/41 Call(2) 5/30/12 103.470 70,500,000 317,250 -------------------------------------------------------------------------------------------------------- Worst performing of: Euro (EUR) Put/United States Dollar (USD) Call/or the United States Dollar (USD) 1EUR per 1.275USD Call/Japanese Yen (JPY) Put(2) 7/26/12 /1USD per 79.50JPY 4,936,000 27,099 ---------------- Total Options Purchased (Cost $6,564,617) 1,574,867
SWAPTION EXPIRATION DATE NOTIONAL AMOUNT -------------------------------------------------------------------------------------------------------- SWAPTIONS PURCHASED--0.4% Bank of America NA, Swap Counterparty, Interest Rate Swaption (European); Swap Terms: Paid: 2.195%; Received: Three-Month USD BBA LIBOR; Termination Date: 10/2/19 (2) 10/1/12 $ 4,000,000 44,277 -------------------------------------------------------------------------------------------------------- Bank of America NA, Swap Counterparty, Interest Rate Swaption (European); Swap Terms: Paid: 2.275%; Received: Three-Month USD BBA LIBOR; Termination Date: 7/9/22 (2) 7/6/12 29,355,000 655,964 --------------------------------------------------------------------------------------------------------
35 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
SWAPTION EXPIRATION DATE NOTIONAL AMOUNT VALUE -------------------------------------------------------------------------------------------------------- Goldman Sachs Group, Inc. (The), Swap Counterparty, Interest Rate Swaption (European); Swap Terms: Paid: 1.88%; Received: Three-Month USD BBA LIBOR; Termination Date: 7/24/19 (2) 7/23/12 $ 19,685,000 $ 267,575 -------------------------------------------------------------------------------------------------------- Goldman Sachs Group, Inc. (The), Swap Counterparty, Interest Rate Swaption (European); Swap Terms: Paid: 1.945%; Received: Three-Month USD BBA LIBOR; Termination Date: 10/2/19(2) 10/1/12 10,005,000 175,156 -------------------------------------------------------------------------------------------------------- Goldman Sachs Group, Inc. (The), Swap Counterparty, Interest Rate Swaption (European); Swap Terms: Paid: 2.495%; Received: Three-Month USD BBA LIBOR; Termination Date: 11/22/22(2) 11/23/12 37,700,000 1,076,981 -------------------------------------------------------------------------------------------------------- Goldman Sachs Group, Inc. (The), Swap Counterparty, Interest Rate Swaption (European); Swap Terms: Paid: Three-Month USD BBA LIBOR; Received: 2.185%; Termination Date: 7/13/22 (2) 7/12/12 14,735,000 145,538 -------------------------------------------------------------------------------------------------------- Goldman Sachs Group, Inc. (The), Swap Counterparty; Interest Rate Swaption (European); Swap Terms: Paid: 2.185%; Received: Three-Month USD BBA LIBOR; Termination Date: 7/13/22 (2) 7/12/12 14,735,000 409,492 -------------------------------------------------------------------------------------------------------- JPMorgan Chase Bank NA, Swap Counterparty, Interest Rate Swaption (European); Swap Terms: Paid: 1.65%; Received: Three-Month USD BBA LIBOR; Termination Date: 2/25/18 (2) 2/22/13 24,810,000 375,569 -------------------------------------------------------------------------------------------------------- JPMorgan Chase Bank NA, Swap Counterparty, Interest Rate Swaption (European); Swap Terms: Paid: 2.245%; Received: Three-Month USD BBA LIBOR; Termination Date: 7/10/22 (2) 7/9/12 29,420,000 705,746 --------------------------------------------------------------------------------------------------------
36 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
SWAPTION EXPIRATION DATE NOTIONAL AMOUNT VALUE -------------------------------------------------------------------------------------------------------- JPMorgan Chase Bank NA, Swap Counterparty, Interest Rate Swaption (European); Swap Terms: Paid: 2.557%; Received: Six-Month EUR EURIBOR; Termination Date: 2/20/23 (2) 2/19/13 19,830,000EUR $ 649,651 -------------------------------------------------------------------------------------------------------- UBS AG, Swap Counterparty, Interest Rate Swaption (European); Swap Terms: Paid: 1.17%; Received: Six-Month JPY BBA LIBOR; Termination Date: 9/26/22 (2) 9/25/12 990,000,000JPY 118,410 -------------------------------------------------------------------------------------------------------- UBS AG, Swap Counterparty, Interest Rate Swaption (European); Swap Terms: Paid: 2.215%; Received: Three-Month USD BBA LIBOR; Termination Date: 12/4/22(2) 12/3/12 96,515,000 4,118,946 -------------------------------------------------------------------------------------------------------- UBS AG, Swap Counterparty, Interest Rate Swaption (European); Swap Terms: Paid: 2.98%; Received: Six-Month EUR EURIBOR; Termination Date: 3/4/23 (2) 3/1/13 24,830,000EUR 445,759 -------------------------------------------------------------------------------------------------------- UBS AG, Swap Counterparty, Interest Rate Swaption (European); Swap Terms: Paid: 3.025%; Received: Six-Month EUR EURIBOR; Termination Date: 2/27/23 (2) 2/26/13 24,845,000EUR 409,443 ---------------- Total Swaptions Purchased (Cost $11,481,814) 9,598,507
SHARES -------------------------------------------------------------------------------------------------------- INVESTMENT COMPANIES--17.2% Oppenheimer Institutional Money Market Fund, Cl. E, 0.22% (1,17) 31,556,467 31,556,467 -------------------------------------------------------------------------------------------------------- Oppenheimer Master Event-Linked Bond Fund, LLC (1) 4,827,322 54,790,866 -------------------------------------------------------------------------------------------------------- Oppenheimer Master Loan Fund, LLC (1) 24,874,126 308,525,715 -------------------------------------------------------------------------------------------------------- Oppenheimer Short Duration Fund, Cl. Y (1) 1,003,619 10,056,263 ---------------- Total Investment Companies (Cost $405,578,245) 404,929,311 -------------------------------------------------------------------------------------------------------- TOTAL INVESTMENTS, AT VALUE (COST $2,506,175,945) 104.1% 2,455,642,108 -------------------------------------------------------------------------------------------------------- LIABILITIES IN EXCESS OF OTHER ASSETS (4.1) (95,650,355) ------------------------------------------ NET ASSETS 100.0% $ 2,359,991,753 ==========================================
Footnotes to Statement of Investments ---------- * March 30, 2012 represents the last business day of the Fund's quarterly period. See accompanying Notes. 37 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited Principal and Notional amounts 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 EUR Euro GBP British Pound Sterling HUF Hungarian Forint IDR Indonesia Rupiah JPY Japanese Yen MXN Mexican Nuevo Peso MYR Malaysian Ringgit PEN Peruvian New Sol PHP Philippines Peso PLZ Polish Zloty RUR Russian Ruble SEK Swedish Krona SGD Singapore Dollar TRY New Turkish Lira UAH Ukraine Hryvnia ZAR South African Rand 1. Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended March 30, 2012, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows:
SHARES SHARES DECEMBER 30, GROSS GROSS MARCH 30, 2011 (A) ADDITIONS REDUCTIONS 2012 ------------------------------------------------------------------------------------------------------- Oppenheimer Global Strategic Income Fund/VA (Cayman) Ltd.(b) 15,000 -- -- 15,000 Oppenheimer Institutional Money Market Fund, Cl. E 27,393,119 249,078,186 244,914,838 31,556,467 Oppenheimer Master Event-Linked Bond Fund, LLC 4,827,322 -- -- 4,827,322 Oppenheimer Master Loan Fund, LLC 29,466,809 -- 4,592,683 24,874,126 Oppenheimer Short Duration Fund, Cl. Y 1,001,329 2,290 -- 1,003,619
REALIZED VALUE INCOME LOSS ------------------------------------------------------------------------------------------------------------------------------- Oppenheimer Global Strategic Income Fund/VA (Cayman) Ltd.(b) $ 1,467,754 $ -- $ -- Oppenheimer Institutional Money Market Fund, Cl. E 31,556,467 20,398 -- Oppenheimer Master Event-Linked Bond Fund, LLC 54,790,866 1,153,758(c) 2,125,631(c) Oppenheimer Master Loan Fund, LLC 308,525,715 5,807,790(d) 432,961(d) Oppenheimer Short Duration Fund, Cl. Y 10,056,263 17,555 -- ----------------------------------------------------------------- $ 406,397,065 $6,999,501 $2,558,592 =================================================================
a. December 30, 2011 represents the last business day of the Fund's 2011 fiscal year. See accompanying Notes. b. Investment in a wholly-owned subsidiary. See accompanying Notes. c. Represents the amount allocated to the Fund from Oppenheimer Master Event-Linked Bond Fund, LLC. d. Represents the amount allocated to the Fund from Oppenheimer Master Loan Fund, LLC. 2. Non-income producing security. 38 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited 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 $377,544,651 or 16% of the Fund's net assets as of March 30, 2012. 4. 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. 5. Restricted security. The aggregate value of restricted securities as of March 30, 2012 was $95,576,712, which represents 4.05% of the Fund's net assets. See accompanying Notes. Information concerning restricted securities is as follows:
UNREALIZED ACQUISITION APPRECIATION SECURITY DATES COST VALUE (DEPRECIATION) --------------------------------------------------------------------------------------------------------------------- Altegrity, Inc., 10.50% Sr. Unsec. Sub. Nts., 11/1/15 2/17/10 $ 933,748 $ 950,225 $ 16,477 Arco Capital Corp. Ltd. 2/27/07 10,359,570 1,035,957 (9,323,613) Autopistas del Nordeste Cayman Ltd., 9.39% Nts., 1/15/26 11/21/06-10/20/09 2,274,608 2,344,477 69,869 Citigroup Funding, Inc., ALROSA Russia Corporate Bond Credit Linked Unsec. Nts., 8.25%, 6/25/15 3/1/11 678,509 661,939 (16,570) Citigroup Global Markets Holdings, Inc., Colombia (Republic of) Credit Linked Bonds, 11.25%, 10/25/18 12/9/08 1,377,979 2,239,357 861,378 Citigroup Global Markets Holdings, Inc., Colombia (Republic of) Credit Linked Nts., Series 02, 10%, 7/25/24 3/28/12 2,588,522 2,495,542 (92,980) Cleaver-Brooks, Inc., 12.25% Sr. Sec. Nts., 5/1/16 4/21/10-5/3/11 1,889,954 1,955,200 65,246 Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, Series 128, 3.006%, 5/6/25 10/8/10 1,250,796 1,291,475 40,679 Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.061%, 5/6/25 7/16/10 1,585,331 1,645,539 60,208 Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.10%, 5/6/25 5/18/10 1,364,010 1,420,659 56,649 Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.134%, 5/6/25 3/30/10 1,215,217 1,269,890 54,673 Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.187%, 5/6/25 12/17/09 1,506,146 1,581,116 74,970 Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.239%, 5/6/25 9/25/09 1,711,608 1,804,604 92,996 Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.266%, 5/6/25 8/18/09 1,364,444 1,441,667 77,223 Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.343%, 5/6/25 4/16/09 1,274,659 1,355,106 80,447 Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Nts., 12.79%, 12/31/17 9/19/07 6,911,912 9,286,324 2,374,412 Deutsche Bank AG, JSC VTB Bank Credit Linked Nts., 12%, 6/19/12 6/30/11 2,577,004 2,535,657 (41,347) Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2A, 8.265%, 5/22/15 5/21/08 67,269 52,571 (14,698) Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2B, 8.265%, 5/22/15 6/12/08 117,679 91,973 (25,706) Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2C, 8.265%, 5/22/15 6/18/08 1,785,486 1,386,735 (398,751) Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2D, 8.265%, 5/22/15 7/8/08 130,028 101,063 (28,965) Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2E, 8.265%, 5/22/15 7/15/08 94,626 73,424 (21,202) Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2F, 8.265%, 5/22/15 8/8/08 61,263 46,892 (14,371) Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2G, 8.265%, 5/22/15 8/22/08 11,304 8,636 (2,668) Deutsche Bank AG, Russian Federation Credit Linked Nts., 7.35%, 1/22/16 2/2/12 1,724,563 1,780,466 55,903 Deutsche Bank AG, Russian Federation Credit Linked Nts., 7.40%, 6/16/17 2/2/12 1,711,950 1,771,635 59,685 Eirles Two Ltd. Sec. Nts., Series 324, 3.798%, 4/30/12 4/17/07 4,100,214 3,838,420 (261,794) Eirles Two Ltd. Sec. Nts., Series 335, 2.248%, 4/30/12 9/17/07 6,295,624 6,053,040 (242,584)
39 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
UNREALIZED ACQUISITION APPRECIATION SECURITY DATES COST VALUE (DEPRECIATION) --------------------------------------------------------------------------------------------------------------------- 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) Goldman Sachs Capital Markets LP, Colombia (Republic of) Credit Linked Nts., 10.476%, 2/8/37 1/18/07 6,655,136 2,243,012 (4,412,124) Hallertau SPC Credit Linked Nts., Series 2007-01, 2.838%, 12/20/17 12/13/07 6,250,000 5,617,500 (632,500) Hallertau SPC Credit Linked Nts., Series 2008-01, 9.888%, 8/2/10 4/18/08-10/1/08 7,188,001 785,428 (6,402,573) Hallertau SPC Credit Linked Nts., Series 2008-2A, 8.253%, 9/17/13 10/23/08 12,197,552 6,820,359 (5,377,193) Ice 1 Em CLO Ltd./Ice 1 Em CLO Corp., Sr. Sec. Sub. Term Nts., Series 2007-1A, Cl. B, 2.456%, 8/15/22 11/6/07 7,013,735 4,958,100 (2,055,635) Ice 1 Em CLO Ltd./Ice 1 Em CLO Corp., Sr. Sec. Sub. Term Nts., Series 2007-1A, Cl. C, 3.756%, 8/15/22 6/8/07 5,270,000 3,109,300 (2,160,700) Ice 1 Em CLO Ltd./Ice 1 Em CLO Corp., Sr. Sec. Sub. Term Nts., Series 2007-1A, Cl. D, 5.756%, 8/15/22 6/8/07 5,270,000 3,056,600 (2,213,400) Jaguar Land Rover plc, 8.25% Sr. Nts., 3/15/20 3/22/12 384,737 392,854 8,117 JPMorgan Chase & Co., Colombia (Republic of) Credit Linked Nts., 11%, 7/28/20 8/24/10 898,434 911,573 13,139 JPMorgan Hipotecaria su Casita, 8.103% Sec. Nts., 8/26/35 3/21/07 526,714 516,482 (10,232) Lehman Brothers Treasury Co. BV, Microvest Capital Management LLC Credit Linked Nts., 7.55%, 5/24/12 6/20/07 1,090,398 343,732 (746,666) Merrill Lynch, Colombia (Republic of) Credit Linked Nts., 10%, 11/17/16 10/20/06 762,393 1,053,288 290,895 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) Realogy Corp., 7.625% Sr. Sec. Nts., 1/15/20 1/25/12-2/1/12 1,982,604 2,063,875 81,271 Realogy Corp., 9% Sr. Sec. Nts., 1/15/20 1/25/12-2/1/12 1,008,100 1,040,300 32,200 Russian Federation Unsec. Bonds, 4.50%, 4/4/22 3/28/12 2,869,105 2,910,230 41,125 Russian Federation Unsec. Bonds, 5.625%, 4/4/42 3/28/12 4,228,923 4,371,848 142,925 Samson Investment Co., 9.75% Sr. Unsec. Nts., 2/15/20 2/3/12 1,510,000 1,528,875 18,875 Santander Drive Auto Receivables Trust 2011-S1A, Automobile Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/17 2/4/11-4/14/11 198,675 197,949 (726) Schaeffler Finance BV, 8.50% Sr. Sec. Nts., 2/15/19 2/2/12 455,000 483,438 28,438 Sparebank 1 Boligkreditt AS, 2.30% Sec. Bonds, 6/30/17 3/29/12 618,487 618,177 (310) UPCB Finance VI Ltd., 6.875% Sr. Sec. Nts., 1/15/22 1/31/12 1,971,691 2,028,863 57,172 ----------------------------------------- $127,442,471 $95,576,712 $ (31,865,759) =========================================
6. Represents the current interest rate for a variable or increasing rate security. 7. All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after March 30, 2012. See accompanying Notes. 8. 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 $10,289,513 or 0.44% of the Fund's net assets as of March 30, 2012. 9. 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. 10. 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. 11. Zero coupon bond reflects effective yield on the date of purchase. 12. 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 $5,372,892. See accompanying Notes. 13. 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 $3,613,028. See accompanying Notes. 14. Denotes an inflation-indexed security: coupon or principal are indexed to a consumer price index. 15. Interest or dividend is paid-in-kind, when applicable. 16. This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. Rate reported represents the current interest rate for this variable rate security. 17. Rate shown is the 7-day yield as of March 30, 2012. DISTRIBUTION OF INVESTMENTS REPRESENTING GEOGRAPHIC HOLDINGS, AS A PERCENTAGE OF TOTAL INVESTMENTS AT VALUE, IS AS FOLLOWS: 40 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Geographic Holdings Value Percent --------------------------------------------------------------------------------------------------------- United States $1,392,769,996 56.7% Mexico 159,468,701 6.5 Brazil 115,187,807 4.7 Turkey 107,406,567 4.4 Russia 100,869,879 4.1 South Africa 66,237,824 2.7 Japan 50,921,702 2.1 Hungary 43,118,996 1.8 Peru 41,024,811 1.7 Indonesia 36,153,225 1.5 Colombia 33,419,399 1.4 Poland 32,376,959 1.3 Venezuela 32,200,852 1.3 Supranational 21,386,291 0.9 Kazakhstan 18,150,948 0.7 United Kingdom 17,917,930 0.7 Canada 16,178,674 0.7 Italy 12,350,196 0.5 Philippines 11,664,923 0.5 Israel 10,706,202 0.4 Ukraine 10,583,087 0.4 The Netherlands 10,476,833 0.4 Argentina 9,699,578 0.4 Australia 9,589,734 0.4 Uruguay 7,461,966 0.3 France 7,177,562 0.3 India 6,646,303 0.3 Spain 5,985,450 0.2 Chile 5,871,848 0.2 Belgium 5,251,181 0.2 Romania 4,919,250 0.2 Panama 4,614,585 0.2 Germany 4,571,438 0.2 Qatar 4,080,687 0.2 Luxembourg 3,627,290 0.1 Sweden 3,388,625 0.1 Sri Lanka 3,330,503 0.1 Malaysia 3,077,459 0.1 Trinidad & Tobago 3,063,995 0.1 Korea, Republic of South 2,888,058 0.1 Latvia 2,356,950 0.1 Dominican Republic 2,344,477 0.1 Lithuanua 2,336,550 0.1 Austria 2,279,387 0.1 European Union 1,809,718 0.1 United Arab Emirates 1,808,300 0.1 Ghana 1,730,750 0.1 Norway 1,728,177 0.1 Denmark 1,183,310 0.1 Finland 871,296 -- Switzerland 796,815 -- Singapore 579,064 -- ------------------------------------------- Total $ 2,455,642,108 100.0% ===========================================
41 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) Foreign Currency Exchange Contracts as of March 30, 2012 are as follows:
CONTRACT AMOUNT EXPIRATION UNREALIZED UNREALIZED COUNTERPARTY/CONTRACT DESCRIPTION BUY/SELL (000's) DATES VALUE APPRECIATION DEPRECIATION ------------------------------------------------------------------------------------------------------------------------------ BANK OF AMERICA: Chilean Peso (CLP) Buy 1,000 CLP 4/17/12 $ 2,042 $ 8 $ -- Chilean Peso (CLP) Sell 126,400 CLP 4/17/12 258,142 -- 997 Colombian Peso (COP) Sell 2,968,000 COP 5/29/12 1,648,513 7,737 -- Euro (EUR) Buy 3,628 EUR 4/17/12-5/23/12 4,839,798 34,114 10,237 Euro (EUR) Sell 69 EUR 4/17/12 92,032 -- 580 Indian Rupee (INR) Buy 233,000 INR 4/9/12 4,563,866 -- 117,669 Indonesia Rupiah (IDR) Buy 4,682,000 IDR 4/17/12 511,171 1,636 3,955 Indonesia Rupiah (IDR) Sell 21,555,000 IDR 4/9/12 2,355,186 -- 11,232 Malaysian Ringgit (MYR) Buy 99,936 MYR 4/17/12-6/26/12 32,470,889 186,739 141,141 Malaysian Ringgit (MYR) Sell 100 MYR 4/17/12 32,602 -- 225 Mexican Nuevo Peso (MXN) Buy 400 MXN 4/17/12 31,214 201 -- New Taiwan Dollar (TWD) Buy 144,960 TWD 4/6/12-4/12/12 4,911,626 4,846 1,181 New Taiwan Dollar (TWD) Sell 7,740 TWD 4/17/12 262,264 -- 2,451 New Turkish Lira (TRY) Sell 9,515 TRY 4/25/12 5,307,943 -- 214,603 Peruvian New Sol (PEN) Sell 7,100 PEN 4/12/12 2,661,818 -- 31,568 Polish Zloty (PLZ) Buy 12,663 PLZ 4/2/12 4,073,452 31,401 -- Polish Zloty (PLZ) Sell 25,130 PLZ 4/10/12 8,074,850 -- 129,773 Singapore Dollar (SGD) Buy 430 SGD 4/17/12 342,075 -- 1,076 Singapore Dollar (SGD) Sell 140 SGD 4/17/12 111,373 -- 636 -------------------------- 266,682 667,324 ------------------------------------------------------------------------------------------------------------------------------ BANK PARIBAS ASIA Hungarian Forint (HUF) Sell 191,000 HUF 4/25/12 862,079 -- 20,183 ------------------------------------------------------------------------------------------------------------------------------ BARCLAY'S CAPITAL: British Pound Sterling (GBP) Buy 185 GBP 4/17/12 295,873 2,012 -- British Pound Sterling (GBP) Sell 358 GBP 4/17/12 572,554 -- 8,365 Chilean Peso (CLP) Buy 121,000 CLP 4/17/12 247,114 -- 1,473 Chinese Renminbi (Yuan) (CNY) Sell 470 CNY 4/17/12 74,607 44 -- Euro (EUR) Buy 23,749 EUR 4/17/12-7/23/12 31,678,136 494,397 322 Euro (EUR) Sell 1,260 EUR 4/3/12-4/17/12 1,680,904 -- 6,656 Hungarian Forint (HUF) Buy 159,000 HUF 4/25/12 717,647 -- 3,540 Hungarian Forint (HUF) Sell 350,000 HUF 6/12/12 1,569,707 226,380 2,971 Israeli Shekel (ILS) Buy 2,030 ILS 4/2/13 539,920 10,309 -- Israeli Shekel (ILS) Sell 2,030 ILS 4/2/13 539,920 -- 4,003 Mexican Nuevo Peso (MXN) Sell 33,700 MXN 10/18/12 2,585,672 -- 78,698 New Taiwan Dollar (TWD) Buy 500 TWD 4/17/12 16,942 16 -- New Taiwan Dollar (TWD) Sell 2,220 TWD 4/17/12 75,223 -- 671 Norwegian Krone (NOK) Buy 100 NOK 4/17/12 17,549 -- 67 Polish Zloty (PLZ) Sell 470 PLZ 5/23/12 150,300 537 -- Russian Ruble (RUR) Buy 17,930 RUR 4/17/12 609,906 9,933 23 Swedish Krona (SEK) Buy 4,560 SEK 4/17/12 688,778 16,598 -- Swedish Krona (SEK) Sell 5,920 SEK 4/30/12 893,725 -- 10,315 -------------------------- 760,226 117,104 ------------------------------------------------------------------------------------------------------------------------------ CITIGROUP: Australian Dollar (AUD) Buy 7,431 AUD 4/17/12-4/30/12 7,673,065 -- 188,270 Australian Dollar (AUD) Sell 6,165 AUD 4/17/12-5/23/12 6,350,460 201,561 -- Brazilian Real (BRR) Buy 1,640 BRR 5/3/12 891,731 -- 4,957
42 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited
Contract Amount Expiration Unrealized Unrealized Counterparty/Contract Description Buy/Sell (000's) Dates Value Appreciation Depreciation ------------------------------------------------------------------------------------------------------------------------------ Brazilian Real (BRR) Sell 17,856 BRR 5/3/12 9,708,997 52,962 -- British Pound Sterling (GBP) Sell 245 GBP 5/23/12 391,732 -- 4,443 Canadian Dollar (CAD) Buy 4,145 CAD 4/19/12 4,154,041 -- 22,294 Chilean Peso (CLP) Buy 890,400 CLP 4/17/12-6/14/12 1,806,078 -- 12,655 Chilean Peso (CLP) Sell 426,000 CLP 4/17/12 870,005 2,019 2,887 Chinese Renminbi (Yuan) (CNY) Buy 470 CNY 4/17/12 74,607 -- 74 Colombian Peso (COP) Buy 9,748,138 COP 4/2/12-6/12/12 5,442,081 13,042 21,808 Colombian Peso (COP) Sell 5,526,100 COP 4/9/12-5/29/12 3,077,963 8,659 7,817 Egyptian Pounds (EGP) Buy 17,580 EGP 4/17/12 2,885,427 81,599 -- Euro (EUR) Buy 18,644 EUR 4/23/12-4/26/12 24,868,419 575,668 -- Euro (EUR) Sell 1,344 EUR 4/26/12-5/10/12 1,793,210 15,609 30,013 Hungarian Forint (HUF) Buy 350,000 HUF 6/12/12 1,569,707 10,896 -- Hungarian Forint (HUF) Sell 6,384,000 HUF 6/12/12 28,631,461 -- 198,735 Indian Rupee (INR) Buy 690 INR 4/17/12 13,490 113 -- Japanese Yen (JPY) Buy 5,000 JPY 4/17/12 60,418 250 -- Japanese Yen (JPY) Sell 15,000 JPY 4/17/12 181,254 7,029 -- Mexican Nuevo Peso (MXN) Buy 8,800 MXN 10/18/12 675,190 1,332 -- Mexican Nuevo Peso (MXN) Sell 383,065 MXN 4/17/12-10/18/12 29,532,351 68,774 65,955 New Taiwan Dollar (TWD) Sell 135,000 TWD 4/6/12 4,574,147 9,894 -- Philippines Peso (PHP) Buy 1,350 PHP 4/17/12 31,404 -- 94 Singapore Dollar (SGD) Sell 570 SGD 4/17/12 453,449 102 2 Swedish Krona (SEK) Sell 4,980 SEK 5/23/12 751,121 -- 21,914 Swiss Franc (CHF) Buy 45 CHF 5/10/12 49,875 295 -- -------------------------- 1,049,804 581,918 ------------------------------------------------------------------------------------------------------------------------------ CREDIT SUISSE: British Pound Sterling (GBP) Sell 320 GBP 5/23/12 511,650 -- 7,589 New Turkish Lira (TRY) Sell 34,120 TRY 5/10/12-7/17/13 18,823,969 -- 432,391 Norwegian Krone (NOK) Sell 60,000 NOK 5/10/12 10,519,632 -- 161,321 Polish Zloty (PLZ) Buy 10,930 PLZ 4/10/12 3,512,062 65,199 -- Russian Ruble (RUR) Buy 155,080 RUR 4/26/12 5,268,365 12,484 -- South African Rand (ZAR) Buy 260 ZAR 4/17/12 33,810 -- 437 South African Rand (ZAR) Sell 208,220 ZAR 4/11/12-5/15/12 27,031,523 1,884 1,022,671 Swedish Krona (SEK) Buy 5,920 SEK 4/30/12 893,725 19,163 -- -------------------------- 98,730 1,624,409 ------------------------------------------------------------------------------------------------------------------------------ DEUTSCHE BANK SECURITIES, INC.: Australian Dollar (AUD) Sell 6,150 AUD 4/30/12 6,348,911 19,906 -- British Pound Sterling (GBP) Buy 2,610 GBP 4/19/12 4,174,157 72,140 -- Euro (EUR) Sell 8,785 EUR 4/23/12 11,717,692 -- 385,894 Hungarian Forint (HUF) Buy 450,000 HUF 4/25/12 2,031,075 2,999 5,209 Indian Rupee (INR) Buy 16,680 INR 4/17/12 326,101 3,840 629 Indian Rupee (INR) Sell 233,000 INR 4/9/12 4,563,866 102,667 -- Indonesia Rupiah (IDR) Sell 1,557,400 IDR 4/17/12 170,034 3,589 -- Malaysian Ringgit (MYR) Buy 7,410 MYR 5/10/12 2,411,902 -- 48,666 Mexican Nuevo Peso (MXN) Buy 2,240 MXN 4/17/12 174,797 -- 1,769 New Turkish Lira (TRY) Buy 30,880 TRY 5/10/12 17,165,826 -- 78,827 Philippines Peso (PHP) Sell 123,000 PHP 4/19/12 2,860,790 -- 33,204 Polish Zloty (PLZ) Buy 2,270 PLZ 4/10/12 729,403 13,710 -- Russian Ruble (RUR) Sell 220 RUR 4/17/12 7,484 -- 12 Singapore Dollar (SGD) Buy 17,737 SGD 4/17/12 14,110,210 314,725 26 South African Rand (ZAR) Sell 142,490 ZAR 6/12/12 18,376,745 294,307 --
43 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited
Contract Amount Expiration Unrealized Unrealized Counterparty/Contract Description Buy/Sell (000's) Dates Value Appreciation Depreciation ------------------------------------------------------------------------------------------------------------------------------ South Korean Won (KRW) Buy 20,097,000 KRW 4/17/12-6/19/12 17,633,994 -- 42,496 -------------------------- 827,883 596,732 ------------------------------------------------------------------------------------------------------------------------------ GOLDMAN SACHS & CO.: British Pound Sterling (GBP) Buy 278 GBP 4/17/12 444,609 8,818 -- British Pound Sterling (GBP) Sell 144 GBP 4/17/12 230,301 -- 906 Czech Koruna (CZK) Sell 7,150 CZK 4/17/12 384,679 -- 19,450 Euro (EUR) Sell 9,950 EUR 4/25/12 13,271,710 -- 294,422 Hungarian Forint (HUF) Buy 938,000 HUF 4/25/12 4,233,663 55,114 -- Hungarian Forint (HUF) Sell 707,000 HUF 4/25/12 3,191,045 -- 150,848 Japanese Yen (JPY) Buy 771,000 JPY 5/23/12 9,319,445 -- 274,673 Mexican Nuevo Peso (MXN) Sell 757,400 MXN 5/3/12-12/20/12 58,254,996 173 324,873 New Turkish Lira (TRY) Buy 8,632 TRY 4/3/12-4/25/12 4,818,843 310,262 125 New Turkish Lira (TRY) Sell 3,810 TRY 4/25/12 2,125,409 -- 21,889 Polish Zloty (PLZ) Buy 18,740 PLZ 4/10/12 6,021,595 162,509 -- Polish Zloty (PLZ) Sell 9,740 PLZ 4/10/12-5/23/12 3,127,031 -- 10,538 South African Rand (ZAR) Buy 54 ZAR 4/17/12 7,022 63 -- South African Rand (ZAR) Sell 240 ZAR 4/17/12 31,209 -- 281 -------------------------- 536,939 1,098,005 ------------------------------------------------------------------------------------------------------------------------------ HSBC: Indonesia Rupiah (IDR) Buy 16,399,000 IDR 5/9/12 1,786,376 -- 33,713 New Turkish Lira (TRY) Buy 3,240 TRY 7/17/13 1,658,143 -- 5,529 New Turkish Lira (TRY) Sell 91,370 TRY 11/7/12 48,967,570 50,670 -- -------------------------- 50,670 39,242 ------------------------------------------------------------------------------------------------------------------------------ JP MORGAN CHASE: Australian Dollar (AUD) Buy 292 AUD 4/17/12 301,888 -- 10,197 Australian Dollar (AUD) Sell 120 AUD 4/17/12 124,064 2,806 -- Canadian Dollar (CAD) Buy 67 CAD 4/2/12-4/17/12 67,238 35 374 Canadian Dollar (CAD) Sell 160 CAD 4/17/12 160,355 -- 346 Colombian Peso (COP) Buy 939,000 COP 4/17/12 524,164 1,931 1,021 Czech Koruna (CZK) Buy 7,150 CZK 4/17/12 384,679 4,010 -- Egyptian Pounds (EGP) Sell 17,580 EGP 4/17/12 2,885,427 -- 72,627 Euro (EUR) Sell 21,129 EUR 4/2/12-7/23/12 28,184,757 -- 673,282 Hungarian Forint (HUF) Sell 210,000 HUF 10/24/12 926,456 23,857 -- Indonesia Rupiah (IDR) Buy 26,137,000 IDR 5/9/12 2,847,156 -- 55,209 Malaysian Ringgit (MYR) Buy 400 MYR 4/17/12 130,409 -- 1,110 Mexican Nuevo Peso (MXN) Buy 1,610 MXN 4/17/12 125,635 668 -- New Taiwan Dollar (TWD) Buy 1,260 TWD 4/17/12 42,694 26 -- Norwegian Krone (NOK) Buy 10 NOK 4/17/12 1,755 1 -- Singapore Dollar (SGD) Buy 280 SGD 4/17/12 222,747 -- 2,366 South African Rand (ZAR) Buy 133,580 ZAR 5/10/12 17,311,373 -- 26,096 South Korean Won (KRW) Buy 73,200 KRW 4/17/12 64,519 39 22 -------------------------- 33,373 842,650 ------------------------------------------------------------------------------------------------------------------------------ MORGAN STANLEY & CO., INC. Japanese Yen (JPY) Buy 499,000 JPY 4/19/12 6,029,823 44,241 -- ------------------------------------------------------------------------------------------------------------------------------ NOMURA SECURITIES: Canadian Dollar (CAD) Sell 146 CAD 4/17/12 146,324 241 274 Euro (EUR) Sell 8,865 EUR 4/23/12 11,824,399 -- 163,466 Japanese Yen (JPY) Buy 15,000 JPY 4/17/12 181,254 -- 3,044 Norwegian Krone (NOK) Buy 60,000 NOK 5/10/12 10,519,632 142,241 -- Swedish Krona (SEK) Sell 4,460 SEK 4/17/12 673,673 -- 18,333
44 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited
Contract Amount Expiration Unrealized Unrealized Counterparty/Contract Description Buy/Sell (000's) Dates Value Appreciation Depreciation ------------------------------------------------------------------------------------------------------------------------------ Swiss Franc (CHF) Buy 435 CHF 5/10/12 482,124 -- 4,284 -------------------------- 142,482 189,401 ------------------------------------------------------------------------------------------------------------------------------ RBS GREENWICH CAPITAL: New Zealand Dollar (NZD) Buy 230 NZD 4/17/12 188,109 -- 3,714 New Zealand Dollar (NZD) Sell 269 NZD 4/17/12 220,005 27 1,678 Swiss Franc (CHF) Buy 2,115 CHF 4/19/12-4/26/12 2,343,606 53,706 -- Swiss Franc (CHF) Sell 1,185 CHF 4/26/12 1,313,132 -- 32,047 -------------------------- 53,733 37,439 ------------------------------------------------------------------------------------------------------------------------------ STANDARD CHARTERED BANK Malaysian Ringgit (MYR) Buy 21,310 MYR 5/10/12 6,936,253 -- 129,396 ------------------------------------------------------------------------------------------------------------------------------ STATE STREET: Australian Dollar (AUD) Buy 100 AUD 4/17/12 103,386 -- 1,110 Australian Dollar (AUD) Sell 300 AUD 4/17/12 310,159 4,440 -- New Turkish Lira (TRY) Buy 600 TRY 4/17/12 335,329 5,723 -- South African Rand (ZAR) Buy 2,220 ZAR 4/17/12 288,685 52 1,925 South African Rand (ZAR) Sell 14 ZAR 4/17/12 1,821 2 -- -------------------------- 10,217 3,035 ------------------------------------------------------------------------------------------------------------------------------ UBS INVESTMENT BANK: Indonesia Rupiah (IDR) Buy 44,383,000 IDR 4/9/12-7/9/12 4,825,312 2,235 49,701 Polish Zloty (PLZ) Buy 55,280 PLZ 5/10/12 17,703,353 385,600 -- -------------------------- 387,835 49,701 ------------------------------------------------------------------------------------------------------------------------------ WESTPAC: Australian Dollar (AUD) Buy 438 AUD 4/17/12 452,832 -- 6,521 Australian Dollar (AUD) Sell 636 AUD 4/17/12 657,537 11,985 -- Canadian Dollar (CAD) Buy 473 CAD 4/17/12 474,050 1,315 1,418 Canadian Dollar (CAD) Sell 490 CAD 4/17/12 491,088 -- 2,957 Japanese Yen (JPY) Buy 13,000 JPY 4/17/12 157,087 -- 1,155 New Zealand Dollar (NZD) Buy 353 NZD 4/17/12 288,706 1,440 33 New Zealand Dollar (NZD) Sell 500 NZD 4/17/12 408,932 3,646 1,079 -------------------------- 18,386 13,163 -------------------------- Total unrealized appreciation and depreciation $4,281,201 $6,009,702 ==========================
FUTURES CONTRACTS AS OF MARCH 30, 2012 ARE AS FOLLOWS:
UNREALIZED NUMBER OF EXPIRATION APPRECIATION CONTRACT DESCRIPTION BUY/SELL CONTRACTS DATE VALUE (DEPRECIATION) ----------------------------------------------------------------------------------------------------------------------------- Euro-Bundesobligation Sell 10 6/7/12 $1,655,263 $ 1,588 Euro-Bundesobligation Sell 12 6/7/12 2,216,461 (7,359) Financial Times Stock Exchange 100 Index (The) Sell 14 6/15/12 1,282,997 41,335 NIKKEI 225 Index Sell 28 6/7/12 3,413,314 (205,555) SPI 200 Index Sell 14 6/21/12 1,575,270 (19,729) Standard & Poor's 500 E-Mini Index Buy 432 6/15/12 30,309,120 271,128 Standard & Poor's 500 E-Mini Index Sell 480 6/15/12 33,676,800 (303,432) Standard & Poor's/Toronto Stock Exchange 60 Index Sell 6 6/14/12 847,802 4,065 U.S. Long Bonds Buy 408 6/20/12 56,202,000 (1,263,315) U.S. Long Bonds Sell 125 6/20/12 17,218,750 377,441 U.S. Treasury Nts., 2 yr. Sell 314 6/29/12 69,124,157 26,924 U.S. Treasury Nts., 5 yr. Buy 48 6/29/12 5,881,875 (40,169) U.S. Treasury Nts., 5 yr. Sell 105 6/29/12 12,866,602 53,684
45 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited
UNREALIZED NUMBER OF EXPIRATION APPRECIATION CONTRACT DESCRIPTION BUY/SELL CONTRACTS DATE VALUE (DEPRECIATION) ----------------------------------------------------------------------------------------------------------------------------- U.S. Treasury Nts., 10 yr. Buy 1,282 6/20/12 165,998,969 (1,935,628) U.S. Treasury Nts., 10 yr. Sell 328 6/20/12 42,470,875 379,443 U.S. Treasury Ultra Bonds Buy 197 6/20/12 29,740,844 (1,251,847) ---------------- $ (3,871,426) ================
WRITTEN OPTIONS AS OF MARCH 30, 2012 ARE AS FOLLOWS:
UNREALIZED NUMBER OF EXERCISE EXPIRATION PREMIUMS APPRECIATION/ DESCRIPTION TYPE CONTRACTS PRICE DATE RECEIVED VALUE (DEPRECIATION) -------------------------------------------------------------------------------------------------------------------------------- Euro (EUR) FX Futures, 5/21/12 Call 399 $ 1.400 5/7/12 $ 44,261 $(29,925) $ 14,336 Euro (EUR) FX Futures, 6/18/12 Call 200 1.375 5/7/12 72,186 (62,500) 9,686 Euro (EUR) FX Futures, 6/18/12 Call 100 1.370 5/7/12 36,067 (40,000) (3,933) Euro (EUR) FX Futures, 6/18/12 Call 50 1.400 6/11/12 17,399 (18,750) (1,351) Euro (EUR) FX Futures, 6/18/12 Call 26 1.365 4/9/12 8,965 (488) 8,477 Euro (EUR) FX Futures, 6/18/12 Call 25 1.420 6/11/12 21,200 (4,688) 16,512 Euro (EUR) FX Futures, 6/18/12 Put 442 1.250 4/9/12 43,567 (2,763) 40,804 Euro (EUR) FX Futures, 6/18/12 Put 381 1.260 4/9/12 70,883 (2,381) 68,502 Euro (EUR) FX Futures, 6/18/12 Put 298 1.255 4/9/12 51,682 (1,863) 49,819 Euro (EUR) FX Futures, 6/18/12 Put 200 1.220 5/7/12 25,846 (3,750) 22,096 Euro (EUR) FX Futures, 6/18/12 Put 200 1.250 5/7/12 47,186 (12,500) 34,686 Euro (EUR) FX Futures, 6/18/12 Put 200 1.260 5/7/12 34,686 (22,500) 12,186 Euro (EUR) FX Futures, 6/18/12 Put 199 1.200 5/7/12 41,975 (1,244) 40,731 Euro (EUR) FX Futures, 6/18/12 Put 197 1.150 6/11/12 150,557 (3,694) 146,863 Euro (EUR) FX Futures, 6/18/12 Put 150 1.200 6/11/12 49,697 (13,125) 36,572 Euro (EUR) FX Futures, 6/18/12 Put 135 1.300 4/9/12 7,284 (3,375) 3,909 Euro (EUR) FX Futures, 6/18/12 Put 66 1.275 4/9/12 4,851 (413) 4,438 Euro (EUR) FX Futures, 6/18/12 Put 30 1.295 4/9/12 688 (375) 313 Euro (EUR) FX Futures, 6/18/12 Put 3 1.265 4/9/12 1,083 (19) 1,064 Euro (EUR) FX Futures, 6/18/12 Put 2 1.220 6/11/12 372 (325) 47 Japanese Yen (JPY) Call 677,000,000 1USD per 82JPY 4/5/12 46,399 (46,395) 4 Japanese Yen (JPY) Call 207,905,000 1USD per 82JPY 9/20/12 53,624 (68,536) (14,912) Japanese Yen (JPY) Put 677,000,000 1USD per 82JPY 4/5/12 46,399 (46,395) 4 Japanese Yen (JPY) Put 204,000,000 1USD per 90JPY 3/29/13 38,647 (41,385) (2,738) Japanese Yen (JPY) Futures, 6/18/12 Call 53 131.000 4/6/12 5,259 (331) 4,928 Japanese Yen (JPY) Futures, 6/18/12 Call 50 136.000 6/11/12 2,422 (2,188) 234 Japanese Yen (JPY) Futures, 6/18/12 Call 50 138.000 6/11/12 7,609 (1,250) 6,359 Japanese Yen (JPY) Futures, 6/18/12 Call 40 124.000 4/9/12 5,550 (3,000) 2,550 Japanese Yen (JPY) Futures, 6/18/12 Call 40 141.000 6/11/12 5,937 (500) 5,437 Japanese Yen (JPY) Futures, 6/18/12 Call 39 136.500 4/6/12 6,496 (244) 6,252 U.S. Long Bonds Futures, 6/20/12 Put 186 136.000 4/9/12 25,816 (55,219) (29,403) U.S. Treasury Nts., 10 yr. Futures, 6/20/12 Put 980 127.000 4/23/12 312,782 (137,813) 174,969 U.S. Treasury Nts., 10 yr. Futures, 6/20/12 Put 404 126.000 4/23/12 20,504 (31,563) (11,059) U.S. Treasury Nts., 10 yr. Futures, 6/20/12 Put 380 124.500 4/23/12 38,866 (11,875) 26,991 U.S. Treasury Nts., 10 yr. Futures, 6/20/12 Put 242 125.000 4/23/12 11,010 (11,344) (334) U.S. Treasury Nts., 10 yr. Futures, 6/20/12 Put 227 128.000 4/9/12 10,791 (21,281) (10,490) U.S. Treasury Nts., 10 yr. Futures, 6/20/12 Put 966 124.500 5/29/12 164,698 (135,844) 28,854 U.S. Treasury Nts., 10 yr. Futures, 6/20/12 Put 223 125.500 5/29/12 38,020 (45,297) (7,277) -------------------------------------- $1,571,264 $(885,138) $ 686,126 ======================================
46 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) CREDIT DEFAULT SWAP CONTRACTS AS OF MARCH 30, 2012 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) ---------------------------------------------------------------------------------------------------------------------------------- ALCOA, INC. Goldman Sachs International Buy $4,500 1.0% 3/20/17 $ (529,060) $358,124 $ (170,936) -------- ------------------------------------------ Total 4,500 (529,060) 358,124 (170,936) ---------------------------------------------------------------------------------------------------------------------------------- BARRICK GOLD CORP. Barclays Bank plc Buy 4,740 1.0 3/20/17 (30,692) 47,116 16,424 -------- ------------------------------------------ Total 4,740 (30,692) 47,116 16,424 ---------------------------------------------------------------------------------------------------------------------------------- BRAZIL (FEDERATIVE REPUBLIC OF) Deutsche Bank AG Sell 3,800 1.0 6/20/17 33,856 (45,075) (11,219) -------- ------------------------------------------ Total 3,800 33,856 (45,075) (11,219) ---------------------------------------------------------------------------------------------------------------------------------- CARNIVAL CORP. Credit Suisse International Buy 4,740 1.0 3/20/17 (153,375) 103,699 (49,676) -------- ------------------------------------------ Total 4,740 (153,375) 103,699 (49,676) ---------------------------------------------------------------------------------------------------------------------------------- CDX EMERGING MARKET INDEX, SERIES 17 Deutsche Bank AG Buy 5,920 5.0 6/20/17 771,244 (726,225) 45,019 -------- ------------------------------------------ Total 5,920 771,244 (726,225) 45,019 ---------------------------------------------------------------------------------------------------------------------------------- EXPEDIA, INC. Citibank NA Sell 4,740 1.0 3/20/17 246,533 (248,714) (2,181) -------- ------------------------------------------ Total 4,740 246,533 (248,714) (2,181) ---------------------------------------------------------------------------------------------------------------------------------- GATX CORP. UBS AG Sell 4,500 1.0 3/20/17 253,984 (130,839) 123,145 -------- ------------------------------------------ Total 4,500 253,984 (130,839) 123,145 ---------------------------------------------------------------------------------------------------------------------------------- HALLIBURTON CO. Credit Suisse International Buy 4,500 1.0 3/20/17 (52,969) (73,498) (126,467) -------- ------------------------------------------ Total 4,500 (52,969) (73,498) (126,467) ---------------------------------------------------------------------------------------------------------------------------------- ISTANBUL BOND CO. SA FOR FINANSBANK AS Morgan Stanley Capital Services, Inc. Sell 3,100 1.3 3/24/13 -- (65,384) (65,384) -------- ------------------------------------------ Total 3,100 -- (65,384) (65,384) ---------------------------------------------------------------------------------------------------------------------------------- MACY'S, INC. Credit Suisse International Sell 4,650 1.0 3/20/17 5,421 (7,040) (1,619) -------- ------------------------------------------ Total 4,650 5,421 (7,040) (1,619) ---------------------------------------------------------------------------------------------------------------------------------- NABORS INDUSTRIES, INC. Credit Suisse International Buy 4,650 1.0 3/20/17 (118,284) 70,021 (48,263) -------- ------------------------------------------ Total 4,650 (118,284) 70,021 (48,263) ---------------------------------------------------------------------------------------------------------------------------------- PERU (REPUBLIC OF) Deutsche Bank AG Buy 10,000 1.0 6/20/17 (79,220) 120,076 40,856 -------- ------------------------------------------ Total 10,000 (79,220) 120,076 40,856 ---------------------------------------------------------------------------------------------------------------------------------- RUSSIAN FEDERATION Goldman Sachs International Buy 14,700 1.0 6/20/17 (554,039) 609,703 55,664 -------- ------------------------------------------ Total 14,700 (554,039) 609,703 55,664 ---------------------------------------------------------------------------------------------------------------------------------- SLM CORP. Bank of America NA Sell 4,500 5.0 3/20/17 157,710 175,054 332,764 -------- ------------------------------------------ Total 4,500 157,710 175,054 332,764 ----------------------------------------------------------------------------------------------------------------------------------
47 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
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) ---------------------------------------------------------------------------------------------------------------------------------- THE GAP, INC. Bank of America NA Sell 4,740 1.0 3/20/17 244,471 (247,779) (3,308) --------- ---------------------------------------- Total 4,740 244,471 (247,779) (3,308) ---------------------------------------------------------------------------------------------------------------------------------- TURKEY (REPUBLIC OF) Goldman Sachs International Sell 14,700 1.0 6/20/17 821,454 (915,844) (94,390) --------- ---------------------------------------- Total 14,700 821,454 (915,844) (94,390) ---------------------------------------- Grand Total Buys (746,395) 509,016 (237,379) Grand Total Sells 1,763,429 (1,485,621) 277,808 ---------------------------------------- Total Credit Default Swaps $1,017,034 $(976,605) $ 40,429 ========================================
The table that follows shows the undiscounted maximum potential payment by the Fund related to selling credit protection in credit default swaps:
Total Maximum Potential Type of Reference Asset on which the Fund Sold Payments for Selling Credit Reference Asset Protection Protection (Undiscounted) Amount Recoverable* Rating Range ** ------------------------------------------------------------------------------------------------------------------------------- Investment Grade Single Name Corporate Debt $21,490,000 $ -- BBB to BBB- Non-Investment Grade Single Name Corporate Debt 4,740,000 -- BB+ Investment Grade Sovereign Debt 3,800,000 -- BBB Non-Investment Grade Sovereign Debt 14,700,000 -- BB ---------------------------------------------------- Total $44,730,000 $ -- ====================================================
* 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 MARCH 30, 2012 ARE AS FOLLOWS:
NOTIONAL INTEREST RATE/ AMOUNT PAID BY RECEIVED BY TERMINATION SWAP COUNTERPARTY (000'S) THE FUND THE FUND DATE VALUE --------------------------------------------------------------------------------------------------------------------------------- BZDI: Bank of America NA $ 8,380 BRR BZDI 9.565% 1/2/14 $ 7,485 Citibank NA 8,380 BRR BZDI 9.490 1/2/14 4,608 Goldman Sachs Group, Inc. (The) 10,600 BRR BZDI 11.390 1/5/15 176,868 Goldman Sachs Group, Inc. (The) 9,300 BRR BZDI 10.380 1/2/17 (6,179) Goldman Sachs Group, Inc. (The) 25,985 BRR BZDI 9.490 1/2/14 9,164 Goldman Sachs Group, Inc. (The) 8,380 BRR BZDI 9.480 1/2/14 1,828 ------------- ------------ Total 71,025 BRR 193,774 --------------------------------------------------------------------------------------------------------------------------------- MXN TIIE BANXICO: Credit Suisse International 13,300 MXN MXN TIIE BANXICO 7.010 7/24/31 (77,546) Merrill Lynch & Co., Inc. 7,270 MXN MXN TIIE BANXICO 6.990 7/24/31 (43,591) ------------- ------------ Total 20,570 MXN (121,137) --------------------------------------------------------------------------------------------------------------------------------- Six-Month AUD BBR BBSW: Six-Month AUD Barclays Bank plc 2,800 AUD 4.533% BBR BBSW 9/14/17 9,773 Six-Month AUD Westpac Banking Corp. 5,455 AUD 4.990 BBR BBSW 11/3/21 (109,475) ------------- ------------ Total where Fund pays a fixed rate 8,255 AUD (99,702) ------------- ------------ Barclays Bank plc 6,575 AUD Three-Month AUD 4.140 9/14/14 BBR BBSW 20,827 ------------- ------------ Total where Fund pays a variable rate 6,575 AUD 20,827 ------------- ------------ Total 14,830 AUD (78,875) ---------------------------------------------------------------------------------------------------------------------------------
48 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited
NOTIONAL INTEREST RATE/ AMOUNT PAID BY RECEIVED BY TERMINATION SWAP COUNTERPARTY (000'S) THE FUND THE FUND DATE VALUE --------------------------------------------------------------------------------------------------------------------------------- SIX-MONTH EUR EURIBOR: Six-Month EUR Bank of America Merrill Lynch 760 EUR EURIBOR 2.218 1/4/21 2,934 Six-Month EUR Bank of America NA 760 EUR EURIBOR 2.166 1/4/21 -- Six-Month EUR Royal Bank of Scotland plc (The) 2,255 EUR EURIBOR 1.475 1/4/17 (9,192) ------------- ------------ Total 3,775 EUR (6,258) --------------------------------------------------------------------------------------------------------------------------------- THREE-MONTH CAD BA CDOR: Three-Month CAD Bank of America Merrill Lynch 1,860 CAD BA CDOR 1.861 3/28/17 966 Three-Month CAD JPMorgan Chase Bank NA 2,010 CAD BA CDOR 2.390 3/6/22 (25,395) ------------- ------------ Total 3,870 CAD (24,429) --------------------------------------------------------------------------------------------------------------------------------- THREE-MONTH NZD BBR FRA Three-Month NZD Deutsche Bank AG 7,015 NZD BBR FRA 4.050 2/2/22 (163,345) --------------------------------------------------------------------------------------------------------------------------------- THREE-MONTH SEK STIBOR SIDE Three-Month Goldman Sachs Group, Inc. (The) 39,350 SEK 2.440 SEK STIBOR SIDE 11/3/21 55,243 --------------------------------------------------------------------------------------------------------------------------------- THREE-MONTH USD BBA LIBOR: Three-Month JPMorgan Chase Bank NA 1,990 2.040 USD BBA LIBOR 3/8/22 40,923 Three-Month USD Barclays Bank plc 5,870 BBA LIBOR 2.358 11/2/21 118,178 ------------- ------------ Total 7,860 159,101 --------------------------------------------------------------------------------------------------------------------------------- THREE-MONTH ZAR JIBAR SAFEX: Three-Month ZAR Barclays Bank plc 13,300 ZAR JIBAR SAFEX 7.480 8/17/21 (9,057) Three-Month ZAR Goldman Sachs Group, Inc. (The) 13,500 ZAR JIBAR SAFEX 7.480 8/17/21 (9,193) Three-Month ZAR HSBC Bank USA NA 13,300 ZAR JIBAR SAFEX 7.470 8/17/21 (10,256) ------------- ------------ Total 40,100 ZAR (28,506) ------------ Total Interest Rate Swaps $ (14,432) ============
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 EUR Euro MXN Mexican Nuevo Peso NZD New Zealand Dollar SEK Swedish Krona ZAR South African Rand Abbreviations/Definitions are as follows: BA CDOR Canada Bankers Acceptances Deposit Offering Rate BANXICO Banco de Mexico 49 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) BBA LIBOR British Bankers' Association London-Interbank Offered Rate BBR BBSW Bank Bill Swap Reference Rate (Australian Financial Market) BBR FRA Bank Bill Rate Forward Rate Agreement BZDI Brazil Interbank Deposit Rate EURIBOR Euro Interbank Offered Rate JIBAR South Africa Johannesburg Interbank Agreed Rate SAFEX South African Futures Exchange STIBOR SIDE Stockholm Interbank Offered Rate TIIE Interbank Equilibrium Interest Rate TOTAL RETURN SWAP CONTRACTS AS OF MARCH 30, 2012 ARE AS FOLLOWS:
NOTIONAL REFERENCE ENTITY/ AMOUNT PAID BY RECEIVED BY TERMINATION SWAP COUNTERPARTY (000'S) THE FUND THE FUND DATE VALUE ------------------------------------------------------------------------------------------------------------------------------- AMEX MATERIALS SELECT SECTOR One-Month USD BBA LIBOR plus 12 basis points and if negative, the If positive, absolute value of the Total Return the Total Return of of the AMEX the AMEX Materials Materials Select UBS AG $ 1,942 Select Sector Index Sector Index 2/6/13 $ (19,797) ------------------------------------------------------------------------------------------------------------------------------- CUSTOM BASKET OF SECURITIES: One-Month JPY BBA LIBOR plus 53 basis points and if negative, the If positive, absolute value of the Total Return the Total Return of of a Custom a Custom Basket of Basket of Citibank NA 321,893 JPY Securities Securities 4/16/12 87,213 One-Month CAD BA CDOR plus 30 basis points and if negative, the If positive, absolute value of the Total Return the Total Return of of a Custom a Custom Basket of Basket of Citibank NA 3,109 CAD Securities Securities 3/6/13 25,178 One-Month AUD BBA LIBOR plus 50 basis points and if negative, the If positive, absolute value of the Total Return the Total Return of of a Custom a Custom Basket of Basket of Citibank NA 2,941 AUD Securities Securities 3/8/13 141,851 One-Month USD BBA LIBOR plus 18 basis points and if negative, the If positive, absolute value of the Total Return the Total Return of of a Custom a Custom Basket of Basket of Goldman Sachs Group, Inc. (The) 23,616 Securities Securities 3/7/13 799,190 One-Month GBP BBA LIBOR plus 50 basis points and if negative, the If positive, absolute value of the Total Return the Total Return of of a Custom a Custom Basket of Basket of Morgan Stanley 989 GBP Securities Securities 1/10/13 6,462 ------------ Reference Entity Total 1,059,894 -------------------------------------------------------------------------------------------------------------------------------
50 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited
NOTIONAL REFERENCE ENTITY/ AMOUNT PAID BY RECEIVED BY TERMINATION SWAP COUNTERPARTY (000'S) THE FUND THE FUND DATE VALUE ------------------------------------------------------------------------------------------------------------------------------- ENERGY SELECT SECTOR INDEX One-Month USD BBA LIBOR plus 12 basis points and if negative, the If positive, absolute value of the Total Return the Total Return of of the Energy the Energy Select Select Sector UBS AG 1,954 Sector Index Index 2/6/13 (99,816) ------------------------------------------------------------------------------------------------------------------------------- FINANCIAL SELECT SECTOR INDEX One-Month USD BBA LIBOR plus 5 basis points and if negative, the If positive, absolute value of the Total Return the Total Return of of the Financial the Financial Select Select Sector UBS AG 1,967 Sector Index Index 3/7/13 123,247 ------------ Total of Total Return Swaps $ 1,063,528 ============
Notional amount is reported in U.S. Dollars (USD), except for those denoted in the following currencies: AUD Australian Dollar CAD Canadian Dollar GBP British Pounds Sterling JPY Japanese Yen Abbreviations are as follows: AMEX American Stock Exchange BA CDOR Canada Bankers Acceptances Deposit offering Rate British Bankers' Association London-Interbank BBA LIBOR Offered Rate VOLATILITY SWAPS AS OF MARCH 30, 2012 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 period Goldman Sachs Group, Inc. (The) 32 AUD 3/7/12 to 4/4/12 7.450% 4/10/12 $ 20,934 -------------------------------------------------------------------------------------------------------------------------------- EUR/NZD Spot Exchange Rate The Historic Volatility of the mid EUR/NZD spot exchange rate during the period Bank of America NA 26 EUR 9.900 % 3/5/12 to 4/4/12 4/10/12 18,276 --------------------------------------------------------------------------------------------------------------------------------
51 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited
NOTIONAL REFERENCE ENTITY/ AMOUNT PAID BY RECEIVED BY TERMINATION SWAP COUNTERPARTY (000'S) THE FUND THE FUND DATE VALUE -------------------------------------------------------------------------------------------------------------------------------- NZD/CAD SPOT EXCHANGE RATE The Historic Volatility of the mid NZD/CAD spot exchange rate during the period Bank of America NA 81 NZD 9.400 3/19/12 to 4/19/12 4/21/12 (82,391) -------------------------------------------------------------------------------------------------------------------------------- NZD/JPY SPOT EXCHANGE RATE The Historic Volatility of the mid NZD/JPY spot exchange rate during the period Credit Suisse International 42 NZD 14.600 3/6/12 to 4/4/12 4/10/12 (19,366) -------------------------------------------------------------------------------------------------------------------------------- USD/NOK SPOT EXCHANGE RATE: The Historic Volatility of the mid USD/NOK spot exchange rate during the period Bank of America NA 55 13.200 3/14/12 to 4/12/12 4/16/12 (168,044) The Historic Volatility of the mid USD/NOK spot exchange rate during the period Credit Suisse International 55 12.150 3/13/12 to 4/12/12 4/16/12 31,975 The Historic Volatility of the mid USD/NOK spot exchange rate during the period Deutsche Bank AG 34 11.450 3/9/12 to 4/11/12 4/13/12 28,643 The Historic Volatility of the mid USD/NOK spot exchange rate during the period Goldman Sachs Group, Inc. (The) 55 12.100 3/12/12 to 4/12/12 4/16/12 21,899 The Historic Volatility of the mid USD/NOK spot exchange rate during the period Goldman Sachs Group, Inc. (The) 55 12.900 3/15/12 to 4/17/12 4/19/12 (141,884) The Historic Volatility of the mid USD/NOK spot exchange rate during the period Royal Bank of Scotland plc (The) 55 12.400 3/16/12 to 4/18/12 4/20/12 (119,600) ------------ Reference Entity Total (347,011) -------------------------------------------------------------------------------------------------------------------------------- USD/SEK SPOT EXCHANGE RATE The Historic Volatility of the mid USD/SEK spot exchange rate during the period Goldman Sachs Group, Inc. (The) 34 11.500 3/8/12 to 4/10/12 4/12/12 (24,054) ------------ Total Volatility Swaps $ (433,612) ------------
52 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) Notional amount is reported in U.S. Dollars (USD), except for those denoted in the following currencies: AUD Australian Dollar EUR Euro NZD New Zealand Dollar Abbreviations are as follows: CAD Canadian Dollar JPY Japanese Yen NOK Norwegian Krone SEK Swedish Krona Swap Summary as of March 30, 2012 is as follows:
NOTIONAL SWAP TYPE FROM AMOUNT SWAP COUNTERPARTY FUND PERSPECTIVE (000'S) VALUE --------------------------------------------------------------------------------------------------------------------------- Bank of America Merrill Lynch: Interest Rate 1,860 CAD $ 966 Interest Rate 760 EUR 2,934 -------------------- 3,900 --------------------------------------------------------------------------------------------------------------------------- Bank of America NA: Credit Default Sell Protection 9,240 (72,725) Interest Rate 8,380 BRR 7,485 Interest Rate 760 EUR -- Volatility 26 EUR 18,276 Volatility 81 NZD (82,391) Volatility 55 (168,044) -------------------- (297,399) --------------------------------------------------------------------------------------------------------------------------- Barclays Bank plc: Credit Default Buy Protection 4,740 47,116 Interest Rate 9,375 AUD 30,600 Interest Rate 5,870 118,178 Interest Rate 13,300 ZAR (9,057) -------------------- 186,837 --------------------------------------------------------------------------------------------------------------------------- Citibank NA: Credit Default Sell Protection 4,740 (248,714) Interest Rate 8,380 BRR 4,608 Total Return 2,941 AUD 141,851 Total Return 3,109 CAD 25,178 Total Return 321,893 JPY 87,213 -------------------- 10,136 --------------------------------------------------------------------------------------------------------------------------- Credit Suisse International: Credit Default Buy Protection 13,890 100,222 Credit Default Sell Protection 4,650 (7,040) Interest Rate 13,300 MXN (77,546) Volatility 42 NZD (19,366) Volatility 55 31,975 -------------------- 28,245 ---------------------------------------------------------------------------------------------------------------------------
53 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
NOTIONAL SWAP TYPE FROM AMOUNT SWAP COUNTERPARTY FUND PERSPECTIVE (000'S) VALUE --------------------------------------------------------------------------------------------------------------------------- Deutsche Bank AG: Credit Default Buy Protection 15,920 (606,149) Credit Default Sell Protection 3,800 (45,075) Interest Rate 7,015 NZD (163,345) Volatility 34 28,643 ---------------- (785,926) --------------------------------------------------------------------------------------------------------------------------- Goldman Sachs Group, Inc. (The): Interest Rate 54,265 BRR 181,681 Interest Rate 39,350 SEK 55,243 Interest Rate 13,500 ZAR (9,193) Total Return 23,616 799,190 Volatility 32 AUD 20,934 Volatility 144 (144,039) ---------------- 903,816 --------------------------------------------------------------------------------------------------------------------------- Goldman Sachs International: Credit Default Buy Protection 19,200 967,827 Credit Default Sell Protection 14,700 (915,844) ---------------- 51,983 --------------------------------------------------------------------------------------------------------------------------- HSBC Bank USA NA Interest Rate 13,300 ZAR (10,256) --------------------------------------------------------------------------------------------------------------------------- JPMorgan Chase Bank NA: Interest Rate 2,010 CAD (25,395) Interest Rate 1,990 40,923 ---------------- 15,528 --------------------------------------------------------------------------------------------------------------------------- Merrill Lynch & Co., Inc. Interest Rate 7,270 MXN (43,591) --------------------------------------------------------------------------------------------------------------------------- Morgan Stanley Total Return 989 GBP 6,462 --------------------------------------------------------------------------------------------------------------------------- Morgan Stanley Capital Services, Inc. Credit Default Sell Protection 3,100 (65,384) --------------------------------------------------------------------------------------------------------------------------- Royal Bank of Scotland plc (The): Interest Rate 2,255 EUR (9,192) Volatility 55 (119,600) ---------------- (128,792) --------------------------------------------------------------------------------------------------------------------------- UBS AG: Credit Default Sell Protection 4,500 (130,839) Total Return 5,863 3,634 ---------------- (127,205) --------------------------------------------------------------------------------------------------------------------------- Westpac Banking Corp. Interest Rate 5,455 AUD (109,475) ---------------- Total Swaps $ (361,121) ================
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 EUR Euro GBP British Pound Sterling JPY Japanese Yen MXN Mexican Nuevo Peso NZD New Zealand Dollar SEK Swedish Krona ZAR South African Rand 54 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) As of March 30, 2012, the Fund had entered into the following written swaption contracts:
NOTIONAL UNREALIZED REFERENCE ENTITY / SWAPTION UNDERLYING SWAP TYPE AMOUNT EXPIRATION PREMIUM APPRECIATION SWAPTION COUNTERPARTY DESCRIPTION FROM FUND PERSPECTIVE (000'S) DATE RECEIVED VALUE (DEPRECIATION) ----------------------------------------------------------------------------------------------------------------------------------- Six-Month EUR EURIBOR: Interest Rate Swaption (European); Swap Terms: Paid: 2.65%; Received: Six-Month EUR EURIBOR; Goldman Sachs Group, Termination Interest Rate Pay Inc. (The) Date: 12/1/42 Fixed 14,900 EUR 11/30/12 $750,380 $(550,798) $ 199,582 Interest Rate Swaption (European); Swap Terms: Paid: 2.71%; Received: Six-Month EUR EURIBOR; Goldman Sachs Group, Termination Interest Rate Pay Inc. (The) Date: 11/17/42 Fixed 14,850 EUR 11/16/12 805,251 (603,971) 201,280 ----------------------------------- 1,555,631 (1,154,769) 400,862 ---------------------------------------------------------------------------------------------------------------------------------- Six-Month GBP BBA LIBOR Interest Rate Swaption (European); Swap Terms: Paid: 3.231%; Received: Six-Month GBP BBA LIBOR; Termination Interest Rate Pay JPMorgan Chase Bank NA Date: 2/14/43 Fixed 500 GBP 2/15/13 49,596 (39,506) 10,090 ---------------------------------------------------------------------------------------------------------------------------------- Six-Month JPY BBA LIBOR Interest Rate Swaption (European); Swap Terms: Paid: 1.67%; Received: Six-Month JPY BBA LIBOR; Termination Interest Rate Pay UBS AG Date: 9/26/22 Fixed 990,600 JPY 9/25/12 37,202 (14,098) 23,104 ---------------------------------------------------------------------------------------------------------------------------------- Three-Month CAD BA CDOR: Interest Rate Swaption (Euorpean); Swap Terms: Paid: 2.27%; Received: Three-Month CAD BA CDOR; Termination Interest Rate Pay Bank of America NA Date: 8/27/22 Fixed 9,945 CAD 8/28/12 112,485 (96,901) 15,584 Interest Rate Swaption (European); Swap Terms: Paid: 2.30%; Received: Three-Month CAD BA CDOR; Termination Interest Rate Pay Bank of America NA Date: 9/5/22 Fixed 4,970 CAD 9/6/12 53,495 (54,912) (1,417)
55 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Notional Unrealized Reference Entity / Swaption Underlying Swap Type Amount Expiration Premium Appreciation Swaption Counterparty Description from Fund Perspective (000's) Date Received Value (Depreciation) ----------------------------------------------------------------------------------------------------------------------------------- Interest Rate Swaption (European); Swap Terms: Paid: 2.53%; Received: Three-Month CAD BA CDOR; Termination Interest Rate Pay Bank of America NA Date: 9/24/22 Fixed 5,010 CAD 9/25/12 56,687 (102,058) (45,371) Interest Rate Swaption (European); Swap Terms: Paid: 2.61%; Received: Three-Month CAD BA CDOR; Termination Interest Rate Pay Bank of America NA Date: 9/21/22 Fixed 10,000 CAD 9/24/12 113,883 (237,757) (123,874) Interest Rate Swaption (European); Swap Terms: Paid: 2.665%; Received: Three-Month CAD BA CDOR; Termination Interest Rate Pay Bank of America NA Date: 6/27/22 Fixed 10,005 CAD 6/28/12 152,848 (220,174) (67,326) ----------------------------------- 489,398 (711,802) (222,404) ---------------------------------------------------------------------------------------------------------------------------------- THREE-MONTH USD BBA LIBOR: Interest Rate Swaption (European); Swap Terms: Paid: 2.93%; Received: Three-Month USD BBA LIBOR; Termination Interest Rate Pay Bank of America NA Date: 8/18/22 Fixed 19,810 8/17/12 213,948 (147,306) 66,642 Interest Rate Swaption (European); Swap Terms: Paid: 2.315%; Received: Three-Month USD BBA LIBOR; Termination Interest Rate Pay Bank of America NA Date: 5/31/22 Fixed 42,600 5/30/12 1,233,270 (530,595) 702,675 Interest Rate Swaption (European); Swap Terms: Paid: 2.1625%; Received: Three-Month USD BBA LIBOR; Goldman Sachs Group, Termination Interest Rate Pay Inc. (The) Date: 8/20/24 Fixed 74,290 8/17/12 1,190,126 (577,444) 612,682
56 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Notional Unrealized Reference Entity / Swaption Underlying Swap Type Amount Expiration Premium Appreciation Swaption Counterparty Description from Fund Perspective (000's) Date Received Value (Depreciation) ----------------------------------------------------------------------------------------------------------------------------------- Interest Rate Swaption (European); Swap Terms: Paid: 2.89%; Received: Three-Month USD BBA LIBOR; Goldman Sachs Group, Termination Interest Rate Pay Inc. (The) Date: 8/30/22 Fixed 49,720 8/29/12 518,331 (365,479) 152,852 Interest Rate Swaption (European); Swap Terms: Paid: 2.91%; Received: Three-Month USD BBA LIBOR; Goldman Sachs Group, Termination Interest Rate Pay Inc. (The) Date: 8/17/22 Fixed 24,750 8/16/12 262,350 (175,968) 86,382 Interest Rate Swaption (European); Swap Terms: Paid: 2.92%; Received: Three-Month USD BBA LIBOR; Goldman Sachs Group, Termination Interest Rate Pay Inc. (The) Date: 9/10/22 Fixed 49,680 9/7/12 524,124 (410,919) 113,205 Interest Rate Swaption (European); Swap Terms: Paid: 3%; Received: Three-Month USD BBA LIBOR; Goldman Sachs Group, Termination Interest Rate Pay Inc. (The) Date: 8/24/22 Fixed 19,845 8/23/12 210,357 (173,772) 36,585 ------------------------------------ Total where Fund pays a fixed rate 4,152,506 (2,381,483) 1,771,023 ------------------------------------ Interest Rate Swaption (European); Swap Terms: Paid: Three-Month USD BBA LIBOR; Received: 1.175%; Bank of America NA Termination Interest Rate Pay Date: 10/2/15 Floating 9,000 10/1/12 18,090 (19,079) (989) Interest Rate Swaption (European); Swap Terms: Paid: Three-Month USD BBA LIBOR; Received: 1.115%; Goldman Sachs Group, Termination Interest Rate Pay Inc. (The) Date: 10/2/15 Floating 29,425 10/1/12 106,666 (107,504) (838) Interest Rate Swaption (European); Swap Terms: Paid: Three-Month USD BBA LIBOR; Received: 2.25%; Goldman Sachs Group, Termination Interest Rate Pay Inc. (The) Date: 12/19/16 Floating 49,885 12/18/12 249,425 (229,658) 19,767
57 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Notional Unrealized Reference Entity / Swaption Underlying Swap Type Amount Expiration Premium Appreciation Swaption Counterparty Description from Fund Perspective (000's) Date Received Value (Depreciation) ----------------------------------------------------------------------------------------------------------------------------------- Interest Rate Swaption (European); Swap Terms: Paid: Three-Month USD BBA LIBOR; Received: 2.35%; Goldman Sachs Group, Termination Interest Rate Pay Inc. (The) Date: 12/19/16 Floating 29,965 12/18/12 157,316 (123,149) 34,167 Interest Rate Swaption (European); Swap Terms: Paid: Three-Month USD BBA LIBOR; Received: 3%; Termination Interest Rate Pay JPMorgan Chase Bank NA Date: 9/19/22 Floating 24,940 9/18/12 280,575 (208,518) 72,057 ------------------------------------- Total where Fund pays a floating rate 812,072 (687,908) 124,164 ------------------------------------- Total 4,964,578 1,895,187 (3,069,391) ------------------------------------- Total Written Swaptions $7,096,405 $(4,989,566) $ 2,106,839 -------------------------------------
Notional amount is reported in U.S. Dollars (USD), except for those denoted in the following currencies: CAD Canadian Dollar EUR Euro GBP British Pound Sterling JPY Japanese Yen Abbreviations/Definitions are as follows: BA CDOR Canada Bankers Acceptances Deposit Offering Rate BBA LIBOR British Bankers' Association London-Interbank Offered Rate EURIBOR Euro Interbank Offered Rate Notes to Statement of Investments QUARTERLY AND ANNUAL PERIODS. The last day of the Fund's quarterly period was the last day the New York Stock Exchange was open for trading. The Fund's financial statements have been presented through that date to maintain consistency with the Fund's net asset value calculations used for shareholder transactions. The last day of the Fund's fiscal year was the last day the New York Stock Exchange was open for trading. The Fund's financial statements have been presented through that date to maintain consistency with the Fund's net asset value calculations used for shareholder transactions. 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 58 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) 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 March 30, 2012, 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 $100,859,031 Sold securities 2,841,968
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 March 30, 2012 is as follows: Cost $30,253,319 ----------- Market Value $ 6,728,277 ----------- Market Value as a % of Net Assets 0.29% ----------- INVESTMENT IN OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA (CAYMAN) LTD. The Fund has established a Cayman Islands company that is wholly-owned and controlled by the Fund (the "Subsidiary"). The Fund may invest up to 25% of its total assets in the Subsidiary. The Subsidiary invests primarily in commodity-linked derivatives (including commodity related futures, options and swap contracts), exchange traded funds and certain fixed-income securities and other investments that may serve as margin or collateral for its derivatives positions. Investments in the Subsidiary are expected to provide the Fund with exposure to commodities markets within the limitations of the federal tax requirements that apply to the Fund. The Subsidiary is subject to the same investment restrictions and guidelines, and follows the same compliance policies and procedures, as the Fund. The Fund wholly owns and controls the Subsidiary, and the Fund and Subsidiary are both managed by the Manager. 59 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) The Fund does not consolidate the assets, liabilities, capital or operations of the Subsidiary into its financial statements. Rather, the Subsidiary is separately presented as an investment in the Fund's Statement of Investments. Shares of the Subsidiary are valued at their net asset value per share. Gains or losses on withdrawals of capital from the Subsidiary by the Fund are recognized on an average cost basis. Unrealized appreciation or depreciation on the Fund's investment in the Subsidiary is recorded in the Fund's Statement of Assets and Liabilities in the annual and semiannual reports and the Fund's Statement of Operations in the annual and semiannual reports. Distributions received from the Subsidiary are recorded as income on the ex-dividend date. 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. 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. The Fund's Board has adopted procedures for the valuation of the Fund's securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a "fair valuation" for any security for which market quotations are not "readily available." The Valuation Committee's fair valuation determinations are subject to review, approval and ratification by the Fund's Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Valuation Methods and inputs Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or dealers. 60 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) The following methodologies are used to determine the market value or the fair value of the types of securities described below: Securities traded on a registered U.S. securities exchange (including exchange-traded derivatives other than futures and futures options) 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. 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 security of a foreign issuer traded on a foreign exchange but not listed on a registered U.S. securities exchange is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the third party pricing service used by the Manager, prior to the time when the Fund's assets are valued. If the last sale price is unavailable, the security is valued at the most recent official closing price on the principal exchange on which it is traded. If the last sales price or official closing price for a foreign security is not available, the security is valued at the mean between the bid and asked price per the exchange or, if not available from the exchange, obtained from two dealers. If bid and asked prices are not available from either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of priority); (1) using a bid from the exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer. Shares of a registered investment company that are not traded on an exchange are valued at that investment company's net asset value per share. Corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, event-linked bonds, loans, mortgage-backed securities, collateralized mortgage obligations, and asset-backed securities are valued at the mean between the "bid" and "asked" prices utilizing evaluated prices obtained from third party pricing services or broker-dealers who may use matrix pricing methods to determine the evaluated prices. Short-term money market type debt securities with a remaining maturity 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. Short-term debt securities with a remaining maturity in excess of sixty days are valued at the mean between the "bid" and "asked" prices utilizing evaluated prices obtained from third party pricing services or broker-dealers. Structured securities, swaps, swaptions, and other over-the-counter derivatives are valued utilizing evaluated prices obtained from third party pricing services or broker-dealers. Forward foreign currency exchange contracts are valued utilizing current and forward currency rates obtained from third party pricing services. When the settlement date of a contract is an interim date for which a quotation is not available, interpolated values are derived using the nearest dated forward currency rate. Futures contracts and futures options 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. A description of the standard inputs that may generally be considered by the third party pricing vendors in determining their evaluated prices is provided below.
STANDARD INPUTS GENERALLY CONSIDERED BY THIRD-PARTY SECURITY TYPE PRICING VENDORS ------------------------------------------------------------------------------------------------ Corporate debt, government debt, Reported trade data, municipal, mortgage-backed and broker-dealer price quotations, asset-backed securities benchmark yields, issuer spreads on comparable securities, the credit quality, yield, maturity, and other appropriate factors. ------------------------------------------------------------------------------------------------ Loans Information obtained from market participants regarding reported trade data and broker-dealer price quotations. ------------------------------------------------------------------------------------------------
61 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
STANDARD INPUTS GENERALLY CONSIDERED BY THIRD-PARTY SECURITY TYPE PRICING VENDORS ------------------------------------------------------------------------------------------------ Structured securities Relevant market information such as the price of underlying financial instruments, stock market indices, foreign currencies, interest rate spreads, commodities, or the occurrence of other specific events. ------------------------------------------------------------------------------------------------ Swaps Relevant market information, including underlying reference assets such as credit spreads, credit event probabilities, index values, individual security values, forward interest rates, variable interest rates, volatility measures, and forward currency rates. ------------------------------------------------------------------------------------------------ Event-linked bonds Information obtained from market participants regarding reported trade data and broker-dealer price quotations. ------------------------------------------------------------------------------------------------
If a market value or price cannot be determined for a security using the methodologies described above, or if, in the "good faith" opinion of the Manager, the market value or price obtained does not constitute a "readily available market quotation," or a significant event has occurred that would materially affect the value of the security the security is fair valued either (i) by a standardized fair valuation methodology applicable to the security type or the significant event as previously approved by the Valuation Committee and the Fund's Board or (ii) as determined in good faith by the Manager's Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. Fair value determinations by the Manager are subject to review, approval and ratification by the Fund's Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Those fair valuation standardized methodologies include, but are not limited to, valuing securities at the last sale price or 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 further adjusted for any discounts related to security-specific 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 nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security. To assess the continuing appropriateness of security valuations, the Manager, or its third party service provider who is subject to oversight by the Manager, regularly compares prior day prices, prices on comparable securities, and sale prices to the current day prices and challenges those prices exceeding certain tolerance levels with the third party pricing service or broker source. For those securities valued by fair valuations, whether through a standardized fair valuation methodology or a fair valuation determination, the Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available. Classifications 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. 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 inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. The table below categorizes amounts as of March 30, 2012 based on valuation input level: 62 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Level 2- Level 3- Level 1- Other Significant Significant Unadjusted Observable Unobservable Quoted Prices Inputs Inputs Value --------------------------------- -------------------- ------------------ --------------------- ------------------- ASSETS TABLE INVESTMENTS, AT VALUE: Wholly-Owned Subsidiary $ -- $ 1,467,754 $ -- $ 1,467,754 Asset-Backed Securities -- 2,923,394 11,124,000 14,047,394 Mortgage-Backed Obligations -- 459,200,056 1,162,199 460,362,255 U.S. Government Obligations -- 135,220,642 -- 135,220,642 Foreign Government Obligations -- 680,928,519 -- 680,928,519 Loan Participations -- 21,802,908 -- 21,802,908 Corporate Bonds and Notes 392,854 615,533,412 -- 615,926,266 Preferred Stocks -- 1,699,639 2,475,510 4,175,149 Common Stocks 4,388,910 4,349,948 -- 8,738,858 Rights, Warrants and Certificates -- -- 420 420 Structured Securities -- 89,662,933 7,206,325 96,869,258 Options Purchased 1,064,207 510,660 -- 1,574,867 Swaptions Purchased -- 9,598,507 -- 9,598,507 Investment Companies 41,612,730 363,316,581 -- 404,929,311 -------------------- ------------------ --------------------- ------------------- Total Investments, at Value 47,458,701 2,386,214,953 21,968,454 2,455,642,108 OTHER FINANCIAL INSTRUMENTS: Appreciated swaps, at value -- 2,705,614 -- 2,705,614 Depreciated swaps, at value -- 531,844 -- 531,844 Futures margins 417,146 -- -- 417,146 Foreign currency exchange contracts -- 4,281,201 -- 4,281,201 -------------------- ------------------ --------------------- ------------------- Total Assets $ 47,875,847 $ 2,393,733,612 $ 21,968,454 $ 2,463,577,913 -------------------- ------------------ --------------------- ------------------- LIABILITIES TABLE OTHER FINANCIAL INSTRUMENTS: Appreciated swaps, at value $ -- $ (857,064) $ -- $ (857,064) Depreciated swaps, at value -- (2,741,515) -- (2,741,515) Appreciated options written, at value (458,973) (92,790) -- (551,763) Depreciated options written, at value (223,454) (109,921) -- (333,375) Appreciated swaptions written , at value -- (4,248,082) -- (4,248,082) Depreciated swaptions written, at value -- (741,484) -- (741,484) Futures margins (1,477,858) -- -- (1,477,858) Foreign currency exchange contracts -- (6,009,702) -- (6,009,702) -------------------- ------------------ --------------------- ------------------- Total Liabilities $ (2,160,285) $ (14,800,558) $ -- $ (16,960,843) -------------------- ------------------ --------------------- -------------------
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 transfers between 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 INTO TRANSFERS OUT OF LEVEL 2* LEVEL 3* -------------------------------------------------------- ------------------- ASSETS TABLE INVESTMENTS, AT VALUE: Common Stocks $ 208,932 $ (208,932) ---------------- ------------------ Total Assets $ 208,932 $ (208,932) ---------------- ------------------
* Transferred from Level 3 to Level 2 because of the presence of observable market data due to an increase in market activities for those securities. 63 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) There have been no significant changes to the fair valuation methodologies of the Fund during the period. The net asset value per share of the Subsidiary is determined as of the close of the Exchange, on each day the Exchange is open for trading. The net asset value per share is determined by dividing the value of the Subsidiary's net assets by the number of shares that are outstanding. The Subsidiary values its investments in the same manner as the Fund as described above. 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. 64 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) 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 March 30, 2012, the maximum amount of loss that the Fund would incur if the counterparties to its derivative transactions failed to perform would be $19,865,634, 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 $8,077,327 as of March 30, 2012. 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 March 30, 2012 the Fund has required certain counterparties to post collateral of $3,203,684. 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 March 30, 2012, the aggregate fair value of derivative instruments with credit related contingent features in a net liability position was $5,542,925, for which the Fund has posted collateral of $3,613,028. If a contingent feature would have been triggered as of March 30, 2012, 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. 65 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) 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 March 30, 2012, the Fund had daily average contract amounts on forward foreign currency contracts to buy and sell of $481,941,311 and $734,753,592, respectively. 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. 66 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) 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 March 30, 2012, the Fund had an ending monthly average market value of $411,219,321 and $190,500,971 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. 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 and/or euro 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 and/or euro 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 March 30, 2012, the Fund had an ending monthly average market value of $2,638,807 and $1,057,848 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. 67 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) The Fund has written call options on treasury and/or euro 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. The Fund has written put options on treasury and/or euro 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. During the period ended March 30, 2012, the Fund had an ending monthly average market value of $735,770 and $597,814 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 March 30, 2012 was as follows:
CALL OPTIONS PUT OPTIONS --------------------------------------- -------------------------------------- NUMBER OF AMOUNT OF NUMBER OF AMOUNT OF CONTRACTS PREMIUMS CONTRACTS PREMIUMS --------------------------------------------------------------------------------------------------------------- Options outstanding as of December 30, 2011 115,871,391,682 $ 2,007,763 134,242,404,666 $ 1,464,690 Options written 1,831,910,914 1,245,962 1,828,028,960 4,288,167 Options closed or expired (116,818,396,524) (2,920,351) (134,241,472,312) (4,351,495) Options exercised -- -- (947,955,203) (163,472) --------------------------------------------------------------------------------- Options outstanding as of March 30, 2012 884,906,072 $ 333,374 881,006,111 $ 1,237,890 =================================================================================
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 68 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) principal on the debt security, bankruptcy or restructuring. The Fund may enter into credit default swaps either by buying or selling protection on a single security, 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. 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 March 30, 2012, the Fund had ending monthly average notional amounts of $59,995,000 and $43,460,000 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 March 30, 2012, the Fund had ending monthly average notional amounts of $35,107,877 and $87,054,784 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 69 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) the reference asset typically includes appreciation or depreciation on the reference asset, plus any interest or dividend payments. Total return swap contracts are exposed to the market risk factor of the specific underlying financial instrument or index. Total return swaps are less standard in structure than other types of swaps and can isolate and/or, include multiple types of market risk factors including equity risk, credit risk, and interest rate risk. The Fund has entered into total return swaps 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 March 30, 2012, the Fund had ending monthly average notional amounts of $57,682,265 and $16,084,452 on total return swaps which are long the reference asset and total return swaps which are short the reference asset, respectively. 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 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 March 30, 2012, the Fund had ending monthly average notional amounts of $550,000 on currency swaps. Additional associated risks to the Fund include counterparty credit risk and liquidity risk. As of March 30, 2012, 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. 70 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) 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 March 30, 2012, the Fund had ending monthly average notional amounts of $135,916 and $219,464 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. SWAPTION TRANSACTIONS The Fund may enter into a swaption contract which grants the purchaser the right, but not the obligation, to enter into a swap transaction at preset terms detailed in the underlying agreement within a specified period of time. The purchaser pays a premium to the swaption writer who bears the risk of unfavorable changes in the preset terms on the underlying swap. Swaptions are marked to market daily using primarily portfolio pricing services or quotations from counterparties and brokers. Purchased swaptions are reported as a component of investments in the Statement of Investments, the Statement of Assets and Liabilities in the annual and semiannual reports and the Statement of Operations in the annual and semiannual reports. Written swaptions are reported on a schedule following the Statement of Investments and their value is reported as a separate asset or liability line item in the Statement of Assets and Liabilities in the annual and semiannual reports. The net change in unrealized appreciation or depreciation on written swaptions is separately reported in the Statement of Operations in the annual and semiannual reports. When a swaption is exercised, the cost of the swap is adjusted by the amount of premium paid or received. Upon the expiration or closing of an unexercised swaption contract, a gain or loss is reported in the Statement of Operations in the annual and semiannual reports for the amount of the premium paid or received. The Fund generally will incur a greater risk when it writes a swaption than when it purchases a swaption. When the Fund writes a swaption it will become obligated, upon exercise of the swaption, according to the terms of the underlying agreement. Swaption contracts written by the Fund do not give rise to counterparty credit risk as they obligate the Fund, not its counterparty, to perform. When the Fund purchases a swaption it only risks losing the amount of the premium it paid if the swaption expires unexercised. However, when the Fund exercises a purchased swaption there is a risk that the counterparty will fail to perform or otherwise default on its obligations under the swaption contract. The Fund purchased swaptions which gives it the option to enter into an interest rate swap in which it pays a floating interest rate and receives a fixed interest rate in order to increase exposure to interest rate risk. A purchased swaption of this type becomes more valuable as the reference interest rate depreciates relative to the preset interest rate. The Fund has purchased swaptions which gives it the option to enter into an interest rate swap in which it pays a fixed interest rate and receives a floating interest rate in order to decrease exposure to interest rate risk. A purchased swaption of this type becomes more valuable as the reference interest rate appreciates relative to the preset interest rate. The Fund has written swaptions which gives it the obligation, if exercised by the purchaser, to enter into an interest rate swap in which it pays a floating interest rate and receives a fixed interest rate in order to increase exposure to interest rate risk. A written swaption of this type becomes more valuable as the reference interest rate depreciates relative to the preset interest rate. 71 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Global Strategic Income Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) The Fund has written swaptions which gives it the obligation, if exercised by the purchaser, to enter into an interest rate swap in which it pays a fixed interest rate and receives a floating interest rate in order to decrease exposure to interest rate risk. A written swaption of this type becomes more valuable as the reference interest rate appreciates relative to the preset interest rate. During the period ended March 30, 2012, the Fund had an ending monthly average market value of $6,482,346 and $5,789,092 on purchased and written swaptions, respectively. Written swaption activity for the period ended March 30, 2012 was as follows:
Call Swaptions --------------------------------------------- Notional Amount of Amount Premiums -------------------------------------------------------------------------------------------------------------------- Swaptions outstanding as of December 30, 2011 $ 385,315,000 $ 8,188,797 Swaptions written 1,479,965,000 6,279,554 Swaptions closed or expired (380,590,000) (7,371,946) --------------------------------------------- Swaptions outstanding as of March 30, 2012 $ 1,484,690,000 $ 7,096,405 =============================================
RESTRICTED SECURITIES As of March 30, 2012, 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 March 30, 2012 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 $ 2,507,605,691 Federal tax cost of other investments 96,738,914 ----------------- Total federal tax cost $ 2,604,344,605 ================= Gross unrealized appreciation $ 145,933,945 Gross unrealized depreciation (198,746,708) ----------------- Net unrealized depreciation $ (52,812,763) =================
72 | Oppenheimer Global Strategic Income Fund/VA Oppenheimer Value Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Shares Value ----------------------------------------------------------------------------------- COMMON STOCKS-96.3% ----------------------------------------------------------------------------------- CONSUMER DISCRETIONARY-9.3% ----------------------------------------------------------------------------------- AUTOMOBILES-1.7% Ford Motor Co. 10,040 $125,400 ----------------------------------------------------------------------------------- HOUSEHOLD DURABLES-2.0% Mohawk Industries, Inc.(1) 2,300 152,973 ----------------------------------------------------------------------------------- MEDIA-2.8% Comcast Corp., Cl. A 4,030 120,940 ----------------------------------------------------------------------------------- Viacom, Inc., Cl. B 2,020 95,869 ------- 216,809 ----------------------------------------------------------------------------------- MULTILINE RETAIL-2.4% Target Corp. 3,070 178,889 ----------------------------------------------------------------------------------- SPECIALTY RETAIL-0.4% Talbots, Inc. (The)(1) 10,180 30,845 ----------------------------------------------------------------------------------- CONSUMER STAPLES-8.5% ----------------------------------------------------------------------------------- BEVERAGES-4.1% Coca-Cola Co. (The) 3,380 250,154 ----------------------------------------------------------------------------------- Molson Coors Brewing Co., Cl. B, Non-Vtg. 1,290 58,373 ------- 308,527 ----------------------------------------------------------------------------------- FOOD & STAPLES RETAILING-2.1% Wal-Mart Stores, Inc. 2,620 160,344 ----------------------------------------------------------------------------------- HOUSEHOLD PRODUCTS-2.3% Church & Dwight Co., Inc. 3,590 176,592 ----------------------------------------------------------------------------------- ENERGY-12.2% ----------------------------------------------------------------------------------- ENERGY EQUIPMENT & SERVICES-0.8% Baker Hughes, Inc. 1,530 64,168 ----------------------------------------------------------------------------------- OIL, GAS & CONSUMABLE FUELS-11.4% Apache Corp. 710 71,312 ----------------------------------------------------------------------------------- Chevron Corp. 3,940 422,526 ----------------------------------------------------------------------------------- Exxon Mobil Corp. 2,124 184,215 ----------------------------------------------------------------------------------- Penn West Petroleum Ltd. 3,990 78,084 ----------------------------------------------------------------------------------- Royal Dutch Shell plc, ADR 1,550 108,702 ------- 864,839 ----------------------------------------------------------------------------------- FINANCIALS-22.9% ----------------------------------------------------------------------------------- CAPITAL MARKETS-4.0% BlackRock, Inc. 400 81,960 ----------------------------------------------------------------------------------- Goldman Sachs Group, Inc. (The) 1,820 226,353 ------- 308,313 ----------------------------------------------------------------------------------- COMMERCIAL BANKS-11.0% CIT Group, Inc.(1) 3,360 138,566 ----------------------------------------------------------------------------------- M&T Bank Corp. 1,890 164,203 ----------------------------------------------------------------------------------- SunTrust Banks, Inc. 1,380 33,355 ----------------------------------------------------------------------------------- U.S. Bancorp 5,470 173,290 ----------------------------------------------------------------------------------- Wells Fargo & Co. 9,510 324,671 ------- 834,085 ----------------------------------------------------------------------------------- DIVERSIFIED FINANCIAL SERVICES-4.6% Citigroup, Inc. 3,840 140,352 ----------------------------------------------------------------------------------- JPMorgan Chase & Co. 4,640 213,347 ------- 353,699
1 | Oppenheimer Value Fund/VA Oppenheimer Value Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Shares Value --------------------------------------------------------------------------------------- INSURANCE-3.3% ACE Ltd. 2,340 $ 171,288 --------------------------------------------------------------------------------------- Travelers Cos., Inc. (The) 1,290 76,368 -------- 247,656 --------------------------------------------------------------------------------------- HEALTH CARE-12.3% --------------------------------------------------------------------------------------- HEALTH CARE EQUIPMENT & SUPPLIES-2.0% Medtronic, Inc. 3,820 149,706 --------------------------------------------------------------------------------------- HEALTH CARE PROVIDERS & SERVICES-5.9% HCA Holdings, Inc. 1,490 36,863 --------------------------------------------------------------------------------------- Humana, Inc. 2,190 202,531 --------------------------------------------------------------------------------------- UnitedHealth Group, Inc. 3,580 211,005 ------- 450,399 --------------------------------------------------------------------------------------- PHARMACEUTICALS-4.4% Merck & Co., Inc. 4,870 187,008 --------------------------------------------------------------------------------------- Pfizer, Inc. 6,640 150,462 ------- 337,470 --------------------------------------------------------------------------------------- INDUSTRIALS-10.4% --------------------------------------------------------------------------------------- AEROSPACE & DEFENSE-3.5% Honeywell International, Inc. 4,340 264,957 --------------------------------------------------------------------------------------- AIRLINES-0.7% United Continental Holdings, Inc.(1) 2,370 50,955 --------------------------------------------------------------------------------------- INDUSTRIAL CONGLOMERATES-2.3% Tyco International Ltd. 3,130 175,843 --------------------------------------------------------------------------------------- MACHINERY-2.4% Navistar International Corp.(1) 3,070 124,182 --------------------------------------------------------------------------------------- SPX Corp. 790 61,249 ------- 185,431 --------------------------------------------------------------------------------------- TRADING COMPANIES & DISTRIBUTORS-1.5% AerCap Holdings NV(1) 10,410 115,655 --------------------------------------------------------------------------------------- INFORMATION TECHNOLOGY-8.7% --------------------------------------------------------------------------------------- COMMUNICATIONS EQUIPMENT-2.9% Juniper Networks, Inc.(1) 9,830 224,910 --------------------------------------------------------------------------------------- COMPUTERS & PERIPHERALS-0.8% Hewlett-Packard Co. 2,600 61,958 --------------------------------------------------------------------------------------- ELECTRONIC EQUIPMENT & INSTRUMENTS-2.0% TE Connectivity Ltd. 4,110 151,043 --------------------------------------------------------------------------------------- INTERNET SOFTWARE & SERVICES-1.2% VeriSign, Inc. 2,300 88,182 --------------------------------------------------------------------------------------- SEMICONDUCTORS & SEMICONDUCTOR EQUIPMENT-1.3% Xilinx, Inc. 2,620 95,447 --------------------------------------------------------------------------------------- SOFTWARE-0.5% Microsoft Corp. 1,200 38,700 --------------------------------------------------------------------------------------- MATERIALS-3.9% --------------------------------------------------------------------------------------- CHEMICALS-2.3% Celanese Corp., Series A 950 43,871 --------------------------------------------------------------------------------------- Mosaic Co. (The) 2,360 130,484 -------- 174,355 --------------------------------------------------------------------------------------- CONTAINERS & PACKAGING-1.6% Rock-Tenn Co., Cl. A 1,870 126,337
2 | Oppenheimer Value Fund/VA Oppenheimer Value Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited)
Shares Value --------------------------------------------------------------------------------------- TELECOMMUNICATION SERVICES-1.2% --------------------------------------------------------------------------------------- DIVERSIFIED TELECOMMUNICATION SERVICES-1.2% AT&T, Inc. 2,952 $ 92,191 -------------------------------------------------------------------------------------- UTILITIES-6.9% -------------------------------------------------------------------------------------- ELECTRIC UTILITIES-3.2% American Electric Power Co., Inc. 2,140 82,561 -------------------------------------------------------------------------------------- Edison International, Inc. 3,770 160,263 ------- 242,824 -------------------------------------------------------------------------------------- ENERGY TRADERS-1.2% GenOn Energy, Inc.(1) 44,160 91,853 -------------------------------------------------------------------------------------- MULTI-UTILITIES-2.5% NiSource, Inc. 1,620 39,447 -------------------------------------------------------------------------------------- Public Service Enterprise Group, Inc. 5,040 154,274 ------- 193,721 ------- Total Common Stocks (Cost $6,493,301) 7,335,076 -------------------------------------------------------------------------------------- INVESTMENT COMPANY-4.6% Oppenheimer Institutional Money Market Fund, Cl. E, 0.22% (2),(3)(Cost $353,115) 353,115 353,115 -------------------------------------------------------------------------------------- Total Investments, at Value (Cost $6,846,416) 100.9% 7,688,191 -------------------------------------------------------------------------------------- Liabilities in Excess of Other Assets (0.9) (69,969) ------------------------------- Net Assets 100.0% $7,618,222 ===============================
Footnotes to Statement of Investments ------ * March 30, 2012 represents the last business day of the Fund's quarterly period. See accompanying Notes. 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 March 30, 2012, 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 30, 2011(A) ADDITIONS REDUCTIONS MARCH 30, 2012 ---------------------------------------------------------------------------------------------------------------------------------- Oppenheimer Institutional Money Market Fund, Cl. E 374,186 1,034,562 1,055,633 353,115
VALUE INCOME ---------------------------------------------------------------------------------------------------------------------------- Oppenheimer Institutional Money Market Fund, Cl. E $ 353,115 $ 176
a. December 30, 2011 represents the last business day of the Fund's 2011 fiscal year. See accompanying Notes. 3. Rate shown is the 7-day yield as of March 30, 2012. NOTES TO STATEMENT OF INVESTMENTS QUARTERLY AND ANNUAL PERIODS. The last day of the Fund's quarterly period was the last day the New York Stock Exchange was open for trading. The Fund's financial statements have been presented through that date to maintain consistency with the Fund's net asset value calculations used for shareholder transactions. 3 | Oppenheimer Value Fund/VA Oppenheimer Value Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) The last day of the Fund's fiscal year was the last day the New York Stock Exchange was open for trading. The Fund's financial statements have been presented through that date to maintain consistency with the Fund's net asset value calculations used for shareholder transactions. 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. 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. The Fund's Board has adopted procedures for the valuation of the Fund's securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a "fair valuation" for any security for which market quotations are not "readily available." The Valuation Committee's fair valuation determinations are subject to review, approval and ratification by the Fund's Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Valuation Methods and inputs Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or dealers. The following methodologies are used to determine the market value or the fair value of the types of securities described below: Securities traded on a registered U.S. securities exchange (including exchange-traded derivatives other than futures and futures options) 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. 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 security of a foreign issuer traded on a foreign exchange but not listed on a registered U.S. securities exchange is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the third party pricing service used by the Manager, prior to the time when the Fund's assets are valued. If the last sale price is unavailable, the security is valued at the most recent official closing price on the principal exchange on which it is traded. If the last sales price or official closing price for a foreign security is not available, the security is valued at the mean between the bid and asked price per the exchange or, if not available from the exchange, obtained from two dealers. If bid and asked prices are not available from either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of priority); (1) using a bid from the exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer. Shares of a registered investment company that are not traded on an exchange are valued at that investment company's net asset value per share. Corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, event-linked bonds, loans, mortgage-backed securities, collateralized mortgage obligations, and asset-backed securities are valued at the mean between the "bid" and "asked" prices utilizing evaluated prices obtained from third party pricing services or broker-dealers who may use matrix pricing methods to determine the evaluated prices. Short-term money market type debt securities with a remaining maturity 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. Short-term debt securities 4 | Oppenheimer Value Fund/VA Oppenheimer Value Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) with a remaining maturity in excess of sixty days are valued at the mean between the "bid" and "asked" prices utilizing evaluated prices obtained from third party pricing services or broker-dealers. A description of the standard inputs that may generally be considered by the third party pricing vendors in determining their evaluated prices is provided below.
STANDARD INPUTS GENERALLY CONSIDERED BY SECURITY TYPE THIRD-PARTY PRICING VENDORS ------------------------------------- ----------------------------------------------------------- Corporate debt, government debt, Reported trade data, broker-dealer price quotations, municipal, mortgage-backed and asset- benchmark yields, issuer spreads on comparable backed securities securities, the credit quality, yield, maturity, and other appropriate factors. Loans Information obtained from market participants regarding reported trade data and broker-dealer price quotations. Event-linked bonds Information obtained from market participants regarding reported trade data and broker-dealer price quotations.
If a market value or price cannot be determined for a security using the methodologies described above, or if, in the "good faith" opinion of the Manager, the market value or price obtained does not constitute a "readily available market quotation," or a significant event has occurred that would materially affect the value of the security the security is fair valued either (i) by a standardized fair valuation methodology applicable to the security type or the significant event as previously approved by the Valuation Committee and the Fund's Board or (ii) as determined in good faith by the Manager's Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. Fair value determinations by the Manager are subject to review, approval and ratification by the Fund's Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Those fair valuation standardized methodologies include, but are not limited to, valuing securities at the last sale price or 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 further adjusted for any discounts related to security-specific 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 nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security. To assess the continuing appropriateness of security valuations, the Manager, or its third party service provider who is subject to oversight by the Manager, regularly compares prior day prices, prices on comparable securities, and sale prices to the current day prices and challenges those prices exceeding certain tolerance levels with the third party pricing service or broker source. For those securities valued by fair valuations, whether through a standardized fair valuation methodology or a fair valuation determination, the Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available. Classifications 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. 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). 5 | Oppenheimer Value Fund/VA Oppenheimer Value Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. The table below categorizes amounts as of March 30, 2012 based on valuation input level:
LEVEL 1- LEVEL 2- LEVEL 3- UNADJUSTED OTHER SIGNIFICANT SIGNIFICANT QUOTED PRICES OBSERVABLE INPUTS UNOBSERVABLE INPUTS VALUE --------------------------------------------------------------------------------------------------------- ASSETS TABLE INVESTMENTS, AT VALUE: Common Stocks Consumer Discretionary $ 704,916 $ - $ - $ 704,916 Consumer Staples 645,463 - - 645,463 Energy 929,007 - - 929,007 Financials 1,743,753 - - 1,743,753 Health Care 937,575 - - 937,575 Industrials 792,841 - - 792,841 Information Technology 660,240 - - 660,240 Materials 300,692 - - 300,692 Telecommunication Services 92,191 - - 92,191 Utilities 528,398 - - 528,398 Investment Company 353,115 - - 353,115 --------------------------------------------------------------------------- Total Assets $ 7,688,191 $ - $ - $7,688,191
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. There have been no significant changes to the fair valuation methodologies of the Fund during the period. 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. 6 | Oppenheimer Value Fund/VA Oppenheimer Value Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) 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. 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 call options on volatility indexes to increase exposure to volatility risk. A purchased call option becomes more valuable as the level of the underlying volatility index increases relative to the strike price. During the period ended March 30, 2012, the Fund had an ending monthly average market value of $2,234 on purchased call 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. 7 | Oppenheimer Value Fund/VA Oppenheimer Value Fund/VA STATEMENT OF INVESTMENTS March 30, 2012* (Unaudited) 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. As of March 30, 2012, the Fund had no outstanding written or purchased options. 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 March 30, 2012 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 $ 6,924,146 ============= Gross unrealized appreciation $ 978,484 Gross unrealized depreciation (214,439) ------------- Net unrealized appreciation $ 764,045 =============
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 3/30/2012, 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: 5/8/2012 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: 5/8/2012 By: /s/ Brian W. Wixted -------------------------- Brian W. Wixted Principal Financial Officer Date: 5/8/2012 EX-99.CERT 2 g60385exv99wcert.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: 5/8/2012 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: 5/8/2012