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)
Registrants telephone number, including area code: (303) 768-3200
Date of fiscal year end: December 31
Date of reporting period: 9/28/2012
Item 1. Schedule of Investments.
STATEMENT OF INVESTMENTS September 28, 2012* / Unaudited
Shares | Value | |||||||
Common Stocks98.1% |
||||||||
Consumer Discretionary20.2% |
||||||||
Distributors0.5% |
||||||||
LKQ Corp.1 |
159,720 | $ | 2,954,820 | |||||
Hotels, Restaurants & Leisure3.8% |
||||||||
Chipotle Mexican Grill, Inc., Cl. A1 |
21,211 | 6,735,341 | ||||||
Dunkin Brands Group, Inc. |
142,550 | 4,161,747 | ||||||
Gaylord Entertainment Co., Cl. A1 |
65,300 | 2,581,309 | ||||||
Panera Bread Co., Cl. A1 |
58,700 | 10,031,243 | ||||||
|
|
|||||||
23,509,640 | ||||||||
Household Durables1.0% |
||||||||
Lennar Corp., Cl. A |
186,710 | 6,491,907 | ||||||
Multiline Retail2.7% |
||||||||
Dollar Tree, Inc.1 |
250,000 | 12,068,750 | ||||||
Nordstrom, Inc. |
91,810 | 5,066,076 | ||||||
|
|
|||||||
17,134,826 | ||||||||
Specialty Retail8.9% |
||||||||
Foot Locker, Inc. |
107,920 | 3,831,160 | ||||||
Genesco, Inc.1 |
72,480 | 4,836,590 | ||||||
GNC Holdings, Inc., Cl. A |
119,900 | 4,672,503 | ||||||
PetSmart, Inc. |
110,700 | 7,636,086 | ||||||
Sally Beauty Holdings, Inc.1 |
301,540 | 7,565,639 | ||||||
Tractor Supply Co. |
96,500 | 9,542,885 | ||||||
Ulta Salon, Cosmetics & Fragrance, Inc. |
146,070 | 14,067,271 | ||||||
Urban Outfitters, Inc.1 |
80,370 | 3,018,697 | ||||||
|
|
|||||||
55,170,831 | ||||||||
Textiles, Apparel & Luxury Goods3.3% |
||||||||
lululemon athletica, Inc.1 |
51,640 | 3,818,262 | ||||||
Michael Kors Holdings Ltd.1 |
159,770 | 8,496,569 | ||||||
Under Armour, Inc., Cl. A1 |
143,400 | 8,006,022 | ||||||
|
|
|||||||
20,320,853 | ||||||||
Consumer Staples4.9% |
||||||||
Beverages1.0% |
||||||||
Monster Beverage Corp.1 |
117,210 | 6,348,094 | ||||||
Food & Staples Retailing3.0% |
||||||||
Fresh Market, Inc. (The)1 |
114,910 | 6,892,302 | ||||||
Whole Foods Market, Inc. |
122,150 | 11,897,410 | ||||||
|
|
|||||||
18,789,712 | ||||||||
Personal Products0.9% |
||||||||
Estee Lauder Cos., Inc. (The), Cl. A |
89,520 | 5,511,746 | ||||||
Energy7.6% |
||||||||
Energy Equipment & Services4.0% |
||||||||
Atwood Oceanics, Inc.1 |
156,150 | 7,097,017 | ||||||
Core Laboratories NV |
26,070 | 3,166,984 | ||||||
Oceaneering International, Inc. |
117,380 | 6,485,245 | ||||||
Oil States International, Inc.1 |
101,230 | 8,043,736 | ||||||
|
|
|||||||
24,792,982 | ||||||||
Oil, Gas & Consumable Fuels3.6% |
||||||||
Cabot Oil & Gas Corp., Cl. A |
140,390 | 6,303,511 | ||||||
Concho Resources, Inc.1 |
92,830 | 8,795,642 | ||||||
Laredo Petroleum Holdings, Inc.1 |
68,720 | 1,510,466 | ||||||
Oasis Petroleum, Inc.1 |
197,210 | 5,811,779 | ||||||
|
|
|||||||
22,421,398 | ||||||||
Financials6.6% |
||||||||
Capital Markets2.0% |
||||||||
Affiliated Managers Group, Inc.1 |
76,220 | 9,375,060 | ||||||
Raymond James Financial, Inc. |
82,000 | 3,005,300 | ||||||
|
|
|||||||
12,380,360 | ||||||||
Commercial Banks2.1% |
||||||||
First Republic Bank |
141,430 | 4,873,678 | ||||||
Signature Bank1 |
76,410 | 5,125,583 | ||||||
SVB Financial Group1 |
48,800 | 2,950,448 | ||||||
|
|
|||||||
12,949,709 | ||||||||
Insurance1.8% |
||||||||
Arthur J. Gallagher & Co. |
130,820 | 4,685,972 | ||||||
ProAssurance Corp. |
70,640 | 6,388,682 | ||||||
|
|
|||||||
11,074,654 | ||||||||
Real Estate Investment Trusts (REITs)0.7% |
||||||||
Digital Realty Trust, Inc. |
64,780 | 4,524,883 | ||||||
Health Care15.6% |
||||||||
Biotechnology4.2% |
||||||||
Alexion Pharmaceuticals, Inc.1 |
134,890 | 15,431,416 | ||||||
Medivation, Inc.1 |
70,040 | 3,947,454 | ||||||
Onyx Pharmaceuticals, Inc.1 |
46,060 | 3,892,070 | ||||||
Regeneron Pharmaceuticals, Inc.1 |
22,340 | 3,410,424 | ||||||
|
|
|||||||
26,681,364 | ||||||||
Health Care Equipment & Supplies4.6% |
||||||||
Cooper Cos., Inc. (The) |
94,430 | 8,919,858 |
1 | OPPENHEIMER SMALL- & MID-CAP GROWTH FUND/VA |
STATEMENT OF INVESTMENTS September 28, 2012* / Unaudited
Shares | Value | |||||||
Health Care Equipment & Services (Continued) |
||||||||
Edwards Lifesciences Corp.1 |
83,090 | $ | 8,921,373 | |||||
IDEXX Laboratories, Inc.1 |
57,030 | 5,665,930 | ||||||
Sirona Dental Systems, Inc.1 |
100,110 | 5,702,266 | ||||||
|
|
|||||||
29,209,427 | ||||||||
Health Care Providers & Services3.4% |
||||||||
Catamaran Corp.1 |
118,137 | 11,573,882 | ||||||
DaVita, Inc.1 |
36,830 | 3,815,956 | ||||||
HMS Holdings Corp.1 |
167,760 | 5,608,217 | ||||||
|
|
|||||||
20,998,055 | ||||||||
Health Care Technology1.6% |
||||||||
Cerner Corp.1 |
125,980 | 9,752,112 | ||||||
Pharmaceuticals1.8% |
||||||||
Perrigo Co. |
38,600 | 4,484,162 | ||||||
Watson Pharmaceuticals, Inc.1 |
81,400 | 6,932,024 | ||||||
|
|
|||||||
11,416,186 | ||||||||
Industrials13.1% |
||||||||
Aerospace & Defense3.4% |
||||||||
B/E Aerospace, Inc.1 |
114,860 | 4,835,606 | ||||||
Hexcel Corp.1 |
196,890 | 4,729,298 | ||||||
TransDigm Group, Inc.1 |
78,720 | 11,168,006 | ||||||
|
|
|||||||
20,732,910 | ||||||||
Building Products0.7% |
||||||||
Fortune Brands Home & Security, Inc.1 |
166,060 | 4,485,281 | ||||||
Commercial Services & Supplies1.2% |
||||||||
Clean Harbors, Inc.1 |
69,940 | 3,416,569 | ||||||
Stericycle, Inc.1 |
46,130 | 4,175,688 | ||||||
|
|
|||||||
7,592,257 | ||||||||
Electrical Equipment2.7% |
||||||||
AMETEK, Inc. |
274,992 | 9,748,466 | ||||||
Roper Industries, Inc. |
65,690 | 7,218,674 | ||||||
|
|
|||||||
16,967,140 | ||||||||
Machinery1.8% |
||||||||
Nordson Corp. |
50,710 | 2,972,620 | ||||||
Wabtec Corp. |
104,620 | 8,399,940 | ||||||
|
|
|||||||
11,372,560 | ||||||||
Professional Services0.7% |
||||||||
IHS, Inc., Cl. A1 |
46,630 | 4,539,430 | ||||||
Road & Rail1.4% |
||||||||
Kansas City Southern |
114,980 | 8,713,184 | ||||||
Trading Companies & Distributors1.2% |
||||||||
Fastenal Co. |
64,750 | 2,783,602 | ||||||
United Rentals, Inc.1 |
136,700 | 4,471,457 | ||||||
|
|
|||||||
7,255,059 | ||||||||
Information Technology23.7% |
||||||||
Communications Equipment1.4% |
||||||||
Aruba Networks, Inc.1 |
69,260 | 1,570,595 | ||||||
F5 Networks, Inc.1 |
32,620 | 3,415,314 | ||||||
Palo Alto Networks, Inc.1 |
55,170 | 3,396,817 | ||||||
|
|
|||||||
8,382,726 | ||||||||
Internet Software & Services6.7% |
||||||||
CoStar Group, Inc.1 |
45,500 | 3,710,070 | ||||||
Equinix, Inc.1 |
57,090 | 11,763,394 | ||||||
IAC/InterActiveCorp |
132,780 | 6,912,527 | ||||||
LinkedIn Corp., Cl. A1 |
66,650 | 8,024,660 | ||||||
MercadoLibre, Inc. |
35,470 | 2,928,049 | ||||||
Rackspace Hosting, Inc.1 |
129,210 | 8,539,489 | ||||||
|
|
|||||||
41,878,189 | ||||||||
IT Services3.4% |
||||||||
Alliance Data Systems Corp.1 |
38,240 | 5,428,168 | ||||||
Teradata Corp.1 |
138,220 | 10,423,170 | ||||||
Vantiv, Inc., Cl. A1 |
244,320 | 5,265,096 | ||||||
|
|
|||||||
21,116,434 | ||||||||
Semiconductors & Semiconductor Equipment1.6% |
||||||||
Avago Technologies Ltd. |
135,020 | 4,707,472 | ||||||
Mellanox Technologies Ltd.1 |
52,570 | 5,337,432 | ||||||
|
|
|||||||
10,044,904 | ||||||||
Software10.6% |
||||||||
Citrix Systems, Inc.1 |
95,240 | 7,292,527 | ||||||
CommVault Systems, Inc.1 |
69,900 | 4,103,130 | ||||||
Concur Technologies, Inc.1 |
130,548 | 9,625,304 | ||||||
Fortinet, Inc.1 |
294,360 | 7,105,850 | ||||||
NetSuite, Inc.1 |
102,052 | 6,510,918 | ||||||
Red Hat, Inc.1 |
132,490 | 7,543,981 | ||||||
ServiceNow, Inc.1 |
95,820 | 3,706,318 | ||||||
SolarWinds, Inc.1 |
134,490 | 7,496,473 | ||||||
Splunk, Inc.1 |
67,800 | 2,489,616 | ||||||
TIBCO Software, Inc.1 |
226,670 | 6,852,234 | ||||||
Ultimate Software Group, Inc. (The)1 |
32,510 | 3,319,271 | ||||||
|
|
|||||||
66,045,622 | ||||||||
Materials4.3% |
||||||||
Chemicals3.1% |
||||||||
Airgas, Inc. |
56,880 | 4,681,224 | ||||||
CF Industries Holdings, Inc. |
34,750 | 7,722,840 | ||||||
Cytec Industries, Inc. |
46,170 | 3,025,058 | ||||||
Westlake Chemical Corp. |
49,550 | 3,620,123 | ||||||
|
|
|||||||
19,049,245 | ||||||||
Construction Materials0.5% |
||||||||
Eagle Materials, Inc. |
71,450 | 3,305,277 |
2 | OPPENHEIMER SMALL- & MID-CAP GROWTH FUND/VA |
STATEMENT OF INVESTMENTS September 28, 2012* / Unaudited
Shares | Value | |||||||
Containers & Packaging0.7% | ||||||||
Ball Corp. |
99,890 | $ | 4,226,346 | |||||
Telecommunication Services1.5% |
||||||||
Wireless Telecommunication Services1.5% | ||||||||
SBA Communications Corp., Cl. A1 |
152,850 | 9,614,265 | ||||||
Utilities0.6% |
||||||||
Electric Utilities0.6% | ||||||||
ITC Holdings Corp. |
45,720 | 3,455,518 | ||||||
Total Common Stocks (Cost $407,184,869) |
611,209,906 | |||||||
Investment Company1.5% | ||||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.18%2,3 (Cost $9,428,830) |
9,428,830 | 9,428,830 | ||||||
Total Investments, at Value (Cost $416,613,699) |
99.6 | % | 620,638,736 | |||||
Assets in Excess of Other Liabilities |
0.4 | 2,553,431 | ||||||
|
|
|
|
|||||
Net Assets |
100.0 | % | $ | 623,192,167 | ||||
|
|
|
|
Footnotes to Statement of Investments
* | September 28, 2012 represents the last business day of the Funds 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 September 28, 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 December 30 2011ª |
Gross Additions |
Gross Reductions |
Shares September 28, 2012 |
|||||||||||||
Oppenheimer Institutional Money Market |
14,138,260 | 153,142,890 | 157,852,320 | 9,428,830 | ||||||||||||
Value | Income | |||||||||||||||
Oppenheimer Institutional Money Market |
$ | 9,428,830 | $ | 12,174 |
a. | December 30, 2011 represents the last business day of the Funds 2011 fiscal year. See accompanying Notes. |
3. | Rate shown is the 7-day yield as of September 28, 2012. |
3 | OPPENHEIMER SMALL- & MID-CAP GROWTH FUND/VA |
NOTES TO STATEMENT OF INVESTMENTS
Unaudited / (Continued)
Quarterly and Annual Periods. The last day of the Funds quarterly period was the last day the New York Stock Exchange was open for trading. The Funds financial statements have been presented through that date to maintain consistency with the Funds net asset value calculations used for shareholder transactions.
The last day of the Funds fiscal year was the last day the New York Stock Exchange was open for trading. The Funds financial statements have been presented through that date to maintain consistency with the Funds 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 Funds 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 IMMFs 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 Funds 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 Funds Board has adopted procedures for the valuation of the Funds 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 Committees fair valuation determinations are subject to review, approval and ratification by the Funds 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 Funds assets are valued. In the absence of a sale, the security is valued at the last sale
4 | OPPENHEIMER SMALL- & MID-CAP GROWTH FUND/VA |
NOTES TO STATEMENT OF INVESTMENTS
Unaudited / (Continued)
price on the prior trading day, if it is within the spread of the current days closing bid and asked prices, and if not, at the current days 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 Funds 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 companys 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, mortgage-backed and asset-backed securities | Reported trade data, broker-dealer price quotations, 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. |
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
5 | OPPENHEIMER SMALL- & MID-CAP GROWTH FUND/VA |
STATEMENT OF INVESTMENTS Unaudited / (Continued)
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 Funds Board or (ii) as determined in good faith by the Managers 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 Funds 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 Funds 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 Managers 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.
6 | OPPENHEIMER SMALL- & MID-CAP GROWTH FUND/VA |
NOTES TO STATEMENT OF INVESTMENTS
Unaudited / (Continued)
The table below categorizes amounts as of September 28, 2012 based on valuation input level:
Level 1 Unadjusted Quoted Prices |
Level 2 Other Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
Value | |||||||||||||
Assets Table |
||||||||||||||||
Investments, at Value: |
||||||||||||||||
Common Stocks |
||||||||||||||||
Consumer Discretionary |
$ | 125,582,877 | $ | | $ | | $ | 125,582,877 | ||||||||
Consumer Staples |
30,649,552 | | | 30,649,552 | ||||||||||||
Energy |
47,214,380 | | | 47,214,380 | ||||||||||||
Financials |
40,929,606 | | | 40,929,606 | ||||||||||||
Health Care |
98,057,144 | | | 98,057,144 | ||||||||||||
Industrials |
81,657,821 | | | 81,657,821 | ||||||||||||
Information Technology |
147,467,875 | | | 147,467,875 | ||||||||||||
Materials |
26,580,868 | | | 26,580,868 | ||||||||||||
Telecommunication Services |
9,614,265 | | | 9,614,265 | ||||||||||||
Utilities |
3,455,518 | | | 3,455,518 | ||||||||||||
Investment Company |
9,428,830 | | | 9,428,830 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Assets |
$ | 620,638,736 | $ | | $ | | $ | 620,638,736 | ||||||||
|
|
|
|
|
|
|
|
Currency contracts and forwards, if any, are reported at their unrealized appreciation/ depreciation at measurement date, which represents the change in the contracts 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 September 28, 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 |
$ | 417,086,426 | ||
|
|
|||
Gross unrealized appreciation |
$ | 208,305,691 | ||
Gross unrealized depreciation |
(4,753,381 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 203,552,310 | ||
|
|
7 | OPPENHEIMER SMALL- & MID-CAP GROWTH FUND/VA |
Oppenheimer Balanced Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Shares | Value | |||||||
Common Stocks58.8% |
| |||||||
Consumer Discretionary6.4% |
| |||||||
Automobiles0.8% |
||||||||
Ford Motor Co. |
251,390 | $ | 2,478,705 | |||||
Household Durables0.3% |
||||||||
Newell Rubbermaid, Inc. |
47,090 | 898,948 | ||||||
Media1.8% |
||||||||
Comcast Corp., Cl. A |
125,460 | 4,487,704 | ||||||
Viacom, Inc., Cl. B |
17,930 | 960,869 | ||||||
|
|
|||||||
5,448,573 | ||||||||
Multiline Retail2.1% |
||||||||
Target Corp. |
97,730 | 6,202,923 | ||||||
Specialty Retail1.4% |
||||||||
Lowes Cos., Inc. |
133,900 | 4,049,136 | ||||||
Consumer Staples6.3% |
||||||||
Beverages2.9% |
||||||||
Coca-Cola Co. (The) |
78,000 | 2,958,540 | ||||||
Molson Coors Brewing Co., Cl. B, Non-Vtg. |
69,960 | 3,151,698 | ||||||
PepsiCo, Inc. |
37,690 | 2,667,321 | ||||||
|
|
|||||||
8,777,559 | ||||||||
Food & Staples Retailing1.4% |
||||||||
Walgreen Co. |
113,280 | 4,127,923 | ||||||
Food Products0.6% |
||||||||
Kellogg Co. |
35,590 | 1,838,579 | ||||||
Household Products1.4% |
||||||||
Church & Dwight Co., Inc. |
40,540 | 2,188,755 | ||||||
Procter & Gamble Co. |
26,850 | 1,862,316 | ||||||
|
|
|||||||
4,051,071 | ||||||||
Energy6.5% |
||||||||
Energy Equipment & Services0.6% |
||||||||
Baker Hughes, Inc. |
42,340 | 1,915,038 | ||||||
Oil, Gas & Consumable Fuels5.9% |
||||||||
Apache Corp. |
17,710 | 1,531,384 | ||||||
Chevron Corp. |
88,670 | 10,335,375 | ||||||
Exxon Mobil Corp. |
63,930 | 5,846,399 | ||||||
|
|
|||||||
17,713,158 | ||||||||
Financials12.5% |
||||||||
Capital Markets1.8% |
||||||||
BlackRock, Inc., Cl. A |
10,150 | 1,809,745 | ||||||
Goldman Sachs Group, Inc. (The) |
32,110 | 3,650,265 | ||||||
|
|
|||||||
5,460,010 | ||||||||
Commercial Banks5.6% |
||||||||
M&T Bank Corp. |
47,270 | 4,498,213 | ||||||
PNC Financial Services Group, Inc. |
55,810 | 3,521,611 | ||||||
SunTrust Banks, Inc. |
101,800 | 2,877,886 | ||||||
Wells Fargo & Co. |
170,860 | 5,899,796 | ||||||
|
|
|||||||
16,797,506 | ||||||||
Diversified Financial Services0.5% |
| |||||||
Citigroup, Inc. |
44,420 | 1,453,422 |
1 | Oppenheimer Balanced Fund/VA |
Oppenheimer Balanced Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Shares | Value | |||||||
Insurance4.6% |
||||||||
ACE Ltd. |
58,610 | $ | 4,430,916 | |||||
Marsh & McLennan Cos., Inc. |
157,280 | 5,336,510 | ||||||
MetLife, Inc. |
50,130 | 1,727,480 | ||||||
Travelers Cos., Inc. (The) |
32,390 | 2,210,941 | ||||||
|
|
|||||||
13,705,847 | ||||||||
Health Care9.3% |
||||||||
Health Care Equipment & Supplies1.2% |
| |||||||
Baxter International, Inc. |
61,640 | 3,714,426 | ||||||
Health Care Providers & Services4.4% |
| |||||||
Humana, Inc. |
115,810 | 8,124,072 | ||||||
UnitedHealth Group, Inc. |
89,690 | 4,969,723 | ||||||
|
|
|||||||
13,093,795 | ||||||||
Pharmaceuticals3.7% |
| |||||||
Merck & Co., Inc. |
144,130 | 6,500,263 | ||||||
Teva Pharmaceutical Industries Ltd., Sponsored ADR |
111,290 | 4,608,519 | ||||||
|
|
|||||||
11,108,782 | ||||||||
Industrials5.5% |
||||||||
Aerospace & Defense2.2% |
| |||||||
Honeywell International, Inc. |
108,800 | 6,500,800 | ||||||
Commercial Services & Supplies1.3% |
| |||||||
Tyco International Ltd. |
67,020 | 3,770,545 | ||||||
Construction & Engineering0.8% |
| |||||||
Quanta Services, Inc.1 |
96,800 | 2,390,960 | ||||||
Machinery0.6% |
| |||||||
AGCO Corp.1 |
23,270 | 1,104,860 | ||||||
Navistar International Corp.1 |
35,360 | 745,742 | ||||||
|
|
|||||||
1,850,602 | ||||||||
Trading Companies & Distributors0.6% |
| |||||||
AerCap Holdings NV1 |
150,550 | 1,881,875 | ||||||
Information Technology5.0% |
||||||||
Communications Equipment2.4% |
| |||||||
Cisco Systems, Inc. |
187,960 | 3,588,156 | ||||||
Juniper Networks, Inc.1 |
205,280 | 3,512,341 | ||||||
|
|
|||||||
7,100,497 | ||||||||
Computers & Peripherals0.6% |
| |||||||
Apple, Inc. |
2,920 | 1,948,399 | ||||||
Electronic Equipment, Instruments & Components0.6% |
| |||||||
TE Connectivity Ltd. |
54,320 | 1,847,423 | ||||||
Semiconductors & Semiconductor Equipment1.4% |
| |||||||
Analog Devices, Inc. |
48,820 | 1,913,256 | ||||||
Xilinx, Inc. |
65,770 | 2,197,376 | ||||||
|
|
|||||||
4,110,632 | ||||||||
Materials2.7% |
||||||||
Chemicals1.6% |
||||||||
Celanese Corp., Series A |
23,650 | 896,572 | ||||||
Mosaic Co. (The) |
66,300 | 3,819,543 | ||||||
|
|
|||||||
4,716,115 |
2 | Oppenheimer Balanced Fund/VA |
Oppenheimer Balanced Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Shares | Value | |||||||
Containers & Packaging1.1% |
||||||||
Rock-Tenn Co., Cl. A |
46,740 | $ | 3,373,693 | |||||
Telecommunication Services2.3% |
||||||||
Diversified Telecommunication Services2.3% |
||||||||
AT&T, Inc. |
73,880 | 2,785,276 | ||||||
Orbcomm, Inc.1 |
375 | 1,403 | ||||||
Verizon Communications, Inc. |
91,470 | 4,168,288 | ||||||
|
|
|||||||
6,954,967 | ||||||||
Utilities2.3% |
||||||||
Electric Utilities1.4% |
||||||||
American Electric Power Co., Inc. |
53,540 | 2,352,548 | ||||||
Edison International |
40,300 | 1,841,307 | ||||||
|
|
|||||||
4,193,855 | ||||||||
Multi-Utilities0.9% |
||||||||
NiSource, Inc. |
40,540 | 1,032,959 | ||||||
Public Service Enterprise Group, Inc. |
49,200 | 1,583,256 | ||||||
|
|
|||||||
2,616,215 | ||||||||
|
|
|||||||
Total Common Stocks (Cost $158,953,161) |
|
176,091,979 | ||||||
Principal Amount |
||||||||
Asset-Backed Securities4.0% |
||||||||
AESOP Funding II LLC, Automobile Receivables Nts., Series 2011-1A, Cl. A, 1.85%, 11/20/132 |
$ | 185,000 | 186,358 | |||||
Ally Master Owner Trust, Asset-Backed Nts., Series 2012-2, Cl. A, 0.721%, 3/15/163 |
350,000 | 350,291 | ||||||
American Credit Acceptance Receivables Trust 2012-1, Automobile Receivables-Backed Nts., Series 2012-1, Cl. A1, 1.96%, 1/15/142 |
37,642 | 37,645 | ||||||
American Credit Acceptance Receivables Trust 2012-2, Automobile Receivables-Backed Nts., Series 2012-2, Cl. A, 1.89%, 7/15/162 |
341,224 | 341,544 | ||||||
AmeriCredit Automobile Receivables Trust 2010-1, Automobile Receivables-Backed Nts., Series 2010-1, Cl. D, 6.65%, 7/17/17 |
210,000 | 225,640 | ||||||
AmeriCredit Automobile Receivables Trust 2010-2, Automobile Receivables-Backed Nts.: |
||||||||
Series 2010-2, Cl. C, 4.52%, 10/8/15 |
290,000 | 301,369 | ||||||
Series 2010-2, Cl. D, 6.24%, 6/8/16 |
40,000 | 43,315 | ||||||
AmeriCredit Automobile Receivables Trust 2011-1, Automobile Receivables-Backed Nts., Series 2011-1, Cl. D, 4.26%, 2/8/17 |
90,000 | 95,966 | ||||||
AmeriCredit Automobile Receivables Trust 2011-2, Automobile Receivables-Backed Nts.: |
||||||||
Series 2011-2, Cl. B, 2.33%, 3/8/16 |
300,000 | 305,220 | ||||||
Series 2011-2, Cl. D, 4%, 5/8/17 |
300,000 | 311,536 | ||||||
AmeriCredit Automobile Receivables Trust 2011-4, Automobile Receivables-Backed Nts., Series 2011-4, Cl. D, 4.08%, 7/10/17 |
500,000 | 523,855 |
3 | Oppenheimer Balanced Fund/VA |
Oppenheimer Balanced Fund/VA
STATEMENT OF INVESTMENTS September 28, 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 |
$ | 305,000 | $ | 329,110 | ||||
AmeriCredit Automobile Receivables Trust 2012-1, Automobile Receivables-Backed Nts., Series 2012-1, Cl. D, 4.72%, 3/8/18 |
270,000 | 289,812 | ||||||
AmeriCredit Automobile Receivables Trust 2012-2, Automobile Receivables-Backed Nts., Series 2012-2, Cl. D, 3.38%, 4/9/18 |
455,000 | 467,393 | ||||||
Avis Budget Rental Car Funding AESOP LLC, Automobile Receivable Nts.: |
||||||||
Series 2010-3A, Cl. A, 4.64%, 5/20/162 |
20,000 | 21,754 | ||||||
Series 2011-2A, Cl. A, 2.37%, 11/20/142 |
300,000 | 308,313 | ||||||
Series 2012-1A, Cl. A, 2.054%, 8/20/162 |
235,000 | 241,805 | ||||||
Centre Point Funding LLC, Asset-Backed Nts., Series 2010-1A, Cl. 1, 5.43%, 7/20/152 |
54,889 | 57,586 | ||||||
Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15 |
250,000 | 257,035 | ||||||
Citibank Omni Master Trust, Credit Card Receivables Nts., Series 2009-A17, Cl. A17, 4.90%, 11/15/182 |
40,000 | 43,620 | ||||||
CNH Wholesale Master Note Trust 2011-1, Equipment Nts., Series 2011-1, Cl. 1A, 1.021%, 1/20/413 |
115,000 | 115,183 | ||||||
CPS Auto Trust, Automobile Receivable Nts.: |
||||||||
Series 2012-B, Cl. A, 3.09%, 9/1/192 |
352,200 | 353,729 | ||||||
Series 2012-C, Cl. A., 2.26%, 12/16/192 |
130,000 | 130,115 | ||||||
Credit Acceptance Auto Loan Trust, Automobile Receivable Nts.: |
||||||||
Series 2012-1A, Cl. A, 2.20%, 9/16/192 |
175,000 | 176,280 | ||||||
Series 2012-2A, Cl. A, 2.35%, 3/15/202 |
100,000 | 100,055 | ||||||
Series 2012-2A, Cl. B, 5.45%, 9/15/202 |
50,000 | 49,711 | ||||||
DSC Floorplan Master Owner Trust, Automobile Receivable Nts., Series 2011-1, Cl. A, 3.91%, 3/15/16 |
310,000 | 317,746 | ||||||
DT Auto Owner Trust 2011-1A, Automobile Receivable Nts., Series 2011-1A, Cl. C, 3.05%, 8/15/152 |
430,000 | 430,938 | ||||||
DT Auto Owner Trust 2011-2A, Automobile Receivable Nts., Series 2011-2A, Cl. C, 3.05%, 7/15/132 |
105,000 | 105,082 | ||||||
DT Auto Owner Trust 2011-3A, Automobile Receivable Nts., Series 2011-3A, Cl. C, 4.03%, 12/15/412 |
299,000 | 303,543 | ||||||
DT Auto Owner Trust 2012-1A, Automobile Receivable Nts., Series 2012-1A, Cl. A, 1.05%, 1/15/152 |
188,775 | 188,914 | ||||||
DT Auto Owner Trust 2012-2, Automobile Receivable Nts.: |
||||||||
Series 2012-2, Cl. C, 2.72%, 4/17/172 |
35,000 | 35,096 | ||||||
Series 2012-2, Cl. D, 4.35%, 3/15/192 |
80,000 | 80,325 | ||||||
Enterprise Fleet Financing LLC, Automobile Receivable Nts., Series 2012-2, Cl. A2, 0.72%, 11/20/172,3 |
40,000 | 40,029 | ||||||
Exeter Automobile Receivables Trust, Automobile Receivable Nts.: |
||||||||
Series 2012-1A, Cl. A, 2.02%, 8/15/162 |
178,197 | 178,574 | ||||||
Series 2012-2A, Cl. A, 1.30%, 6/15/172 |
160,000 | 160,033 |
4 | Oppenheimer Balanced Fund/VA |
Oppenheimer Balanced Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Principal Amount |
Value | |||||||
First Investors Auto Owner Trust 2011-1, Automobile Receivable Nts., Series 2011-1, Cl. A2, 1.47%, 3/16/15 |
$ | 85,166 | $ | 85,172 | ||||
Ford Credit Floorplan Master Owner Trust, Automobile Receivable Nts., Series 2012-1, Cl. A, 0.691%, 1/15/163 |
155,000 | 155,689 | ||||||
Hertz Vehicle Financing LLC, Automobile Receivable Nts., Series 2010-1A, Cl. A1, 2.60%, 2/25/152 |
490,000 | 500,471 | ||||||
MBNA Credit Card Master Note Trust, Credit Card Receivables, Series 2003-C7, Cl. C7, 1.571%, 3/15/163 |
375,000 | 377,529 | ||||||
Rental Car Finance Corp., Automobile Receivable Nts., Series 2011-1A, Cl. A1, 2.51%, 2/25/162 |
265,000 | 270,191 | ||||||
Santander Drive Auto Receivables Trust 2010-3, Automobile Receivables Nts., Series 2010-3, Cl. C, 3.06%, 11/15/17 |
350,000 | 355,305 | ||||||
Santander Drive Auto Receivables Trust 2010-A, Automobile Receivables Nts., Series 2010-A, Cl. A3, 1.83%, 11/17/142 |
85,206 | 85,920 | ||||||
Santander Drive Auto Receivables Trust 2010-B, Automobile Receivables Nts., Series 2010-B, Cl. C, 3.02%, 10/17/162 |
290,000 | 295,414 | ||||||
Santander Drive Auto Receivables Trust 2011-1, Automobile Receivables Nts., Series 2011-1, Cl. D, 4.01%, 2/15/17 |
360,000 | 368,152 | ||||||
Santander Drive Auto Receivables Trust 2011-4, Automobile Receivables Nts., Series 2011-4, Cl. B, 2.90%, 5/16/16 |
105,000 | 108,098 | ||||||
Santander Drive Auto Receivables Trust 2011-S1A, Automobile Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/174 |
249,003 | 249,986 | ||||||
Santander Drive Auto Receivables Trust 2011-S2A, Automobile Receivables Nts., Series 2011-S2A, Cl. D, 3.35%, 6/15/174 |
174,084 | 175,063 | ||||||
Santander Drive Auto Receivables Trust 2012-1, Automobile Receivables Nts., Series 2012-1, Cl. A2, 1.25%, 4/15/15 |
63,022 | 63,319 | ||||||
Santander Drive Auto Receivables Trust 2012-2, Automobile Receivables Nts., Series 2012-2, Cl. D, 5%, 2/15/18 |
375,000 | 386,332 | ||||||
SNAAC Auto Receivables Trust, Automobile Receivable Nts., Series 2012-1A, Cl. A, 1.78%, 6/15/162 |
170,284 | 170,642 | ||||||
United Auto Credit Securitization Trust 2012-1, Automobile Receivables Nts.: |
||||||||
Series 2012-1, Cl. A2, 1.10%, 3/16/15 |
100,000 | 100,000 | ||||||
Series 2012-1, Cl. B, 1.87%, 9/15/15 |
170,000 | 170,000 | ||||||
Series 2012-1, Cl. C, 2.52%, 3/15/16 |
120,000 | 120,000 | ||||||
Series 2012-1, Cl. D, 3.12%, 3/15/18 |
85,000 | 84,994 | ||||||
Westlake Automobile Receivables Trust 2011-1, Automobile Receivables Nts., Series 2011-1, Cl. A3, 1.49%, 6/16/142 |
132,198 | 132,412 | ||||||
Westlake Automobile Receivables Trust 2012-1, Automobile Receivable Nts., Series 2012-1, Cl. D, 1.03%, 6/16/142,3 |
100,000 | 100,012 | ||||||
Wheels SPV LLC, Asset-Backed Nts., Series 2012-1, Cl. A2, 1.19%, 3/20/212 |
170,000 | 170,541 | ||||||
World Financial Network Credit Card Master Note Trust, Credit Card Receivables, Series 2012-B, Cl. A, 1.76%, 5/17/21 |
115,000 | 115,856 | ||||||
|
|
|||||||
Total Asset-Backed Securities (Cost $11,984,833) |
|
12,145,618 |
5 | Oppenheimer Balanced Fund/VA |
Oppenheimer Balanced Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Principal Amount |
Value | |||||||
Mortgage-Backed Obligations27.8% |
||||||||
Government Agency22.4% |
||||||||
FHLMC/FNMA/FHLB/Sponsored21.9% |
||||||||
Federal Home Loan Mortgage Corp.: |
||||||||
3.50%, 10/1/425 |
$ | 1,715,000 | $ | 1,839,338 | ||||
4.50%, 10/15/18 |
114,691 | 123,298 | ||||||
5%, 12/15/34 |
8,159 | 8,929 | ||||||
5.50%, 9/1/39 |
1,092,811 | 1,204,478 | ||||||
6.50%, 4/15/18-4/1/34 |
89,247 | 101,206 | ||||||
7%, 10/1/31-10/1/37 |
604,906 | 702,044 | ||||||
8%, 4/1/16 |
26,158 | 28,094 | ||||||
9%, 8/1/22-5/1/25 |
11,699 | 13,549 | ||||||
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: |
||||||||
Series 2006-11, Cl. PS, 23.773%, 3/25/363 |
229,213 | 346,216 | ||||||
Series 2426, Cl. BG, 6%, 3/15/17 |
215,567 | 231,012 | ||||||
Series 2427, Cl. ZM, 6.50%, 3/15/32 |
305,553 | 354,193 | ||||||
Series 2461, Cl. PZ, 6.50%, 6/15/32 |
150,400 | 174,536 | ||||||
Series 2500, Cl. FD, 0.721%, 3/15/323 |
20,433 | 20,686 | ||||||
Series 2526, Cl. FE, 0.621%, 6/15/293 |
26,463 | 26,680 | ||||||
Series 2551, Cl. FD, 0.621%, 1/15/333 |
17,581 | 17,738 | ||||||
Series 2626, Cl. TB, 5%, 6/1/33 |
384,205 | 421,301 | ||||||
Series 3025, Cl. SJ, 23.941%, 8/15/353 |
62,780 | 95,711 | ||||||
Series 3822, Cl. JA, 5%, 6/1/40 |
448,179 | 469,134 | ||||||
Series 3848, Cl. WL, 4%, 4/1/40 |
383,861 | 409,980 | ||||||
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: |
||||||||
Series 183, Cl. IO, 15.011%, 4/1/276 |
184,248 | 41,625 | ||||||
Series 192, Cl. IO, 12.502%, 2/1/286 |
49,953 | 10,434 | ||||||
Series 2130, Cl. SC, 51.51%, 3/15/296 |
154,655 | 35,088 | ||||||
Series 243, Cl. 6, 0.119%, 12/15/326 |
162,696 | 34,333 | ||||||
Series 2531, Cl. ST, 99.999%, 2/15/306 |
49,160 | 323 | ||||||
Series 2796, Cl. SD, 66.23%, 7/15/266 |
224,938 | 48,917 | ||||||
Series 2802, Cl. AS, 73.958%, 4/15/336 |
101,329 | 5,441 | ||||||
Series 2920, Cl. S, 65.57%, 1/15/356 |
1,137,923 | 224,752 | ||||||
Series 2922, Cl. SE, 10.691%, 2/15/356 |
69,301 | 15,282 | ||||||
Series 3201, Cl. SG, 10.25%, 8/15/366 |
180,570 | 34,791 | ||||||
Series 3450, Cl. BI, 13.324%, 5/15/386 |
213,464 | 38,087 | ||||||
Series 3606, Cl. SN, 9.162%, 12/15/396 |
114,035 | 18,738 | ||||||
Series 3662, Cl. SM, 26.171%, 10/15/326 |
174,999 | 26,641 | ||||||
Series 3736, Cl. SN, 7.59%, 10/15/406 |
768,115 | 133,008 | ||||||
Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 3.799%, 6/1/267 |
52,738 | 45,248 | ||||||
Federal National Mortgage Assn.: |
||||||||
2.50%, 10/1/275 |
8,240,000 | 8,662,300 | ||||||
3.50%, 11/1/425 |
10,040,000 | 10,744,369 | ||||||
4.50%, 10/1/27-10/1/425 |
7,924,000 | 8,576,239 | ||||||
5.50%, 9/25/20 |
8,008 | 8,759 | ||||||
5.50%, 10/1/27-10/1/425 |
2,018,000 | 2,204,702 |
6 | Oppenheimer Balanced Fund/VA |
Oppenheimer Balanced Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Principal Amount |
Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued |
||||||||
6%, 11/25/17-3/1/37 |
$ | 777,375 | $ | 856,826 | ||||
6%, 10/1/425 |
1,065,000 | 1,175,993 | ||||||
6.50%, 5/25/17-10/25/19 |
180,053 | 194,589 | ||||||
7%, 11/1/17-10/25/35 |
93,177 | 101,373 | ||||||
7.50%, 1/1/33 |
153,548 | 187,302 | ||||||
8.50%, 7/1/32 |
7,019 | 8,750 | ||||||
Federal National Mortgage Assn., 15 yr.: |
||||||||
3%, 10/1/275 |
10,955,000 | 11,615,723 | ||||||
3.50%, 10/1/275 |
755,000 | 803,603 | ||||||
Federal National Mortgage Assn., 30 yr., 4%, 10/1/425 |
5,370,000 | 5,787,014 | ||||||
Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: |
||||||||
Trust 1998-61, Cl. PL, 6%, 11/25/28 |
135,588 | 153,535 | ||||||
Trust 2003-130, Cl. CS, 13.667%, 12/25/333 |
36,083 | 45,601 | ||||||
Trust 2003-28, Cl. KG, 5.50%, 4/25/23 |
662,000 | 731,518 | ||||||
Trust 2004-101, Cl. BG, 5%, 1/25/20 |
750,158 | 800,951 | ||||||
Trust 2005-104, Cl. MC, 5.50%, 12/25/25 |
700,000 | 771,598 | ||||||
Trust 2005-31, Cl. PB, 5.50%, 4/25/35 |
250,000 | 312,036 | ||||||
Trust 2005-69, Cl. LE, 5.50%, 11/1/33 |
145,375 | 149,662 | ||||||
Trust 2006-46, Cl. SW, 23.405%, 6/25/363 |
170,250 | 259,510 | ||||||
Trust 2006-50, Cl. KS, 23.406%, 6/25/363 |
37,051 | 55,923 | ||||||
Trust 2007-42, Cl. A, 6%, 2/1/33 |
322,204 | 333,072 | ||||||
Trust 2009-36, Cl. FA, 1.157%, 6/25/373 |
418,581 | 425,518 | ||||||
Trust 2009-37, Cl. HA, 4%, 4/1/19 |
316,162 | 334,783 | ||||||
Trust 2009-70, Cl. PA, 5%, 8/1/35 |
270,014 | 272,941 | ||||||
Trust 2011-15, Cl. DA, 4%, 3/1/41 |
191,197 | 205,948 | ||||||
Trust 2011-3, Cl. KA, 5%, 4/1/40 |
372,508 | 406,825 | ||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: |
||||||||
Trust 2001-65, Cl. S, 32.14%, 11/25/316 |
367,290 | 74,488 | ||||||
Trust 2001-78, Cl. JS, 0%, 8/25/416,8 |
323,126 | 56,050 | ||||||
Trust 2001-81, Cl. S, 25.699%, 1/25/326 |
90,348 | 17,801 | ||||||
Trust 2002-47, Cl. NS, 34.85%, 4/25/326 |
232,753 | 46,120 | ||||||
Trust 2002-51, Cl. S, 35.062%, 8/25/326 |
213,723 | 42,348 | ||||||
Trust 2002-52, Cl. SD, 42.004%, 9/25/326 |
280,537 | 55,806 | ||||||
Trust 2002-77, Cl. SH, 40.415%, 12/18/326 |
134,108 | 29,506 | ||||||
Trust 2002-84, Cl. SA, 36.496%, 12/25/326 |
348,845 | 58,695 | ||||||
Trust 2002-9, Cl. MS, 30.663%, 3/25/326 |
95,777 | 20,109 | ||||||
Trust 2003-33, Cl. SP, 33.637%, 5/25/336 |
394,452 | 64,705 | ||||||
Trust 2003-4, Cl. S, 32.014%, 2/25/336 |
221,819 | 42,898 | ||||||
Trust 2003-46, Cl. IH, 0%, 6/1/236,8 |
810,381 | 97,385 | ||||||
Trust 2003-89, Cl. XS, 99.999%, 11/25/326 |
43,405 | 1,118 | ||||||
Trust 2004-54, Cl. DS, 50.687%, 11/25/306 |
229,989 | 48,763 | ||||||
Trust 2004-56, Cl. SE, 16.916%, 10/25/336 |
71,580 | 13,025 | ||||||
Trust 2005-12, Cl. SC, 14.141%, 3/25/356 |
35,294 | 7,508 | ||||||
Trust 2005-14, Cl. SE, 47.153%, 3/25/356 |
116,057 | 20,096 | ||||||
Trust 2005-40, Cl. SA, 58.456%, 5/25/356 |
599,905 | 118,841 | ||||||
Trust 2005-5, Cl. SD, 12.751%, 1/25/356 |
161,277 | 30,895 |
7 | Oppenheimer Balanced Fund/VA |
Oppenheimer Balanced Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Principal Amount |
Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued |
| |||||||
Trust 2005-71, Cl. SA, 63.097%, 8/25/256 |
$ | 615,920 | $ | 93,139 | ||||
Trust 2005-93, Cl. SI, 21.936%, 10/25/356 |
175,691 | 27,258 | ||||||
Trust 2007-75, Cl. BI, 2.546%, 8/25/376 |
1,140,585 | 268,855 | ||||||
Trust 2007-88, Cl. XI, 42.70%, 6/25/376 |
474,215 | 80,846 | ||||||
Trust 2008-46, Cl. EI, 14.589%, 6/25/386 |
217,770 | 39,135 | ||||||
Trust 2008-55, Cl. SA, 21.489%, 7/25/386 |
517,515 | 76,935 | ||||||
Trust 2009-8, Cl. BS, 21.07%, 2/25/246 |
132,447 | 13,579 | ||||||
Trust 222, Cl. 2, 25.847%, 6/1/236 |
395,887 | 77,988 | ||||||
Trust 233, Cl. 2, 45.648%, 8/1/236 |
263,739 | 59,012 | ||||||
Trust 252, Cl. 2, 40.374%, 11/1/236 |
346,147 | 76,332 | ||||||
Trust 319, Cl. 2, 3.804%, 2/1/326 |
91,435 | 18,098 | ||||||
Trust 320, Cl. 2, 11.627%, 4/1/326 |
26,120 | 6,193 | ||||||
Trust 321, Cl. 2, 0.587%, 4/1/326 |
306,408 | 61,654 | ||||||
Trust 331, Cl. 9, 6.557%, 2/1/336 |
309,743 | 60,678 | ||||||
Trust 334, Cl. 17, 13.913%, 2/1/336 |
189,087 | 36,795 | ||||||
Trust 339, Cl. 12, 0%, 7/1/336,8 |
299,548 | 52,684 | ||||||
Trust 339, Cl. 7, 19.762%, 7/1/336 |
898,920 | 116,877 | ||||||
Trust 343, Cl. 13, 2.345%, 9/1/336 |
280,528 | 38,611 | ||||||
Trust 345, Cl. 9, 49.26%, 1/1/346 |
312,221 | 37,194 | ||||||
Trust 351, Cl. 10, 3.541%, 4/1/346 |
40,357 | 5,362 | ||||||
Trust 351, Cl. 8, 4.991%, 4/1/346 |
131,322 | 18,152 | ||||||
Trust 356, Cl. 10, 18.134%, 6/1/356 |
101,725 | 13,520 | ||||||
Trust 356, Cl. 12, 22.149%, 2/1/356 |
54,880 | 6,987 | ||||||
Trust 362, Cl. 13, 7.378%, 8/1/356 |
365,503 | 54,336 | ||||||
Trust 364, Cl. 16, 13.545%, 9/1/356 |
273,409 | 39,024 | ||||||
Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Trust 1993-184, Cl. M, 4.217%, 9/25/237 |
143,846 | 134,486 | ||||||
|
|
|||||||
65,847,681 | ||||||||
GNMA/Guaranteed0.3% |
||||||||
Government National Mortgage Assn.: |
||||||||
7%, 1/30/24 |
70,910 | 83,557 | ||||||
7.50%, 1/30/23-6/30/24 |
68,290 | 78,253 | ||||||
8%, 5/30/17-4/15/23 |
54,152 | 62,878 | ||||||
8.50%, 8/1/17-12/15/17 |
15,475 | 16,604 | ||||||
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: |
||||||||
Series 2001-21, Cl. SB, 81.346%, 1/16/276 |
276,461 | 56,962 | ||||||
Series 2002-15, Cl. SM, 79.607%, 2/16/326 |
319,310 | 72,428 | ||||||
Series 2002-76, Cl. SY, 81.88%, 12/16/266 |
725,341 | 167,492 | ||||||
Series 2004-11, Cl. SM, 70.41%, 1/17/306 |
254,306 | 64,934 | ||||||
Series 2007-17, Cl. AI, 22.03%, 4/16/376 |
722,506 | 162,928 | ||||||
Series 2011-52, Cl. HS, 9.436%, 4/16/416 |
343,933 | 99,410 | ||||||
|
|
|||||||
865,446 | ||||||||
Other Agency0.2% |
||||||||
NCUA Guaranteed Notes Trust 2010-R3, Gtd. Nts., Series 2010-R3, Cl. 2A, 0.788%, 12/8/203 |
521,753 | 525,666 |
8 | Oppenheimer Balanced Fund/VA |
Oppenheimer Balanced Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Principal Amount |
Value | |||||||
Non-Agency5.4% |
||||||||
Commercial3.4% |
||||||||
Banc of America Commercial Mortgage Trust 2007-1, Commercial Mtg. Pass-Through Certificates, Series 2007-1, Cl. A4, 5.451%, 1/1/49 |
$ | 515,000 | $ | 597,962 | ||||
Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2007-3, Cl. A4, 5.893%, 6/1/493 |
270,000 | 311,433 | ||||||
Bear Stearns ARM Trust 2007-4, Mtg. Pass-Through Certificates, Series 2007-4, Cl. 22A1, 5.532%, 6/1/473 |
202,745 | 169,692 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2007-PWR17, Commercial Mtg. Pass-Through Certificates, Series 2007-PWR17, Cl. AM, 5.915%, 6/1/503 |
305,000 | 336,117 | ||||||
CFCRE Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2011-C1, Cl. A1, 1.871%, 4/1/442 |
84,798 | 86,539 | ||||||
CHL Mortgage Pass-Through Trust 2007-J3, Mtg. Pass-Through Certificates, Series 2007-J3, Cl. A9, 6%, 7/1/37 |
42,279 | 33,223 | ||||||
Citigroup Commercial Mortgage Trust 2008-C7, Commercial Mtg. Pass-Through Certificates, Series 2008-C7, Cl. A4, 6.263%, 12/1/493 |
460,000 | 553,000 | ||||||
Citigroup, Inc./Deutsche Bank 2007-CD4 Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2007-CD4, Cl. A4, 5.322%, 12/1/49 |
425,000 | 486,619 | ||||||
Deutsche Alt-B Securities, Inc., Mtg. Pass-Through Certificates, Series 2006-AB4, Cl. A1A, 6.005%, 10/25/36 |
306,101 | 207,603 | ||||||
Deutsche Mortgage & Asset Receiving, Commercial Mtg. Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security, Series 2010-C1, Cl. XPA, 4.898%, 9/1/202,6 |
3,091,820 | 193,998 | ||||||
First Horizon Alternative Mortgage Securities Trust 2004-FA2, Mtg. Pass-Through Certificates, Series 2004-FA2, Cl. 3A1, 6%, 1/25/35 |
307,133 | 296,503 | ||||||
First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 |
546,776 | 374,594 | ||||||
Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2006-GG7, Commercial Mtg. Pass-Through Certificates, Series 2006-GG7, Cl. AM, 6.065%, 7/1/383 |
190,000 | 209,142 | ||||||
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 |
300,000 | 352,083 | ||||||
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 |
115,000 | 119,424 | ||||||
GS Mortgage Securities Corp. II, Commercial Mtg. Obligations, Series 2011-GC3, Cl. A1, 2.331%, 3/1/44 |
224,865 | 231,221 | ||||||
GS Mortgage Securities Trust 2006-GG6, Commercial Mtg. Pass-Through Certificates, Series 2006-GG6, Cl. AM, 5.622%, 4/1/38 |
286,699 | 308,562 | ||||||
GSR Mortgage Loan Trust 2005-AR4, Mtg. Pass-Through Certificates, Series 2005-AR4, Cl. 6A1, 5.25%, 7/1/35 |
111,006 | 109,687 |
9 | Oppenheimer Balanced Fund/VA |
Oppenheimer Balanced Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Principal Amount |
Value | |||||||
Commercial Continued |
| |||||||
IndyMac Index Mortgage Loan Trust 2005-AR23, Mtg. Pass-Through Certificates, Series 2005-AR23, Cl. 6A1, 4.96%, 11/1/353 |
$ | 285,776 | $ | 237,856 | ||||
JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: |
||||||||
Series 2011-C3, Cl. A1, 1.875%, 2/1/462 |
268,339 | 273,290 | ||||||
Series 2007-LDPX, Cl. A2S2, 5.187%, 1/1/492 |
125,838 | 130,165 | ||||||
Series 2007-LDP10, Cl. A3S, 5.317%, 1/1/49 |
520,000 | 539,264 | ||||||
Series 2007-LDPX, Cl. A3, 5.42%, 1/15/49 |
60,000 | 69,466 | ||||||
Series 2007-LD11, Cl. A2, 5.988%, 6/15/493 |
210,930 | 218,036 | ||||||
JPMorgan Mortgage Trust 2007-S3, Mtg. Pass-Through Certificates, Series 2007-S3, Cl. 1A90, 7%, 8/1/37 |
294,741 | 272,973 | ||||||
JPMorgan, Re-securitized Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Series 2009-5, Cl. 1A2, 2.614%, 7/1/362,3 |
265,992 | 183,894 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C1, Commercial Mtg. Pass-Through Certificates, Series 2007-C1, Cl. A2, 5.318%, 2/11/40 |
51,224 | 51,774 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C6, Commercial Mtg. Pass-Through Certificates, Series 2007-C6, Cl. A4, 5.858%, 7/11/40 |
620,000 | 737,912 | ||||||
Mastr Adjustable Rate Mortgages Trust 2004-13, Mtg. Pass-Through Certificates, Series 2004-13, Cl. 2A2, 2.634%, 4/1/343 |
161,882 | 165,886 | ||||||
Merrill Lynch Mortgage Trust 2006-C2, Commercial Mtg. Pass-Through Certificates, Series 2006-C2, Cl. AM, 5.782%, 8/1/43 |
290,000 | 316,826 | ||||||
Morgan Stanley Capital I Trust 2007-IQ15, Commercial Mtg. Pass-Through Certificates, Series 2007-IQ15, Cl. AM, 6.076%, 6/1/493 |
345,000 | 364,775 | ||||||
Structured Adjustable Rate Mortgage Loan Trust 2006-4, Commercial Mtg. Pass-Through Certificates, Series 2006-4, Cl. 6A, 5.402%, 5/1/363 |
187,532 | 152,872 | ||||||
Structured Adjustable Rate Mortgage Loan Trust 2007-6, Mtg. Pass-Through Certificates, Series 2007-6, Cl. 3A1, 4.876%, 7/1/373 |
294,729 | 226,496 | ||||||
Wachovia Bank Commercial Mortgage Trust 2006-C28, Commercial Mtg. Pass-Through Certificates, Series 2006-C28, Cl. A4, 5.572%, 10/1/48 |
40,000 | 46,226 | ||||||
Wachovia Bank Commercial Mortgage Trust 2007-C34, Commercial Mtg. Pass-Through Certificates, Series 2007-C34, Cl. A3, 5.678%, 5/1/46 |
380,000 | 448,869 | ||||||
WaMu Mortgage Pass-Through Certificates 2005-AR14 Trust, Mtg. Pass-Through Certificates, Series 2005-AR14, Cl. 1A4, 2.468%, 12/1/353 |
141,338 | 129,606 | ||||||
Wells Fargo Mortgage-Backed Securities 2005-AR1 Trust, Mtg. Pass-Through Certificates, Series 2005-AR1, Cl. 1A1, 2.61%, 2/1/353 |
60,139 | 59,933 | ||||||
Wells Fargo Mortgage-Backed Securities 2007-AR8 Trust, Mtg. Pass-Through Certificates, Series 2007-AR8, Cl. A1, 5.992%, 11/1/373 |
179,694 | 160,951 |
10 | Oppenheimer Balanced Fund/VA |
Oppenheimer Balanced Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Principal Amount |
Value | |||||||
Commercial Continued |
||||||||
WFRBS Commercial Mortgage Trust 2011-C3, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2011-C3, Cl. XA, 8.956%, 3/1/446 |
$ | 4,093,381 | $ | 337,796 | ||||
|
|
|||||||
10,102,268 | ||||||||
Multifamily0.4% |
||||||||
CHL Mortgage Pass-Through Trust 2006-20, Mtg. Pass-Through Certificates, Series 2006-20, Cl. 1A17, 5.75%, 2/1/37 |
364,629 | 310,712 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2006-AR3, Mtg. Pass-Through Certificates, Series 2006-AR3, Cl. 1A2A, 5.584%, 6/1/363 |
177,278 | 170,954 | ||||||
Countrywide Alternative Loan Trust 2005-86CB, Mtg. Pass-Through Certificates, Series 2005-86CB, Cl. A8, 5.50%, 2/1/36 |
58,245 | 52,106 | ||||||
Countrywide Alternative Loan Trust 2006-24CB, Mtg. Pass-Through Certificates, Series 2006-424B, Cl. A12, 5.75%, 6/1/36 |
111,923 | 88,049 | ||||||
JPMorgan Mortgage Trust 2007-A3, Mtg. Pass-Through Certificates, Series 2007-A3, Cl. 3A2M, 5.046%, 5/1/373 |
37,593 | 35,575 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg. Pass-Through Certificates, Series 2006-AR6, Cl. 3A1, 2.693%, 3/25/363 |
687,080 | 647,084 | ||||||
|
|
|||||||
1,304,480 | ||||||||
Other0.2% |
| |||||||
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 |
555,000 | 637,151 | ||||||
Residential1.4% |
| |||||||
Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl. A2, 1.177%, 5/25/343 |
140,887 | 127,258 | ||||||
Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates: |
||||||||
Series 2007-4, Cl. AM, 5.987%, 2/1/513 |
320,000 | 341,416 | ||||||
Series 2007-1, Cl. 1A3, 6%, 1/1/37 |
199,542 | 172,479 | ||||||
Banc of America Funding 2007-C Trust, Mtg. Pass-Through Certificates, Series 2007-C, Cl. 1A4, 5.526%, 5/1/363 |
77,890 | 76,152 | ||||||
Banc of America Mortgage 2001-E Trust, Mtg. Pass-Through Certificates, Series 2004-E, Cl. 2A6, 3.106%, 6/1/343 |
221,037 | 217,648 | ||||||
Carrington Mortgage Loan Trust, Asset-Backed Pass-Through Certificates, Series 2006-FRE1, Cl. A2, 0.327%, 7/25/363 |
147,481 | 141,433 | ||||||
CHL Mortgage Pass-Through Trust 2005-29, Mtg. Pass-Through Certificates, Series 2005-29, Cl. A1, 5.75%, 12/1/35 |
54,749 | 50,833 | ||||||
CHL Mortgage Pass-Through Trust 2006-17, Mtg. Pass-Through Certificates, Series 2006-17, Cl. A2, 6%, 12/1/36 |
298,840 | 270,110 | ||||||
CHL Mortgage Pass-Through Trust 2006-6, Mtg. Pass-Through Certificates, Series 2006-6, Cl. A3, 6%, 4/1/36 |
118,053 | 104,406 | ||||||
Countrywide Alternative Loan Trust 2005-29CB, Mtg. Pass-Through Certificates, Series 2005-29CB, Cl. A4, 5%, 7/1/35 |
724,674 | 563,806 | ||||||
Countrywide Alternative Loan Trust 2007-19, Mtg. Pass-Through Certificates, Series 2007-19, Cl. 1A34, 6%, 8/1/37 |
389,657 | 305,198 | ||||||
Countrywide Home Loans, Asset-Backed Certificates: |
||||||||
Series 2002-4, Cl. A1, 0.957%, 2/25/333 |
1,328 | 1,316 |
11 | Oppenheimer Balanced Fund/VA |
Oppenheimer Balanced Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Principal Amount |
Value | |||||||
Residential Continued |
||||||||
Series 2005-16, Cl. 2AF2, 5.287%, 5/1/363 |
$ | 355,367 | $ | 278,824 | ||||
CSMC Mortgage-Backed Trust 2007-3, Mtg. Pass-Through Certificates, Series 2007-3, Cl. 2A10, 6%, 4/1/37 |
184,812 | 159,920 | ||||||
CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 0.337%, 6/25/473 |
234,754 | 231,232 | ||||||
GSR Mortgage Loan Trust 2006-5F, Mtg. Pass-Through Certificates, Series 2006-5F, Cl. 2A1, 6%, 6/1/36 |
103,474 | 100,134 | ||||||
JPMorgan Alternative Loan Trust 2006-S4, Mtg. Pass-Through Certificates, Series 2006-S4, Cl. A6, 5.71%, 12/1/36 |
111,803 | 104,042 | ||||||
RALI Series 2003-QS1 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 |
133,739 | 138,795 | ||||||
RALI Series 2006-QS13 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 |
21,684 | 15,682 | ||||||
Residential Asset Securitization Trust 2005-A15, Mtg. Pass-Through Certificates, Series 2005-A15, Cl. 1A4, 5.75%, 2/1/36 |
35,768 | 31,982 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY5 Trust, Mtg. Pass-Through Certificates, Series 2007-HY5, Cl. 3A1, 5.20%, 5/1/373 |
173,963 | 168,027 | ||||||
WaMu Mortgage Pass-Through Certificates, Mtg. Pass-Through Certificates, Series 2006-AR18, Cl. 3A1, 4.744%, 1/1/373 |
94,227 | 81,499 | ||||||
Wells Fargo Alternative Loan 2007-PA5 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-PA5, Cl. 1A1, 6.25%, 11/1/37 |
243,117 | 230,218 | ||||||
Wells Fargo Mortgage-Backed Securities 2005-9 Trust, Mtg. Pass-Through Certificates, Series 2005-9, Cl. 2A6, 5.25%, 10/25/35 |
95,874 | 102,133 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR14 Trust, Mtg. Pass-Through Certificates, Series 2006-AR14, Cl. 1A2, 5.649%, 10/1/363 |
175,838 | 174,234 | ||||||
|
|
|||||||
4,188,777 | ||||||||
|
|
|||||||
Total Mortgage-Backed Obligations (Cost $80,723,329) |
|
83,471,469 | ||||||
U.S. Government Obligations0.8% |
||||||||
Federal Home Loan Mortgage Corp. Nts.: |
||||||||
1%, 7/28/17 |
190,000 | 192,722 | ||||||
1.25%, 5/12/17-8/1/19 |
85,000 | 86,505 | ||||||
1.25%, 10/2/195 |
165,000 | 164,506 | ||||||
1.75%, 5/30/19 |
80,000 | 83,009 | ||||||
2.375%, 1/13/229 |
611,000 | 642,462 | ||||||
5.25%, 4/18/16 |
300,000 | 350,345 | ||||||
5.50%, 7/18/16 |
65,000 | 77,118 | ||||||
Federal National Mortgage Assn. Nts.: |
||||||||
0.875%, 8/28/17-10/26/17 |
416,000 | 418,608 | ||||||
1.125%, 4/27/17 |
191,000 | 194,751 | ||||||
5.375%, 6/12/17 |
75,000 | 91,030 | ||||||
U.S. Treasury Nts., 1.75%, 5/15/22 |
82,000 | 83,198 | ||||||
|
|
|||||||
Total U.S. Government Obligations (Cost $2,298,767) |
2,384,254 |
12 | Oppenheimer Balanced Fund/VA |
Oppenheimer Balanced Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Principal Amount |
Value | |||||||
Non-Convertible Corporate Bonds and Notes19.4% |
||||||||
Consumer Discretionary3.2% |
||||||||
Auto Components0.1% |
| |||||||
Dana Holding Corp., 6.75% Sr. Unsec. Nts., 2/15/21 |
$ | 289,000 | $ | 313,565 | ||||
Automobiles0.3% |
| |||||||
Daimler Finance North America LLC, 8.50% Sr. Unsec. Unsub. Nts., 1/18/31 |
164,000 | 260,729 | ||||||
Ford Motor Credit Co. LLC, 5.875% Sr. Unsec. Nts., 8/2/21 |
648,000 | 734,560 | ||||||
|
|
|||||||
995,289 | ||||||||
Diversified Consumer Services0.1% |
| |||||||
Service Corp. International, 6.75% Sr. Unsec. Nts., 4/1/15 |
344,000 | 381,840 | ||||||
Hotels, Restaurants & Leisure0.3% |
| |||||||
Darden Restaurants, Inc., 4.50% Sr. Unsec. Unsub. Nts., 10/15/21 |
163,000 | 175,411 | ||||||
Hyatt Hotels Corp., 5.75% Sr. Unsec. Unsub. Nts., 8/15/152 |
520,000 | 569,736 | ||||||
Starwood Hotels & Resorts Worldwide, Inc., 7.15% Sr. Unsec. Unsub. Nts., 12/1/19 |
79,000 | 96,733 | ||||||
|
|
|||||||
841,880 | ||||||||
Household Durables0.3% |
||||||||
Jarden Corp., 6.125% Sr. Unsec. Nts., 11/15/22 |
323,000 | 350,455 | ||||||
Newell Rubbermaid, Inc., 5.50% Sr. Unsec. Nts., 4/15/13 |
330,000 | 337,948 | ||||||
Whirlpool Corp., 5.50% Sr. Unsec. Unsub. Nts., 3/1/13 |
134,000 | 136,309 | ||||||
|
|
|||||||
824,712 | ||||||||
Media1.0% |
||||||||
CBS Corp., 4.85% Sr. Unsec. Unsub. Nts., 7/1/42 |
97,000 | 103,255 | ||||||
Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22 |
205,000 | 306,696 | ||||||
Comcast Corp., 4.65% Sr. Unsec. Unsub. Nts., 7/15/42 |
70,000 | 75,282 | ||||||
CSC Holdings, Inc., 7.625% Sr. Unsec. Debs., 7/15/18 |
298,000 | 344,935 | ||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 5.15% Sr. Unsec. Nts., 3/15/42 |
180,000 | 184,050 | ||||||
DISH DBS Corp., 6.75% Sr. Unsec. Nts., 6/1/21 |
317,000 | 347,115 | ||||||
Historic TW, Inc., 9.125% Debs., 1/15/13 |
115,000 | 117,721 | ||||||
Interpublic Group of Cos., Inc. (The): |
||||||||
6.25% Sr. Unsec. Nts., 11/15/14 |
120,000 | 130,200 | ||||||
10% Sr. Unsec. Nts., 7/15/17 |
324,000 | 361,665 | ||||||
News America, Inc., 6.15% Sr. Unsec. Nts., 2/15/41 |
109,000 | 136,360 | ||||||
Time Warner Entertainment Co. LP, 8.375% Sr. Nts., 7/15/33 |
181,000 | 264,154 | ||||||
Time Warner, Inc., 9.15% Debs., 2/1/23 |
38,000 | 54,545 | ||||||
Virgin Media Secured Finance plc: |
||||||||
5.25% Sr. Sec. Nts., 1/15/21 |
195,000 | 226,664 | ||||||
6.50% Sr. Sec. Nts., 1/15/18 |
417,000 | 458,700 | ||||||
|
|
|||||||
3,111,342 | ||||||||
Multiline Retail0.3% |
||||||||
Dollar General Corp., 4.125% Nts., 7/15/17 |
289,000 | 303,450 | ||||||
Macys Retail Holdings, Inc., 5.75% Sr. Unsec. Nts., 7/15/14 |
414,000 | 448,966 | ||||||
|
|
|||||||
752,416 | ||||||||
Specialty Retail0.6% |
||||||||
Gap, Inc. (The), 5.95% Sr. Unsec. Unsub. Nts., 4/12/21 |
332,000 | 370,523 | ||||||
Limited Brands, Inc., 6.625% Sr. Nts., 4/1/21 |
315,000 | 359,100 |
13 | Oppenheimer Balanced Fund/VA |
Oppenheimer Balanced Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Principal Amount |
Value | |||||||
Specialty Retail Continued |
||||||||
Rent-A-Center, Inc., 6.625% Sr. Unsec. Nts., 11/15/20 |
$ | 355,000 | $ | 385,175 | ||||
Sally Holdings LLC/Sally Capital, Inc., 6.875% Sr. Unsec. Nts., 11/15/19 |
323,000 | 360,953 | ||||||
Staples, Inc., 9.75% Sr. Unsec. Unsub. Nts., 1/15/14 |
273,000 | 302,139 | ||||||
|
|
|||||||
1,777,890 | ||||||||
Textiles, Apparel & Luxury Goods0.2% |
||||||||
Hanesbrands, Inc., 6.375% Sr. Unsec. Unsub. Nts., 12/15/20 |
271,000 | 295,390 | ||||||
Phillips-Van Heusen Corp., 7.375% Sr. Unsec. Unsub. Nts., 5/15/20 |
277,000 | 314,395 | ||||||
|
|
|||||||
609,785 | ||||||||
Consumer Staples1.5% |
||||||||
Beverages0.5% |
||||||||
Anheuser-Busch InBev Worldwide, Inc., 8.20% Sr. Unsec. Unsub. Nts., 1/15/39 |
146,000 | 245,049 | ||||||
Coca-Cola HBC Finance BV, 5.125% Sr. Unsec. Unsub. Nts., 9/17/13 |
294,000 | 302,053 | ||||||
Constellation Brands, Inc., 6% Sr. Unsec. Unsub. Nts., 5/1/22 |
315,000 | 359,888 | ||||||
Fortune Brands, Inc., 6.375% Sr. Unsec. Unsub. Nts., 6/15/14 |
87,000 | 94,922 | ||||||
Pernod-Ricard SA, 4.25% Sr. Unsec. Nts., 7/15/222 |
307,000 | 334,987 | ||||||
SABMiller Holdings, Inc., 4.95% Sr. Unsec. Nts., 1/15/42 |
125,000 | 146,259 | ||||||
|
|
|||||||
1,483,158 | ||||||||
Food & Staples Retailing0.2% |
||||||||
Delhaize Group: |
||||||||
5.70% Sr. Unsec. Nts., 10/1/40 |
94,000 | 83,996 | ||||||
5.875% Sr. Unsec. Unsub. Bonds, 2/1/14 |
279,000 | 293,234 | ||||||
Safeway, Inc., 3.95% Sr. Unsec. Unsub. Nts., 8/15/20 |
191,000 | 186,333 | ||||||
|
|
|||||||
563,563 | ||||||||
Food Products0.4% |
||||||||
Bunge Ltd. Finance Corp.: |
||||||||
5.35% Sr. Unsec. Unsub. Nts., 4/15/14 |
236,000 | 249,310 | ||||||
8.50% Sr. Unsec. Nts., 6/15/19 |
207,000 | 262,663 | ||||||
Kraft Foods Group, Inc., 6.50% Sr. Unsec. Unsub. Nts., 2/9/402 |
192,000 | 258,278 | ||||||
TreeHouse Foods, Inc., 7.75% Sr. Unsec. Nts., 3/1/18 |
353,000 | 386,535 | ||||||
Tyson Foods, Inc., 4.50% Sr. Unsec. Unsub. Nts., 6/15/22 |
150,000 | 157,875 | ||||||
|
|
|||||||
1,314,661 | ||||||||
Tobacco0.4% |
| |||||||
Altria Group, Inc., 10.20% Sr. Unsec. Nts., 2/6/39 |
262,000 | 450,824 | ||||||
Lorillard Tobacco Co., 7% Sr. Unsec. Nts., 8/4/41 |
221,000 | 267,428 | ||||||
Reynolds American, Inc., 7.25% Sr. Sec. Nts., 6/1/13 |
319,000 | 332,292 | ||||||
|
|
|||||||
1,050,544 | ||||||||
Energy2.0% |
||||||||
Energy Equipment & Services0.5% |
| |||||||
Ensco plc, 4.70% Sr. Unsec. Nts., 3/15/21 |
350,000 | 396,097 | ||||||
FMC Technologies, Inc., 2% Sr. Unsec. Unsub. Nts., 10/1/17 |
142,000 | 143,676 | ||||||
Nabors Industries, Inc., 4.625% Sr. Unsec. Nts., 9/15/21 |
269,000 | 289,740 | ||||||
Noble Holding International Ltd., 7.375% Sr. Unsec. Bonds, 3/15/14 |
276,000 | 300,587 |
14 | Oppenheimer Balanced Fund/VA |
Oppenheimer Balanced Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Principal Amount |
Value | |||||||
Energy Equipment & Services Continued |
| |||||||
Precision Drilling Corp.: |
||||||||
6.50% Sr. Unsec. Nts., 12/15/21 |
$ | 152,000 | $ | 163,020 | ||||
6.625% Sr. Unsec. Nts., 11/15/20 |
145,000 | 155,150 | ||||||
Rowan Cos., Inc., 4.875% Sr. Unsec. Nts., 6/1/22 |
198,000 | 212,937 | ||||||
|
|
|||||||
1,661,207 | ||||||||
Oil, Gas & Consumable Fuels1.5% |
| |||||||
Anadarko Petroleum Corp., 6.20% Sr. Unsec. Nts., 3/15/40 |
117,000 | 144,051 | ||||||
Canadian Oil Sands Ltd.: |
||||||||
5.80% Sr. Unsec. Nts., 8/15/132 |
318,000 | 332,335 | ||||||
6% Sr. Unsec. Nts., 4/1/422 |
129,000 | 149,162 | ||||||
DCP Midstream LLC, 5.35% Sr. Unsec. Nts., 3/18/202 |
197,000 | 216,526 | ||||||
El Paso Pipeline Partners LP, 6.50% Sr. Unsec. Nts., 4/1/20 |
488,000 | 581,477 | ||||||
Energy Transfer Partners LP: |
||||||||
4.65% Sr. Unsec. Unsub. Nts., 6/1/21 |
256,000 | 275,857 | ||||||
5.20% Sr. Unsec. Unsub. Nts., 2/1/22 |
92,000 | 102,265 | ||||||
Kinder Morgan Energy Partners LP, 5% Sr. Unsec. Unsub. Nts., 8/15/42 |
91,000 | 94,976 | ||||||
Newfield Exploration Co., 6.875% Sr. Unsec. Sub. Nts., 2/1/20 |
308,000 | 339,570 | ||||||
Nexen, Inc., 6.40% Sr. Unsec. Unsub. Bonds, 5/15/37 |
126,000 | 160,672 | ||||||
Phillips 66, 4.30% Unsec. Nts., 4/1/222 |
202,000 | 221,648 | ||||||
Range Resources Corp., 8% Sr. Unsec. Sub. Nts., 5/15/19 |
314,000 | 350,110 | ||||||
Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.50% Sr. Sec. Nts., 9/30/144 |
291,000 | 315,857 | ||||||
Rockies Express Pipeline LLC, 3.90% Sr. Unsec. Unsub. Nts., 4/15/152 |
327,000 | 323,730 | ||||||
Southwestern Energy Co., 4.10% Sr. Unsec. Nts., 3/15/222 |
160,000 | 170,196 | ||||||
Woodside Finance Ltd.: |
||||||||
4.60% Sr. Unsec. Nts., 5/10/212 |
245,000 | 269,468 | ||||||
5% Sr. Unsec. Nts., 11/15/132 |
312,000 | 324,756 | ||||||
|
|
|||||||
4,372,656 | ||||||||
Financials6.9% |
||||||||
Capital Markets1.6% |
||||||||
Blackstone Holdings Finance Co. LLC: |
||||||||
4.75% Sr. Unsec. Nts., 2/15/232 |
85,000 | 88,827 | ||||||
6.625% Sr. Unsec. Nts., 8/15/192 |
467,000 | 539,671 | ||||||
Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 |
340,000 | 342,919 | ||||||
Goldman Sachs Group, Inc. (The): |
||||||||
5.25% Sr. Unsec. Nts., 7/27/21 |
271,000 | 299,357 | ||||||
6.25% Sr. Nts., 2/1/41 |
307,000 | 356,863 | ||||||
Macquarie Bank Ltd.: |
||||||||
5% Sr. Nts., 2/22/172 |
101,000 | 108,006 | ||||||
6.625% Unsec. Sub. Nts., 4/7/212 |
466,000 | 499,579 | ||||||
Morgan Stanley: |
||||||||
5.625% Sr. Unsec. Nts., 9/23/19 |
753,000 | 823,974 | ||||||
6.375% Sr. Unsec. Nts., 7/24/42 |
243,000 | 268,872 | ||||||
Nomura Holdings, Inc.: |
||||||||
4.125% Sr. Unsec. Unsub. Nts., 1/19/16 |
330,000 | 341,402 | ||||||
6.70% Sr. Unsec. Nts., 3/4/20 |
28,000 | 32,064 |
15 | Oppenheimer Balanced Fund/VA |
Oppenheimer Balanced Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Principal Amount |
Value | |||||||
Capital Markets Continued |
||||||||
Raymond James Financial, Inc., 5.625% Sr. Nts., 4/1/24 |
$ | 314,000 | $ | 346,649 | ||||
TD Ameritrade Holding Corp., 2.95% Sr. Unsec. Unsub. Nts., 12/1/12 |
354,000 | 355,471 | ||||||
UBS AG Stamford CT, 2.25% Sr. Unsec. Nts., 8/12/13 |
139,000 | 140,834 | ||||||
UBS Preferred Funding Trust V, 6.243% Jr. Sub. Perpetual Nts.10 |
302,000 | 300,490 | ||||||
|
|
|||||||
4,844,978 | ||||||||
Commercial Banks1.4% |
||||||||
ANZ National International Ltd., 2.375% Sr. Unsec. Nts., 12/21/122 |
382,000 | 383,694 | ||||||
Fifth Third Cap Trust IV, 6.50% Jr. Unsec. Sub. Nts., 4/15/37 |
641,000 | 645,006 | ||||||
HBOS plc, 6.75% Unsec. Sub. Nts., 5/21/182 |
293,000 | 298,860 | ||||||
HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/353 |
820,000 | 810,775 | ||||||
Lloyds TSB Bank plc, 6.50% Unsec. Sub. Nts., 9/14/202 |
237,000 | 250,090 | ||||||
Mercantile Bankshares Corp., 4.625% Unsec. Sub. Nts., Series B, 4/15/13 |
218,000 | 222,245 | ||||||
RBS Citizens Financial Group, Inc., 4.15% Sub. Nts., 9/28/222 |
595,000 | 597,463 | ||||||
Wells Fargo & Co., 7.98% Jr. Sub. Perpetual Bonds, Series K10 |
333,000 | 383,783 | ||||||
Zions Bancorp, 4.50% Sr. Unsec. Unsub. Nts., 3/27/17 |
521,000 | 538,462 | ||||||
|
|
|||||||
4,130,378 | ||||||||
Consumer Finance0.4% |
||||||||
American Express Bank FSB, 5.50% Sr. Unsec. Nts., 4/16/13 |
329,000 | 338,009 | ||||||
Discover Bank, 8.70% Unsec. Sub. Nts., 11/18/19 |
457,000 | 590,994 | ||||||
SLM Corp., 4.625% Sr. Unsec. Nts., 9/25/17 |
247,000 | 250,889 | ||||||
|
|
|||||||
1,179,892 | ||||||||
Diversified Financial Services1.4% |
||||||||
Bank of America Corp., 5.70% Sr. Unsec. Unsub. Nts., 1/24/22 |
466,000 | 548,481 | ||||||
Citigroup, Inc.: |
||||||||
4.50% Sr. Unsec. Nts., 1/14/22 |
469,000 | 516,058 | ||||||
6.125% Sr. Unsec. Unsub. Nts., 11/21/17 |
519,000 | 611,501 | ||||||
ING Bank NV: |
||||||||
2% Nts., 9/25/152 |
500,000 | 501,108 | ||||||
3.75% Unsec. Nts., 3/7/172 |
108,000 | 113,940 | ||||||
JPMorgan Chase & Co., 7.90% Perpetual Bonds, Series 110 |
1,037,000 | 1,181,986 | ||||||
Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Bonds, 5/14/38 |
453,000 | 571,262 | ||||||
|
|
|||||||
4,044,336 | ||||||||
Insurance1.6% |
||||||||
American International Group, Inc., 6.25% Jr. Sub. Bonds, 3/15/37 |
147,000 | 149,205 | ||||||
Burlington Northern Santa Fe LLC, 5.75% Sr. Unsec. Bonds, 5/1/40 |
130,000 | 163,644 | ||||||
CNA Financial Corp.: |
||||||||
5.75% Sr. Unsec. Unsub. Nts., 8/15/21 |
290,000 | 337,938 | ||||||
5.875% Sr. Unsec. Unsub. Bonds, 8/15/20 |
169,000 | 197,664 | ||||||
Hartford Financial Services Group, Inc., 6.625% Sr. Unsec. Unsub. Nts., 4/15/42 |
178,000 | 216,280 | ||||||
Irish Life & Permanent Group Holdings plc, 3.60% Sr. Unsec. Unsub. Nts., 1/14/132 |
170,000 | 171,275 | ||||||
Lincoln National Corp., 6.05% Jr. Unsec. Sub. Bonds, 4/20/67 |
688,000 | 676,820 |
16 | Oppenheimer Balanced Fund/VA |
Oppenheimer Balanced Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Principal Amount |
Value | |||||||
Insurance Continued |
||||||||
Principal Financial Group, Inc., 4.625% Sr. Unsec. Nts., 9/15/42 |
$ | 176,000 | $ | 180,679 | ||||
Prudential Covered Trust 2012-1, 2.997% Sec. Nts., 9/30/152 |
412,000 | 428,343 | ||||||
Prudential Financial, Inc., 5.875% Sub. Nts., 9/15/42 |
225,000 | 231,469 | ||||||
Swiss Re Capital I LP, 6.854% Perpetual Bonds2,10 |
673,000 | 685,434 | ||||||
Unum Group, 5.625% Sr. Unsec. Unsub. Nts., 9/15/20 |
520,000 | 582,345 | ||||||
Willis Group Holdings plc, 4.125% Sr. Unsec. Unsub. Nts., 3/15/16 |
116,000 | 123,251 | ||||||
ZFS Finance USA Trust V, 6.50% Jr. Sub. Bonds, 5/9/373,4 |
587,000 | 623,688 | ||||||
|
|
|||||||
4,768,035 | ||||||||
Real Estate Investment Trusts (REITs)0.5% |
||||||||
American Tower Corp.: |
||||||||
5.05% Sr. Unsec. Unsub. Nts., 9/1/20 |
75,000 | 83,855 | ||||||
7% Sr. Unsec. Nts., 10/15/17 |
294,000 | 350,344 | ||||||
CommonWealth REIT, 5.75% Sr. Unsec. Unsub. Bonds, 2/15/14 |
295,000 | 303,002 | ||||||
Duke Realty LP, 6.25% Sr. Unsec. Unsub. Nts., 5/15/13 |
322,000 | 332,784 | ||||||
National Retail Properties, Inc., 6.25% Sr. Unsec. Unsub. Nts., 6/15/14 |
211,000 | 226,788 | ||||||
WEA Finance LLC/WT Finance Aust Pty Ltd., 7.50% Sr. Unsec. Nts., 6/2/142 |
283,000 | 311,974 | ||||||
|
|
|||||||
1,608,747 | ||||||||
Health Care0.8% |
||||||||
Biotechnology0.3% |
||||||||
Amgen, Inc., 3.625% Sr. Unsec. Unsub. Nts., 5/15/22 |
299,000 | 315,940 | ||||||
Celgene Corp., 3.25% Sr. Unsec. Nts., 8/15/22 |
322,000 | 325,822 | ||||||
Gilead Sciences, Inc., 5.65% Sr. Unsec. Nts., 12/1/41 |
167,000 | 209,967 | ||||||
|
|
|||||||
851,729 | ||||||||
Health Care Providers & Services0.3% |
||||||||
Aristotle Holding, Inc., 3.90% Unsec. Nts., 2/15/222 |
221,000 | 241,302 | ||||||
McKesson Corp., 6% Sr. Unsec. Unsub. Nts., 3/1/41 |
183,000 | 251,272 | ||||||
Quest Diagnostics, Inc., 5.75% Sr. Unsec. Nts., 1/30/40 |
215,000 | 255,747 | ||||||
|
|
|||||||
748,321 | ||||||||
Pharmaceuticals0.2% |
||||||||
Bristol-Myers Squibb Co., 2% Sr. Unsec. Unsub. Nts., 8/1/22 |
213,000 | 207,607 | ||||||
Mylan, Inc., 6% Sr. Nts., 11/15/182 |
365,000 | 388,725 | ||||||
Watson Pharmaceuticals, Inc., 3.25% Sr. Unsec. Nts., 10/1/225 |
106,000 | 107,608 | ||||||
|
|
|||||||
703,940 | ||||||||
Industrials1.3% |
||||||||
Aerospace & Defense0.2% |
||||||||
BE Aerospace, Inc., 5.25% Sr. Unsec. Unsub. Nts., 4/1/22 |
200,000 | 208,500 | ||||||
Huntington Ingalls Industries, Inc., 7.125% Sr. Unsec. Unsub. Nts., 3/15/21 |
280,000 | 302,750 | ||||||
|
|
|||||||
511,250 | ||||||||
Commercial Services & Supplies0.1% |
||||||||
Clean Harbors, Inc., 5.25% Sr. Unsec. Nts., 8/1/202 |
298,000 | 308,430 | ||||||
R.R. Donnelley & Sons Co., 8.60% Sr. Unsec. Unsub. Nts., 8/15/16 |
50,000 | 54,500 | ||||||
|
|
|||||||
362,930 |
17 | Oppenheimer Balanced Fund/VA |
Oppenheimer Balanced Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Principal Amount |
Value | |||||||
Industrial Conglomerates0.4% |
||||||||
General Electric Capital Corp.: |
||||||||
5.25% Sr. Unsec. Nts., 10/19/12 |
$ | 49,000 | $ | 49,109 | ||||
6.375% Unsec. Sub. Bonds, 11/15/67 |
644,000 | 681,159 | ||||||
7.125% Unsec. Sub. Nts., 12/15/49 |
300,000 | 335,631 | ||||||
|
|
|||||||
1,065,899 | ||||||||
Machinery0.5% |
||||||||
CNH Capital LLC, 6.25% Sr. Unsec. Nts., 11/1/162 |
338,000 | 368,843 | ||||||
ITT Corp., 7.375% Unsec. Debs., 11/15/15 |
217,000 | 252,545 | ||||||
Joy Global, Inc., 5.125% Sr. Unsec. Unsub. Nts., 10/15/21 |
208,000 | 231,274 | ||||||
Kennametal, Inc., 3.875% Sr. Unsec. Unsub. Nts., 2/15/22 |
234,000 | 245,290 | ||||||
SPX Corp., 6.875% Sr. Unsec. Nts., 9/1/172 |
286,000 | 321,035 | ||||||
|
|
|||||||
1,418,987 | ||||||||
Professional Services0.1% |
| |||||||
FTI Consulting, Inc., 6.75% Sr. Unsec. Nts., 10/1/20 |
288,000 | 308,880 | ||||||
Road & Rail0.0% |
| |||||||
CSX Corp., 5.50% Sr. Unsec. Nts., 4/15/41 |
118,000 | 142,851 | ||||||
Information Technology0.7% |
||||||||
Communications Equipment0.1% |
| |||||||
Juniper Networks, Inc., 5.95% Sr. Unsec. Unsub. Nts., 3/15/41 |
138,000 | 154,766 | ||||||
Computers & Peripherals0.2% |
| |||||||
Hewlett-Packard Co.: |
||||||||
4.65% Sr. Unsec. Nts., 12/9/21 |
249,000 | 260,174 | ||||||
4.75% Sr. Unsec. Nts., 6/2/14 |
276,000 | 291,097 | ||||||
|
|
|||||||
551,271 | ||||||||
Electronic Equipment, Instruments & Components0.2% |
| |||||||
Arrow Electronics, Inc., 5.125% Sr. Unsec. Unsub. Nts., 3/1/21 |
340,000 | 371,932 | ||||||
Corning, Inc., 4.75% Sr. Unsec. Unsub. Nts., 3/15/42 |
125,000 | 135,818 | ||||||
|
|
|||||||
507,750 | ||||||||
Internet Software & Services0.0% |
| |||||||
eBay, Inc., 4% Sr. Unsec. Unsub. Nts., 7/15/42 |
119,000 | 116,498 | ||||||
Office Electronics0.1% |
| |||||||
Xerox Corp., 5.65% Sr. Unsec. Nts., 5/15/13 |
330,000 | 340,207 | ||||||
Software0.1% |
| |||||||
Symantec Corp., 4.20% Sr. Unsec. Unsub. Nts., 9/15/20 |
391,000 | 406,841 | ||||||
Materials1.3% |
||||||||
Chemicals0.3% |
| |||||||
Agrium, Inc.: |
||||||||
3.15% Sr. Unsec. Nts., 10/1/225 |
243,000 | 245,286 | ||||||
6.125% Sr. Unsec. Nts., 1/15/41 |
155,000 | 195,558 | ||||||
CF Industries, Inc., 7.125% Sr. Unsec. Unsub. Nts., 5/1/20 |
227,000 | 285,453 | ||||||
Eastman Chemical Co., 4.80% Sr. Unsec. Nts., 9/1/42 |
145,000 | 157,949 | ||||||
|
|
|||||||
884,246 | ||||||||
Containers & Packaging0.4% |
| |||||||
Crown Americas LLC/Crown Americas Capital Corp. III, 6.25% Sr. Unsec. Nts., 2/1/21 |
308,000 | 344,960 | ||||||
Greif, Inc., 7.75% Sr. Unsec. Nts., 8/1/19 |
261,000 | 302,760 | ||||||
Rock-Tenn Co.: |
||||||||
3.50% Sr. Nts., 3/1/202 |
62,000 | 63,381 | ||||||
4.90% Sr. Unsec. Nts., 3/1/222 |
112,000 | 121,585 |
18 | Oppenheimer Balanced Fund/VA |
Oppenheimer Balanced Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Principal Amount |
Value | |||||||
Containers & Packaging Continued |
| |||||||
Sealed Air Corp., 8.375% Sr. Unsec. Nts., 9/15/212 |
$ | 270,000 | $ | 303,750 | ||||
|
|
|||||||
1,136,436 | ||||||||
Metals & Mining0.5% |
||||||||
Allegheny Technologies, Inc., 5.95% Sr. Unsec. Unsub. Nts., 1/15/21 |
8,000 | 8,847 | ||||||
ArcelorMittal, 6.25% Sr. Unsec. Unsub. Nts., 2/25/22 |
171,000 | 168,757 | ||||||
Cliffs Natural Resources, Inc., 6.25% Sr. Unsec. Unsub. Nts., 10/1/40 |
86,000 | 84,516 | ||||||
Freeport-McMoRan Copper & Gold, Inc., 3.55% Sr. Unsec. Nts., 3/1/22 |
227,000 | 227,725 | ||||||
Petrohawk Energy Corp., 6.25% Sr. Unsec. Nts., 6/1/19 |
499,000 | 563,085 | ||||||
Xstrata Canada Corp.: |
||||||||
5.375% Sr. Unsec. Unsub. Nts., 6/1/15 |
135,000 | 147,176 | ||||||
6% Sr. Unsec. Unsub. Nts., 10/15/15 |
264,000 | 294,242 | ||||||
Xstrata Finance Canada Ltd., 5.80% Sr. Unsec. Unsub. Bonds, 11/15/162 |
35,000 | 39,588 | ||||||
|
|
|||||||
1,533,936 | ||||||||
Paper & Forest Products0.1% |
||||||||
International Paper Co., 6% Sr. Unsec. Unsub. Nts., 11/15/41 |
139,000 | 170,217 | ||||||
Westvaco Corp., 7.95% Sr. Unsec. Unsub. Nts., 2/15/31 |
242,000 | 318,971 | ||||||
|
|
|||||||
489,188 | ||||||||
Telecommunication Services0.9% |
||||||||
Diversified Telecommunication Services0.8% |
||||||||
AT&T, Inc., 6.30% Sr. Unsec. Bonds, 1/15/38 |
236,000 | 311,259 | ||||||
British Telecommunications plc, 9.625% Bonds, 12/15/30 |
209,000 | 341,358 | ||||||
CenturyLink, Inc., 7.65% Sr. Unsec. Unsub. Nts., 3/15/42 |
244,000 | 261,003 | ||||||
Frontier Communications Corp., 8.50% Sr. Unsec. Nts., 4/15/20 |
267,000 | 303,045 | ||||||
Telecom Italia Capital SA, 7.721% Sr. Unsec. Unsub. Nts., 6/4/38 |
400,000 | 404,000 | ||||||
Telefonica Emisiones SAU, 5.462% Sr. Unsec. Unsub. Nts., 2/16/21 |
469,000 | 460,793 | ||||||
Verizon Communications, Inc., 6.40% Sr. Unsec. Nts., 2/15/38 |
199,000 | 269,472 | ||||||
Windstream Corp., 7.875% Sr. Unsec. Unsub. Nts., 11/1/17 |
303,000 | 340,118 | ||||||
|
|
|||||||
2,691,048 | ||||||||
Wireless Telecommunication Services0.1% |
||||||||
America Movil SAB de CV, 4.375% Sr. Unsec. Unsub. Nts., 7/16/42 |
151,000 | 157,200 | ||||||
Utilities0.8% |
||||||||
Electric Utilities0.5% |
||||||||
Edison International, 3.75% Sr. Unsec. Unsub. Nts., 9/15/17 |
438,000 | 471,121 | ||||||
Great Plains Energy, Inc., 2.75% Sr. Unsec. Unsub. Nts., 8/15/13 |
354,000 | 359,003 | ||||||
Oncor Electric Delivery Co. LLC, 4.10% Unsub. Nts., 6/1/22 |
60,000 | 63,792 | ||||||
PPL WEM Holdings plc, 5.375% Sr. Unsec. Nts., 5/1/212 |
492,000 | 549,821 | ||||||
|
|
|||||||
1,443,737 | ||||||||
Energy Traders0.1% |
||||||||
TransAlta Corp., 5.75% Sr. Unsec. Nts., 12/15/13 |
316,000 | 330,700 | ||||||
Multi-Utilities0.2% |
||||||||
CMS Energy Corp., 5.05% Sr. Unsec. Unsub. Nts., 3/15/22 |
270,000 | 298,807 |
19 | Oppenheimer Balanced Fund/VA |
Oppenheimer Balanced Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Principal Amount |
Value | |||||||
Multi-Utilities Continued |
||||||||
Nisource Finance Corp., 3.85% Sr. Unsec. Unsub. Nts., 2/15/23 |
$ | 210,000 | $ | 220,788 | ||||
|
|
|||||||
519,595 | ||||||||
|
|
|||||||
Total Non-Convertible Corporate Bonds and Notes (Cost $53,989,564) |
58,009,080 | |||||||
Shares | ||||||||
Investment Company5.8% |
||||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.18%11,12 (Cost $17,455,594) |
17,455,594 | 17,455,594 | ||||||
Total Investments, at Value (Cost $325,405,248) |
116.6 | % | 349,557,994 | |||||
Liabilities in Excess of Other Assets |
(16.6 | ) | (49,854,789 | ) | ||||
|
|
|
|
|||||
Net Assets |
100.0 | % | $ | 299,703,205 | ||||
|
|
|
|
Footnotes to Statement of Investments
* | September 28, 2012 represents the last business day in the Funds 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 $17,020,084 or 5.68% of the Funds net assets as of September 28, 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 September 28, 2012 was $1,364,594, which represents 0.46% of the Funds net assets. See accompanying Notes. Information concerning restricted securities is as follows: |
Security |
Acquisition Date |
Cost | Value | Unrealized Appreciation |
||||||||||
Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.50% Sr. Sec. Nts., 9/30/14 |
7/16/09-2/16/12 | $ | 295,898 | $ | 315,857 | $ | 19,959 | |||||||
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 | 249,265 | 249,986 | 721 | ||||||||||
Santander Drive Auto Receivables Trust 2011-S2A, Automobile Receivables Nts., Series 2011-S2A, Cl. D, 3.35%, 6/15/17 |
5/19/11-11/18/11 | 173,794 | 175,063 | 1,269 | ||||||||||
ZFS Finance USA Trust V, 6.50% Jr. Sub. Bonds, 5/9/37 |
2/24/11-2/23/12 | 578,561 | 623,688 | 45,127 | ||||||||||
|
|
|
|
|
|
|||||||||
$ | 1,297,518 | $ | 1,364,594 | $ | 67,076 | |||||||||
|
|
|
|
|
|
5. | All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after September 28, 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 $4,048,809 or 1.35% of the Funds net assets as of September 28, 2012. |
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 $179,734 or 0.06% of the Funds net assets as of September 28, 2012. |
8. | The current amortization rate of the securitys 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 accounts at a futures clearing merchant and pledged to cover margin requirements on open futures contracts and written options on futures, if applicable. The aggregate market value of such securities is $205,041. 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. | Rate shown is the 7-day yield as of September 28, 2012. |
20 | Oppenheimer Balanced Fund/VA |
Oppenheimer Balanced Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
12. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 28, 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 December 30, 2011a |
Gross Additions |
Gross Reductions |
Shares September 28, 2012 |
|||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E |
32,784,414 | 88,641,777 | 103,970,597 | 17,455,594 |
Value | Income | |||||||
Oppenheimer Institutional Money Market Fund, Cl. E |
$ | 17,455,594 | $ | 29,241 |
a. | December 30, 2011 represents the last business day of the Funds 2011 fiscal year. See accompanying Notes. |
Futures Contracts as of September 28, 2012 are as follows: | ||||||||||||||||||||
Contract Description |
Buy/Sell | Number of Contracts |
Expiration Date |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||
U.S. Treasury Long Bonds, 20 yr. |
Sell | 7 | 12/19/12 | $ | 1,045,625 | $ | 9,052 | |||||||||||||
U.S. Treasury Nts., 2 yr. |
Sell | 78 | 12/31/12 | 17,201,438 | (6,190 | ) | ||||||||||||||
U.S. Treasury Nts., 5 yr. |
Sell | 48 | 12/31/12 | 5,982,375 | (26,757 | ) | ||||||||||||||
U.S. Treasury Nts., 10 yr. |
Sell | 58 | 12/19/12 | 7,742,094 | (28,072 | ) | ||||||||||||||
U.S. Treasury Ultra Bonds |
Buy | 34 | 12/19/12 | 5,617,438 | 3,403 | |||||||||||||||
|
|
|||||||||||||||||||
$ | (48,564 | ) | ||||||||||||||||||
|
|
Notes to Statement of Investments
Quarterly and Annual Periods. The last day of the Funds quarterly period was the last day the New York Stock Exchange was open for trading. The Funds financial statements have been presented through that date to maintain consistency with the Funds net asset value calculations used for shareholder transactions.
The last day of the Funds fiscal year was the last day the New York Stock Exchange was open for trading. The Funds financial statements have been presented through that date to maintain consistency with the Funds 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 Funds net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. When the Fund engages in when-issued or delayed delivery transactions, it relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do so may cause the Fund to lose the opportunity to obtain or dispose of the security at a price and yield it considers advantageous. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase.
As of September 28, 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 |
$ | 62,442,983 | ||
Sold securities |
10,866,152 |
21 | Oppenheimer Balanced Fund/VA |
Oppenheimer Balanced Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
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 Funds market value of investments relative to its net assets which can incrementally increase the volatility of the Funds 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 Funds 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 IMMFs 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 Funds investment in IMMF.
Foreign Currency Translation. The Funds 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 Funds Board has adopted procedures for the valuation of the Funds 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 Committees fair valuation determinations are subject to review, approval and ratification by the Funds 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 Funds 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 days closing bid and asked prices, and if not, at the current days 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,
22 | Oppenheimer Balanced Fund/VA |
Oppenheimer Balanced Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
prior to the time when the Funds 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 companys 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 Funds 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 | |
Corporate debt, government debt, municipal, mortgage-backed and asset-backed securities | Reported trade data, broker-dealer price quotations, 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. |
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 Funds Board or (ii) as determined in good faith by the Managers 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 Funds 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.
23 | Oppenheimer Balanced Fund/VA |
Oppenheimer Balanced Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
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 Funds 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 Managers 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 September 28, 2012 based on valuation input level:
Level 1 Unadjusted Quoted Prices |
Level 2 Other Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
Value | |||||||||||||
Assets Table |
| |||||||||||||||
Investments, at Value: |
| |||||||||||||||
Common Stocks |
||||||||||||||||
Consumer Discretionary |
$ | 19,078,285 | $ | | $ | | $ | 19,078,285 | ||||||||
Consumer Staples |
18,795,132 | | | 18,795,132 | ||||||||||||
Energy |
19,628,196 | | | 19,628,196 | ||||||||||||
Financials |
37,416,785 | | | 37,416,785 | ||||||||||||
Health Care |
27,917,003 | | | 27,917,003 | ||||||||||||
Industrials |
16,394,782 | | | 16,394,782 | ||||||||||||
Information Technology |
15,006,951 | | | 15,006,951 | ||||||||||||
Materials |
8,089,808 | | | 8,089,808 | ||||||||||||
Telecommunication Services |
6,954,967 | | | 6,954,967 | ||||||||||||
Utilities |
6,810,070 | | | 6,810,070 | ||||||||||||
Asset-Backed Securities |
| 12,145,618 | | 12,145,618 | ||||||||||||
Mortgage-Backed Obligations |
| 83,471,469 | | 83,471,469 | ||||||||||||
U.S. Government Obligations |
| 2,384,254 | | 2,384,254 | ||||||||||||
Non-Convertible Corporate Bonds and Notes |
| 58,009,080 | | 58,009,080 | ||||||||||||
Investment Company |
17,455,594 | | | 17,455,594 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments, at Value |
193,547,573 | 156,010,421 | | 349,557,994 | ||||||||||||
Other Financial Instruments: |
||||||||||||||||
Futures margins |
1,637 | | | 1,637 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Assets |
$ | 193,549,210 | $ | 156,010,421 | $ | | $ | 349,559,631 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Liabilities Table |
||||||||||||||||
Other Financial Instruments: |
||||||||||||||||
Futures margins |
$ | (13,820 | ) | $ | | $ | | $ | (13,820 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
Total Liabilities |
$ | (13,820 | ) | $ | | $ | | $ | (13,820 | ) | ||||||
|
|
|
|
|
|
|
|
24 | Oppenheimer Balanced Fund/VA |
Oppenheimer Balanced Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Currency contracts and forwards, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contracts 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 Funds 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 instruments price over a defined time period. Large increases or decreases in a financial instruments 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 Funds actual exposures to these market risk factors during the period are discussed in further detail, by derivative type, below.
25 | Oppenheimer Balanced Fund/VA |
Oppenheimer Balanced Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Risks of Investing in Derivatives. The Funds 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 Funds 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 Funds 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 Funds 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 Funds net assets and or a percentage decrease in the Funds Net Asset Value or NAV. The contingent features are established within the Funds 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. The unrealized appreciation (depreciation) is reported in the Statement of Assets and Liabilities in the annual and semiannual reports as a receivable or payable and in the Statement of Operations in the annual and semiannual reports within the change in unrealized appreciation (depreciation). At contract close, the difference between the original cost of the contract and the value at the close date is recorded as a realized gain (loss) in the Statement of Operations in the annual and semiannual reports.
The Fund has purchased and sold certain forward foreign currency exchange contracts of different currencies in order to acquire currencies to pay for or sell currencies to acquire related foreign securities purchase and sale transactions, respectively, or to convert foreign currencies to U.S. dollars from related foreign securities transactions. These foreign currency exchange contracts are negotiated at the current spot exchange rate with settlement typically within two business days thereafter.
During the period ended September 28, 2012, the Fund had daily average contract amounts on forward foreign currency contracts to sell of $74,665.
Additional associated risk to the Fund includes counterparty credit risk. Counterparty credit risk arises from the possibility that the counterparty will default.
As of September 28, 2012, the Fund had no outstanding forward contracts.
26 | Oppenheimer Balanced Fund/VA |
Oppenheimer Balanced Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
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 Funds assets are valued.
Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin) in an amount equal to a certain percentage of the contract value. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealized gains and losses.
Futures contracts are reported on a schedule following the Statement of Investments. Securities held in collateralized accounts to cover initial margin requirements on open futures contracts are noted in the Statement of Investments. Cash held by the broker to cover initial margin requirements on open futures contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted in the Statement of Assets and Liabilities in the annual and semiannual reports. The net change in unrealized appreciation and depreciation is reported in the Statement of Operations in the annual and semiannual reports. Realized gains (losses) are reported in the Statement of Operations in the annual and semiannual reports at the closing or expiration of futures contracts.
The Fund has purchased futures contracts on various bonds and notes to increase exposure to interest rate risk.
The Fund has sold futures contracts on various bonds and notes to decrease exposure to interest rate risk.
During the period ended September 28, 2012, the Fund had an ending monthly average market value of $6,572,091 and $22,461,374 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 Funds 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 put options on individual equity securities and/or equity indexes to decrease exposure to equity risk. A purchased put option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price.
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.
27 | Oppenheimer Balanced Fund/VA |
Oppenheimer Balanced Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
During the period ended September 28, 2012, the Fund had an ending monthly average market value of $700 and $3,239 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.
Additional associated risks to the Fund include counterparty credit risk for over-the-counter options and liquidity risk.
As of September 28, 2012, the Fund had no outstanding written or purchased options.
Restricted Securities
As of September 28, 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 September 28, 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 |
$ | 326,509,863 | ||
Federal tax cost of other investments |
(26,305,530 | ) | ||
|
|
|||
Total federal tax cost |
$ | 300,204,333 | ||
|
|
|||
Gross unrealized appreciation |
$ | 25,523,195 | ||
Gross unrealized depreciation |
(2,523,628 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 22,999,567 | ||
|
|
28 | Oppenheimer Balanced Fund/VA |
STATEMENT OF INVESTMENTS September 28, 2012* / Unaudited
Shares | Value | |||||||
Common Stocks99.1% |
||||||||
Consumer Discretionary14.6% |
||||||||
Auto Components0.8% |
||||||||
Johnson Controls, Inc. |
297,730 | $ | 8,157,802 | |||||
Hotels, Restaurants & Leisure3.3% |
||||||||
McDonalds Corp. |
231,040 | 21,197,920 | ||||||
Yum! Brands, Inc. |
162,300 | 10,766,982 | ||||||
|
|
|||||||
31,964,902 | ||||||||
Internet & Catalog Retail1.4% |
||||||||
Amazon.com, Inc.1 |
52,784 | 13,424,027 | ||||||
Media1.9% |
||||||||
Walt Disney Co. (The) |
365,130 | 19,088,996 | ||||||
Specialty Retail3.9% |
||||||||
OReilly Automotive, Inc.1 |
174,350 | 14,579,147 | ||||||
Tiffany & Co. |
135,960 | 8,413,205 | ||||||
TJX Cos., Inc. (The) |
337,040 | 15,096,022 | ||||||
|
|
|||||||
38,088,374 | ||||||||
Textiles, Apparel & Luxury Goods3.3% |
||||||||
Coach, Inc. |
204,220 | 11,440,404 | ||||||
Nike, Inc., Cl. B |
138,760 | 13,169,712 | ||||||
Ralph Lauren Corp., Cl. A |
54,900 | 8,302,527 | ||||||
|
|
|||||||
32,912,643 | ||||||||
Consumer Staples12.6% |
||||||||
Beverages4.4% |
||||||||
Brown-Forman Corp., Cl. B |
178,035 | 11,616,784 | ||||||
Coca-Cola Co. (The) |
430,290 | 16,320,900 | ||||||
SABMiller plc |
333,660 | 14,655,201 | ||||||
|
|
|||||||
42,592,885 | ||||||||
Food & Staples Retailing2.0% |
||||||||
Costco Wholesale Corp. |
195,760 | 19,600,470 | ||||||
Food Products2.6% |
||||||||
Mead Johnson Nutrition Co., Cl. A |
141,010 | 10,333,213 | ||||||
Nestle SA |
228,114 | 14,382,945 | ||||||
|
|
|||||||
24,716,158 | ||||||||
Household Products1.3% |
||||||||
Colgate-Palmolive Co. |
122,720 | 13,158,038 | ||||||
Personal Products1.1% |
||||||||
Estee Lauder Cos., Inc. (The), Cl. A |
175,960 | 10,833,857 | ||||||
Tobacco1.2% |
||||||||
Philip Morris International, Inc. |
127,980 | 11,510,521 | ||||||
Energy9.8% |
||||||||
Energy Equipment & Services6.0% |
||||||||
Cameron International Corp.1 |
218,870 | 12,272,041 | ||||||
Ensco plc, Cl. A |
201,210 | 10,978,018 | ||||||
National Oilwell Varco, Inc. |
162,210 | 12,994,643 | ||||||
Oceaneering International, Inc. |
79,890 | 4,413,922 | ||||||
Schlumberger Ltd. |
240,810 | 17,417,787 | ||||||
|
|
|||||||
58,076,411 | ||||||||
Oil, Gas & Consumable Fuels3.8% |
||||||||
Chevron Corp. |
100,550 | 11,720,108 | ||||||
Noble Energy, Inc. |
128,060 | 11,872,443 | ||||||
Occidental Petroleum Corp. |
89,330 | 7,687,740 | ||||||
Phillips 66 |
133,000 | 6,167,210 | ||||||
|
|
|||||||
37,447,501 | ||||||||
Financials1.8% |
||||||||
Commercial Banks0.7% |
||||||||
Standard Chartered plc |
307,190 | 6,944,706 | ||||||
Consumer Finance1.1% |
||||||||
American Express Co. |
185,530 | 10,549,236 | ||||||
Health Care12.6% |
||||||||
Biotechnology2.4% |
||||||||
Alexion Pharmaceuticals, Inc.1 |
67,120 | 7,678,528 | ||||||
Vertex Pharmaceuticals, Inc.1 |
280,030 | 15,667,679 | ||||||
|
|
|||||||
23,346,207 | ||||||||
Health Care Equipment & Supplies1.1% |
||||||||
Baxter International, Inc. |
183,810 | 11,076,391 | ||||||
Health Care Technology0.9% |
||||||||
Cerner Corp.1 |
110,380 | 8,544,516 | ||||||
Life Sciences Tools & Services0.8% |
||||||||
Mettler-Toledo International, Inc.1 |
46,660 | 7,966,728 | ||||||
Pharmaceuticals7.4% |
||||||||
Allergan, Inc. |
204,080 | 18,689,646 | ||||||
Bristol-Myers Squibb Co. |
433,710 | 14,637,712 | ||||||
Novo Nordisk AS, Cl. B |
108,794 | 17,186,883 | ||||||
Perrigo Co. |
78,560 | 9,126,315 | ||||||
Roche Holding AG |
67,612 | 12,630,971 | ||||||
|
|
|||||||
72,271,527 | ||||||||
Industrials13.0% |
||||||||
Aerospace & Defense3.0% |
||||||||
Precision Castparts Corp. |
74,900 | 12,234,166 | ||||||
TransDigm Group, Inc.1 |
50,620 | 7,181,459 |
1 | OPPENHEIMER CAPITAL APPRECIATION FUND/VA |
STATEMENT OF INVESTMENTS Unaudited / (Continued)
Shares | Value | |||||||
Aerospace & Defense (Continued) |
||||||||
United Technologies Corp. |
141,580 | $ | 11,084,298 | |||||
|
|
|||||||
30,499,923 | ||||||||
Air Freight & Couriers0.9% |
||||||||
United Parcel Service, Inc., Cl. B |
129,660 | 9,279,766 | ||||||
Industrial Conglomerates1.6% |
||||||||
Danaher Corp. |
280,320 | 15,459,648 | ||||||
Machinery4.2% |
||||||||
Caterpillar, Inc. |
87,520 | 7,530,221 | ||||||
Cummins, Inc. |
87,480 | 8,066,531 | ||||||
Eaton Corp. |
74,500 | 3,520,870 | ||||||
Joy Global, Inc. |
152,977 | 8,575,891 | ||||||
Parker Hannifin Corp. |
147,390 | 12,318,856 | ||||||
|
|
|||||||
40,012,369 | ||||||||
Road & Rail3.3% |
||||||||
J.B. Hunt Transport Services, Inc. |
142,190 | 7,399,568 | ||||||
Kansas City Southern |
119,890 | 9,085,264 | ||||||
Union Pacific Corp. |
134,120 | 15,920,044 | ||||||
|
|
|||||||
32,404,876 | ||||||||
Information Technology30.0% |
||||||||
Communications Equipment4.4% |
||||||||
Juniper Networks, Inc.1 |
295,480 | 5,055,663 | ||||||
QUALCOMM, Inc. |
618,530 | 38,651,940 | ||||||
|
|
|||||||
43,707,603 | ||||||||
Computers & Peripherals9.7% |
||||||||
Apple, Inc. |
135,410 | 90,353,677 | ||||||
SanDisk Corp.1 |
112,350 | 4,879,361 | ||||||
|
|
|||||||
95,233,038 | ||||||||
Electronic Equipment, Instruments & Components1.0% |
||||||||
Corning, Inc. |
730,320 | 9,603,708 | ||||||
Internet Software & Services5.1% |
||||||||
eBay, Inc.1 |
338,610 | 16,392,110 | ||||||
Google, Inc., Cl. A1 |
44,160 | 33,318,720 | ||||||
|
|
|||||||
49,710,830 | ||||||||
IT Services3.9% |
||||||||
Fiserv, Inc.1 |
74,390 | 5,359,804 | ||||||
International Business Machines Corp. |
25,730 | 5,337,688 | ||||||
Teradata Corp.1 |
195,340 | 14,730,589 | ||||||
Visa, Inc., Cl. A |
96,047 | 12,897,191 | ||||||
|
|
|||||||
38,429,287 | ||||||||
Semiconductors & Semiconductor Equipment2.6% |
||||||||
Avago Technologies Ltd. |
165,240 | 5,922,160 | ||||||
Broadcom Corp., Cl. A1 |
342,600 | 11,847,108 | ||||||
Texas Instruments, Inc. |
267,200 | 7,361,360 | ||||||
|
|
|||||||
24,969,561 | ||||||||
Software3.3% |
||||||||
Intuit, Inc. |
186,500 | 10,981,120 | ||||||
Salesforce.com, Inc.1 |
76,960 | 11,751,022 | ||||||
VMware, Inc., Cl. A1 |
103,280 | 9,991,307 | ||||||
|
|
|||||||
32,723,449 | ||||||||
Materials4.7% |
||||||||
Chemicals4.7% |
||||||||
Ecolab, Inc. |
181,730 | 11,777,921 | ||||||
Monsanto Co. |
166,580 | 15,162,112 | ||||||
PPG Industries, Inc. |
81,920 | 9,407,693 | ||||||
Praxair, Inc. |
93,342 | 9,696,367 | ||||||
|
|
|||||||
46,044,093 | ||||||||
|
|
|||||||
Total Common Stocks (Cost $637,898,026) |
970,407,099 | |||||||
Investment Company0.8% |
||||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.18%2,3 (Cost $7,750,730) |
7,750,730 | 7,750,730 | ||||||
Total Investments, at Value (Cost $645,648,756) |
99.9 | % | 978,157,829 | |||||
Assets in Excess of Other Liabilities |
0.1 | 551,037 | ||||||
|
|
|
|
|||||
Net Assets |
100.0 | % | $ | 978,708,866 | ||||
|
|
|
|
2 | OPPENHEIMER CAPITAL APPRECIATION FUND/VA |
STATEMENT OF INVESTMENTS Unaudited / (Continued)
Footnotes to Statement of Investments
* | September 28, 2012 represents the last business day of the Funds 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 September 28, 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 December 30, 2011ª |
Gross Additions |
Gross Reductions |
Shares September 28, 2012 |
|||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E |
8,136,365 | 111,574,054 | 111,959,689 | 7,750,730 | ||||||||||||
Value | Income | |||||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E |
$ | 7,750,730 | $ | 7,475 |
a. | December 30, 2011 represents the last business day of the Funds 2011 fiscal year. See accompanying Notes. |
3. | Rate shown is the 7-day yield as of September 28, 2012. |
3 | OPPENHEIMER CAPITAL APPRECIATION FUND/VA |
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued)
Quarterly and Annual Periods. The last day of the Funds quarterly period was the last day the New York Stock Exchange was open for trading. The Funds financial statements have been presented through that date to maintain consistency with the Funds net asset value calculations used for shareholder transactions.
The last day of the Funds fiscal year was the last day the New York Stock Exchange was open for trading. The Funds financial statements have been presented through that date to maintain consistency with the Funds 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 Funds 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 IMMFs 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 Funds investment in IMMF.
Foreign Currency Translation. The Funds 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 Funds Board has adopted procedures for the valuation of the Funds 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 Committees fair valuation determinations are subject to review, approval and ratification by the Funds 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:
4 | OPPENHEIMER CAPITAL APPRECIATION FUND/VA |
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued)
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 Funds 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 days closing bid and asked prices, and if not, at the current days 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 Funds 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 companys 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, municipal, mortgage-backed and asset-backed securities | Reported trade data, broker-dealer price quotations, 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. |
5 | OPPENHEIMER CAPITAL APPRECIATION FUND/VA |
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued)
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 Funds Board or (ii) as determined in good faith by the Managers 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 Funds 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 Funds 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) |
6 | OPPENHEIMER CAPITAL APPRECIATION FUND/VA |
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued)
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 Managers 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 September 28, 2012 based on valuation input level:
Level 1 Unadjusted Quoted Prices |
Level 2 Other Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
Value | |||||||||||||
Assets Table |
| |||||||||||||||
Investments, at Value: |
| |||||||||||||||
Common Stocks |
||||||||||||||||
Consumer Discretionary |
$ | 143,636,744 | $ | | $ | | $ | 143,636,744 | ||||||||
Consumer Staples |
122,411,929 | | | 122,411,929 | ||||||||||||
Energy |
95,523,912 | | | 95,523,912 | ||||||||||||
Financials |
17,493,942 | | | 17,493,942 | ||||||||||||
Health Care |
123,205,369 | | | 123,205,369 | ||||||||||||
Industrials |
127,656,582 | | | 127,656,582 | ||||||||||||
Information Technology |
294,434,528 | | | 294,434,528 | ||||||||||||
Materials |
46,044,093 | | | 46,044,093 | ||||||||||||
Investment Company |
7,750,730 | | | 7,750,730 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Assets |
$ | 978,157,829 | $ | | $ | | $ | 978,157,829 | ||||||||
|
|
|
|
|
|
|
|
Currency contracts and forwards, if any, are reported at their unrealized appreciation/ depreciation at measurement date, which represents the change in the contracts 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 Funds 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. |
There have been no significant changes to the fair valuation methodologies of the Fund during the period.
7 | OPPENHEIMER CAPITAL APPRECIATION FUND/VA |
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued)
Risk Exposures and the Use of Derivative Instruments
The Funds 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
8 | OPPENHEIMER CAPITAL APPRECIATION FUND/VA |
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued)
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 instruments price over a defined time period. Large increases or decreases in a financial instruments 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 Funds 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 Funds 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 Funds 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 Funds 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 Funds 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
9 | OPPENHEIMER CAPITAL APPRECIATION FUND/VA |
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued)
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 Funds net assets and or a percentage decrease in the Funds Net Asset Value or NAV. The contingent features are established within the Funds 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. The unrealized appreciation (depreciation) is reported in the Statement of Assets and Liabilities in the annual and semiannual reports as a receivable or payable and in the Statement of Operations in the annual and semiannual reports within the change in unrealized appreciation (depreciation). At contract close, the difference between the original cost of the contract and the value at the close date is recorded as a realized gain (loss) in the Statement of Operations in the annual and semiannual reports.
The Fund has purchased and sold certain forward foreign currency exchange contracts of different currencies in order to acquire currencies to pay for or sell currencies to acquire related foreign securities purchase and sale transactions, respectively, or to convert foreign currencies to U.S. dollars from related foreign securities transactions. These foreign currency exchange contracts are negotiated at the current spot exchange rate with settlement typically within two business days thereafter.
During the period ended September 28, 2012, the Fund had daily average contract amounts on forward foreign currency contracts to buy and sell of $38,563 and $589,868, respectively.
Additional associated risk to the Fund includes counterparty credit risk. Counterparty credit risk arises from the possibility that the counterparty will default.
As of September 28, 2012, the Fund had no outstanding forward contracts.
Federal Taxes. The approximate aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of September 28, 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 |
$ | 647,858,641 | ||
|
|
|||
Gross unrealized appreciation |
$ | 342,570,203 | ||
Gross unrealized depreciation |
(12,271,015 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 330,299,188 | ||
|
|
10 | OPPENHEIMER CAPITAL APPRECIATION FUND/VA |
Oppenheimer Core Bond Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Asset-Backed Securities9.9% |
| |||||||
AESOP Funding II LLC, Automobile Receivables Nts., Series 2011-1A, Cl. A, 1.85%, 11/20/131 |
$ | 235,000 | $ | 236,725 | ||||
Ally Master Owner Trust, Asset-Backed Nts., Series 2012-2, Cl. A, 0.721%, 3/15/162 |
515,000 | 515,428 | ||||||
American Credit Acceptance Receivables Trust 2012-1, Automobile Receivables-Backed Nts., Series 2012-1, Cl. A1, 1.96%, 1/15/141 |
188,211 | 188,225 | ||||||
American Credit Acceptance Receivables Trust 2012-2, Automobile Receivables-Backed Nts., Series 2012-2, Cl. A, 1.89%, 7/15/161 |
545,958 | 546,470 | ||||||
AmeriCredit Automobile Receivables Trust 2010-1, Automobile Receivables-Backed Nts., Series 2010-1, Cl. D, 6.65%, 7/17/17 |
300,000 | 322,344 | ||||||
AmeriCredit Automobile Receivables Trust 2010-2, Automobile Receivables-Backed Nts.: |
||||||||
Series 2010-2, Cl. C, 4.52%, 10/8/15 |
430,000 | 446,857 | ||||||
Series 2010-2, Cl. D, 6.24%, 6/8/16 |
275,000 | 297,787 | ||||||
AmeriCredit Automobile Receivables Trust 2011-1, Automobile Receivables-Backed Nts., Series 2011-1, Cl. D, 4.26%, 2/8/17 |
120,000 | 127,955 | ||||||
AmeriCredit Automobile Receivables Trust 2011-2, Automobile Receivables-Backed Nts.: |
||||||||
Series 2011-2, Cl. B, 2.33%, 3/8/16 |
440,000 | 447,656 | ||||||
Series 2011-2, Cl. D, 4%, 5/8/17 |
525,000 | 545,189 | ||||||
AmeriCredit Automobile Receivables Trust 2011-4, Automobile Receivables-Backed Nts., Series 2011-4, Cl. D, 4.08%, 7/10/17 |
650,000 | 681,012 | ||||||
AmeriCredit Automobile Receivables Trust 2011-5, Automobile Receivables-Backed Nts., Series 2011-5, Cl. D, 5.05%, 12/8/17 |
435,000 | 469,386 | ||||||
AmeriCredit Automobile Receivables Trust 2012-1, Automobile Receivables-Backed Nts., Series 2012-1, Cl. D, 4.72%, 3/8/18 |
425,000 | 456,186 | ||||||
AmeriCredit Automobile Receivables Trust 2012-2, Automobile Receivables-Backed Nts., Series 2012-2, Cl. D, 3.38%, 4/9/18 |
695,000 | 713,929 |
1 | Oppenheimer Core Bond Fund/VA |
Oppenheimer Core Bond Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Avis Budget Rental Car Funding AESOP LLC, Automobile Receivable Nts.: |
||||||||
Series 2010-3A, Cl. A, 4.64%, 5/20/161 |
$ | 240,000 | $ | 261,047 | ||||
Series 2011-2A, Cl. A, 2.37%, 11/20/141 |
455,000 | 467,609 | ||||||
Series 2012-1A, Cl. A, 2.054%, 8/20/161 |
765,000 | 787,152 | ||||||
Centre Point Funding LLC, Asset-Backed Nts., Series 2010-1A, Cl. 1, 5.43%, 7/20/151 |
73,981 | 77,616 | ||||||
Citibank Credit Card Issuance Trust, Credit Card Receivable Nts., Series 2003-C4, Cl. C4, 5%, 6/10/15 |
310,000 | 318,724 | ||||||
Citibank Omni Master Trust, Credit Card Receivables Nts., Series 2009-A17, Cl. A17, 4.90%, 11/15/181 |
665,000 | 725,190 | ||||||
CPS Auto Trust, Automobile Receivable Nts.: |
||||||||
Series 2012-B, Cl. A, 3.09%, 9/1/191 |
570,008 | 572,483 | ||||||
Series 2012-C, Cl. A, 2.26%, 12/16/191 |
200,000 | 200,178 | ||||||
Credit Acceptance Auto Loan Trust, Automobile Receivable Nts.: |
||||||||
Series 2012-1A, Cl. A, 2.20%, 9/16/191 |
260,000 | 261,902 | ||||||
Series 2012-2A, Cl. A, 2.35%, 3/15/201 |
155,000 | 155,085 | ||||||
Series 2012-2A, Cl. B, 5.45%, 9/15/201 |
80,000 | 79,538 | ||||||
DSC Floorplan Master Owner Trust, Automobile Receivable Nts., Series 2011-1, Cl. A, 3.91%, 3/15/16 |
400,000 | 409,994 | ||||||
DT Auto Owner Trust 2011-1A, Automobile Receivable Nts., Series 2011-1A, Cl. C, 3.05%, 8/15/151 |
570,000 | 571,243 | ||||||
DT Auto Owner Trust 2011-2A, Automobile Receivable Nts., Series 2011-2A, Cl. C, 3.05%, 7/15/131 |
134,000 | 134,105 | ||||||
DT Auto Owner Trust 2011-3A, Automobile Receivable Nts., Series 2011-3A, Cl. C, 4.03%, 12/15/411 |
435,000 | 441,609 | ||||||
DT Auto Owner Trust 2012-1A, Automobile Receivable Nts., Series 2012-1A, Cl. A, 1.05%, 1/15/151 |
284,818 | 285,029 | ||||||
DT Auto Owner Trust 2012-2, Automobile Receivable Nts.: |
||||||||
Series 2012-2, Cl. C, 2.72%, 4/17/171 |
55,000 | 55,151 | ||||||
Series 2012-2, Cl. D, 4.35%, 3/15/191 |
130,000 | 130,528 | ||||||
Enterprise Fleet Financing LLC, Automobile Receivable Nts., Series 2012-2, Cl. A2, 0.72%, 11/20/171,2 |
60,000 | 60,044 |
2 | Oppenheimer Core Bond Fund/VA |
Oppenheimer Core Bond Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Exeter Automobile Receivables Trust, Automobile Receivable Nts.: |
||||||||
Series 2012-1A, Cl. A, 2.02%, 8/15/161 |
$ | 253,588 | $ | 254,124 | ||||
Series 2012-2A, Cl. A, 1.30%, 6/15/171 |
250,000 | 250,051 | ||||||
First Investors Auto Owner Trust 2011-1, Automobile Receivable Nts., Series 2011-1, Cl. A2, 1.47%, 3/16/15 |
111,999 | 112,007 | ||||||
Hertz Vehicle Financing LLC, Automobile Receivable Nts., Series 2010-1A, Cl. A1, 2.60%, 2/25/151 |
1,015,000 | 1,036,690 | ||||||
Rental Car Finance Corp., Automobile Receivable Nts., Series 2011-1A, Cl. A1, 2.51%, 2/25/161 |
365,000 | 372,149 | ||||||
Santander Drive Auto Receivables Trust 2010-3, Automobile Receivables Nts., Series 2010-3, Cl. C, 3.06%, 11/15/17 |
485,000 | 492,351 | ||||||
Santander Drive Auto Receivables Trust 2010-B, Automobile Receivables Nts., Series 2010-B, Cl. C, 3.02%, 10/17/161 |
470,000 | 478,774 | ||||||
Santander Drive Auto Receivables Trust 2011-1, Automobile Receivables Nts., Series 2011-1, Cl. D, 4.01%, 2/15/17 |
465,000 | 475,530 | ||||||
Santander Drive Auto Receivables Trust 2011-4, Automobile Receivables Nts., Series 2011-4, Cl. B, 2.90%, 5/16/16 |
180,000 | 185,311 | ||||||
Santander Drive Auto Receivables Trust 2011-S1A, Automobile Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/173 |
325,967 | 327,255 | ||||||
Santander Drive Auto Receivables Trust 2011-S2A, Automobile Receivables Nts., Series 2011-S2A, Cl. D, 3.35%, 6/15/173 |
252,780 | 254,201 | ||||||
Santander Drive Auto Receivables Trust 2012-2, Automobile Receivables Nts., Series 2012-2, Cl. D, 5%, 2/15/18 |
545,000 | 561,469 | ||||||
SNAAC Auto Receivables Trust, Automobile Receivable Nts., Series 2012-1A, Cl. A, 1.78%, 6/15/161 |
277,206 | 277,789 | ||||||
United Auto Credit Securitization Trust 2012-1, Automobile Receivables Nts.: |
||||||||
Series 2012-1, Cl. A2, 1.10%, 3/16/15 |
155,000 | 155,000 | ||||||
Series 2012-1, Cl. B, 1.87%, 9/15/15 |
265,000 | 265,000 | ||||||
Series 2012-1, Cl. C, 2.52%, 3/15/16 |
190,000 | 190,000 | ||||||
Series 2012-1, Cl. D, 3.12%, 3/15/18 |
135,000 | 134,991 | ||||||
Westlake Automobile Receivables Trust 2011-1, Automobile Receivables Nts., Series 2011-1, Cl. A3, 1.49%, 6/16/141 |
174,842 | 175,126 |
3 | Oppenheimer Core Bond Fund/VA |
Oppenheimer Core Bond Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Westlake Automobile Receivables Trust 2012-1, Automobile Receivable Nts., Series 2012-1, Cl. D, 1.03%, 6/16/141,2 |
$ | 155,000 | $ | 155,018 | ||||
Wheels SPV LLC, Asset-Backed Nts., Series 2012-1, Cl. A2, 1.19%, 3/20/211 |
260,000 | 260,828 | ||||||
World Financial Network Credit Card Master Note Trust, Credit Card Receivables, Series 2012-B, Cl. A, 1.76%, 5/17/21 |
185,000 | 186,378 | ||||||
|
|
|||||||
Total Asset-Backed Securities (Cost $18,354,893) |
18,589,418 | |||||||
Mortgage-Backed Obligations70.1% |
||||||||
Government Agency57.3% |
||||||||
FHLMC/FNMA/FHLB/Sponsored56.8% |
||||||||
Federal Home Loan Mortgage Corp.: |
||||||||
3.50%, 10/1/424 |
2,695,000 | 2,890,388 | ||||||
5%, 12/15/34 |
13,871 | 15,180 | ||||||
5.50%, 9/1/39 |
1,065,075 | 1,173,907 | ||||||
6%, 5/15/18-10/15/29 |
2,011,907 | 2,212,421 | ||||||
6.50%, 4/15/18-4/1/34 |
480,749 | 548,643 | ||||||
7%, 8/15/16-10/1/37 |
537,964 | 631,919 | ||||||
8%, 4/1/16 |
121,833 | 130,848 | ||||||
9%, 8/1/22-5/1/25 |
51,566 | 59,731 | ||||||
10.50%, 11/14/20 |
2,417 | 2,946 | ||||||
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: |
||||||||
Series 151, Cl. F, 9%, 5/15/21 |
13,068 | 15,059 | ||||||
Series 1674, Cl. Z, 6.75%, 2/15/24 |
39,550 | 45,107 | ||||||
Series 2006-11, Cl. PS, 23.773%, 3/25/362 |
306,342 | 462,715 | ||||||
Series 2034, Cl. Z, 6.50%, 2/15/28 |
4,757 | 5,479 | ||||||
Series 2042, Cl. N, 6.50%, 3/15/28 |
13,204 | 15,191 | ||||||
Series 2043, Cl. ZP, 6.50%, 4/15/28 |
565,812 | 654,757 | ||||||
Series 2046, Cl. G, 6.50%, 4/15/28 |
35,830 | 41,227 | ||||||
Series 2053, Cl. Z, 6.50%, 4/15/28 |
6,103 | 7,025 | ||||||
Series 2066, Cl. Z, 6.50%, 6/15/28 |
620,234 | 714,786 | ||||||
Series 2195, Cl. LH, 6.50%, 10/15/29 |
474,358 | 547,345 | ||||||
Series 2220, Cl. PD, 8%, 3/15/30 |
2,344 | 2,796 | ||||||
Series 2326, Cl. ZP, 6.50%, 6/15/31 |
130,492 | 151,085 | ||||||
Series 2461, Cl. PZ, 6.50%, 6/15/32 |
635,241 | 737,184 | ||||||
Series 2470, Cl. LF, 1.221%, 2/15/322 |
5,405 | 5,522 | ||||||
Series 2500, Cl. FD, 0.721%, 3/15/322 |
129,075 | 130,672 | ||||||
Series 2526, Cl. FE, 0.621%, 6/15/292 |
180,297 | 181,773 | ||||||
Series 2538, Cl. F, 0.821%, 12/15/322 |
633,046 | 640,371 | ||||||
Series 2551, Cl. FD, 0.621%, 1/15/332 |
117,030 | 118,075 | ||||||
Series 2936, Cl. PE, 5%, 2/1/35 |
69,000 | 78,051 | ||||||
Series 3025, Cl. SJ, 23.941%, 8/15/352 |
62,781 | 95,711 | ||||||
Series 3822, Cl. JA, 5%, 6/1/40 |
44,139 | 46,203 |
4 | Oppenheimer Core Bond Fund/VA |
Oppenheimer Core Bond Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued |
| |||||||
Series 3848, Cl. WL, 4%, 4/1/40 |
$ | 58,414 | $ | 62,388 | ||||
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: |
||||||||
Series 205, Cl. IO, 14.308%, 9/1/295 |
16,857 | 4,114 | ||||||
Series 206, Cl. IO, 10.28%, 12/1/295 |
211,388 | 52,727 | ||||||
Series 2074, Cl. S, 57.696%, 7/17/285 |
3,573 | 779 | ||||||
Series 2079, Cl. S, 63.677%, 7/17/285 |
6,200 | 1,344 | ||||||
Series 2130, Cl. SC, 51.608%, 3/15/295 |
238,714 | 54,159 | ||||||
Series 243, Cl. 6, 0.118%, 12/15/325 |
220,426 | 46,516 | ||||||
Series 2526, Cl. SE, 38.755%, 6/15/295 |
8,143 | 1,805 | ||||||
Series 2531, Cl. ST, 99.999%, 2/15/305 |
14,603 | 96 | ||||||
Series 2796, Cl. SD, 99.999%, 7/15/265 |
382,079 | 83,090 | ||||||
Series 2802, Cl. AS, 74.343%, 4/15/335 |
138,176 | 7,419 | ||||||
Series 2819, Cl. S, 57.019%, 6/15/345 |
78,862 | 17,211 | ||||||
Series 2920, Cl. S, 66.206%, 1/15/355 |
1,444,661 | 285,336 | ||||||
Series 2922, Cl. SE, 10.179%, 2/15/355 |
176,655 | 38,954 | ||||||
Series 3004, Cl. SB, 99.999%, 7/15/355 |
78,725 | 14,750 | ||||||
Series 3201, Cl. SG, 10.435%, 8/15/365 |
417,682 | 80,476 | ||||||
Series 3450, Cl. BI, 13.334%, 5/15/385 |
931,953 | 166,281 | ||||||
Series 3606, Cl. SN, 9.161%, 12/15/395 |
247,077 | 40,600 | ||||||
Series 3662, Cl. SM, 26.186%, 10/15/325 |
734,994 | 111,891 | ||||||
Series 3736, Cl. SN, 7.59%, 10/15/405 |
1,958,347 | 339,110 | ||||||
Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 3.79%, 6/1/266 |
87,896 | 75,413 | ||||||
Federal National Mortgage Assn.: |
||||||||
2.50%, 10/1/274 |
12,955,000 | 13,618,944 | ||||||
2.789%, 10/1/362 |
163,991 | 176,003 | ||||||
3.50%, 11/1/424 |
15,850,000 | 16,961,977 | ||||||
4.50%, 10/1/27-10/1/424 |
12,755,000 | 13,804,451 | ||||||
5%, 2/25/22-7/25/22 |
11,504 | 12,514 | ||||||
5.50%, 10/1/424 |
3,014,000 | 3,304,569 | ||||||
6%, 10/1/424 |
1,150,000 | 1,269,852 | ||||||
6.50%, 5/25/17-1/1/34 |
818,686 | 886,415 | ||||||
7%, 11/1/17-7/25/35 |
377,845 | 428,564 | ||||||
7.50%, 1/1/33 |
9,812 | 11,969 | ||||||
8.50%, 7/1/32 |
16,545 | 20,625 | ||||||
Federal National Mortgage Assn., 15 yr.: |
||||||||
3%, 10/1/274 |
17,215,000 | 18,253,280 | ||||||
3.50%, 10/1/274 |
1,230,000 | 1,309,181 |
5 | Oppenheimer Core Bond Fund/VA |
Oppenheimer Core Bond Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued |
||||||||
Federal National Mortgage Assn., 30 yr., 4%, 10/1/424 |
$ | 8,555,000 | $ | 9,219,350 | ||||
Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: |
||||||||
Trust 1989-17, Cl. E, 10.40%, 4/25/19 |
6,928 | 7,490 | ||||||
Trust 1993-87, Cl. Z, 6.50%, 6/25/23 |
459,883 | 525,902 | ||||||
Trust 1998-58, Cl. PC, 6.50%, 10/25/28 |
368,159 | 424,169 | ||||||
Trust 1998-61, Cl. PL, 6%, 11/25/28 |
175,898 | 199,180 | ||||||
Trust 1999-54, Cl. LH, 6.50%, 11/25/29 |
296,615 | 341,131 | ||||||
Trust 2001-44, Cl. QC, 6%, 9/25/16 |
14,762 | 15,711 | ||||||
Trust 2001-51, Cl. OD, 6.50%, 10/25/31 |
23,452 | 27,233 | ||||||
Trust 2001-74, Cl. QE, 6%, 12/25/31 |
509,484 | 579,302 | ||||||
Trust 2002-12, Cl. PG, 6%, 3/25/17 |
7,682 | 8,290 | ||||||
Trust 2003-28, Cl. KG, 5.50%, 4/25/23 |
3,964,000 | 4,380,266 | ||||||
Trust 2004-101, Cl. BG, 5%, 1/25/20 |
1,020,359 | 1,089,448 | ||||||
Trust 2006-46, Cl. SW, 23.405%, 6/25/362 |
227,746 | 347,151 | ||||||
Trust 2006-50, Cl. KS, 23.406%, 6/25/362 |
322,559 | 486,863 | ||||||
Trust 2007-42, Cl. A, 6%, 2/1/33 |
444,976 | 459,985 | ||||||
Trust 2009-36, Cl. FA, 1.157%, 6/25/372 |
443,016 | 450,357 | ||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: |
||||||||
Trust 2001-61, Cl. SH, 33.232%, 11/18/315 |
19,506 | 3,935 | ||||||
Trust 2001-63, Cl. SD, 33.259%, 12/18/315 |
6,459 | 1,274 | ||||||
Trust 2001-65, Cl. S, 32.179%, 11/25/315 |
489,408 | 99,254 | ||||||
Trust 2001-68, Cl. SC, 23.051%, 11/25/315 |
4,163 | 817 | ||||||
Trust 2001-78, Cl. JS, 0%, 8/25/415,7 |
621,710 | 107,842 | ||||||
Trust 2001-81, Cl. S, 25.739%, 1/25/325 |
137,048 | 27,003 | ||||||
Trust 2002-28, Cl. SA, 38.825%, 4/25/325 |
3,975 | 813 | ||||||
Trust 2002-38, Cl. SO, 53.837%, 4/25/325 |
10,213 | 2,243 | ||||||
Trust 2002-39, Cl. SD, 44.315%, 3/18/325 |
6,753 | 1,351 | ||||||
Trust 2002-47, Cl. NS, 34.865%, 4/25/325 |
395,537 | 78,375 | ||||||
Trust 2002-48, Cl. S, 34.111%, 7/25/325 |
6,489 | 1,229 |
6 | Oppenheimer Core Bond Fund/VA |
Oppenheimer Core Bond Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued |
||||||||
Trust 2002-51, Cl. S, 35.103%, 8/25/325 |
$ | 363,105 | $ | 71,948 | ||||
Trust 2002-52, Cl. SD, 41.734%, 9/25/325 |
475,287 | 94,546 | ||||||
Trust 2002-52, Cl. SL, 36.833%, 9/25/325 |
4,109 | 788 | ||||||
Trust 2002-53, Cl. SK, 38.484%, 4/25/325 |
23,529 | 5,587 | ||||||
Trust 2002-56, Cl. SN, 36.026%, 7/25/325 |
8,847 | 1,676 | ||||||
Trust 2002-60, Cl. SM, 30.999%, 8/25/325 |
66,314 | 12,502 | ||||||
Trust 2002-7, Cl. SK, 30.792%, 1/25/325 |
30,203 | 6,240 | ||||||
Trust 2002-77, Cl. BS, 25.788%, 12/18/325 |
40,334 | 6,895 | ||||||
Trust 2002-77, Cl. IS, 49.335%, 12/18/325 |
17,399 | 4,137 | ||||||
Trust 2002-77, Cl. JS, 22.572%, 12/18/325 |
65,179 | 11,073 | ||||||
Trust 2002-77, Cl. SA, 25.364%, 12/18/325 |
63,414 | 10,719 | ||||||
Trust 2002-77, Cl. SH, 40.43%, 12/18/325 |
192,018 | 42,247 | ||||||
Trust 2002-84, Cl. SA, 36.521%, 12/25/325 |
465,193 | 78,271 | ||||||
Trust 2002-9, Cl. MS, 30.962%, 3/25/325 |
7,116 | 1,494 | ||||||
Trust 2002-90, Cl. SN, 32.17%, 8/25/325 |
34,115 | 6,431 | ||||||
Trust 2002-90, Cl. SY, 37.216%, 9/25/325 |
23,282 | 4,489 | ||||||
Trust 2003-26, Cl. DI, 8.702%, 4/25/335 |
15,772 | 3,270 | ||||||
Trust 2003-33, Cl. SP, 33.684%, 5/25/335 |
498,029 | 81,695 | ||||||
Trust 2003-4, Cl. S, 32.083%, 2/25/335 |
317,645 | 61,431 | ||||||
Trust 2003-89, Cl. XS, 99.999%, 11/25/325 |
108,972 | 2,807 | ||||||
Trust 2004-54, Cl. DS, 50.765%, 11/25/305 |
338,253 | 71,718 | ||||||
Trust 2005-12, Cl. SC, 13.922%, 3/25/355 |
90,165 | 19,181 | ||||||
Trust 2005-14, Cl. SE, 45.718%, 3/25/355 |
276,817 | 47,934 | ||||||
Trust 2005-40, Cl. SA, 58.18%, 5/25/355 |
765,187 | 151,583 |
7 | Oppenheimer Core Bond Fund/VA |
Oppenheimer Core Bond Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued |
||||||||
Trust 2005-40, Cl. SB, 68.944%, 5/25/355 |
$ | 36,153 | $ | 7,196 | ||||
Trust 2005-5, Cl. SD, 12.536%, 1/25/355 |
365,642 | 70,045 | ||||||
Trust 2005-71, Cl. SA, 60.813%, 8/25/255 |
867,276 | 131,148 | ||||||
Trust 2005-93, Cl. SI, 99.999%, 10/25/355 |
722,687 | 112,123 | ||||||
Trust 2007-75, Cl. BI, 2.546%, 8/25/375 |
1,536,076 | 362,079 | ||||||
Trust 2008-46, Cl. EI, 14.595%, 6/25/385 |
950,753 | 170,858 | ||||||
Trust 2008-55, Cl. SA, 20.653%, 7/25/385 |
137,393 | 20,425 | ||||||
Trust 2009-8, Cl. BS, 21.865%, 2/25/245 |
427,789 | 43,858 | ||||||
Trust 221, Cl. 2, 42.368%, 5/1/235 |
6,056 | 1,312 | ||||||
Trust 222, Cl. 2, 26.579%, 6/1/235 |
657,515 | 129,528 | ||||||
Trust 252, Cl. 2, 40.501%, 11/1/235 |
590,247 | 130,161 | ||||||
Trust 294, Cl. 2, 16.845%, 2/1/285 |
66,816 | 16,345 | ||||||
Trust 301, Cl. 2, 1.353%, 4/1/295 |
6,820 | 1,380 | ||||||
Trust 303, Cl. IO, 8.271%, 11/1/295 |
105,467 | 24,969 | ||||||
Trust 320, Cl. 2, 11.639%, 4/1/325 |
460,040 | 109,070 | ||||||
Trust 321, Cl. 2, 0.817%, 4/1/325 |
1,365,212 | 274,701 | ||||||
Trust 324, Cl. 2, 1.40%, 7/1/325 |
14,145 | 2,852 | ||||||
Trust 331, Cl. 5, 1.683%, 2/1/335 |
19,789 | 3,769 | ||||||
Trust 331, Cl. 9, 6.632%, 2/1/335 |
384,013 | 75,228 | ||||||
Trust 334, Cl. 12, 10.163%, 2/1/335 |
34,846 | 6,194 | ||||||
Trust 334, Cl. 17, 14.026%, 2/1/335 |
269,932 | 52,527 | ||||||
Trust 339, Cl. 12, 0%, 7/1/335,7 |
505,943 | 88,984 | ||||||
Trust 339, Cl. 7, 17.897%, 7/1/335 |
1,124,335 | 146,185 | ||||||
Trust 343, Cl. 13, 2.346%, 9/1/335 |
471,010 | 64,828 | ||||||
Trust 343, Cl. 18, 4.612%, 5/1/345 |
129,249 | 17,093 | ||||||
Trust 345, Cl. 9, 49.233%, 1/1/345 |
414,811 | 49,416 | ||||||
Trust 351, Cl. 10, 3.54%, 4/1/345 |
175,958 | 23,379 | ||||||
Trust 351, Cl. 8, 4.991%, 4/1/345 |
280,589 | 38,785 | ||||||
Trust 356, Cl. 10, 18.02%, 6/1/355 |
222,586 | 29,583 | ||||||
Trust 356, Cl. 12, 22.031%, 2/1/355 |
109,760 | 13,973 | ||||||
Trust 362, Cl. 13, 7.289%, 8/1/355 |
403,678 | 60,011 | ||||||
Trust 364, Cl. 15, 13.548%, 9/1/355 |
23,553 | 3,268 | ||||||
Trust 364, Cl. 16, 13.546%, 9/1/355 |
462,778 | 66,053 | ||||||
Trust 365, Cl. 16, 0.741%, 3/1/365 |
756,585 | 119,938 |
8 | Oppenheimer Core Bond Fund/VA |
Oppenheimer Core Bond Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued |
||||||||
Federal National Mortgage Assn., Principal-Only Stripped Mtg.-Backed Security, Trust 1993-184, Cl. M, 4.195%, 9/25/236 |
$ | 206,128 | $ | 192,716 | ||||
|
|
|||||||
106,249,526 | ||||||||
GNMA/Guaranteed0.5% |
||||||||
Government National Mortgage Assn.: |
||||||||
7%, 12/29/23-3/15/26 |
18,236 | 21,610 | ||||||
8.50%, 8/1/17-12/15/17 |
71,898 | 77,134 | ||||||
Government National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: |
||||||||
Series 1999-32, Cl. ZB, 8%, 9/16/29 |
66,245 | 81,214 | ||||||
Series 2000-7, Cl. Z, 8%, 1/16/30 |
26,400 | 31,996 | ||||||
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: |
||||||||
Series 1998-19, Cl. SB, 68.87%, 7/16/285 |
13,346 | 2,974 | ||||||
Series 2001-21, Cl. SB, 81.673%, 1/16/275 |
470,919 | 97,028 | ||||||
Series 2002-15, Cl. SM, 79.59%, 2/16/325 |
490,801 | 111,327 | ||||||
Series 2004-11, Cl. SM, 70.953%, 1/17/305 |
385,699 | 98,484 | ||||||
Series 2007-17, Cl. AI, 22.033%, 4/16/375 |
151,222 | 34,101 | ||||||
Series 2011-52, Cl. HS, 9.436%, 4/16/415 |
979,811 | 283,203 | ||||||
|
|
|||||||
839,071 | ||||||||
Non-Agency12.8% |
||||||||
Commercial7.7% |
||||||||
Asset Securitization Corp., Commercial Interest-Only Stripped Mtg.-Backed Security, Series 1997-D4, Cl. PS1, 0.054%, 4/14/295 |
2,728,528 | 116,186 | ||||||
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 | 824,375 | ||||||
Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2007-3, Cl. A4, 5.893%, 6/1/492 |
385,000 | 444,081 |
9 | Oppenheimer Core Bond Fund/VA |
Oppenheimer Core Bond Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Commercial Continued |
||||||||
Bear Stearns Commercial Mortgage Securities Trust 2007-PWR17, Commercial Mtg. Pass-Through Certificates, Series 2007-PWR17, Cl. AM, 5.915%, 6/1/502 |
$ | 440,000 | $ | 484,890 | ||||
Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed Pass-Through Certificates, Series 1997-CTL1, 0%, 6/15/243,5,7 |
2,440,474 | 119,282 | ||||||
CFCRE Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2011-C1, Cl. A1, 1.871%, 4/1/441 |
115,634 | 118,007 | ||||||
CHL Mortgage Pass-Through Trust 2005-17, Mtg. Pass-Through Certificates, Series 2005-17, Cl. 1A8, 5.50%, 9/1/35 |
58,680 | 60,011 | ||||||
CHL Mortgage Pass-Through Trust 2007-J3, Mtg. Pass-Through Certificates, Series 2007-J3, Cl. A9, 6%, 7/1/37 |
263,622 | 207,153 | ||||||
Citigroup, Inc./Deutsche Bank 2007-CD4 Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates: |
||||||||
Series 2007-CD4, Cl. A2B, 5.205%, 12/11/49 |
81,079 | 82,644 | ||||||
Series 2007-CD4, Cl. A4, 5.322%, 12/1/49 |
875,000 | 1,001,862 | ||||||
Deutsche Mortgage & Asset Receiving, Commercial Mtg. Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security, Series 2010-C1, Cl. XPA, 4.899%, 9/1/201,5 |
4,352,296 | 273,087 | ||||||
First Horizon Alternative Mortgage Securities Trust 2004-FA2, Mtg. Pass-Through Certificates, Series 2004-FA2, Cl. 3A1, 6%, 1/25/35 |
444,912 | 429,513 | ||||||
First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 |
283,452 | 194,192 | ||||||
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 | 1,502,220 | ||||||
GS Mortgage Securities Corp. II, Commercial Mtg. Obligations, Series 2011-GC3, Cl. A1, 2.331%, 3/1/44 |
293,775 | 302,079 |
10 | Oppenheimer Core Bond Fund/VA |
Oppenheimer Core Bond Fund/VA
STATEMENT OF INVESTMENTS September 28, 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 | $ | 452,323 | ||||
GSR Mortgage Loan Trust 2005-AR4, Mtg. Pass-Through Certificates, Series 2005-AR4, Cl. 6A1, 5.25%, 7/1/35 |
313,655 | 309,931 | ||||||
IndyMac Index Mortgage Loan Trust 2005-AR23, Mtg. Pass-Through Certificates, Series 2005-AR23, Cl. 6A1, 4.96%, 11/1/352 |
593,846 | 494,269 | ||||||
JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: |
||||||||
Series 2011-C3, Cl. A1, 1.875%, 2/1/461 |
341,174 | 347,469 | ||||||
Series 2007-LDPX, Cl. A2S2, 5.187%, 1/1/491 |
900,224 | 931,179 | ||||||
JPMorgan Mortgage Trust 2007-S3, Mtg. Pass-Through Certificates, Series 2007-S3, Cl. 1A90, 7%, 8/1/37 |
573,108 | 530,780 | ||||||
JPMorgan, Re-Securitized Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Series 2009-5, Cl. 1A2, 2.614%, 7/1/361,2 |
425,587 | 294,231 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C6, Commercial Mtg. Pass-Through Certificates, Series 2007-C6, Cl. A4, 5.858%, 7/11/40 |
880,000 | 1,047,359 | ||||||
Lehman Brothers Commercial Conduit Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 1998-C1, Cl. IO, 40.408%, 2/18/305 |
2,381,531 | 33,709 | ||||||
Lehman Structured Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 2002-GE1, Cl. A, 2.514%, 7/1/241 |
112,396 | 100,858 | ||||||
Merrill Lynch Mortgage Trust 2006-C2, Commercial Mtg. Pass-Through Certificates, Series 2006-C2, Cl. AM, 5.782%, 8/1/43 |
425,000 | 464,314 | ||||||
Morgan Stanley Capital I Trust 2007-IQ15, Commercial Mtg. Pass-Through Certificates: |
||||||||
Series 2007-IQ15, Cl. AM, 6.076%, 6/1/492 |
490,000 | 518,086 | ||||||
Series 2007-IQ15, Cl. A4, 6.076%, 6/1/492 |
400,000 | 472,867 |
11 | Oppenheimer Core Bond Fund/VA |
Oppenheimer Core Bond Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Commercial Continued |
||||||||
Salomon Brothers Mortgage Securities VII, Inc., Interest-Only Commercial Mtg. Pass-Through Certificates, Series 1999-C1, Cl. X, 99.999%, 5/18/325 |
$ | 38,167,952 | $ | 46,489 | ||||
Structured Adjustable Rate Mortgage Loan Trust 2006-4, Commercial Mtg. Pass-Through Certificates, Series 2006-4, Cl. 6A, 5.402%, 5/1/362 |
351,123 | 286,229 | ||||||
Structured Adjustable Rate Mortgage Loan Trust 2007-6, Mtg. Pass-Through Certificates, Series 2007-6, Cl. 3A1, 4.876%, 7/1/372 |
572,122 | 439,669 | ||||||
Wachovia Bank Commercial Mortgage Trust 2007-C34, Commercial Mtg. Pass-Through Certificates, Series 2007-C34, Cl. A3, 5.678%, 5/1/46 |
520,000 | 614,242 | ||||||
WaMu Mortgage Pass-Through Certificates 2005-AR14 Trust, Mtg. Pass-Through Certificates, Series 2005-AR14, Cl. 1A4, 2.468%, 12/1/352 |
331,134 | 303,647 | ||||||
Wells Fargo Mortgage-Backed Securities 2007-AR3 Trust, Mtg. Pass-Through Certificates, Series 2007-AR3, Cl. A4, 5.733%, 4/1/372 |
151,375 | 135,847 | ||||||
Wells Fargo Mortgage-Backed Securities 2007-AR8 Trust, Mtg. Pass-Through Certificates, Series 2007-AR8, Cl. A1, 5.992%, 11/1/372 |
383,203 | 343,232 | ||||||
|
|
|||||||
14,326,312 | ||||||||
Multifamily1.0% |
||||||||
CHL Mortgage Pass-Through Trust 2006-20, Mtg. Pass-Through Certificates, Series 2006-20, Cl. 1A17, 5.75%, 2/1/37 |
594,210 | 506,345 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2006-AR3, Mtg. Pass-Through Certificates, Series 2006-AR3, Cl. 1A2A, 5.584%, 6/1/362 |
362,523 | 349,590 | ||||||
Countrywide Alternative Loan Trust 2005-86CB, Mtg. Pass-Through Certificates, Series 2005-86CB, Cl. A8, 5.50%, 2/1/36 |
92,827 | 83,044 | ||||||
Countrywide Alternative Loan Trust 2006-24CB, Mtg. Pass-Through Certificates, Series 2006-424B, Cl. A12, 5.75%, 6/1/36 |
115,920 | 91,193 |
12 | Oppenheimer Core Bond Fund/VA |
Oppenheimer Core Bond Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Multifamily Continued |
||||||||
JPMorgan Mortgage Trust 2007-A3, Mtg. Pass-Through Certificates, Series 2007-A3, Cl. 3A2M, 5.046%, 5/1/372 |
$ | 137,841 | $ | 130,443 | ||||
Wells Fargo Mortgage-Backed Securities 2006-AR2 Trust, Mtg. Pass-Through Certificates, Series 2006-AR2, Cl. 2A3, 2.617%, 3/1/362 |
214,914 | 204,204 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg. Pass-Through Certificates, Series 2006-AR6, Cl. 3A1, 2.693%, 3/25/362 |
467,136 | 439,944 | ||||||
|
|
|||||||
1,804,763 | ||||||||
Other0.4% |
||||||||
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 | 803,614 | ||||||
Salomon Brothers Mortgage Securities VI, Inc., Interest-Only Stripped Mtg.-Backed Security, Series 1987-3, Cl. B, 97.913%, 10/23/175 |
316 | 18 | ||||||
Salomon Brothers Mortgage Securities VI, Inc., Principal-Only Stripped Mtg.-Backed Security, Series 1987-3, Cl. A, 3.315%, 10/23/176 |
468 | 462 | ||||||
|
|
|||||||
804,094 | ||||||||
Residential3.7% |
||||||||
Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates: |
||||||||
Series 2007-4, Cl. AM, 5.987%, 2/1/512 |
470,000 | 501,455 | ||||||
Series 2007-1, Cl. 1A3, 6%, 1/1/37 |
372,478 | 321,961 | ||||||
Banc of America Funding 2007-C Trust, Mtg. Pass-Through Certificates, Series 2007-C, Cl. 1A4, 5.526%, 5/1/362 |
150,912 | 147,544 | ||||||
Banc of America Mortgage 2007-1 Trust, Mtg. Pass-Through Certificates, Series 2007-1, Cl. 1A24, 6%, 3/1/37 |
262,610 | 259,140 | ||||||
Carrington Mortgage Loan Trust, Asset-Backed Pass-Through Certificates, Series 2006-FRE1, Cl. A2, 0.327%, 7/25/362 |
285,839 | 274,118 | ||||||
CHL Mortgage Pass-Through Trust 2005-29, Mtg. Pass-Through Certificates, Series 2005-29, Cl. A1, 5.75%, 12/1/35 |
203,354 | 188,807 | ||||||
CHL Mortgage Pass-Through Trust 2005-30, Mtg. Pass-Through Certificates, Series 2005-30, Cl. A5, 5.50%, 1/1/36 |
233,003 | 237,428 |
13 | Oppenheimer Core Bond Fund/VA |
Oppenheimer Core Bond Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Residential Continued |
| |||||||
CHL Mortgage Pass-Through Trust 2005-J4, Mtg. Pass-Through Certificates, Series 2005-J4, Cl. A7, 5.50%, 11/1/35 |
$ | 34,245 | $ | 36,078 | ||||
CHL Mortgage Pass-Through Trust 2006-17, Mtg. Pass-Through Certificates, Series 2006-17, Cl. A2, 6%, 12/1/36 |
470,233 | 425,026 | ||||||
Countrywide Alternative Loan Trust 2007-19, Mtg. Pass-Through Certificates, Series 2007-19, Cl. 1A34, 6%, 8/1/37 |
595,225 | 466,208 | ||||||
Countrywide Home Loans, Asset-Backed Certificates: |
||||||||
Series 2002-4, Cl. A1, 0.957%, 2/25/332 |
1,762 | 1,746 | ||||||
Series 2005-16, Cl. 2AF2, 5.287%, 5/1/362 |
327,312 | 256,811 | ||||||
CSMC Mortgage-Backed Trust 2007-3, Mtg. Pass-Through Certificates, Series 2007-3, Cl. 2A10, 6%, 4/1/37 |
344,504 | 298,103 | ||||||
CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 0.337%, 6/25/472 |
19,563 | 19,269 | ||||||
GSR Mortgage Loan Trust 2006-5F, Mtg. Pass-Through Certificates, Series 2006-5F, Cl. 2A1, 6%, 6/1/36 |
232,481 | 224,977 | ||||||
JPMorgan Alternative Loan Trust 2006-S4, Mtg. Pass-Through Certificates, Series 2006-S4, Cl. A6, 5.71%, 12/1/36 |
488,620 | 454,702 | ||||||
Mastr Asset-Backed Securities Trust 2006-WMC3, Mtg. Pass-Through Certificates, Series 2006-WMC3, Cl. A3, 0.317%, 8/25/362 |
61,224 | 21,366 | ||||||
Merrill Lynch Mortgage Investors Trust 2006-3, Mtg. Pass-Through Certificates, Series MLCC 2006-3, Cl. 2A1, 2.671%, 10/25/362 |
40,703 | 40,964 | ||||||
NC Finance Trust, Collateralized Mtg. Obligation Pass-Through Certificates, Series 1999-I, Cl. ECFD, 3.405%, 1/25/293,8 |
3,370,016 | 274,656 | ||||||
RALI Series 2003-QS1 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 |
181,672 | 188,540 | ||||||
RALI Series 2006-QS13 Trust, Mtg. Asset-Backed Pass-Through Certificates: |
48,962 | 35,410 |
14 | Oppenheimer Core Bond Fund/VA |
Oppenheimer Core Bond Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Residential Continued |
||||||||
Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 |
$ | 1,716 | $ | 1,241 | ||||
RALI Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-QS6, Cl. A28, 5.75%, 4/25/37 |
21,456 | 15,253 | ||||||
Residential Asset Securitization Trust 2005-A15, Mtg. Pass-Through Certificates, Series 2005-A15, Cl. 1A4, 5.75%, 2/1/36 |
139,097 | 124,374 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY1 Trust, Mtg. Pass-Through Certificates, Series 2007-HY1, Cl. 4A1, 2.704%, 2/1/372 |
54,781 | 42,861 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY5 Trust, Mtg. Pass-Through Certificates, Series 2007-HY5, Cl. 3A1, 5.20%, 5/1/372 |
722,963 | 698,294 | ||||||
WaMu Mortgage Pass-Through Certificates, Mtg. Pass-Through Certificates, Series 2006-AR18, Cl. 3A1, 4.744%, 1/1/372 |
240,698 | 208,185 | ||||||
Wells Fargo Alternative Loan 2007-PA5 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-PA5, Cl. 1A1, 6.25%, 11/1/37 |
410,077 | 388,320 | ||||||
Wells Fargo Mortgage-Backed Securities 2005-9 Trust, Mtg. Pass-Through Certificates, Series 2005-9, Cl. 2A6, 5.25%, 10/25/35 |
419,448 | 446,831 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR14 Trust, Mtg. Pass-Through Certificates, Series 2006-AR14, Cl. 1A2, 5.649%, 10/1/362 |
343,895 | 340,759 | ||||||
|
|
|||||||
6,940,427 | ||||||||
|
|
|||||||
Total Mortgage-Backed Obligations (Cost $130,294,844) |
130,964,193 | |||||||
U.S. Government Obligations2.0% |
||||||||
Federal Home Loan Mortgage Corp. Nts.: |
||||||||
1%, 7/28/17 |
503,000 | 510,205 | ||||||
1.25%, 8/1/19 |
75,000 | 75,344 | ||||||
1.25%, 10/2/194 |
435,000 | 433,698 | ||||||
2.375%, 1/13/229 |
894,000 | 940,034 | ||||||
5.25%, 4/18/16 |
515,000 | 601,425 | ||||||
Federal National Mortgage Assn. Nts., 0.875%, 8/28/17-10/26/17 |
1,075,000 | 1,081,740 | ||||||
U.S. Treasury Nts., 1.75%, 5/15/22 |
140,000 | 142,045 | ||||||
|
|
|||||||
Total U.S. Government Obligations (Cost $3,668,995) |
3,784,491 |
15 | Oppenheimer Core Bond Fund/VA |
Oppenheimer Core Bond Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Corporate Bonds and Notes45.7% |
| |||||||
Consumer Discretionary7.5% |
| |||||||
Auto Components0.2% |
| |||||||
Dana Holding Corp., 6.75% Sr. Unsec. Nts., 2/15/21 |
$ | 420,000 | $ | 455,700 | ||||
Automobiles0.8% |
||||||||
Daimler Finance North America LLC, 8.50% Sr. Unsec. Unsub. Nts., 1/18/31 |
237,000 | 376,785 | ||||||
Ford Motor Credit Co. LLC, 5.875% Sr. Unsec. Nts., 8/2/21 |
1,024,000 | 1,160,786 | ||||||
|
|
|||||||
1,537,571 | ||||||||
Diversified Consumer Services0.3% |
||||||||
Service Corp. International, 6.75% Sr. Unsec. Nts., 4/1/15 |
496,000 | 550,560 | ||||||
Hotels, Restaurants & Leisure0.7% |
||||||||
Darden Restaurants, Inc., 4.50% Sr. Unsec. Unsub. Nts., 10/15/21 |
238,000 | 256,122 | ||||||
Hyatt Hotels Corp., 5.75% Sr. Unsec. Unsub. Nts., 8/15/151 |
773,000 | 846,934 | ||||||
Starwood Hotels & Resorts Worldwide, Inc., 7.15% Sr. Unsec. Unsub. Nts., 12/1/19 |
116,000 | 142,038 | ||||||
|
|
|||||||
1,245,094 | ||||||||
Household Durables0.6% |
||||||||
Jarden Corp., 6.125% Sr. Unsec. Nts., 11/15/22 |
467,000 | 506,695 | ||||||
Newell Rubbermaid, Inc., 5.50% Sr. Unsec. Nts., 4/15/13 |
438,000 | 448,549 | ||||||
Whirlpool Corp., 5.50% Sr. Unsec. Unsub. Nts., 3/1/13 |
152,000 | 154,619 | ||||||
|
|
|||||||
1,109,863 | ||||||||
Media2.4% |
||||||||
CBS Corp., 4.85% Sr. Unsec. Unsub. Nts., 7/1/42 |
155,000 | 164,994 | ||||||
Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22 |
292,000 | 436,854 | ||||||
Comcast Corp., 4.65% Sr. Unsec. Unsub. Nts., 7/15/42 |
111,000 | 119,376 | ||||||
CSC Holdings, Inc., 7.625% Sr. Unsec. Debs., 7/15/18 |
430,000 | 497,725 | ||||||
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 5.15% Sr. Unsec. Nts., 3/15/42 |
268,000 | 274,029 | ||||||
DISH DBS Corp., 6.75% Sr. Unsec. Nts., 6/1/21 |
459,000 | 502,605 | ||||||
Historic TW, Inc., 9.125% Debs., 1/15/13 |
149,000 | 152,526 |
16 | Oppenheimer Core Bond Fund/VA |
Oppenheimer Core Bond Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Media Continued |
||||||||
Interpublic Group of Cos., Inc. (The): |
||||||||
6.25% Sr. Unsec. Nts., 11/15/14 |
$ | 190,000 | $ | 206,150 | ||||
10% Sr. Unsec. Nts., 7/15/17 |
458,000 | 511,243 | ||||||
News America, Inc., 6.15% Sr. Unsec. Nts., 2/15/41 |
162,000 | 202,664 | ||||||
Time Warner Entertainment Co. LP, 8.375% Sr. Nts., 7/15/33 |
257,000 | 375,070 | ||||||
Time Warner, Inc., 9.15% Debs., 2/1/23 |
61,000 | 87,559 | ||||||
Virgin Media Secured Finance plc: |
||||||||
5.25% Sr. Sec. Nts., 1/15/21 |
254,000 | 295,245 | ||||||
6.50% Sr. Sec. Nts., 1/15/18 |
555,000 | 610,500 | ||||||
|
|
|||||||
4,436,540 | ||||||||
Multiline Retail0.6% |
||||||||
Dollar General Corp., 4.125% Nts., 7/15/17 |
469,000 | 492,450 | ||||||
Macys Retail Holdings, Inc., 5.75% Sr. Unsec. Nts., 7/15/14 |
650,000 | 704,898 | ||||||
|
|
|||||||
1,197,348 | ||||||||
Specialty Retail1.4% |
||||||||
Gap, Inc. (The), 5.95% Sr. Unsec. Unsub. Nts., 4/12/21 |
522,000 | 582,569 | ||||||
Limited Brands, Inc., 6.625% Sr. Nts., 4/1/21 |
455,000 | 518,700 | ||||||
Rent-A-Center, Inc., 6.625% Sr. Unsec. Nts., 11/15/20 |
508,000 | 551,180 | ||||||
Sally Holdings LLC/Sally Capital, Inc., 6.875% Sr. Unsec. Nts., 11/15/19 |
467,000 | 521,873 | ||||||
Staples, Inc., 9.75% Sr. Unsec. Unsub. Nts., 1/15/14 |
398,000 | 440,481 | ||||||
|
|
|||||||
2,614,803 | ||||||||
Textiles, Apparel & Luxury Goods0.5% |
||||||||
Hanesbrands, Inc., 6.375% Sr. Unsec. Unsub. Nts., 12/15/20 |
428,000 | 466,520 | ||||||
Phillips-Van Heusen Corp., 7.375% Sr. Unsec. Unsub. Nts., 5/15/20 |
400,000 | 454,000 | ||||||
|
|
|||||||
920,520 | ||||||||
Consumer Staples3.5% |
||||||||
Beverages1.2% |
||||||||
Anheuser-Busch InBev Worldwide, Inc., 8.20% Sr. Unsec. Unsub. Nts., 1/15/39 |
232,000 | 389,394 | ||||||
Coca-Cola HBC Finance BV, 5.125% Sr. Unsec. Unsub. Nts., 9/17/13 |
469,000 | 481,847 | ||||||
Constellation Brands, Inc., 6% Sr. Unsec. Unsub. Nts., 5/1/22 |
475,000 | 542,688 | ||||||
Fortune Brands, Inc., 6.375% Sr. Unsec. Unsub. Nts., 6/15/14 |
126,000 | 137,473 | ||||||
Pernod-Ricard SA, 4.25% Sr. Unsec. Nts., 7/15/221 |
459,000 | 500,844 | ||||||
SABMiller Holdings, Inc., 4.95% Sr. Unsec. Nts., 1/15/42 |
198,000 | 231,673 | ||||||
|
|
|||||||
2,283,919 |
17 | Oppenheimer Core Bond Fund/VA |
Oppenheimer Core Bond Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Food & Staples Retailing0.4% |
| |||||||
Delhaize Group: |
||||||||
5.70% Sr. Unsec. Nts., 10/1/40 |
$ | 133,000 | $ | 118,845 | ||||
5.875% Sr. Unsec. Unsub. Bonds, 2/1/14 |
407,000 | 427,765 | ||||||
Safeway, Inc., 3.95% Sr. Unsec. Unsub. Nts., 8/15/20 |
300,000 | 292,670 | ||||||
|
|
|||||||
839,280 | ||||||||
Food Products1.1% |
||||||||
Bunge Ltd. Finance Corp.: |
||||||||
5.35% Sr. Unsec. Unsub. Nts., 4/15/14 |
434,000 | 458,477 | ||||||
8.50% Sr. Unsec. Nts., 6/15/19 |
289,000 | 366,714 | ||||||
Kraft Foods Group, Inc., 6.50% Sr. Unsec. Unsub. Nts., 2/9/401 |
290,000 | 390,107 | ||||||
TreeHouse Foods, Inc., 7.75% Sr. Unsec. Nts., 3/1/18 |
485,000 | 531,075 | ||||||
Tyson Foods, Inc., 4.50% Sr. Unsec. Unsub. Nts., 6/15/22 |
244,000 | 256,810 | ||||||
|
|
|||||||
2,003,183 | ||||||||
Tobacco0.8% |
||||||||
Altria Group, Inc., 10.20% Sr. Unsec. Nts., 2/6/39 |
358,000 | 616,012 | ||||||
Lorillard Tobacco Co., 7% Sr. Unsec. Nts., 8/4/41 |
311,000 | 376,336 | ||||||
Reynolds American, Inc., 7.25% Sr. Sec. Nts., 6/1/13 |
460,000 | 479,168 | ||||||
|
|
|||||||
1,471,516 | ||||||||
Energy4.8% |
||||||||
Energy Equipment & Services1.4% |
||||||||
Ensco plc, 4.70% Sr. Unsec. Nts., 3/15/21 |
524,000 | 593,013 | ||||||
FMC Technologies, Inc., 2% Sr. Unsec. Unsub. Nts., 10/1/17 |
228,000 | 230,692 | ||||||
Nabors Industries, Inc., 4.625% Sr. Unsec. Nts., 9/15/21 |
424,000 | 456,691 | ||||||
Noble Holding International Ltd., 7.375% Sr. Unsec. Bonds, 3/15/14 |
403,000 | 438,900 | ||||||
Precision Drilling Corp.: |
||||||||
6.50% Sr. Unsec. Nts., 12/15/21 |
217,000 | 232,733 | ||||||
6.625% Sr. Unsec. Nts., 11/15/20 |
208,000 | 222,560 | ||||||
Rowan Cos., Inc., 4.875% Sr. Unsec. Nts., 6/1/22 |
314,000 | 337,687 | ||||||
|
|
|||||||
2,512,276 | ||||||||
Oil, Gas & Consumable Fuels3.4% |
||||||||
Anadarko Petroleum Corp., 6.20% Sr. Unsec. Nts., 3/15/40 |
178,000 | 219,155 | ||||||
Canadian Oil Sands Ltd.: |
||||||||
5.80% Sr. Unsec. Nts., 8/15/131 |
457,000 | 477,602 | ||||||
6% Sr. Unsec. Nts., 4/1/421 |
203,000 | 234,728 |
18 | Oppenheimer Core Bond Fund/VA |
Oppenheimer Core Bond Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Oil, Gas & Consumable Fuels Continued |
||||||||
DCP Midstream LLC, 5.35% Sr. Unsec. Nts., 3/18/201 |
$ | 312,000 | $ | 342,924 | ||||
El Paso Pipeline Partners LP, 6.50% Sr. Unsec. Nts., 4/1/20 |
665,000 | 792,382 | ||||||
Energy Transfer Partners LP: |
||||||||
4.65% Sr. Unsec. Unsub. Nts., 6/1/21 |
374,000 | 403,010 | ||||||
5.20% Sr. Unsec. Unsub. Nts., 2/1/22 |
136,000 | 151,175 | ||||||
Kinder Morgan Energy Partners LP, 5% Sr. Unsec. Unsub. Nts., 8/15/42 |
143,000 | 149,249 | ||||||
Newfield Exploration Co., 6.875% Sr. Unsec. Sub. Nts., 2/1/20 |
446,000 | 491,715 | ||||||
Nexen, Inc., 6.40% Sr. Unsec. Unsub. Bonds, 5/15/37 |
201,000 | 256,310 | ||||||
Phillips 66, 4.30% Unsec. Nts., 4/1/221 |
316,000 | 346,736 | ||||||
Range Resources Corp., 8% Sr. Unsec. Sub. Nts., 5/15/19 |
451,000 | 502,865 | ||||||
Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.50% Sr. Sec. Nts., 9/30/143 |
420,000 | 455,876 | ||||||
Rockies Express Pipeline LLC, 3.90% Sr. Unsec. Unsub. Nts., 4/15/151 |
471,000 | 466,290 | ||||||
Southwestern Energy Co., 4.10% Sr. Unsec. Nts., 3/15/221 |
232,000 | 246,785 | ||||||
Woodside Finance Ltd.: |
||||||||
4.60% Sr. Unsec. Nts., 5/10/211 |
354,000 | 389,354 | ||||||
5% Sr. Unsec. Nts., 11/15/131 |
455,000 | 473,602 | ||||||
|
|
|||||||
6,399,758 | ||||||||
Financials16.0% |
||||||||
Capital Markets3.7% |
||||||||
Blackstone Holdings Finance Co. LLC: |
||||||||
4.75% Sr. Unsec. Nts., 2/15/231 |
135,000 | 141,079 | ||||||
6.625% Sr. Unsec. Nts., 8/15/191 |
623,000 | 719,947 | ||||||
Goldman Sachs Capital, Inc. (The), 6.345% Sub. Bonds, 2/15/34 |
477,000 | 481,096 | ||||||
Goldman Sachs Group, Inc. (The): |
||||||||
5.25% Sr. Unsec. Nts., 7/27/21 |
396,000 | 437,436 | ||||||
6.25% Sr. Nts., 2/1/41 |
443,000 | 514,952 | ||||||
Macquarie Bank Ltd.: |
||||||||
5% Sr. Nts., 2/22/171 |
146,000 | 156,127 | ||||||
6.625% Unsec. Sub. Nts., 4/7/211 |
672,000 | 720,424 | ||||||
Morgan Stanley: |
||||||||
5.625% Sr. Unsec. Nts., 9/23/19 |
1,091,000 | 1,193,832 | ||||||
6.375% Sr. Unsec. Nts., 7/24/42 |
385,000 | 425,991 | ||||||
Nomura Holdings, Inc.: |
||||||||
4.125% Sr. Unsec. Unsub. Nts., 1/19/16 |
433,000 | 447,961 | ||||||
6.70% Sr. Unsec. Nts., 3/4/20 |
42,000 | 48,095 |
19 | Oppenheimer Core Bond Fund/VA |
Oppenheimer Core Bond Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Capital Markets Continued |
||||||||
Raymond James Financial, Inc., 5.625% Sr. Nts., 4/1/24 |
$ | 458,000 | $ | 505,622 | ||||
TD Ameritrade Holding Corp., 2.95% Sr. Unsec. Unsub. Nts., 12/1/12 |
509,000 | 511,115 | ||||||
UBS AG Stamford CT, 2.25% Sr. Unsec. Nts., 8/12/13 |
181,000 | 183,388 | ||||||
UBS Preferred Funding Trust V, 6.243% Jr. Sub. Perpetual Nts.10 |
488,000 | 485,560 | ||||||
|
|
|||||||
6,972,625 | ||||||||
Commercial Banks3.3% |
||||||||
ANZ National International Ltd., 2.375% Sr. Unsec. Nts., 12/21/121 |
507,000 | 509,248 | ||||||
Fifth Third Cap Trust IV, 6.50% Jr. Unsec. Sub. Nts., 4/15/37 |
845,000 | 850,281 | ||||||
HBOS plc, 6.75% Unsec. Sub. Nts., 5/21/181 |
451,000 | 460,020 | ||||||
HSBC Finance Capital Trust IX, 5.911% Nts., 11/30/352 |
1,190,000 | 1,176,613 | ||||||
Lloyds TSB Bank plc, 6.50% Unsec. Sub. Nts., 9/14/201 |
377,000 | 397,822 | ||||||
Mercantile Bankshares Corp., 4.625% Unsec. Sub. Nts., Series B, 4/15/13 |
308,000 | 313,998 | ||||||
RBS Citizens Financial Group, Inc., 4.15% Sub. Nts., 9/28/221 |
942,000 | 945,899 | ||||||
Wells Fargo & Co., 7.98% Jr. Sub. Perpetual Bonds, Series K10 |
528,000 | 608,520 | ||||||
Zions Bancorp, 4.50% Sr. Unsec. Unsub. Nts., 3/27/17 |
830,000 | 857,819 | ||||||
|
|
|||||||
6,120,220 | ||||||||
Consumer Finance0.9% |
||||||||
American Express Bank FSB, 5.50% Sr. Unsec. Nts., 4/16/13 |
441,000 | 453,076 | ||||||
Discover Bank, 8.70% Unsec. Sub. Nts., 11/18/19 |
681,000 | 880,671 | ||||||
SLM Corp., 4.625% Sr. Unsec. Nts., 9/25/17 |
395,000 | 401,220 | ||||||
|
|
|||||||
1,734,967 | ||||||||
Diversified Financial Services3.1% |
||||||||
Bank of America Corp., 5.70% Sr. Unsec. Unsub. Nts., 1/24/22 |
716,000 | 842,731 | ||||||
Citigroup, Inc.: |
||||||||
4.50% Sr. Unsec. Nts., 1/14/22 |
746,000 | 820,851 | ||||||
6.125% Sr. Unsec. Unsub. Nts., 11/21/17 |
756,000 | 890,742 | ||||||
ING Bank NV, 2% Nts., 9/25/151 |
788,000 | 789,746 | ||||||
JPMorgan Chase & Co., 7.90% Perpetual Bonds, Series 110 |
1,494,000 | 1,702,881 |
20 | Oppenheimer Core Bond Fund/VA |
Oppenheimer Core Bond Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Diversified Financial Services Continued |
| |||||||
Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Bonds, 5/14/38 |
$ | 655,000 | $ | 825,998 | ||||
|
|
|||||||
5,872,949 | ||||||||
Insurance3.7% |
||||||||
American International Group, Inc., 6.25% Jr. Sub. Bonds, 3/15/37 |
225,000 | 228,375 | ||||||
Burlington Northern Santa Fe LLC, 5.75% Sr. Unsec. Bonds, 5/1/40 |
206,000 | 259,313 | ||||||
CNA Financial Corp.: |
||||||||
5.75% Sr. Unsec. Unsub. Nts., 8/15/21 |
368,000 | 428,832 | ||||||
5.875% Sr. Unsec. Unsub. Bonds, 8/15/20 |
260,000 | 304,098 | ||||||
Hartford Financial Services Group, Inc., 6.625% Sr. Unsec. Unsub. Nts., 4/15/42 |
289,000 | 351,152 | ||||||
Irish Life & Permanent Group Holdings plc, 3.60% Sr. Unsec. Unsub. Nts., 1/14/131 |
320,000 | 322,400 | ||||||
Lincoln National Corp., 6.05% Jr. Unsec. Sub. Bonds, 4/20/67 |
945,000 | 929,644 | ||||||
Principal Financial Group, Inc., 4.625% Sr. Unsec. Nts., 9/15/42 |
283,000 | 290,524 | ||||||
Prudential Covered Trust 2012-1, 2.997% Sec. Nts., 9/30/151 |
600,000 | 623,800 | ||||||
Prudential Financial, Inc., 5.875% Sub. Nts., 9/15/42 |
355,000 | 365,206 | ||||||
Swiss Re Capital I LP, 6.854% Perpetual Bonds1,10 |
958,000 | 975,699 | ||||||
Unum Group, 5.625% Sr. Unsec. Unsub. Nts., 9/15/20 |
779,000 | 872,398 | ||||||
ZFS Finance USA Trust V, 6.50% Jr. Sub. Bonds, 5/9/372,3 |
848,000 | 901,000 | ||||||
|
|
|||||||
6,852,441 | ||||||||
Real Estate Investment Trusts (REITs)1.3% |
||||||||
American Tower Corp.: |
||||||||
5.05% Sr. Unsec. Unsub. Nts., 9/1/20 |
130,000 | 145,349 | ||||||
7% Sr. Unsec. Nts., 10/15/17 |
413,000 | 492,149 | ||||||
CommonWealth REIT, 5.75% Sr. Unsec. Unsub. Bonds, 2/15/14 |
425,000 | 436,529 | ||||||
Duke Realty LP, 6.25% Sr. Unsec. Unsub. Nts., 5/15/13 |
476,000 | 491,941 | ||||||
National Retail Properties, Inc., 6.25% Sr. Unsec. Unsub. Nts., 6/15/14 |
332,000 | 356,842 | ||||||
WEA Finance LLC/WT Finance Aust Pty Ltd., 7.50% Sr. Unsec. Nts., 6/2/141 |
408,000 | 449,772 | ||||||
|
|
|||||||
2,372,582 |
21 | Oppenheimer Core Bond Fund/VA |
Oppenheimer Core Bond Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Health Care1.8% |
| |||||||
Biotechnology0.7% |
| |||||||
Amgen, Inc., 3.625% Sr. Unsec. Unsub. Nts., 5/15/22 |
$ | 467,000 | $ | 493,458 | ||||
Celgene Corp., 3.25% Sr. Unsec. Nts., 8/15/22 |
504,000 | 509,983 | ||||||
Gilead Sciences, Inc., 5.65% Sr. Unsec. Nts., 12/1/41 |
243,000 | 305,520 | ||||||
|
|
|||||||
1,308,961 | ||||||||
Health Care Providers & Services0.5% |
||||||||
Aristotle Holding, Inc., 3.90% Unsec. Nts., 2/15/221 |
318,000 | 347,212 | ||||||
McKesson Corp., 6% Sr. Unsec. Unsub. Nts., 3/1/41 |
237,000 | 325,418 | ||||||
Quest Diagnostics, Inc., 5.75% Sr. Unsec. Nts., 1/30/40 |
310,000 | 368,752 | ||||||
|
|
|||||||
1,041,382 | ||||||||
Pharmaceuticals0.6% |
||||||||
Bristol-Myers Squibb Co., 2% Sr. Unsec. Unsub. Nts., 8/1/22 |
343,000 | 334,316 | ||||||
Mylan, Inc., 6% Sr. Nts., 11/15/181 |
511,000 | 544,215 | ||||||
Watson Pharmaceuticals, Inc., 3.25% Sr. Unsec. Nts., 10/1/224 |
169,000 | 171,563 | ||||||
|
|
|||||||
1,050,094 | ||||||||
Industrials3.0% |
||||||||
Aerospace & Defense0.4% |
||||||||
BE Aerospace, Inc., 5.25% Sr. Unsec. Unsub. Nts., 4/1/22 |
319,000 | 332,558 | ||||||
Huntington Ingalls Industries, Inc., 7.125% Sr. Unsec. Unsub. Nts., 3/15/21 |
448,000 | 484,400 | ||||||
|
|
|||||||
816,958 | ||||||||
Commercial Services & Supplies0.3% |
||||||||
Clean Harbors, Inc., 5.25% Sr. Unsec. Nts., 8/1/201 |
475,000 | 491,625 | ||||||
Industrial Conglomerates0.8% |
||||||||
General Electric Capital Corp.: |
||||||||
5.25% Sr. Unsec. Nts., 10/19/12 |
28,000 | 28,062 | ||||||
6.375% Unsec. Sub. Bonds, 11/15/67 |
934,000 | 987,892 | ||||||
7.125% Unsec. Sub. Nts., 12/15/49 |
400,000 | 447,508 | ||||||
|
|
|||||||
1,463,462 | ||||||||
Machinery1.1% |
||||||||
CNH Capital LLC, 6.25% Sr. Unsec. Nts., 11/1/161 |
489,000 | 533,621 | ||||||
ITT Corp., 7.375% Unsec. Debs., 11/15/15 |
322,000 | 374,744 | ||||||
Joy Global, Inc., 5.125% Sr. Unsec. Unsub. Nts., 10/15/21 |
335,000 | 372,484 |
22 | Oppenheimer Core Bond Fund/VA |
Oppenheimer Core Bond Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Machinery Continued |
||||||||
Kennametal, Inc., 3.875% Sr. Unsec. Unsub. Nts., 2/15/22 |
$ | 342,000 | $ | 358,500 | ||||
SPX Corp., 6.875% Sr. Unsec. Nts., 9/1/171 |
412,000 | 462,470 | ||||||
|
|
|||||||
2,101,819 | ||||||||
Professional Services0.3% |
||||||||
FTI Consulting, Inc., 6.75% Sr. Unsec. Nts., 10/1/20 |
436,000 | 467,610 | ||||||
Road & Rail0.1% |
||||||||
CSX Corp., 5.50% Sr. Unsec. Nts., 4/15/41 |
187,000 | 226,383 | ||||||
Information Technology1.7% |
||||||||
Communications Equipment0.1% |
||||||||
Juniper Networks, Inc., 5.95% Sr. Unsec. Unsub. Nts., 3/15/41 |
201,000 | 225,420 | ||||||
Computers & Peripherals0.5% |
||||||||
Hewlett-Packard Co.: |
||||||||
4.65% Sr. Unsec. Nts., 12/9/21 |
372,000 | 388,694 | ||||||
4.75% Sr. Unsec. Nts., 6/2/14 |
436,000 | 459,850 | ||||||
|
|
|||||||
848,544 | ||||||||
Electronic Equipment, Instruments & Components0.4% |
||||||||
Arrow Electronics, Inc., 5.125% Sr. Unsec. Unsub. Nts., 3/1/21 |
527,000 | 576,495 | ||||||
Corning, Inc., 4.75% Sr. Unsec. Unsub. Nts., 3/15/42 |
182,000 | 197,751 | ||||||
|
|
|||||||
774,246 | ||||||||
Internet Software & Services0.1% |
||||||||
eBay, Inc., 4% Sr. Unsec. Unsub. Nts., 7/15/42 |
187,000 | 183,069 | ||||||
Office Electronics0.3% |
||||||||
Xerox Corp., 5.65% Sr. Unsec. Nts., 5/15/13 |
435,000 | 448,455 | ||||||
Software0.3% |
||||||||
Symantec Corp., 4.20% Sr. Unsec. Unsub. Nts., 9/15/20 |
585,000 | 608,700 | ||||||
Materials3.3% |
||||||||
Chemicals0.7% |
||||||||
Agrium, Inc.: |
||||||||
3.15% Sr. Unsec. Nts., 10/1/224 |
386,000 | 389,631 | ||||||
6.125% Sr. Unsec. Nts., 1/15/41 |
230,000 | 290,182 | ||||||
CF Industries, Inc., 7.125% Sr. Unsec. Unsub. Nts., 5/1/20 |
358,000 | 450,185 | ||||||
Eastman Chemical Co., 4.80% Sr. Unsec. Nts., 9/1/42 |
230,000 | 250,540 | ||||||
|
|
|||||||
1,380,538 | ||||||||
Containers & Packaging0.9% |
||||||||
Crown Americas LLC/Crown Americas Capital Corp. III, 6.25% Sr. Unsec. Nts., 2/1/21 |
446,000 | 499,520 |
23 | Oppenheimer Core Bond Fund/VA |
Oppenheimer Core Bond Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Containers & Packaging Continued |
||||||||
Greif, Inc., 7.75% Sr. Unsec. Nts., 8/1/19 |
$ | 413,000 | $ | 479,080 | ||||
Rock-Tenn Co.: |
||||||||
3.50% Sr. Nts., 3/1/201 |
132,000 | 134,941 | ||||||
4.90% Sr. Unsec. Nts., 3/1/221 |
162,000 | 175,864 | ||||||
Sealed Air Corp., 8.375% Sr. Unsec. Nts., 9/15/211 |
388,000 | 436,500 | ||||||
|
|
|||||||
1,725,905 | ||||||||
Metals & Mining1.3% |
||||||||
Allegheny Technologies, Inc., 5.95% Sr. Unsec. Unsub. Nts., 1/15/21 |
13,000 | 14,377 | ||||||
ArcelorMittal, 6.25% Sr. Unsec. Unsub. Nts., 2/25/22 |
256,000 | 252,642 | ||||||
Cliffs Natural Resources, Inc., 6.25% Sr. Unsec. Unsub. Nts., 10/1/40 |
124,000 | 121,861 | ||||||
Freeport-McMoRan Copper & Gold, Inc., 3.55% Sr. Unsec. Nts., 3/1/22 |
331,000 | 332,057 | ||||||
Petrohawk Energy Corp., 6.25% Sr. Unsec. Nts., 6/1/19 |
743,000 | 838,421 | ||||||
Xstrata Canada Corp.: |
||||||||
5.375% Sr. Unsec. Unsub. Nts., 6/1/15 |
245,000 | 267,098 | ||||||
6% Sr. Unsec. Unsub. Nts., 10/15/15 |
463,000 | 516,038 | ||||||
|
|
|||||||
2,342,494 | ||||||||
Paper & Forest Products0.4% |
||||||||
International Paper Co., 6% Sr. Unsec. Unsub. Nts., 11/15/41 |
202,000 | 247,366 | ||||||
Westvaco Corp., 7.95% Sr. Unsec. Unsub. Nts., 2/15/31 |
388,000 | 511,407 | ||||||
|
|
|||||||
758,773 | ||||||||
Telecommunication Services2.3% |
||||||||
Diversified Telecommunication Services2.2% |
||||||||
AT&T, Inc., 6.30% Sr. Unsec. Bonds, 1/15/38 |
371,000 | 489,309 | ||||||
British Telecommunications plc, 9.625% Bonds, 12/15/30 |
298,000 | 486,721 | ||||||
CenturyLink, Inc., 7.65% Sr. Unsec. Unsub. Nts., 3/15/42 |
365,000 | 390,435 | ||||||
Frontier Communications Corp., 8.50% Sr. Unsec. Nts., 4/15/20 |
429,000 | 486,915 | ||||||
Telecom Italia Capital SA, 7.721% Sr. Unsec. Unsub. Nts., 6/4/38 |
629,000 | 635,290 | ||||||
Telefonica Emisiones SAU, 5.462% Sr. Unsec. Unsub. Nts., 2/16/21 |
692,000 | 679,890 | ||||||
Verizon Communications, Inc., 6.40% Sr. Unsec. Nts., 2/15/38 |
286,000 | 387,281 | ||||||
Windstream Corp., 7.875% Sr. Unsec. Unsub. Nts., 11/1/17 |
439,000 | 492,778 | ||||||
|
|
|||||||
4,048,619 |
24 | Oppenheimer Core Bond Fund/VA |
Oppenheimer Core Bond Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Wireless Telecommunication Services0.1% |
| |||||||
America Movil SAB de CV, 4.375% Sr. Unsec. Unsub. Nts., 7/16/42 |
$ | 242,000 | $ | 251,937 | ||||
Utilities1.8% |
||||||||
Electric Utilities1.1% |
||||||||
Edison International, 3.75% Sr. Unsec. Unsub. Nts., 9/15/17 |
663,000 | 713,135 | ||||||
Great Plains Energy, Inc., 2.75% Sr. Unsec. Unsub. Nts., 8/15/13 |
464,000 | 470,558 | ||||||
Oncor Electric Delivery Co. LLC, 4.10% Unsub. Nts., 6/1/22 |
93,000 | 98,878 | ||||||
PPL WEM Holdings plc, 5.375% Sr. Unsec. Nts., 5/1/211 |
761,000 | 850,435 | ||||||
|
|
|||||||
2,133,006 | ||||||||
Energy Traders0.3% |
||||||||
TransAlta Corp., 5.75% Sr. Unsec. Nts., 12/15/13 |
455,000 | 476,166 | ||||||
Multi-Utilities0.4% |
||||||||
CMS Energy Corp., 5.05% Sr. Unsec. Unsub. Nts., 3/15/22 |
431,000 | 476,985 | ||||||
Nisource Finance Corp., 3.85% Sr. Unsec. Unsub. Nts., 2/15/23 |
325,000 | 341,690 | ||||||
|
|
|||||||
818,675 | ||||||||
|
|
|||||||
Total Corporate Bonds and Notes (Cost $79,848,924) |
|
85,496,556 | ||||||
Shares | ||||||||
Investment Company16.7% |
||||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.18%11,12 (Cost $31,146,478) |
31,146,478 | 31,146,478 | ||||||
|
|
|
|
|||||
Total Investments, at Value (Cost $263,314,134) |
144.4 | % | 269,981,136 | |||||
Liabilities in Excess of Other Assets |
(44.4 | ) | (83,050,268 | ) | ||||
|
|
|
|
|||||
Net Assets |
100.0 | % | $ | 186,930,868 | ||||
|
|
|
|
Footnotes to Statement of Investments
* | September 28, 2012 represents the last business day of the Funds 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 $27,467,081 or 14.69% of the Funds net assets as of September 28, 2012. |
25 | Oppenheimer Core Bond Fund/VA |
Oppenheimer Core Bond Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
2. | Represents the current interest rate for a variable or increasing rate security. |
3. | Restricted security. The aggregate value of restricted securities as of September 28, 2012 was $2,332,270, which represents 1.25% of the Funds net assets. See accompanying Notes. Information concerning restricted securities is as follows: |
Security |
Acquisition Dates | Cost | Value | Unrealized Appreciation (Depreciation) |
||||||||||||
Capital Lease Funding Securitization LP, Interest-Only Corporate-Backed Pass-Through Certificates, Series 1997-CTL1, 0%, 6/15/24 |
4/21/97 | $ | 394,787 | $ | 119,282 | $ | (275,505 | ) | ||||||||
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 | 274,656 | (3,006,460 | ) | |||||||||||
Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.50% Sr. Sec. Nts., 9/30/14 |
7/16/09-2/16/12 | 428,211 | 455,876 | 27,665 | ||||||||||||
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 | 326,291 | 327,255 | 964 | ||||||||||||
Santander Drive Auto Receivables Trust 2011-S2A, Automobile Receivables Nts., Series 2011-S2A, Cl. D, 3.35%, 6/15/17 |
5/19/11-1/19/12 | 252,261 | 254,201 | 1,940 | ||||||||||||
ZFS Finance USA Trust V, 6.50% Jr. Sub. Bonds, 5/9/37 |
2/24/11-2/23/12 | 833,793 | 901,000 | 67,207 | ||||||||||||
|
|
|
|
|
|
|||||||||||
$ | 5,516,459 | $ | 2,332,270 | $ | (3,184,189 | ) | ||||||||||
|
|
|
|
|
|
4. | All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after September 28, 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 $6,152,608 or 3.29% of the Funds net assets as of September 28, 2012. |
26 | Oppenheimer Core Bond Fund/VA |
Oppenheimer Core Bond Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
6. | Principal-Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. The value of these securities generally increases as interest rates decline and prepayment rates rise. The price of these securities is typically more volatile than that of coupon-bearing bonds of the same maturity. Interest rates disclosed represent current yields based upon the current cost basis and estimated timing of future cash flows. These securities amount to $268,591 or 0.14% of the Funds net assets as of September 28, 2012. |
7. | The current amortization rate of the securitys 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. |
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 accounts at a futures clearing merchant and pledged to cover margin requirements on open futures contracts and written options on futures, if applicable. The aggregate market value of such securities is $238,689. See accompanying Notes. |
10. | This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. Rate reported represents the current interest rate for this variable rate security. |
11. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 28, 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 December 30, 2011a |
Gross Additions |
Gross Reductions |
Shares September 28, 2012 |
|||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E |
28,319,973 | 63,754,496 | 60,927,991 | 31,146,478 | ||||||||||||
Value | Income | |||||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E |
$ | 31,146,478 | $ | 45,909 |
a. | December 30, 2011 represents the last business day of the Funds 2011 fiscal year. See accompanying Notes. |
12. | Rate shown is the 7-day yield as of September 28, 2012. |
Futures Contracts as of September 28, 2012 are as follows:
Contract Description |
Buy/ Sell |
Number of Contracts |
Expiration Date |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||
U.S. Treasury Long Bonds, 20 yr. |
Sell | 1 | 12/19/12 | $ | 149,375 | $ | (1,814 | ) | ||||||||||||
U.S. Treasury Nts., 2 yr. |
Sell | 114 | 12/31/12 | 25,140,563 | (9,340 | ) | ||||||||||||||
U.S. Treasury Nts., 5 yr. |
Sell | 73 | 12/31/12 | 9,098,195 | (38,826 | ) | ||||||||||||||
U.S. Treasury Nts., 10 yr. |
Sell | 81 | 12/19/12 | 10,812,234 | (68,418 | ) | ||||||||||||||
U.S. Treasury Ultra Bonds |
Buy | 54 | 12/19/12 | 8,921,813 | 4,357 | |||||||||||||||
|
|
|||||||||||||||||||
$ | (114,041 | ) | ||||||||||||||||||
|
|
27 | Oppenheimer Core Bond Fund/VA |
Oppenheimer Core Bond Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Notes to Statement of Investments
Quarterly and Annual Periods. The last day of the Funds quarterly period was the last day the New York Stock Exchange was open for trading. The Funds financial statements have been presented through that date to maintain consistency with the Funds net asset value calculations used for shareholder transactions.
The last day of the Funds fiscal year was the last day the New York Stock Exchange was open for trading. The Funds financial statements have been presented through that date to maintain consistency with the Funds 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 Funds net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. When the Fund engages in when-issued or delayed delivery transactions, it relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do so may cause the Fund to lose the opportunity to obtain or dispose of the security at a price and yield it considers advantageous. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase.
As of September 28, 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 |
$ | 98,371,549 | ||
Sold securities |
17,262,515 |
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
28 | Oppenheimer Core Bond Fund/VA |
Oppenheimer Core Bond Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
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 Funds market value of investments relative to its net assets which can incrementally increase the volatility of the Funds performance. Forward roll transactions can be replicated over multiple settlement periods.
Risks of entering into forward roll transactions include the potential inability of the counterparty to meet the terms of the agreement; the potential of the Fund to receive inferior securities at redelivery as compared to the securities sold to the counterparty; and counterparty credit risk.
Credit Risk. The Fund invests in high-yield, non-investment-grade bonds, which may be subject to a greater degree of credit risk. Credit risk relates to the ability of the issuer to meet interest or principal payments or both as they become due. The Fund may acquire securities that have missed an interest payment, and is not obligated to dispose of securities whose issuers or underlying obligors subsequently miss an interest payment. Information concerning securities not accruing interest as of September 28, 2012 is as follows:
Cost |
$ | 3,281,116 | ||
Market Value |
$ | 274,656 | ||
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 Funds 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 IMMFs 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 Funds investment in IMMF.
29 | Oppenheimer Core Bond Fund/VA |
Oppenheimer Core Bond Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
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 Funds Board has adopted procedures for the valuation of the Funds 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 Committees fair valuation determinations are subject to review, approval and ratification by the Funds 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 Funds 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 days closing bid and asked prices, and if not, at the current days 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 Funds 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 companys 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.
30 | Oppenheimer Core Bond Fund/VA |
Oppenheimer Core Bond Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
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 Funds 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 | |
Corporate debt, government debt, municipal, mortgage-backed and asset-backed securities | Reported trade data, broker-dealer price quotations, 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. |
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 Funds Board or (ii) as determined in good faith by the Managers 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 Funds 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
31 | Oppenheimer Core Bond Fund/VA |
Oppenheimer Core Bond Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
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 Funds 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 Managers 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.
32 | Oppenheimer Core Bond Fund/VA |
Oppenheimer Core Bond Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
The table below categorizes amounts as of September 28, 2012 based on valuation input level:
Level 1 Unadjusted Quoted Prices |
Level 2 Other Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
Value | |||||||||||||
Assets Table |
| |||||||||||||||
Investments, at Value: |
| |||||||||||||||
Asset-Backed Securities |
$ | | $ | 18,589,418 | $ | | $ | 18,589,418 | ||||||||
Mortgage-Backed Obligations |
| 130,964,193 | | 130,964,193 | ||||||||||||
U.S. Government Obligations |
| 3,784,491 | | 3,784,491 | ||||||||||||
Corporate Bonds and Notes |
| 85,496,556 | | 85,496,556 | ||||||||||||
Investment Company |
31,146,478 | | | 31,146,478 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total investments, at Value |
31,146,478 | 238,834,658 | | 269,981,136 | ||||||||||||
Other Financial Instruments: |
||||||||||||||||
Futures margins |
1,213 | | | 1,213 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Assets |
$ | 31,147,691 | $ | 238,834,658 | $ | | $ | 269,982,349 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Liabilities Table |
||||||||||||||||
Other Financial Instruments: |
||||||||||||||||
Futures margins |
$ | (21,232 | ) | $ | | $ | | $ | (21,232 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
Total Liabilities |
$ | (21,232 | ) | $ | | $ | | $ | (21,232 | ) | ||||||
|
|
|
|
|
|
|
|
Currency contracts and forwards, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contracts 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 Funds 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.
33 | Oppenheimer Core Bond Fund/VA |
Oppenheimer Core Bond Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
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 instruments price over a defined time period. Large increases or decreases in a financial instruments 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 Funds 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 Funds 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 Funds performance.
Additional associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative and
34 | Oppenheimer Core Bond Fund/VA |
Oppenheimer Core Bond Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
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 Funds 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 Funds 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 Funds net assets and or a percentage decrease in the Funds Net Asset Value or NAV. The contingent features are established within the Funds 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.
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 Funds 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.
35 | Oppenheimer Core Bond Fund/VA |
Oppenheimer Core Bond Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Futures contracts are reported on a schedule following the Statement of Investments. Securities held in collateralized accounts to cover initial margin requirements on open futures contracts are noted in the Statement of Investments. Cash held by the broker to cover initial margin requirements on open futures contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted in the Statement of Assets and Liabilities in the annual and semiannual reports. The net change in unrealized appreciation and depreciation is reported in the Statement of Operations in the annual and semiannual reports. Realized gains (losses) are reported in the Statement of Operations in the annual and semiannual reports at the closing or expiration of futures contracts.
The Fund has purchased futures contracts on various bonds and notes to increase exposure to interest rate risk.
The Fund has sold futures contracts on various bonds and notes to decrease exposure to interest rate risk.
During the period ended September 28, 2012, the Fund had an ending monthly average market value of $12,538,850 and $35,846,584 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 Funds 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 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.
36 | Oppenheimer Core Bond Fund/VA |
Oppenheimer Core Bond Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
During the period ended September 28, 2012, the Fund had an ending monthly average market value of $1,100 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.
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 September 28, 2012, the Fund had no outstanding written or purchased options.
Restricted Securities
As of September 28, 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 September 28, 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 |
$ | 263,358,884 | ||
Federal tax cost of other investments |
(36,164,513 | ) | ||
|
|
|||
Total federal tax cost |
$ | 227,194,371 | ||
|
|
37 | Oppenheimer Core Bond Fund/VA |
Oppenheimer Core Bond Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Gross unrealized appreciation |
$ | 11,399,439 | ||
Gross unrealized depreciation |
(4,891,228 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 6,508,211 | ||
|
|
38 | Oppenheimer Core Bond Fund/VA |
Oppenheimer Global Securities Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Shares | Value | |||||||
Common Stocks98.6% |
||||||||
Consumer Discretionary19.4% |
||||||||
Automobiles1.6% |
||||||||
Bayerische Motoren Werke (BMW) AG, Preference |
777,404 | $ | 39,900,172 | |||||
Diversified Consumer Services0.0% |
||||||||
Zee Learn Ltd.1 |
492,103 | 251,906 | ||||||
Hotels, Restaurants & Leisure3.9% |
||||||||
Carnival Corp. |
1,091,706 | 39,781,767 | ||||||
Lottomatica SpA |
552,870 | 12,163,168 | ||||||
McDonalds Corp. |
521,140 | 47,814,595 | ||||||
|
|
|||||||
99,759,530 | ||||||||
Media5.1% |
||||||||
Grupo Televisa SA, Sponsored GDR |
1,069,936 | 25,154,195 | ||||||
McGraw-Hill Cos., Inc. (The) |
651,140 | 35,545,733 | ||||||
SITI Cable Network Ltd.1 |
2,281,600 | 984,101 | ||||||
Walt Disney Co. (The) |
980,760 | 51,274,133 | ||||||
Zee Entertainment Enterprises Ltd. |
4,094,715 | 15,169,349 | ||||||
|
|
|||||||
128,127,511 | ||||||||
Multiline Retail1.5% |
||||||||
Pinault-Printemps-Redoute SA |
247,690 | 38,121,923 | ||||||
Specialty Retail4.5% |
||||||||
Abercrombie & Fitch Co., Cl. A |
350,430 | 11,886,586 | ||||||
Industria de Diseno Textil SA |
438,148 | 54,406,746 | ||||||
Kingfisher plc |
1,968,942 | 8,400,124 | ||||||
Tiffany & Co. |
640,640 | 39,642,803 | ||||||
|
|
|||||||
114,336,259 | ||||||||
Textiles, Apparel & Luxury Goods2.8% |
||||||||
Brunello Cucinelli SpA1 |
143,920 | 2,487,502 | ||||||
LVMH Moet Hennessy Louis Vuitton SA |
285,360 | 43,033,165 | ||||||
Tods SpA |
236,844 | 25,596,366 | ||||||
|
|
|||||||
71,117,033 | ||||||||
Consumer Staples9.0% |
||||||||
Beverages3.4% |
||||||||
Carlsberg AS, Cl. B |
203,544 | 18,033,546 | ||||||
Companhia de Bebidas das Americas, Sponsored ADR, Preference |
614,175 | 23,504,477 | ||||||
Fomento Economico Mexicano SA de CV, UBD |
4,920,017 | 45,306,164 | ||||||
|
|
|||||||
86,844,187 | ||||||||
Food & Staples Retailing0.5% |
||||||||
E-Mart Co. Ltd. |
62,230 | 13,577,862 | ||||||
Food Products3.0% |
||||||||
Nestle SA |
456,400 | 28,776,736 | ||||||
Unilever plc |
1,323,723 | 48,137,714 | ||||||
|
|
|||||||
76,914,450 |
1 | Oppenheimer Global Securities Fund/VA |
Oppenheimer Global Securities Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Shares | Value | |||||||
Household Products2.1% |
||||||||
Colgate-Palmolive Co. |
481,880 | $ | 51,667,174 | |||||
Energy4.0% |
||||||||
Energy Equipment & Services2.8% |
||||||||
Technip SA |
425,350 | 47,460,355 | ||||||
Transocean Ltd. |
505,762 | 22,703,656 | ||||||
|
|
|||||||
70,164,011 | ||||||||
Oil, Gas & Consumable Fuels1.2% |
||||||||
Repsol YPF SA |
941,660 | 18,328,161 | ||||||
Total SA |
246,440 | 12,224,144 | ||||||
|
|
|||||||
30,552,305 | ||||||||
Financials13.9% |
||||||||
Capital Markets2.7% |
||||||||
Goldman Sachs Group, Inc. (The) |
168,630 | 19,169,858 | ||||||
UBS AG |
4,080,426 | 49,676,638 | ||||||
|
|
|||||||
68,846,496 | ||||||||
Commercial Banks5.1% |
||||||||
Banco Bilbao Vizcaya Argentaria SA |
3,656,994 | 28,914,309 | ||||||
ICICI Bank Ltd., Sponsored ADR |
974,400 | 39,112,416 | ||||||
Itau Unibanco Holding SA, ADR, Preference |
1,642,800 | 25,101,984 | ||||||
Societe Generale SA, Cl. A1 |
344,369 | 9,822,230 | ||||||
Standard Chartered plc |
281,650 | 6,367,336 | ||||||
Sumitomo Mitsui Financial Group, Inc. |
669,800 | 20,836,724 | ||||||
|
|
|||||||
130,154,999 | ||||||||
Diversified Financial Services1.0% |
||||||||
BM&F BOVESPA SA |
4,194,900 | 25,348,391 | ||||||
Insurance4.5% |
||||||||
Allianz SE |
328,539 | 39,090,475 | ||||||
Dai-ichi Life Insurance Co. |
21,622 | 24,547,786 | ||||||
Fidelity National Financial, Inc., Cl. A |
687,020 | 14,695,358 | ||||||
Prudential plc |
2,685,537 | 34,757,988 | ||||||
|
|
|||||||
113,091,607 | ||||||||
Real Estate Management & Development0.6% |
||||||||
DLF Ltd. |
3,100,027 | 13,706,063 | ||||||
Health Care9.7% |
||||||||
Biotechnology2.9% |
||||||||
Amgen, Inc. |
362,170 | 30,538,174 | ||||||
Gilead Sciences, Inc.1 |
299,030 | 19,834,660 | ||||||
Theravance, Inc.1 |
598,130 | 15,497,548 | ||||||
ThromboGenics NV1 |
173,111 | 6,936,186 | ||||||
|
|
|||||||
72,806,568 | ||||||||
Health Care Equipment & Supplies1.4% |
||||||||
Zimmer Holdings, Inc. |
538,630 | 36,422,161 |
2 | Oppenheimer Global Securities Fund/VA |
Oppenheimer Global Securities Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Shares | Value | |||||||
Health Care Providers & Services3.0% |
||||||||
Aetna, Inc. |
856,390 | $ | 33,913,044 | |||||
WellPoint, Inc. |
711,765 | 41,289,488 | ||||||
|
|
|||||||
75,202,532 | ||||||||
Pharmaceuticals2.4% |
||||||||
Allergan, Inc. |
93,810 | 8,591,120 | ||||||
Bayer AG |
453,800 | 38,972,287 | ||||||
Roche Holding AG |
74,409 | 13,900,756 | ||||||
|
|
|||||||
61,464,163 | ||||||||
Industrials12.6% |
||||||||
Aerospace & Defense2.6% |
||||||||
Embraer SA, ADR |
867,823 | 23,101,448 | ||||||
European Aeronautic Defense & Space Co. |
1,311,650 | 41,699,285 | ||||||
|
|
|||||||
64,800,733 | ||||||||
Air Freight & Logistics0.6% |
||||||||
United Parcel Service, Inc., Cl. B |
224,260 | 16,050,288 | ||||||
Building Products2.0% |
||||||||
Assa Abloy AB, Cl. B |
1,534,183 | 49,794,150 | ||||||
Construction & Engineering0.6% |
||||||||
FLSmidth & Co. AS |
282,798 | 16,233,262 | ||||||
Electrical Equipment2.0% |
||||||||
Emerson Electric Co. |
461,440 | 22,273,709 | ||||||
Nidec Corp. |
212,700 | 15,562,750 | ||||||
Prysmian SpA |
708,371 | 12,681,223 | ||||||
|
|
|||||||
50,517,682 | ||||||||
Industrial Conglomerates4.0% |
||||||||
3M Co. |
402,670 | 37,214,761 | ||||||
Siemens AG |
632,857 | 63,116,543 | ||||||
|
|
|||||||
100,331,304 | ||||||||
Machinery0.7% |
||||||||
Fanuc Ltd. |
118,800 | 19,150,487 | ||||||
Road & Rail0.1% |
||||||||
All America Latina Logistica |
744,700 | 3,078,350 | ||||||
Information Technology26.5% |
||||||||
Communications Equipment3.9% |
||||||||
Juniper Networks, Inc.1 |
1,426,760 | 24,411,864 | ||||||
Telefonaktiebolaget LM Ericsson, B Shares |
8,278,064 | 75,423,537 | ||||||
|
|
|||||||
99,835,401 | ||||||||
Computers & Peripherals0.5% |
||||||||
Fusion-io, Inc.1 |
422,440 | 12,787,259 | ||||||
Electronic Equipment, Instruments & Components3.5% |
||||||||
Hoya Corp. |
686,800 | 15,093,055 | ||||||
Keyence Corp. |
110,711 | 28,282,518 | ||||||
Kyocera Corp. |
172,300 | 14,925,013 |
3 | Oppenheimer Global Securities Fund/VA |
Oppenheimer Global Securities Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Shares | Value | |||||||
Electronic Equipment, Instruments & Components Continued |
||||||||
Murata Manufacturing Co. Ltd. |
560,500 | $ | 29,842,100 | |||||
|
|
|||||||
88,142,686 | ||||||||
Internet Software & Services6.1% |
||||||||
eBay, Inc.1 |
1,669,730 | 80,831,629 | ||||||
Facebook, Inc., Cl. A1 |
827,380 | 17,912,777 | ||||||
Google, Inc., Cl. A1 |
72,900 | 55,003,050 | ||||||
|
|
|||||||
153,747,456 | ||||||||
IT Services1.1% |
||||||||
Infosys Ltd. |
571,422 | 27,351,640 | ||||||
Semiconductors & Semiconductor Equipment4.5% |
||||||||
Altera Corp. |
1,405,440 | 47,763,878 | ||||||
Maxim Integrated Products, Inc. |
1,494,095 | 39,772,809 | ||||||
Taiwan Semiconductor Manufacturing Co. Ltd. |
8,711,184 | 26,544,122 | ||||||
|
|
|||||||
114,080,809 | ||||||||
Software6.9% |
||||||||
Adobe Systems, Inc.1 |
1,027,043 | 33,337,816 | ||||||
Intuit, Inc. |
762,290 | 44,883,635 | ||||||
Microsoft Corp. |
1,323,540 | 39,415,021 | ||||||
SAP AG |
818,930 | 57,995,878 | ||||||
|
|
|||||||
175,632,350 | ||||||||
Materials1.5% |
||||||||
Chemicals1.0% |
||||||||
Linde AG |
145,840 | 25,113,161 | ||||||
Metals & Mining0.5% |
||||||||
Iluka Resources Ltd. |
1,375,000 | 13,883,532 | ||||||
Telecommunication Services1.5% |
||||||||
Wireless Telecommunication Services1.5% |
||||||||
KDDI Corp. |
477,100 | 37,048,001 | ||||||
Utilities0.5% |
||||||||
Electric Utilities0.5% |
||||||||
Fortum OYJ |
739,751 | 13,622,336 | ||||||
|
|
|||||||
Total Common Stocks (Cost $1,808,021,591) |
2,499,578,190 | |||||||
Investment Company1.2% |
||||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.18%2,3 (Cost $31,172,783) |
31,172,783 | 31,172,783 |
4 | Oppenheimer Global Securities Fund/VA |
Oppenheimer Global Securities Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Shares | Value | |||||||
Total Investments, at Value (Cost $1,839,194,374) |
99.8 | % | 2,530,750,973 | |||||
Other Assets Net of Liabilities |
0.2 | 4,047,291 | ||||||
|
|
|
|
|||||
Net Assets |
100.0 | % | $ | 2,534,798,264 | ||||
|
|
|
|
Footnotes to Statement of Investments
* | September 28, 2012 represents the last business day of the Funds 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 September 28, 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 December 30, 2011a |
Gross Additions |
Gross Reductions |
Shares September 28, 2012 |
|||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E |
36,459,796 | 218,373,613 | 223,660,626 | 31,172,783 | ||||||||||||
Value | Income | |||||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E |
$ | 31,172,783 | $ | 38,092 |
a. | December 30, 2011 represents the last business day of the Funds 2011 fiscal year. See accompanying Notes. |
3. | Rate shown is the 7-day yield as of September 28, 2012. |
Distribution of investments representing geographic holdings, as a percentage of total investments at value, is as follows:
Geographic Holdings |
Value | Percent | ||||||
United States |
$ | 1,023,099,137 | 40.4 | % | ||||
Germany |
264,188,516 | 10.4 | ||||||
Japan |
205,288,434 | 8.1 | ||||||
France |
192,361,102 | 7.6 | ||||||
Sweden |
125,217,687 | 4.9 | ||||||
Spain |
101,649,216 | 4.0 | ||||||
Brazil |
100,134,650 | 4.0 | ||||||
United Kingdom |
97,663,162 | 3.9 | ||||||
India |
96,575,475 | 3.8 | ||||||
Switzerland |
92,354,130 | 3.7 | ||||||
Mexico |
70,460,359 | 2.8 |
5 | Oppenheimer Global Securities Fund/VA |
Oppenheimer Global Securities Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Geographic Holdings |
Value | Percent | ||||||
Italy |
52,928,259 | 2.1 | ||||||
Denmark |
34,266,808 | 1.4 | ||||||
Taiwan |
26,544,122 | 1.1 | ||||||
Australia |
13,883,532 | 0.5 | ||||||
Finland |
13,622,336 | 0.5 | ||||||
Korea, Republic of South |
13,577,862 | 0.5 | ||||||
Belgium |
6,936,186 | 0.3 | ||||||
|
|
|
|
|||||
Total |
$ | 2,530,750,973 | 100.0 | % | ||||
|
|
|
|
Foreign Currency Exchange Contracts as of September 28, 2012 are as follows:
Counterparty/Contract Description |
Buy/Sell | Contract Amount (000s) |
Expiration Dates |
Value | Unrealized Depreciation |
|||||||||||||
JPMorgan Chase: |
||||||||||||||||||
Brazilian Real (BRR) |
Sell | 4,857 BRR | |
10/1/12- 10/2/12 |
|
$ | 2,395,813 | $ | 5,146 | |||||||||
South Korean Won (KRW) |
Sell | 195,562 KRW | 10/2/12 | 175,956 | 217 | |||||||||||||
|
|
|||||||||||||||||
Total unrealized depreciation |
$ | 5,363 | ||||||||||||||||
|
|
Notes to Statement of Investments
Quarterly and Annual Periods. The last day of the Funds quarterly period was the last day the New York Stock Exchange was open for trading. The Funds financial statements have been presented through that date to maintain consistency with the Funds net asset value calculations used for shareholder transactions.
The last day of the Funds fiscal year was the last day the New York Stock Exchange was open for trading. The Funds financial statements have been presented through that date to maintain consistency with the Funds 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 Funds 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 IMMFs 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 Funds investment in IMMF.
6 | Oppenheimer Global Securities Fund/VA |
Oppenheimer Global Securities Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Foreign Currency Translation. The Funds 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 Funds Board has adopted procedures for the valuation of the Funds 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 Committees fair valuation determinations are subject to review, approval and ratification by the Funds 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 Funds 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 days closing bid and asked prices, and if not, at the current days 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 Funds 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
7 | Oppenheimer Global Securities Fund/VA |
Oppenheimer Global Securities Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
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 companys 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, municipal, mortgage-backed and asset-backed securities | Reported trade data, broker-dealer price quotations, 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. |
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
8 | Oppenheimer Global Securities Fund/VA |
Oppenheimer Global Securities Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
significant event as previously approved by the Valuation Committee and the Funds Board or (ii) as determined in good faith by the Managers 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 Funds 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 Funds 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 Managers own judgments about assumptions that market participants would use in pricing the asset or liability). |
9 | Oppenheimer Global Securities Fund/VA |
Oppenheimer Global Securities Fund/VA
STATEMENT OF INVESTMENTS September 28, 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 September 28, 2012 based on valuation input level:
Level 1 Unadjusted Quoted Prices |
Level 2 Other Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
Value | |||||||||||||
Assets Table |
| |||||||||||||||
Investments, at Value: |
| |||||||||||||||
Common Stocks |
||||||||||||||||
Consumer Discretionary |
$ | 410,459,246 | $ | 81,155,088 | $ | | $ | 491,614,334 | ||||||||
Consumer Staples |
229,003,673 | | | 229,003,673 | ||||||||||||
Energy |
34,927,800 | 65,788,516 | | 100,716,316 | ||||||||||||
Financials |
291,574,293 | 59,573,263 | | 351,147,556 | ||||||||||||
Health Care |
245,895,424 | | | 245,895,424 | ||||||||||||
Industrials |
249,342,486 | 70,613,770 | | 319,956,256 | ||||||||||||
Information Technology |
589,399,321 | 82,178,280 | | 671,577,601 | ||||||||||||
Materials |
25,113,161 | 13,883,532 | | 38,996,693 | ||||||||||||
Telecommunication Services |
37,048,001 | | | 37,048,001 | ||||||||||||
Utilities |
13,622,336 | | | 13,622,336 | ||||||||||||
Investment Company |
31,172,783 | | | 31,172,783 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Assets |
$ | 2,157,558,524 | $ | 373,192,449 | $ | | $ | 2,530,750,973 | ||||||||
Liabilities Table |
||||||||||||||||
Other Financial Instruments: |
||||||||||||||||
Foreign currency exchange contracts |
$ | | $ | (5,363 | ) | $ | | $ | (5,363 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
Total Liabilities |
$ | | $ | (5,363 | ) | $ | | $ | (5,363 | ) | ||||||
|
|
|
|
|
|
|
|
Currency contracts and forwards, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contracts 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.
10 | Oppenheimer Global Securities Fund/VA |
Oppenheimer Global Securities Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
The table below shows the transfers between Level 1 and Level 2. The Funds 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 1** |
Transfers into Level 2** |
Transfers out of Level 2* |
|||||||||||||
Assets Table |
||||||||||||||||
Investments, at Value: |
||||||||||||||||
Common Stocks |
||||||||||||||||
Consumer Discretionary |
$ | 26,770,927 | $ | (21,012,974 | ) | $ | 21,012,974 | $ | (26,770,927 | ) | ||||||
Financials |
34,441,405 | (18,245,031 | ) | 18,245,031 | (34,441,405 | ) | ||||||||||
Information Technology |
94,139,824 | (82,299,672 | ) | 82,299,672 | (94,139,824 | ) | ||||||||||
Utilities |
17,229,805 | | | (17,229,805 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Assets |
$ | 172,581,961 | $ | (121,557,677 | ) | $ | 121,557,677 | $ | (172,581,961 | ) | ||||||
|
|
|
|
|
|
|
|
* | Transferred from Level 2 to Level 1 due to the presence of a readily available unadjusted quoted market price. |
** | 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 Funds 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 Funds 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.
11 | Oppenheimer Global Securities Fund/VA |
Oppenheimer Global Securities Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Equity Risk. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market.
Foreign Exchange Rate Risk. Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency.
Interest Rate Risk. Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities.
Volatility Risk. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instruments price over a defined time period. Large increases or decreases in a financial instruments 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 Funds 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 Funds 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 Funds 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.
12 | Oppenheimer Global Securities Fund/VA |
Oppenheimer Global Securities Fund/VA
STATEMENT OF INVESTMENTS September 28, 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 Funds 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 Funds 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 Funds net assets and or a percentage decrease in the Funds Net Asset Value or NAV. The contingent features are established within the Funds 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. The unrealized appreciation (depreciation) is reported in the Statement of Assets and Liabilities in the annual and semiannual reports as a receivable or payable and in the Statement of Operations in the annual and semiannual reports within the change in unrealized appreciation (depreciation). At contract close, the difference between the original cost of the contract and the value at the close date is recorded as a realized gain (loss) in the Statement of Operations in the annual and semiannual reports.
The Fund has purchased and sold certain forward foreign currency exchange contracts of different currencies in order to acquire currencies to pay for or sell currencies to acquire related foreign securities purchase and sale transactions, respectively, or to convert foreign currencies to U.S. dollars from related foreign securities transactions. These foreign currency exchange contracts are negotiated at the current spot exchange rate with settlement typically within two business days thereafter.
During the period ended September 28, 2012, the Fund had daily average contract amounts on forward foreign currency contracts to buy and sell of $2,215,885 and $3,380,125, respectively.
13 | Oppenheimer Global Securities Fund/VA |
Oppenheimer Global Securities Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Additional associated risk to the Fund includes counterparty credit risk. Counterparty credit risk arises from the possibility that the counterparty will default.
Federal Taxes. The approximate aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of September 28, 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 |
$ | 1,866,178,817 | ||
Federal tax cost of other investments |
888 | |||
|
|
|||
Total federal tax cost |
$ | 1,866,179,705 | ||
|
|
|||
Gross unrealized appreciation |
$ | 738,072,428 | ||
Gross unrealized depreciation |
(73,501,538 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 664,570,890 | ||
|
|
14 | Oppenheimer Global Securities Fund/VA |
Oppenheimer High Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Principal Amount |
Value | |||||||
Corporate Loans6.8% |
| |||||||
Atlantic Broadband Finance LLC, Sr. Sec. Credit Facilities 2nd Lien Term Loan, 9.75%, 10/4/191 |
$ | 190,000 | $ | 199,263 | ||||
ATP Oil & Gas Corp., Sr. Sec. Credit Facilities 1st Lien Term Loan, Debtor in Possession, Delayed Draw, 8.50%, 2/27/141,2 |
103,222 | 102,448 | ||||||
ATP Oil & Gas Corp., Sr. Sec. Credit Facilities 1st Lien Term Loan, Debtor in Possession, 8.50%, 2/17/141,2 |
151,778 | 150,640 | ||||||
Autoparts Holdings Ltd., Sr. Sec. Credit Facilities 1st Lien Term Loan, 6.50%, 7/29/171 |
243,844 | 243,844 | ||||||
BJS Wholesale Club, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 9.75%, 3/29/191,2 |
130,000 | 132,275 | ||||||
Brock Holdings III, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 10%, 3/16/181 |
155,000 | 155,388 | ||||||
Chesapeake Energy Corp., Sr. Sec. Credit Facilities Term Loan, 8.50%, 12/2/171 |
280,000 | 281,283 | ||||||
Clear Channel Communications, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B, 3.866%, 1/29/161 |
452,762 | 371,265 | ||||||
Crestwood Holdings LLC, Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B, 9.75%, 3/26/181 |
272,790 | 277,223 | ||||||
Entegra Holdings LLC, Sr. Sec. Credit Facilities 3rd Lien Term Loan, Tranche B, 3.743%, 10/19/151,2,3 |
1,062,623 | 625,176 | ||||||
iStar Financial, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche A2, 7%, 3/19/171 |
565,000 | 569,238 | ||||||
Lonestar Intermediate Super Holdings LLC, Sr. Sec. Credit Facilities Term Loan, 11%, 9/2/191 |
340,000 | 363,375 | ||||||
Nuveen Investments, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 8.25%, 2/28/191 |
640,000 | 645,867 | ||||||
OneLink Communications/San Juan Cable LLC, Sr. Sec. Credit Facilities 2nd Lien Term Loan, 10%, 6/9/181 |
420,000 | 426,300 | ||||||
PQ Corp., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 6.716%, 7/30/151 |
625,000 | 598,438 | ||||||
Revel Entertainment LLC, Sr. Sec. Credit Facilities 1st Lien Term Loan, 9%, 2/17/171,2 |
545,000 | 433,019 | ||||||
Springleaf Financial Funding Co., Sr. Sec. Credit Facilities 1st Lien Term Loan, 5.50%, 5/10/171 |
305,000 | 299,205 | ||||||
SUPERVALU, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B, 8%, 8/1/181 |
545,000 | 549,130 | ||||||
Texas Competitive Electric Holdings Co. LLC, Non-Extended Sr. Sec. Credit Facilities 1st Lien Term Loan: |
||||||||
3.728%, 10/10/141 |
637,556 | 476,494 | ||||||
3.938%, 10/10/141 |
102,444 | 76,564 | ||||||
Walter Investment Management Corp., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 12.50%, 12/30/161 |
655,000 | 681,200 | ||||||
|
|
|||||||
Total Corporate Loans (Cost $7,619,231) |
7,657,635 |
1 | Oppenheimer High Income Fund/VA |
Oppenheimer High Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Principal Amount |
Value | |||||||
Corporate Bonds and Notes84.3% |
| |||||||
Consumer Discretionary23.6% |
| |||||||
Auto Components2.8% |
||||||||
Continental Rubber of America Corp., 4.50% Sr. Sec. Nts., 9/15/194 |
$ | 105,000 | $ | 107,520 | ||||
Goodyear Tire & Rubber Co. (The), 8.25% Sr. Unsec. Unsub. Nts., 8/15/20 |
610,000 | 678,625 | ||||||
Tower Automotive Holdings USA LLC/TA Holdings Finance, Inc., 10.625% Sr. Sec. Nts., 9/1/174 |
1,335,000 | 1,445,138 | ||||||
UCI International, Inc., 8.625% Sr. Unsec. Nts., 2/15/19 |
170,000 | 170,000 | ||||||
Visteon Corp., 6.75% Sr. Unsec. Nts., 4/15/19 |
690,000 | 727,950 | ||||||
|
|
|||||||
3,129,233 | ||||||||
Automobiles0.1% |
||||||||
Jaguar Land Rover plc, 7.75% Sr. Unsec. Bonds, 5/15/184 |
110,000 | 119,213 | ||||||
Diversified Consumer Services0.7% |
||||||||
Monitronics International, Inc., 9.125% Sr. Unsec. Nts., 4/1/20 |
280,000 | 292,600 | ||||||
ServiceMaster Co.: |
||||||||
7% Sr. Nts., 8/15/204 |
255,000 | 262,650 | ||||||
8% Sr. Unsec. Unsub. Nts., 2/15/20 |
170,000 | 181,050 | ||||||
|
|
|||||||
736,300 | ||||||||
Hotels, Restaurants & Leisure6.5% |
||||||||
Boyd Gaming Corp., 9.125% Sr. Unsec. Nts., 12/1/18 |
530,000 | 559,150 | ||||||
Burger King Corp., 9.875% Sr. Unsec. Unsub. Nts., 10/15/18 |
245,000 | 285,425 | ||||||
Caesars Entertainment Operating Co., Inc., 10% Sr. Sec. Nts., 12/15/18 |
2,703,000 | 1,783,980 | ||||||
Chester Downs & Marina LLC, 9.25% Sr. Sec. Nts., 1/15/204 |
190,000 | 191,900 | ||||||
CKE Restaurants, Inc., 11.375% Sec. Nts., 7/15/18 |
218,000 | 253,970 | ||||||
Equinox Holdings, Inc., 9.50% Sr. Sec. Nts., 2/1/165 |
510,000 | 544,425 | ||||||
HOA Restaurants Group LLC/HOA Finance Corp., 11.25% Sr. Sec. Nts., 4/1/174 |
640,000 | 587,200 | ||||||
Isle of Capri Casinos, Inc., 7.75% Sr. Unsec. Unsub. Nts., 3/15/19 |
585,000 | 631,800 | ||||||
Landrys, Inc., 9.375% Sr. Unsec. Nts., 5/1/204 |
555,000 | 588,300 | ||||||
MGM Mirage, Inc., 6.625% Sr. Unsec. Nts., 7/15/15 |
875,000 | 940,625 | ||||||
MGM Resorts International, 6.75% Sr. Unsec. Nts., 10/1/204 |
165,000 | 165,413 | ||||||
MTR Gaming Group, Inc., 11.50% Sec. Nts., 8/1/19 |
246,225 | 260,383 | ||||||
Penn National Gaming, Inc., 8.75% Sr. Unsec. Sub. Nts., 8/15/19 |
435,000 | 489,375 | ||||||
|
|
|||||||
7,281,946 | ||||||||
Household Durables1.9% |
||||||||
Beazer Homes USA, Inc.: |
||||||||
6.875% Sr. Unsec. Nts., 7/15/15 |
280,000 | 282,800 | ||||||
9.125% Sr. Unsec. Nts., 5/15/19 |
790,000 | 797,900 | ||||||
Jarden Corp., 6.125% Sr. Unsec. Nts., 11/15/22 |
65,000 | 70,525 | ||||||
K Hovnanian Enterprises, Inc., 9.125% Sec. Nts., 11/15/202,4 |
130,000 | 131,138 | ||||||
Libbey Glass, Inc., 6.875% Sr. Sec. Nts., 5/15/204 |
210,000 | 226,800 | ||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Luxembourg SA: 5.75% Sr. Sec. Nts., 10/15/204 |
275,000 | 275,344 |
2 | Oppenheimer High Income Fund/VA |
Oppenheimer High Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Principal Amount |
Value | |||||||
Household Durables Continued |
||||||||
9% Sr. Unsec. Unsub. Nts., 4/15/19 |
$ | 285,000 | $ | 292,125 | ||||
|
|
|||||||
2,076,632 | ||||||||
Leisure Equipment & Products0.5% |
||||||||
FGI Operating Co. LLC/FGI Finance, Inc., 7.875% Sr. Sec. Nts., 5/1/204 |
555,000 | 603,563 | ||||||
Media9.2% |
||||||||
Affinion Group Holdings, Inc., 11.625% Sr. Unsec. Nts., 11/15/15 |
325,000 | 222,625 | ||||||
Affinion Group, Inc., 7.875% Sr. Unsec. Nts., 12/15/18 |
760,000 | 625,100 | ||||||
AMC Entertainment, Inc., 8.75% Sr. Unsec. Nts., 6/1/19 |
265,000 | 293,488 | ||||||
Belo (A.H.) Corp., 7.75% Sr. Unsec. Unsub. Debs., 6/1/27 |
719,000 | 729,785 | ||||||
Clear Channel Communications, Inc., 5.75% Sr. Unsec. Unsub. Nts., 1/15/13 |
860,000 | 865,375 | ||||||
CSC Holdings LLC, 6.75% Sr. Unsec. Nts., 11/15/214 |
520,000 | 575,900 | ||||||
Cumulus Media Holdings, Inc., 7.75% Sr. Unsec. Unsub. Nts., 5/1/19 |
350,000 | 342,125 | ||||||
DISH DBS Corp.: |
||||||||
5.875% Sr. Unsec. Nts., 7/15/224 |
350,000 | 360,500 | ||||||
7.875% Sr. Unsec. Nts., 9/1/19 |
605,000 | 706,338 | ||||||
Entravision Communications Corp., 8.75% Sr. Sec. Nts., 8/1/17 |
507,000 | 550,095 | ||||||
Gray Television, Inc.: 7.50% Sr. Unsec. Nts., 10/1/202,4 |
555,000 | 555,000 | ||||||
10.50% Sr. Sec. Nts., 6/29/15 |
520,000 | 566,150 | ||||||
Newport Television LLC/NTV Finance Corp., 13.75% Sr. Nts., 3/15/173,4 |
419,232 | 453,819 | ||||||
Nexstar Broadcasting, Inc./Mission Broadcasting, Inc., 8.875% Sec. Nts., 4/15/17 |
515,000 | 562,638 | ||||||
Sinclair Television Group, Inc.: |
||||||||
6.125% Sr. Nts., 10/1/222,4 |
430,000 | 432,688 | ||||||
8.375% Sr. Unsec. Nts., 10/15/18 |
315,000 | 348,863 | ||||||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW Gmb H, 7.50% Sr. Sec. Nts., 3/15/19 |
395,000 | 435,488 | ||||||
Univision Communications, Inc., 7.875% Sr. Sec. Nts., 11/1/204 |
465,000 | 499,875 | ||||||
UPCB Finance V Ltd., 7.25% Sr. Sec. Nts., 11/15/214 |
350,000 | 382,375 | ||||||
UPCB Finance VI Ltd., 6.875% Sr. Sec. Nts., 1/15/224 |
560,000 | 596,400 | ||||||
Virgin Media Finance plc, 5.25% Sr. Unsec. Unsub. Nts., 2/15/22 |
215,000 | 226,825 | ||||||
|
|
|||||||
10,331,452 | ||||||||
Specialty Retail1.5% |
||||||||
Burlington Coat Factory Warehouse Corp., 10% Sr. Unsec. Nts., 2/15/19 |
140,000 | 155,575 | ||||||
J. Crew Group, Inc., 8.125% Sr. Unsec. Nts., 3/1/19 |
275,000 | 289,438 | ||||||
Limited Brands, Inc., 5.625% Sr. Nts., 2/15/22 |
560,000 | 606,200 | ||||||
Michaels Stores, Inc., 7.75% Sr. Unsec. Nts., 11/1/18 |
45,000 | 48,488 | ||||||
Sally Holdings LLC/Sally Capital, Inc., 6.875% Sr. Unsec. Nts., 11/15/19 |
515,000 | 575,513 | ||||||
|
|
|||||||
1,675,214 | ||||||||
Textiles, Apparel & Luxury Goods0.4% |
||||||||
Levi Strauss & Co., 7.625% Sr. Unsec. Unsub. Nts., 5/15/20 |
265,000 | 287,525 |
3 | Oppenheimer High Income Fund/VA |
Oppenheimer High Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Principal Amount |
Value | |||||||
Textiles, Apparel & Luxury Goods Continued |
||||||||
Quiksilver, Inc., 6.875% Sr. Unsec. Nts., 4/15/15 |
$ | 210,000 | $ | 210,000 | ||||
|
|
|||||||
497,525 | ||||||||
Consumer Staples2.7% |
||||||||
Food & Staples Retailing0.1% |
||||||||
Rite Aid Corp., 7.50% Sr. Sec. Nts., 3/1/17 |
160,000 | 165,200 | ||||||
Food Products2.0% |
||||||||
American Seafoods Group LLC, 10.75% Sr. Sub. Nts., 5/15/164 |
620,000 | 630,850 | ||||||
ASG Consolidated LLC, 12.863% Sr. Nts., 5/15/173,4 |
417,721 | 366,550 | ||||||
Bumble Bee Acquisition Corp., 9% Sr. Sec. Nts., 12/15/174 |
471,000 | 495,139 | ||||||
Southern States Cooperative, Inc., 11.25% Sr. Nts., 5/15/154 |
690,000 | 722,775 | ||||||
|
|
|||||||
2,215,314 | ||||||||
Household Products0.3% |
||||||||
Spectrum Brands Holdings, Inc., 9.50% Sr. Sec. Nts., 6/15/18 |
250,000 | 283,125 | ||||||
Personal Products0.1% |
||||||||
NBTY, Inc., 9% Sr. Unsec. Nts., 10/1/18 |
125,000 | 139,688 | ||||||
Tobacco0.2% |
||||||||
Alliance One International, Inc., 10% Sr. Unsec. Nts., 7/15/16 |
260,000 | 270,400 | ||||||
Energy10.3% |
||||||||
Energy Equipment & Services2.9% |
||||||||
Forbes Energy Services Ltd., 9% Sr. Unsec. Nts., 6/15/19 |
220,000 | 214,500 | ||||||
Global Geophysical Services, Inc., 10.50% Sr. Unsec. Nts., 5/1/17 |
280,000 | 268,800 | ||||||
Hercules Offshore, Inc., 7.125% Sr. Sec. Nts., 4/1/174 |
280,000 | 291,550 | ||||||
Hornbeck Offshore Services, Inc., 5.875% Sr. Unsec. Nts., 4/1/20 |
565,000 | 577,713 | ||||||
Offshore Group Investments Ltd., 11.50% Sr. Sec. Nts., 8/1/15 |
990,000 | 1,098,900 | ||||||
Precision Drilling Corp., 6.625% Sr. Unsec. Nts., 11/15/20 |
525,000 | 561,750 | ||||||
SESI LLC, 6.375% Sr. Unsec. Nts., 5/1/19 |
200,000 | 215,000 | ||||||
|
|
|||||||
3,228,213 | ||||||||
Oil, Gas & Consumable Fuels7.4% |
||||||||
Antero Resources Finance Corp., 9.375% Sr. Unsec. Nts., 12/1/17 |
435,000 | 482,850 | ||||||
Atlas Pipeline Partners LP/Atlas Pipeline Finance Corp.: |
||||||||
6.625% Sr. Nts., 10/1/204 |
170,000 | 173,400 | ||||||
8.75% Sr. Unsec. Sub. Nts., 6/15/18 |
280,000 | 302,400 | ||||||
Bill Barrett Corp., 7.625% Sr. Unsec. Unsub. Nts., 10/1/19 |
220,000 | 234,300 | ||||||
BreitBurn Energy Partners LP/BreitBurn Finance Corp., 8.625% Sr. Unsec. Nts., 10/15/20 |
665,000 | 729,838 | ||||||
Chaparral Energy, Inc., 9.875% Sr. Unsec. Nts., 10/1/20 |
510,000 | 578,850 | ||||||
Chesapeake Midstream Partners LP/CHKM Finance Corp., 6.125% Sr. Unsec. Unsub. Nts., 7/15/22 |
540,000 | 573,750 | ||||||
Cimarex Energy Co., 5.875% Sr. Unsec. Unsub. Nts., 5/1/22 |
500,000 | 530,000 | ||||||
Cloud Peak Energy Resources LLC/Cloud Peak Energy Finance Corp., 8.50% Sr. Unsec. Unsub. Nts., 12/15/19 |
105,000 | 116,025 | ||||||
Continental Resources, Inc., 5% Sr. Unsec. Nts., 9/15/22 |
340,000 | 356,150 | ||||||
Hiland Partners LP/Hiland Partners Finance Corp., 7.25% Sr. Nts., 10/1/204 |
75,000 | 78,094 | ||||||
Linn Energy LLC/Linn Energy Finance Corp., 8.625% Sr. Unsec. Nts., 4/15/20 |
735,000 | 808,500 | ||||||
MEG Energy Corp., 6.50% Sr. Unsec. Nts., 3/15/214 |
795,000 | 854,625 |
4 | Oppenheimer High Income Fund/VA |
Oppenheimer High Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Principal Amount |
Value | |||||||
Oil, Gas & Consumable Fuels Continued |
||||||||
Murray Energy Corp., 10.25% Sr. Sec. Nts., 10/15/154 |
$ | 420,000 | $ | 413,700 | ||||
Navios Maritime Acquisition Corp., 8.625% Sr. Sec. Nts., 11/1/17 |
195,000 | 186,713 | ||||||
Quicksilver Resources, Inc.: |
||||||||
8.25% Sr. Unsec. Nts., 8/1/15 |
280,000 | 268,100 | ||||||
11.75% Sr. Nts., 1/1/16 |
225,000 | 228,375 | ||||||
Samson Investment Co., 9.75% Sr. Unsec. Nts., 2/15/204 |
425,000 | 438,281 | ||||||
SandRidge Energy, Inc., 8.75% Sr. Unsec. Nts., 1/15/20 |
255,000 | 277,313 | ||||||
SM Energy Co., 6.50% Sr. Nts., 1/1/234 |
270,000 | 283,838 | ||||||
Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.875% Sr. Nts., 10/1/204 |
155,000 | 159,263 | ||||||
Venoco, Inc., 8.875% Sr. Unsec. Nts., 2/15/19 |
345,000 | 301,875 | ||||||
|
|
|||||||
8,376,240 | ||||||||
Financials8.8% |
||||||||
Capital Markets3.0% |
||||||||
Edgen Murray Corp., 12.25% Sr. Sec. Nts., 1/15/15 |
360,000 | 386,100 | ||||||
Nationstar Mortgage LLC/Nationstar Capital Corp.: |
||||||||
7.875% Sr. Unsec. Nts., 10/1/204 |
155,000 | 158,488 | ||||||
10.875% Sr. Unsec. Nts., 4/1/15 |
1,015,000 | 1,105,081 | ||||||
Nuveen Investments, Inc., 9.50% Sr. Unsec. Nts., 10/15/204 |
270,000 | 270,000 | ||||||
Pinafore LLC/Pinafore, Inc., 9% Sec. Nts., 10/1/18 |
628,000 | 703,360 | ||||||
Springleaf Finance Corp., 6.90% Nts., Series J, 12/15/17 |
370,000 | 316,350 | ||||||
Verso Paper Holdings LLC/Verso Paper, Inc.: |
||||||||
8.75% Sr. Sec. Nts., 2/1/19 |
625,000 | 306,250 | ||||||
11.375% Sr. Unsec. Sub. Nts., Series B, 8/1/16 |
147,000 | 87,465 | ||||||
|
|
|||||||
3,333,094 | ||||||||
Consumer Finance0.8% |
||||||||
Community Choice Financial, Inc., 10.75% Sr. Sec. Nts., 5/1/194 |
265,000 | 259,700 | ||||||
Speedy Cash, Inc., 10.75% Sr. Sec. Nts., 5/15/184 |
330,000 | 349,800 | ||||||
TMX Finance LLC/TitleMax Finance Corp., 13.25% Sr. Sec. Nts., 7/15/15 |
255,000 | 284,325 | ||||||
|
|
|||||||
893,825 | ||||||||
Diversified Financial Services0.9% |
||||||||
GMAC LLC, 8% Sr. Unsec. Nts., 11/1/31 |
240,000 | 281,040 | ||||||
PHH Corp., 9.25% Sr. Unsec. Unsub. Nts., 3/1/16 |
585,000 | 674,213 | ||||||
|
|
|||||||
955,253 | ||||||||
Insurance1.1% |
||||||||
International Lease Finance Corp.: |
||||||||
8.625% Sr. Unsec. Unsub. Nts., 9/15/15 |
410,000 | 468,425 | ||||||
8.75% Sr. Unsec. Unsub. Nts., 3/15/17 |
622,000 | 730,850 | ||||||
|
|
|||||||
1,199,275 | ||||||||
Real Estate Investment Trusts (REITs)1.2% |
||||||||
FelCor Escrow Holdings LLC, 6.75% Sr. Sec. Nts., 6/1/19 |
565,000 | 608,788 | ||||||
OMEGA Healthcare Investors, Inc., 6.75% Sr. Unsec. Nts., 10/15/22 |
695,000 | 771,450 | ||||||
|
|
|||||||
1,380,238 |
5 | Oppenheimer High Income Fund/VA |
Oppenheimer High Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Principal Amount |
Value | |||||||
Real Estate Management & Development1.8% |
||||||||
Ainsworth Lumber Co. Ltd., 11% Sr. Unsec. Unsub. Nts., 7/29/153,4 |
$ | 879,733 | $ | 840,145 | ||||
Realogy Corp.: |
||||||||
7.625% Sr. Sec. Nts., 1/15/204 |
560,000 | 620,200 | ||||||
9% Sr. Sec. Nts., 1/15/204 |
285,000 | 315,638 | ||||||
Wallace Theater Holdings, Inc., 12.50% Sr. Sec. Nts., 6/15/131,4 |
275,000 | 273,625 | ||||||
|
|
|||||||
2,049,608 | ||||||||
Health Care5.4% |
||||||||
Biotechnology0.3% |
||||||||
Grifols SA, 8.25% Sr. Sec. Nts., 2/1/18 |
195,000 | 216,450 | ||||||
Universal Hospital Services, Inc., 7.625% Sr. Sec. Nts., 8/15/204 |
125,000 | 130,625 | ||||||
|
|
|||||||
347,075 | ||||||||
Health Care Equipment & Supplies1.3% |
||||||||
Accellent, Inc., 10% Sr. Unsec. Sub. Nts., 11/1/17 |
325,000 | 276,250 | ||||||
Alere, Inc.: |
||||||||
7.875% Sr. Unsec. Unsub. Nts., 2/1/16 |
290,000 | 304,500 | ||||||
8.625% Sr. Unsec. Sub. Nts., 10/1/18 |
290,000 | 305,950 | ||||||
Biomet, Inc., 6.50% Sr. Unsec. Nts., 8/1/204 |
215,000 | 223,331 | ||||||
Chiron Merger Sub, Inc., 10.50% Sec. Nts., 11/1/184 |
290,000 | 308,125 | ||||||
Hologic, Inc., 6.25% Sr. Unsec. Nts., 8/1/204 |
40,000 | 42,600 | ||||||
|
|
|||||||
1,460,756 | ||||||||
Health Care Providers & Services3.1% |
||||||||
Catalent Pharma Solutions, Inc., 9.50% Sr. Unsec. Nts., 4/15/15 |
151 | 155 | ||||||
CHS/Community Health Systems, Inc., 7.125% Sr. Unsec. Unsub. Nts., 7/15/20 |
165,000 | 176,241 | ||||||
Fresenius Medical Care US Finance II, Inc.: |
||||||||
5.625% Sr. Unsec. Nts., 7/31/194 |
180,000 | 192,150 | ||||||
5.875% Sr. Unsec. Nts., 1/31/224 |
90,000 | 96,525 | ||||||
Gentiva Health Services, Inc., 11.50% Sr. Unsec. Unsub. Nts., 9/1/18 |
340,000 | 322,575 | ||||||
HealthSouth Corp., 8.125% Sr. Unsec. Unsub. Nts., 2/15/20 |
514,000 | 573,110 | ||||||
Kindred Healthcare, Inc., 8.25% Sr. Unsec. Nts., 6/1/19 |
620,000 | 606,050 | ||||||
Multiplan, Inc., 9.875% Sr. Nts., 9/1/184 |
240,000 | 266,400 | ||||||
Oncure Holdings, Inc., 11.75% Sr. Sec. Nts., 5/15/17 |
315,000 | 193,725 | ||||||
PSS World Medical, Inc., 6.375% Sr. Unsec. Unsub. Nts., 3/1/22 |
130,000 | 138,938 | ||||||
Radiation Therapy Services, Inc.: |
||||||||
8.875% Sr. Sec. Nts., 1/15/17 |
295,000 | 286,150 | ||||||
9.875% Sr. Unsec. Sub. Nts., 4/15/17 |
250,000 | 183,125 | ||||||
US Oncology, Inc., Escrow Shares (related to 9.125% Sr. Sec. Nts., 8/15/17)6 |
435,000 | 7,613 | ||||||
Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc., 8% Sr. Nts., 2/1/18 |
375,000 | 402,188 | ||||||
|
|
|||||||
3,444,945 | ||||||||
Health Care Technology0.1% |
||||||||
MedAssets, Inc., 8% Sr. Unsec. Nts., 11/15/18 |
75,000 | 82,125 |
6 | Oppenheimer High Income Fund/VA |
Oppenheimer High Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Principal Amount |
Value | |||||||
Life Sciences Tools & Services0.2% |
||||||||
Jaguar Holding Co./Jaguar Merger Sub, Inc., 9.50% Sr. Unsec. Nts., 12/1/194 |
$ | 220,000 | $ | 248,050 | ||||
Pharmaceuticals0.4% |
||||||||
DJO Finance LLC/DJO Finance Corp., 10.875% Sr. Unsec. Nts., 11/15/14 |
150,000 | 156,000 | ||||||
Valeant Pharmaceuticals International, Inc., 6.875% Sr. Unsec. Nts., 12/1/184 |
190,000 | 200,925 | ||||||
Warner Chilcott Co. LLC/Warner Chilcott Finance LL C, 7.75% Sr. Unsec. Nts., 9/15/18 |
145,000 | 155,513 | ||||||
|
|
|||||||
512,438 | ||||||||
Industrials14.9% |
| |||||||
Aerospace & Defense3.6% |
||||||||
BE Aerospace, Inc., 6.875% Sr. Nts., 10/1/20 |
240,000 | 267,600 | ||||||
DynCorp International, Inc., 10.375% Sr. Unsec. Nts., 7/1/17 |
1,085,000 | 941,238 | ||||||
Huntington Ingalls Industries, Inc., 7.125% Sr. Unsec. Unsub. Nts., 3/15/21 |
805,000 | 870,406 | ||||||
Kratos Defense & Security Solutions, Inc., 10% Sr. Sec. Nts., 6/1/17 |
267,000 | 289,695 | ||||||
Schaeffler Finance BV, 8.50% Sr. Sec. Nts., 2/15/194 |
300,000 | 337,500 | ||||||
TransDigm, Inc., 7.75% Sr. Unsec. Sub. Nts., 12/15/18 |
480,000 | 532,800 | ||||||
Triumph Group, Inc., 8.625% Sr. Unsec. Nts., 7/15/18 |
650,000 | 736,125 | ||||||
|
|
|||||||
3,975,364 | ||||||||
Air Freight & Logistics1.0% |
||||||||
Air Medical Group Holdings, Inc., 9.25% Sr. Sec. Nts., 11/1/18 |
510,000 | 558,450 | ||||||
SPL Logistics Escrow LLC/SPL Logistics Finance Corp., 8.875% Sr. Sec. Nts., 8/1/204 |
540,000 | 580,500 | ||||||
|
|
|||||||
1,138,950 | ||||||||
Airlines0.5% |
||||||||
American Airlines 2011-2 Class A Pass-Through Trust, 8.625% Sec. Certificates, 4/15/23 |
543,468 | 584,907 | ||||||
Building Products1.1% |
||||||||
Associated Materials LLC, 9.125% Sr. Sec. Nts., 11/1/174 |
265,000 | 261,025 | ||||||
Ply Gem Industries, Inc.: |
||||||||
9.375% Sr. Nts., 4/15/174 |
400,000 | 403,000 | ||||||
13.125% Sr. Unsec. Sub. Nts., 7/15/14 |
535,000 | 573,788 | ||||||
|
|
|||||||
1,237,813 | ||||||||
Commercial Services & Supplies1.9% |
||||||||
Cenveo Corp., 8.875% Sec. Nts., 2/1/18 |
205,000 | 195,263 | ||||||
R.R. Donnelley & Sons Co., 7.25% Sr. Nts., 5/15/18 |
1,130,000 | 1,127,175 | ||||||
STHI Holding Corp., 8% Sec. Nts., 3/15/184 |
200,000 | 214,000 | ||||||
West Corp., 8.625% Sr. Unsec. Nts., 10/1/18 |
500,000 | 527,500 | ||||||
|
|
|||||||
2,063,938 | ||||||||
Electrical Equipment0.2% |
||||||||
General Cable Corp., 5.75% Sr. Unsec. Unsub. Nts., 10/1/224 |
205,000 | 209,100 | ||||||
Machinery3.2% |
||||||||
Actuant Corp., 5.625% Sr. Unsec. Unsub. Nts., 6/15/22 |
340,000 | 354,450 | ||||||
Cleaver-Brooks, Inc., 12.25% Sr. Sec. Nts., 5/1/165 |
540,000 | 581,850 |
7 | Oppenheimer High Income Fund/VA |
Oppenheimer High Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Principal Amount |
Value | |||||||
Machinery Continued |
||||||||
CNH Capital LLC, 6.25% Sr. Unsec. Nts., 11/1/164 |
$ | 150,000 | $ | 163,688 | ||||
Manitowoc Co., Inc. (The), 8.50% Sr. Unsec. Nts., 11/1/20 |
755,000 | 848,431 | ||||||
Navistar International Corp., 3% Cv. Sr. Sub. Nts., 10/15/14 |
290,000 | 258,644 | ||||||
Terex Corp., 8% Sr. Unsec. Sub. Nts., 11/15/17 |
540,000 | 561,600 | ||||||
Thermadyne Holdings Corp., 9% Sr. Sec. Nts., 12/15/17 |
505,000 | 540,350 | ||||||
Xerium Technologies, Inc., 8.875% Sr. Unsec. Nts., 6/15/18 |
335,000 | 298,150 | ||||||
|
|
|||||||
3,607,163 | ||||||||
Marine0.9% |
||||||||
Drill Rigs Holdings, Inc., 6.50% Sr. Sec. Nts., 10/1/174 |
55,000 | 54,794 | ||||||
Marquette Transportation Co./Marquette Transportation Finance Corp., 10.875% Sec. Nts., 1/15/17 |
780,000 | 824,850 | ||||||
Navios Maritime Holdings, Inc./Navios Maritime Finance U.S., Inc., 8.875% Sr. Sec. Nts., 11/1/17 |
160,000 | 165,000 | ||||||
|
|
|||||||
1,044,644 | ||||||||
Professional Services0.2% |
||||||||
Altegrity, Inc., 10.50% Sr. Unsec. Sub. Nts., 11/1/155 |
280,000 | 246,400 | ||||||
Road & Rail1.5% |
||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 8.25% Sr. Unsec. Unsub. Nts., 1/15/19 |
245,000 | 267,969 | ||||||
Hertz Corp. (The), 7.50% Sr. Unsec. Nts., 10/15/18 |
670,000 | 726,950 | ||||||
Western Express, Inc., 12.50% Sr. Sec. Nts., 4/15/154 |
1,045,000 | 705,375 | ||||||
|
|
|||||||
1,700,294 | ||||||||
Trading Companies & Distributors0.8% |
||||||||
UR Financing Escrow Corp.: |
||||||||
7.375% Sr. Unsec. Nts., 5/15/204 |
685,000 | 738,088 | ||||||
7.625% Sr. Unsec. Nts., 4/15/224 |
170,000 | 186,575 | ||||||
|
|
|||||||
924,663 | ||||||||
Information Technology5.0% |
||||||||
Communications Equipment0.9% |
||||||||
Avaya, Inc., 7% Sr. Sec. Nts., 4/1/194 |
550,000 | 514,250 | ||||||
ViaSat, Inc., 6.875% Sr. Unsec. Unsub. Nts., 6/15/20 |
253,000 | 261,855 | ||||||
Zayo Group LLC/Zayo Capital, Inc.: |
||||||||
8.125% Sr. Sec. Nts., 1/1/20 |
125,000 | 137,188 | ||||||
10.125% Sr. Sec. Nts., 7/1/20 |
80,000 | 88,800 | ||||||
|
|
|||||||
1,002,093 | ||||||||
Computers & Peripherals0.4% |
||||||||
Seagate HDD (Cayman), 7% Sr. Unsec. Nts., 11/1/21 |
470,000 | 505,250 | ||||||
Electronic Equipment, Instruments & Components0.2% |
||||||||
Anixter, Inc., 5.625% Sr. Unsec. Nts., 5/1/19 |
210,000 | 220,500 | ||||||
Internet Software & Services1.0% |
||||||||
ITC DeltaCom, Inc., 10.50% Sr. Sec. Nts., 4/1/16 |
1,035,000 | 1,112,625 | ||||||
IT Services0.9% |
||||||||
Ceridian Corp., 11.25% Sr. Unsec. Nts., 11/15/15 |
265,000 | 262,350 | ||||||
First Data Corp.: |
||||||||
9.875% Sr. Unsec. Nts., 9/24/15 |
265,000 | 271,625 | ||||||
12.625% Sr. Unsec. Nts., 1/15/21 |
475,000 | 494,594 | ||||||
|
|
|||||||
1,028,569 |
8 | Oppenheimer High Income Fund/VA |
Oppenheimer High Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Principal Amount |
Value | |||||||
Semiconductors & Semiconductor Equipment1.3% |
||||||||
Advanced Micro Devices, Inc., 7.75% Sr. Unsec. Nts., 8/1/20 |
$ | 354,000 | $ | 361,080 | ||||
Amkor Technologies, Inc., 6.625% Sr. Unsec. Nts., 6/1/21 |
265,000 | 270,300 | ||||||
Freescale Semiconductor, Inc.: |
||||||||
9.25% Sr. Sec. Nts., 4/15/184 |
225,000 | 245,813 | ||||||
10.75% Sr. Unsec. Nts., 8/1/20 |
503,000 | 547,013 | ||||||
|
|
|||||||
1,424,206 | ||||||||
Software0.3% |
||||||||
Lawson Software, Inc., 9.375% Sr. Nts., 4/1/194 |
105,000 | 117,075 | ||||||
SunGard Data Systems, Inc., 7.375% Sr. Unsec. Nts., 11/15/18 |
160,000 | 172,400 | ||||||
|
|
|||||||
289,475 | ||||||||
Materials6.0% |
||||||||
Chemicals1.3% |
||||||||
ADS Waste Holdings, Inc., 8.25% Sr. Nts., 10/1/202,4 |
85,000 | 86,913 | ||||||
Ferro Corp., 7.875% Sr. Unsec. Nts., 8/15/18 |
145,000 | 140,650 | ||||||
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance ULC, 8.875% Sr. Sec. Nts., 2/1/18 |
280,000 | 289,100 | ||||||
Ineos Finance plc, 8.375% Sr. Sec. Bonds, 2/15/194 |
440,000 | 464,750 | ||||||
LyondellBasell Industries NV, 6% Sr. Unsec. Nts., 11/15/21 |
350,000 | 400,750 | ||||||
Scotts Miracle-Gro Co. (The), 6.625% Sr. Unsec. Unsub. Nts., 12/15/20 |
70,000 | 75,775 | ||||||
|
|
|||||||
1,457,938 | ||||||||
Construction Materials0.8% |
||||||||
Building Materials Corp. of America, 6.75% Sr. Nts., 5/1/214 |
435,000 | 477,413 | ||||||
Ply Gem Industries, Inc., 8.25% Sr. Sec. Nts., 2/15/18 |
370,000 | 388,038 | ||||||
|
|
|||||||
865,451 | ||||||||
Containers & Packaging1.5% |
||||||||
Consolidated Container Co. LLC/Consolidated Container Capital, Inc., 10.125% Sr. Unsec. Nts., 7/15/204 |
125,000 | 133,750 | ||||||
Polymer Group, Inc., 7.75% Sr. Sec. Nts., 2/1/19 |
650,000 | 695,500 | ||||||
Rock-Tenn Co., 4.45% Sr. Unsec. Nts., 3/1/194 |
130,000 | 137,393 | ||||||
Verso Paper Holdings LLC/Verso Paper, Inc., 11.75% Sr. Sec. Nts., 1/15/194 |
940,000 | 728,500 | ||||||
|
|
|||||||
1,695,143 | ||||||||
Metals & Mining0.8% |
||||||||
Aleris International, Inc., 7.625% Sr. Unsec. Nts., 2/15/18 |
760,000 | 811,300 | ||||||
Novelis, Inc., 8.75% Sr. Unsec. Nts., 12/15/20 |
135,000 | 150,188 | ||||||
|
|
|||||||
961,488 | ||||||||
Paper & Forest Products1.6% |
||||||||
Appleton Papers, Inc., 10.50% Sr. Sec. Nts., 6/15/154 |
335,000 | 357,613 | ||||||
Catalyst Paper Corp.: |
||||||||
13% Sec. Nts., 12/15/161,5 |
184,561 | 179,024 | ||||||
11% Sr. Sec. Nts., 12/15/16 |
724,926 | 572,692 | ||||||
NewPage Corp., 11.375% Sr. Sec. Nts., 12/31/146 |
600,000 | 381,000 | ||||||
Norske Skogindustrier ASA, 6.125% Unsec. Bonds, 10/15/154 |
375,000 | 305,625 | ||||||
|
|
|||||||
1,795,954 |
9 | Oppenheimer High Income Fund/VA |
Oppenheimer High Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Principal Amount |
Value | |||||||
Telecommunication Services5.1% |
| |||||||
Diversified Telecommunication Services3.0% |
||||||||
Cincinnati Bell, Inc.: |
||||||||
8.25% Sr. Nts., 10/15/17 |
$ | 385,000 | $ | 412,913 | ||||
8.75% Sr. Unsec. Sub. Nts., 3/15/18 |
280,000 | 285,600 | ||||||
Frontier Communications Corp.: |
||||||||
8.25% Sr. Unsec. Nts., 4/15/17 |
270,000 | 307,800 | ||||||
8.50% Sr. Unsec. Nts., 4/15/20 |
180,000 | 204,300 | ||||||
Intelsat Bermuda Ltd.: |
||||||||
11.25% Sr. Unsec. Nts., 2/4/17 |
585,000 | 620,831 | ||||||
11.50% Sr. Unsec. Nts., 2/4/173 |
710 | 755 | ||||||
Level 3 Communications, Inc., 8.875% Sr. Unsec. Nts., 6/1/194 |
80,000 | 84,300 | ||||||
Level 3 Financing, Inc., 9.375% Sr. Unsec. Unsub. Nts., 4/1/19 |
535,000 | 596,525 | ||||||
Wind Acquisition Finance SA, 7.25% Sr. Sec. Nts., 2/15/184 |
560,000 | 534,800 | ||||||
Windstream Corp., 7.50% Sr. Unsec. Unsub. Nts., 6/1/224 |
255,000 | 271,575 | ||||||
|
|
|||||||
3,319,399 | ||||||||
Wireless Telecommunication Services2.1% |
||||||||
Cricket Communications, Inc.: |
||||||||
7.75% Sr. Unsec. Nts., 10/15/20 |
450,000 | 441,000 | ||||||
10% Sr. Unsec. Unsub. Nts., 7/15/15 |
260,000 | 274,300 | ||||||
Leap Wireless International, Inc., 4.50% Cv. Sr. Unsec. Nts., 7/15/14 |
145,000 | 138,838 | ||||||
MetroPCS Wireless, Inc., 6.625% Sr. Unsec. Nts., 11/15/20 |
545,000 | 572,931 | ||||||
SBA Telecommunications, Inc., 5.75% Sr. Unsec. Unsub. Nts., 7/15/204 |
165,000 | 173,869 | ||||||
Sprint Capital Corp., 8.75% Nts., 3/15/32 |
135,000 | 140,400 | ||||||
Sprint Nextel Corp., 9% Sr. Unsec. Nts., 11/15/184 |
515,000 | 619,288 | ||||||
|
|
|||||||
2,360,626 | ||||||||
Utilities2.5% |
| |||||||
Electric Utilities0.5% |
||||||||
Energy Future Intermediate Holding Co. LLC, 10% Sr. Sec. Nts., 12/1/20 |
507,000 | 572,910 | ||||||
Energy Traders1.5% |
||||||||
AES Corp. (The), 8% Sr. Unsec. Unsub. Nts., 10/15/17 |
245,000 | 284,200 | ||||||
Calpine Corp., 7.50% Sr. Sec. Nts., 2/15/214 |
255,000 | 276,675 | ||||||
Energy Future Holdings Corp., 10% Sr. Sec. Nts., 1/15/20 |
530,000 | 586,975 | ||||||
First Wind Capital LLC, 10.25% Sr. Sec. Nts., 6/1/185 |
75,000 | 76,875 | ||||||
Foresight Energy LLC, 9.625% Sr. Unsec. Nts., 8/15/174 |
265,000 | 275,600 | ||||||
NRG Energy, Inc., 6.625% Sr. Unsec. Nts., 3/15/234 |
105,000 | 107,494 | ||||||
|
|
|||||||
1,607,819 | ||||||||
Gas Utilities0.5% |
||||||||
AmeriGas Finance LLC/AmeriGas Finance Corp., 6.75% Sr. Unsec. Nts., 5/20/20 |
545,000 | 583,125 | ||||||
|
|
|||||||
Total Corporate Bonds and Notes (Cost $92,648,483) |
|
94,571,747 | ||||||
Shares | ||||||||
Preferred Stocks0.9% |
| |||||||
Ally Financial, Inc., 7% Cum., Series G, Non-Vtg. |
584 | 546,350 |
10 | Oppenheimer High Income Fund/VA |
Oppenheimer High Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Shares | Value | |||||||
Greektown Superholdings, Inc., Cv., Series A-17 |
7,236 | $ | 510,138 | |||||
|
|
|||||||
Total Preferred Stocks (Cost $1,253,803) |
1,056,488 | |||||||
Common Stocks0.8% |
||||||||
American Media Operations, Inc. 7 |
58,065 | 754,845 | ||||||
Catalyst Paper Corp. 7 |
41,832 | 46,806 | ||||||
Global Aviation Holdings, Inc. 7 |
300 | | ||||||
Greektown Superholdings, Inc., Series A-1 7 |
874 | 45,448 | ||||||
|
|
|||||||
Total Common Stocks (Cost $2,872,161) |
847,099 | |||||||
Units | ||||||||
Rights, Warrants and Certificates0.0% |
||||||||
MediaNews Group, Inc. Wts., Strike Price $0.001, Exp. 3/19/17 7 (Cost $3,168,495) |
11,017 | 396 | ||||||
Shares | ||||||||
Investment Company4.3% |
||||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.18%8,9 (Cost $4,819,037) |
4,819,037 | 4,819,037 | ||||||
|
|
|
|
|||||
Total Investments, at Value (Cost $112,381,210) |
97.1 | % | 108,952,402 | |||||
Other Assets Net of Liabilities |
2.9 | 3,284,797 | ||||||
|
|
|
|
|||||
Net Assets |
100.0 | % | $ | 112,237,199 | ||||
|
|
|
|
Footnotes to Statement of Investments
* | September 28, 2012 represents the last business day of the Funds 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 September 28, 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 $28,031,469 or 24.98% of the Funds net assets as of September 28, 2012. |
5. | Restricted security. The aggregate value of restricted securities as of September 28, 2012 was $1,628,574, which represents 1.45% of the Funds net assets. See accompanying Notes. Information concerning restricted securities is as follows: |
Security |
Acquisition Date |
Cost | Value | Unrealized Appreciation (Depreciation) |
||||||||||
Altegrity, Inc., 10.50% Sr. Unsec. Sub. Nts., 11/1/15 |
5/14/09-2/8/10 | $ | 258,659 | $ | 246,400 | $ | (12,259 | ) | ||||||
Catalyst Paper Corp., 13% Sec. Nts., 12/15/16 |
9/6/12 | 166,064 | 179,024 | 12,960 | ||||||||||
Cleaver-Brooks, Inc., 12.25% Sr. Sec. Nts., 5/1/16 |
4/21/10-5/3/11 | 547,333 | 581,850 | 34,517 | ||||||||||
Equinox Holdings, Inc., 9.50% Sr. Sec. Nts., 2/1/16 |
1/22/10-12/20/11 | 508,247 | 544,425 | 36,178 | ||||||||||
First Wind Capital LLC, 10.25% Sr. Sec. Nts., 6/1/18 |
6/7/11 | 77,178 | 76,875 | (303 | ) | |||||||||
|
|
|
|
|
|
|||||||||
$ | 1,557,481 | $ | 1,628,574 | $ | 71,093 | |||||||||
|
|
|
|
|
|
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. |
11 | Oppenheimer High Income Fund/VA |
Oppenheimer High Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
8. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 28, 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 December 30, 2011a |
Gross Additions |
Gross Reductions |
Shares September 28, 2012 |
|||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E |
11,964,562 | 31,674,954 | 38,820,479 | 4,819,037 | ||||||||||||
Value | Income | |||||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E |
$ | 4,819,037 | $ | 7,714 |
a. | December 30, 2011 represents the last business day of the Funds 2011 fiscal year. See accompanying Notes. |
9. | Rate shown is the 7-day yield as of September 28, 2012. |
Notes to Statement of Investments
Quarterly and Annual Periods. The last day of the Funds quarterly period was the last day the New York Stock Exchange was open for trading. The Funds financial statements have been presented through that date to maintain consistency with the Funds net asset value calculations used for shareholder transactions.
The last day of the Funds fiscal year was the last day the New York Stock Exchange was open for trading. The Funds financial statements have been presented through that date to maintain consistency with the Funds 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 Funds net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. When the Fund engages in when-issued or delayed delivery transactions, it relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do so may cause the Fund to lose the opportunity to obtain or dispose of the security at a price and yield it considers advantageous. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase.
As of September 28, 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 |
$ | 1,531,463 | ||
Sold securities |
307,308 |
Credit Risk. The Fund invests in high-yield, non-investment-grade bonds, which may be subject to a greater degree of credit risk. Credit risk relates to the ability of the issuer to meet interest or principal payments or both as they become due. The Fund may acquire securities that have missed an interest payment, and is not obligated to dispose of securities whose issuers or underlying obligors subsequently miss an interest payment. Information concerning securities not accruing interest as of September 28, 2012 is as follows:
Cost |
$ | 589,032 | ||
Market Value |
$ | 388,613 | ||
Market Value as a % of Net Assets |
0.35 | % |
12 | Oppenheimer High Income Fund/VA |
Oppenheimer High Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Investment in Oppenheimer Institutional Money Market Fund. The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund (IMMF) to seek current income while preserving liquidity. IMMF is a registered open-end management investment company, regulated as a money market fund under the Investment Company Act of 1940, as amended. The Manager is also the investment adviser of IMMF. When applicable, the Funds 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 IMMFs 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 Funds 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 Funds Board has adopted procedures for the valuation of the Funds 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 Committees fair valuation determinations are subject to review, approval and ratification by the Funds 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 Funds 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 days closing bid and asked prices, and if not, at the current days 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 Funds 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 companys 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
13 | Oppenheimer High Income Fund/VA |
Oppenheimer High Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 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.
Security Type |
Standard inputs generally considered by third-party pricing vendors | |
Corporate debt, government debt, municipal, mortgage-backed and asset-backed securities | Reported trade data, broker-dealer price quotations, 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. |
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 Funds Board or (ii) as determined in good faith by the Managers 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 Funds 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 Funds 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 Managers 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.
14 | Oppenheimer High Income Fund/VA |
Oppenheimer High Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
The table below categorizes amounts as of September 28, 2012 based on valuation input level:
Level 1 Unadjusted Quoted Prices |
Level 2 Other Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
Value | |||||||||||||
Assets Table |
| |||||||||||||||
Investments, at Value: |
| |||||||||||||||
Corporate Loans |
$ | | $ | 7,657,635 | $ | | $ | 7,657,635 | ||||||||
Corporate Bonds and Notes |
| 94,392,723 | 179,024 | 94,571,747 | ||||||||||||
Preferred Stocks |
| 1,056,488 | | 1,056,488 | ||||||||||||
Common Stocks |
| 800,293 | 46,806 | 847,099 | ||||||||||||
Rights, Warrants and Certificates |
| | 396 | 396 | ||||||||||||
Investment Company |
4,819,037 | | | 4,819,037 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Assets |
$ | 4,819,037 | $ | 103,907,139 | $ | 226,226 | $ | 108,952,402 | ||||||||
|
|
|
|
|
|
|
|
Currency contracts and forwards, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contracts 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 Funds 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 | ) | |||
Preferred Stocks |
751,905 | (751,905 | ) | |||||
|
|
|
|
|||||
Total Assets |
$ | 804,834 | $ | (804,834 | ) | |||
|
|
|
|
* | Transferred from Level 3 to Level 2 due to the availability of market data for this security. |
There have been no significant changes to the fair valuation methodologies of the Fund during the period.
Restricted Securities
As of September 28, 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 September 28, 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 |
$ | 112,396,400 | ||
|
|
|||
Gross unrealized appreciation |
$ | 5,280,701 | ||
Gross unrealized depreciation |
(8,724,699 | ) | ||
|
|
|||
Net unrealized depreciation |
$ | (3,443,998 | ) | |
|
|
15 | Oppenheimer High Income Fund/VA |
OPPENHEIMER MAIN STREET FUND/VA
STATEMENT OF INVESTMENTS September 28, 2012* / Unaudited
Shares | Value | |||||||
Common Stocks98.8% |
||||||||
Consumer Discretionary9.2% |
||||||||
Automobiles2.1% |
||||||||
Ford Motor Co. |
3,009,610 | $ | 29,674,755 | |||||
Hotels, Restaurants & Leisure0.6% |
||||||||
Hyatt Hotels Corp., Cl. A1 |
54,558 | 2,190,504 | ||||||
Yum! Brands, Inc. |
103,180 | 6,844,961 | ||||||
|
|
|||||||
9,035,465 | ||||||||
Media2.4% |
||||||||
McGraw-Hill Cos., Inc. (The) |
607,401 | 33,158,021 | ||||||
Specialty Retail4.1% |
||||||||
AutoZone, Inc.1 |
67,600 | 24,989,692 | ||||||
CarMax, Inc.1 |
534,760 | 15,133,708 | ||||||
TJX Cos., Inc. (The) |
366,390 | 16,410,608 | ||||||
|
|
|||||||
56,534,008 | ||||||||
Consumer Staples10.6% |
||||||||
Beverages2.3% |
||||||||
Dr Pepper Snapple Group, Inc. |
722,910 | 32,191,182 | ||||||
Food Products3.5% |
||||||||
J.M. Smucker Co. (The) |
363,570 | 31,386,998 | ||||||
Kraft Foods, Inc., Cl. A |
340,010 | 14,059,413 | ||||||
Mondelez International, Inc., Cl. A |
134,410 | 3,568,585 | ||||||
|
|
|||||||
49,014,996 | ||||||||
Household Products0.3% |
||||||||
Henkel AG & Co. KGaA, Preference |
47,374 | 3,767,737 | ||||||
Tobacco4.5% |
||||||||
Philip Morris International, Inc. |
704,189 | 63,334,759 | ||||||
Energy11.1% |
||||||||
Energy Equipment & Services3.6% |
||||||||
National Oilwell Varco, Inc. |
626,630 | 50,199,329 | ||||||
Oil, Gas & Consumable Fuels7.5% |
||||||||
Chevron Corp. |
559,910 | 65,263,110 | ||||||
Kinder Morgan, Inc. |
339,467 | 12,057,868 | ||||||
Noble Energy, Inc. |
302,680 | 28,061,463 | ||||||
|
|
|||||||
105,382,441 | ||||||||
Financials17.5% |
||||||||
Commercial Banks4.1% |
||||||||
CIT Group, Inc.1 |
1,247,810 | 49,151,236 | ||||||
M&T Bank Corp. |
83,370 | 7,933,489 | ||||||
|
|
|||||||
57,084,725 | ||||||||
Consumer Finance1.4% |
||||||||
Discover Financial Services |
506,930 | 20,140,329 | ||||||
Diversified Financial Services10.2% |
||||||||
Citigroup, Inc. |
1,689,578 | 55,282,992 | ||||||
CME Group, Inc., Cl. A |
420,360 | 24,086,628 | ||||||
IntercontinentalExchange, Inc.1 |
15,570 | 2,077,194 | ||||||
JPMorgan Chase & Co. |
1,303,040 | 52,747,059 | ||||||
MSCI, Inc., Cl. A1 |
283,840 | 10,158,634 | ||||||
|
|
|||||||
144,352,507 | ||||||||
Insurance1.8% |
||||||||
Marsh & McLennan Cos., Inc. |
726,940 | 24,665,074 | ||||||
Health Care12.2% |
||||||||
Health Care Equipment & Supplies3.2% |
||||||||
Covidien plc |
753,380 | 44,765,840 | ||||||
Health Care Providers & Services2.6% |
||||||||
DaVita, Inc.1 |
36,310 | 3,762,079 | ||||||
Express Scripts Holding Co.1 |
514,507 | 32,244,154 | ||||||
|
|
|||||||
36,006,233 | ||||||||
Pharmaceuticals6.4% |
||||||||
Abbott Laboratories |
634,650 | 43,511,604 | ||||||
Bristol-Myers Squibb Co. |
910,190 | 30,718,912 | ||||||
Watson Pharmaceuticals, Inc.1 |
177,830 | 15,144,003 | ||||||
|
|
|||||||
89,374,519 | ||||||||
Industrials11.0% |
||||||||
Aerospace & Defense2.4% |
||||||||
Boeing Co. (The) |
382,190 | 26,608,068 | ||||||
L-3 Communications Holdings, Inc. |
102,620 | 7,358,880 | ||||||
|
|
|||||||
33,966,948 | ||||||||
Air Freight & Couriers2.2% |
||||||||
United Parcel Service, Inc., Cl. B |
429,850 | 30,764,365 | ||||||
Industrial Conglomerates3.1% |
||||||||
Tyco International Ltd. |
767,445 | 43,176,456 | ||||||
Professional Services1.0% |
||||||||
Towers Watson & Co., Cl. A |
278,390 | 14,768,589 | ||||||
Road & Rail2.3% |
||||||||
CSX Corp. |
1,412,720 | 29,313,940 | ||||||
QR National Ltd. |
828,400 | 2,919,753 | ||||||
|
|
|||||||
32,233,693 | ||||||||
Information Technology21.6% |
||||||||
Communications Equipment1.4% |
||||||||
QUALCOMM, Inc. |
309,531 | 19,342,592 | ||||||
Computers & Peripherals8.9% |
||||||||
Apple, Inc. |
168,092 | 112,161,068 | ||||||
Western Digital Corp. |
338,720 | 13,118,626 | ||||||
|
|
|||||||
125,279,694 | ||||||||
Electronic Equipment, Instruments & Components0.8% |
||||||||
Corning, Inc. |
824,280 | 10,839,282 | ||||||
Internet Software & Services6.0% |
||||||||
eBay, Inc.1 |
1,105,215 | 53,503,458 |
1 | OPPENHEIMER MAIN STREET FUND/VA |
OPPENHEIMER MAIN STREET FUND/VA
STATEMENT OF INVESTMENTS Unaudited / (Continued)
Shares | Value | |||||||
Internet Software & Services (Continued) |
||||||||
Facebook, Inc., Cl. A1 |
393,330 | $ | 8,515,594 | |||||
Google, Inc., Cl. A1 |
30,170 | 22,763,265 | ||||||
|
|
|||||||
84,782,317 | ||||||||
IT Services4.5% |
||||||||
International Business Machines Corp. |
304,170 | 63,100,066 | ||||||
Materials2.1% |
||||||||
Chemicals0.3% |
||||||||
PPG Industries, Inc. |
31,350 | 3,600,234 | ||||||
Construction Materials1.8% |
||||||||
Vulcan Materials Co. |
525,130 | 24,838,649 | ||||||
Telecommunication Services2.2% |
||||||||
Wireless Telecommunication Services2.2% |
||||||||
America Movil SAB de CV, Series L, ADR |
1,227,462 | 31,226,633 | ||||||
Utilities1.3% |
||||||||
Energy Traders1.3% |
||||||||
AES Corp. (The)1 |
1,687,020 | 18,506,609 | ||||||
|
|
|||||||
Total Common Stocks (Cost $1,007,832,430) |
1,385,108,047 | |||||||
Units | ||||||||
Rights, Warrants and Certificates0.0% |
||||||||
Kinder Morgan, Inc. Wts., Strike Price $40, Exp. 2/15/171 (Cost $68,117) |
38,054 | 132,809 | ||||||
Shares | Value | |||||||
Investment Company1.5% |
||||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.18%2,3 (Cost $21,621,887) |
21,621,887 | $ | 21,621,887 | |||||
Total Investments,at Value (Cost $1,029,522,434) |
100.3 | % | 1,406,862,743 | |||||
Liabilities in Excess of Other |
||||||||
Assets |
(0.3) | (4,444,724) | ||||||
Net Assets |
100.0 | % | $ | 1,402,418,019 |
Footnotes to Statement of Investments
* | September 28, 2012 represents the last business day of the Funds 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 September 28, 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 December 30, 2011a |
Gross Additions |
Gross Reductions |
Shares September 28, 2012 |
|||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E |
| 250,384,265 | 228,762,378 | 21,621,887 | ||||||||||||
Value | Income | |||||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E |
|
$ | 21,621,887 | $ | 27,277 |
a. | December 30, 2011 represents the last business day of the Funds 2011 fiscal year. See accompanying Notes. |
3. | Rate shown is the 7-day yield as of September 28, 2012. |
2 | OPPENHEIMER MAIN STREET FUND/VA |
OPPENHEIMER MAIN STREET FUND/VA
STATEMENT OF INVESTMENTS Unaudited / (Continued)
Foreign Currency Exchange Contracts as of September 28, 2012 are as follows:
Counterparty/Contract Description |
Buy/ Sell |
Contract Amount (000s) |
Expiration Date |
Value | Unrealized Appreciation |
|||||||||||||||||||
JP Morgan Chase |
||||||||||||||||||||||||
Australian Dollar (AUD) |
Buy | 7 | AUD | 10/2/12 | $ | 7,007 | $ | 17 |
3 | OPPENHEIMER MAIN STREET FUND/VA |
OPPENHEIMER MAIN STREET FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued)
Quarterly and Annual Periods. The last day of the Funds quarterly period was the last day the New York Stock Exchange was open for trading. The Funds financial statements have been presented through that date to maintain consistency with the Funds net asset value calculations used for shareholder transactions.
The last day of the Funds fiscal year was the last day the New York Stock Exchange was open for trading. The Funds financial statements have been presented through that date to maintain consistency with the Funds 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 Funds 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 IMMFs 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 Funds investment in IMMF.
Foreign Currency Translation. The Funds 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 Funds Board has adopted procedures for the valuation of the Funds 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 Committees fair valuation determinations are subject to review, approval and ratification by the Funds Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
4 | OPPENHEIMER MAIN STREET FUND/VA |
OPPENHEIMER MAIN STREET FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued)
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 Funds 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 days closing bid and asked prices, and if not, at the current days 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 Funds 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 companys 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.
5 | OPPENHEIMER MAIN STREET FUND/VA |
OPPENHEIMER MAIN STREET FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued)
Security Type |
Standard inputs generally considered by third-party pricing vendors | |
Corporate debt, government debt, municipal, mortgage-backed and asset-backed securities | Reported trade data, broker-dealer price quotations, 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. |
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 Funds Board or (ii) as determined in good faith by the Managers 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 Funds 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.
6 | OPPENHEIMER MAIN STREET FUND/VA |
OPPENHEIMER MAIN STREET FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued)
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 Funds 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 Managers 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 September 28, 2012 based on valuation input level:
Level 1 Unadjusted Quoted Prices |
Level 2 Other Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
Value | |||||||||||||
Assets Table |
||||||||||||||||
Investments, at Value: |
||||||||||||||||
Common Stocks |
||||||||||||||||
Consumer Discretionary |
$ | 128,402,249 | $ | | $ | | $ | 128,402,249 | ||||||||
Consumer Staples |
148,308,674 | | | 148,308,674 | ||||||||||||
Energy |
155,581,770 | | | 155,581,770 | ||||||||||||
Financials |
246,242,635 | | | 246,242,635 | ||||||||||||
Health Care |
170,146,592 | | | 170,146,592 | ||||||||||||
Industrials |
154,910,051 | | | 154,910,051 | ||||||||||||
Information Technology |
303,343,951 | | | 303,343,951 | ||||||||||||
Materials |
28,438,883 | | | 28,438,883 | ||||||||||||
Telecommunication Services |
31,226,633 | | | 31,226,633 | ||||||||||||
Utilities |
18,506,609 | | | 18,506,609 | ||||||||||||
Rights, Warrants and Certificates |
132,809 | | | 132,809 | ||||||||||||
Investment Company |
21,621,887 | | | 21,621,887 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments, at Value |
1,406,862,743 | | | 1,406,862,743 | ||||||||||||
Other Financial Instruments: |
||||||||||||||||
Foreign currency exchange contracts |
| 17 | | 17 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Assets |
$ | 1,406,862,743 | $ | 17 | $ | | $ | 1,406,862,760 | ||||||||
|
|
|
|
|
|
|
|
Currency contracts and forwards, if any, are reported at their unrealized appreciation/ depreciation at measurement date, which represents the change in the contracts value from trade date. Futures, if any, are reported at their variation margin at measurement date, which
7 | OPPENHEIMER MAIN STREET FUND/VA |
OPPENHEIMER MAIN STREET FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued)
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 Funds 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,
8 | OPPENHEIMER MAIN STREET FUND/VA |
OPPENHEIMER MAIN STREET FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued)
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 instruments price over a defined time period. Large increases or decreases in a financial instruments 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 Funds 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 Funds 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 Funds 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 Funds derivative counterparties are financial institutions who are subject to market conditions that may weaken their financial position. The Fund intends to enter into financial transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction. As of September 28, 2012, the maximum amount of loss that the Fund would incur if the counterparties to its derivative transactions failed to perform would be $17, which represents gross payments to be received by the Fund on these derivative contracts were they to be unwound as of period end.
9 | OPPENHEIMER MAIN STREET FUND/VA |
OPPENHEIMER MAIN STREET FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued)
Credit Related Contingent Features. The Funds 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 Funds net assets and or a percentage decrease in the Funds Net Asset Value or NAV. The contingent features are established within the Funds 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. The unrealized appreciation (depreciation) is reported in the Statement of Assets and Liabilities in the annual and semiannual reports as a receivable or payable and in the Statement of Operations in the annual and semiannual reports within the change in unrealized appreciation (depreciation). At contract close, the difference between the original cost of the contract and the value at the close date is recorded as a realized gain (loss) in the Statement of Operations in the annual and semiannual reports.
The Fund has purchased and sold certain forward foreign currency exchange contracts of different currencies in order to acquire currencies to pay for or sell currencies to acquire related foreign securities purchase and sale transactions, respectively, or to convert foreign currencies to U.S. dollars from related foreign securities transactions. These foreign currency exchange contracts are negotiated at the current spot exchange rate with settlement typically within two business days thereafter.
During the period ended September 28, 2012, the Fund had daily average contract amounts on forward foreign currency contracts to buy and sell of $53,686 and $264, respectively.
Additional associated risk to the Fund includes counterparty credit risk. Counterparty credit risk arises from the possibility that the counterparty will default.
Federal Taxes. The approximate aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of September 28, 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.
10 | OPPENHEIMER MAIN STREET FUND/VA |
OPPENHEIMER MAIN STREET FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued)
Federal tax cost of securities |
$ | 1,032,460,944 | ||
Federal tax cost of other investments |
33,524 | |||
|
|
|||
Total federal tax cost |
$ | 1,032,494,468 | ||
|
|
|||
Gross unrealized appreciation |
$ | 391,854,232 | ||
Gross unrealized depreciation |
(17,452,517 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 374,401,715 | ||
|
|
11 | OPPENHEIMER MAIN STREET FUND/VA |
Oppenheimer Main Street Small- & Mid-Cap Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Shares | Value | |||||||
Common Stocks97.2% |
||||||||
Consumer Discretionary17.0% |
||||||||
Auto Components1.2% |
||||||||
Cooper Tire & Rubber Co. |
61,770 | $ | 1,184,749 | |||||
Dana Holding Corp. |
724,037 | 8,905,655 | ||||||
Gentherm, Inc.1 |
45,640 | 567,762 | ||||||
Standard Motor Products, Inc. |
22,572 | 415,776 | ||||||
|
|
|||||||
11,073,942 | ||||||||
Distributors0.8% |
||||||||
Pool Corp. |
166,879 | 6,938,829 | ||||||
VOXX International Corp.1 |
70,450 | 526,966 | ||||||
|
|
|||||||
7,465,795 | ||||||||
Diversified Consumer Services0.4% |
||||||||
Bridgepoint Education, Inc.1 |
3,822 | 38,793 | ||||||
Coinstar, Inc.1 |
26,439 | 1,189,226 | ||||||
DeVry, Inc. |
5,722 | 130,233 | ||||||
Grand Canyon Education, Inc.1 |
69,640 | 1,638,629 | ||||||
Regis Corp. |
31,677 | 582,223 | ||||||
|
|
|||||||
3,579,104 | ||||||||
Hotels, Restaurants & Leisure3.0% |
||||||||
Ameristar Casinos, Inc. |
63,464 | 1,129,659 | ||||||
Bob Evans Farms, Inc. |
41,296 | 1,615,912 | ||||||
Brinker International, Inc. |
63,954 | 2,257,576 | ||||||
CEC Entertainment, Inc. |
1,570 | 47,288 | ||||||
Cheesecake Factory, Inc. (The) |
51,102 | 1,826,897 | ||||||
Cracker Barrel Old Country Store, Inc. |
9,999 | 671,033 | ||||||
Dennys Corp.1 |
47,580 | 230,763 | ||||||
Dunkin Brands Group, Inc. |
589,353 | 17,206,161 | ||||||
Multimedia Games, Inc.1 |
3,520 | 55,370 | ||||||
Papa Johns International, Inc.1 |
22,183 | 1,184,794 | ||||||
Penn National Gaming, Inc.1 |
250 | 10,775 | ||||||
Red Robin Gourmet Burgers, Inc.1 |
28,610 | 931,542 | ||||||
Ruths Chris Steak House, Inc.1 |
6,160 | 39,239 | ||||||
Texas Roadhouse, Inc., Cl. A |
15,340 | 262,314 | ||||||
Town Sports International Holdings, Inc.1 |
14,610 | 180,726 | ||||||
|
|
|||||||
27,650,049 | ||||||||
Household Durables1.1% |
||||||||
CSS Industries, Inc. |
12,958 | 266,287 | ||||||
Helen of Troy Ltd.1 |
13,873 | 441,578 | ||||||
Jarden Corp. |
20,765 | 1,097,223 | ||||||
La-Z-Boy, Inc.1 |
44,700 | 653,961 | ||||||
NACCO Industries, Inc., Cl. A |
6,860 | 860,313 | ||||||
Toll Brothers, Inc.1 |
166,460 | 5,531,466 | ||||||
Zagg, Inc.1 |
120,100 | 1,024,453 | ||||||
|
|
|||||||
9,875,281 | ||||||||
Internet & Catalog Retail0.0% |
||||||||
HSN, Inc. |
3,436 | 168,536 |
1 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA |
Oppenheimer Main Street Small- & Mid-Cap Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Shares | Value | |||||||
Leisure Equipment & Products0.2% |
||||||||
Leapfrog Enterprises, Inc.1 |
167,790 | $ | 1,513,466 | |||||
Polaris Industries, Inc. |
1,529 | 123,650 | ||||||
Smith & Wesson Holding Corp.1 |
69,620 | 766,516 | ||||||
|
|
|||||||
2,403,632 | ||||||||
Media1.8% |
||||||||
Cinemark Holdings, Inc. |
41,190 | 923,892 | ||||||
IMAX Corp.1 |
489,006 | 9,736,109 | ||||||
Interpublic Group of Cos., Inc. (The) |
139,350 | 1,549,572 | ||||||
Regal Entertainment Group |
49,160 | 691,681 | ||||||
Scholastic Corp. |
48,345 | 1,536,404 | ||||||
Valassis Communications, Inc.1 |
55,341 | 1,366,369 | ||||||
Wiley (John) & Sons, Inc., Cl. A |
20,180 | 927,271 | ||||||
|
|
|||||||
16,731,298 | ||||||||
Multiline Retail0.5% |
||||||||
Big Lots, Inc.1 |
42,851 | 1,267,533 | ||||||
Dillards, Inc., Cl. A |
18,793 | 1,359,110 | ||||||
Freds, Inc. |
43,081 | 613,043 | ||||||
Saks, Inc.1 |
168,972 | 1,742,101 | ||||||
|
|
|||||||
4,981,787 | ||||||||
Specialty Retail5.9% |
||||||||
Aarons, Inc. |
40,560 | 1,127,974 | ||||||
Advance Auto Parts, Inc. |
19,987 | 1,367,910 | ||||||
AnnTaylor Stores Corp.1 |
72,413 | 2,732,142 | ||||||
Ascena Retail Group, Inc.1 |
110,180 | 2,363,361 | ||||||
Body Central Corp.1 |
43,740 | 457,083 | ||||||
Brown Shoe Co., Inc. |
5,350 | 85,761 | ||||||
Buckle, Inc. (The) |
7,770 | 352,991 | ||||||
CarMax, Inc.1 |
422,450 | 11,955,335 | ||||||
Cato Corp., Cl. A |
78,197 | 2,323,233 | ||||||
Chicos FAS, Inc. |
146,089 | 2,645,672 | ||||||
Dicks Sporting Goods, Inc. |
3,196 | 165,713 | ||||||
Express, Inc.1 |
92,016 | 1,363,677 | ||||||
Finish Line, Inc. (The), Cl. A |
99,273 | 2,257,468 | ||||||
Foot Locker, Inc. |
64,021 | 2,272,746 | ||||||
GameStop Corp., Cl. A |
91,545 | 1,922,445 | ||||||
Hibbett Sports, Inc.1 |
2,636 | 156,710 | ||||||
Hot Topic, Inc. |
131,770 | 1,146,399 | ||||||
Mens Wearhouse, Inc. (The) |
365 | 12,567 | ||||||
Monro Muffler Brake, Inc. |
190,499 | 6,703,660 | ||||||
Pier 1 Imports, Inc. |
503,530 | 9,436,152 | ||||||
RadioShack Corp. |
7,105 | 16,910 | ||||||
Rent-A-Center, Inc. |
12,790 | 448,673 | ||||||
Rue21, Inc.1 |
33,975 | 1,058,321 | ||||||
Stage Stores, Inc. |
22,990 | 484,169 | ||||||
Staples, Inc. |
72,570 | 836,006 | ||||||
Williams-Sonoma, Inc. |
25,980 | 1,142,341 | ||||||
|
|
|||||||
54,835,419 |
2 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA |
Oppenheimer Main Street Small- & Mid-Cap Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Shares | Value | |||||||
Textiles, Apparel & Luxury Goods2.1% |
||||||||
Fossil, Inc.1 |
92,432 | $ | 7,828,990 | |||||
Iconix Brand Group, Inc.1 |
4,943 | 90,160 | ||||||
Jones Group, Inc. (The) |
54,400 | 700,128 | ||||||
PVH Corp. |
117,158 | 10,980,048 | ||||||
True Religion Apparel, Inc. |
15,870 | 338,507 | ||||||
|
|
|||||||
19,937,833 | ||||||||
Consumer Staples2.1% |
||||||||
Beverages0.1% |
||||||||
Cott Corp.1 |
78,596 | 620,908 | ||||||
Food & Staples Retailing0.3% |
||||||||
Andersons, Inc. (The) |
370 | 13,934 | ||||||
Harris Teeter Supermarkets, Inc. |
3,870 | 150,311 | ||||||
Roundys, Inc. |
129,750 | 784,988 | ||||||
Safeway, Inc. |
42,590 | 685,273 | ||||||
Spartan Stores, Inc. |
21,677 | 331,875 | ||||||
Village Super Market, Inc., Cl. A |
6,555 | 240,962 | ||||||
Weis Markets, Inc. |
12,292 | 520,320 | ||||||
|
|
|||||||
2,727,663 | ||||||||
Food Products1.3% |
||||||||
Darling International, Inc.1 |
90,340 | 1,652,319 | ||||||
Dean Foods Co.1 |
100,660 | 1,645,791 | ||||||
Ingredion, Inc. |
7,960 | 439,074 | ||||||
TreeHouse Foods, Inc.1 |
164,322 | 8,626,905 | ||||||
|
|
|||||||
12,364,089 | ||||||||
Household Products0.1% |
||||||||
Harbinger Group, Inc.1 |
29,650 | 249,950 | ||||||
Spectrum Brands Holdings, Inc. |
3,200 | 128,032 | ||||||
|
|
|||||||
377,982 | ||||||||
Personal Products0.3% |
||||||||
Medifast, Inc.1 |
44,772 | 1,170,788 | ||||||
Nu Skin Asia Pacific, Inc., Cl. A |
11,660 | 452,758 | ||||||
USANA Health Sciences, Inc.1 |
30,950 | 1,438,247 | ||||||
|
|
|||||||
3,061,793 | ||||||||
Tobacco0.0% |
||||||||
Universal Corp. |
3,297 | 167,883 | ||||||
Energy5.8% |
||||||||
Energy Equipment & Services1.4% |
||||||||
Basic Energy Services, Inc.1 |
41,222 | 462,511 | ||||||
C&J Energy Services, Inc.1 |
81,630 | 1,624,437 | ||||||
Forum Energy Technologies, Inc.1 |
39,520 | 961,126 | ||||||
Helix Energy Solutions Group, Inc.1 |
95,388 | 1,742,739 | ||||||
Helmerich & Payne, Inc. |
31,770 | 1,512,570 | ||||||
ION Geophysical Corp.1 |
99,150 | 688,101 | ||||||
Key Energy Services, Inc.1 |
32,020 | 224,140 | ||||||
Matrix Service Co.1 |
49,436 | 522,539 |
3 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA |
Oppenheimer Main Street Small- & Mid-Cap Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Shares | Value | |||||||
Energy Equipment & Services Continued |
||||||||
Nabors Industries Ltd.1 |
42,140 | $ | 591,224 | |||||
Newpark Resources, Inc.1 |
7,630 | 56,538 | ||||||
Parker Drilling Co.1 |
276,223 | 1,168,423 | ||||||
Patterson-UTI Energy, Inc. |
94,820 | 1,501,949 | ||||||
Pioneer Energy Services Corp.1 |
14,370 | 111,942 | ||||||
RPC, Inc. |
164,357 | 1,954,205 | ||||||
Tesco Corp.1 |
6,290 | 67,177 | ||||||
|
|
|||||||
13,189,621 | ||||||||
Oil, Gas & Consumable Fuels4.4% |
||||||||
Alon USA Energy, Inc. |
71,990 | 986,263 | ||||||
Cloud Peak Energy, Inc.1 |
4,100 | 74,210 | ||||||
Crosstex Energy, Inc. |
21,780 | 305,573 | ||||||
CVR Energy, Inc.1 |
16,100 | 591,675 | ||||||
CVR Energy, Inc.2 |
43,316 | | ||||||
Delek US Holdings, Inc. |
47,590 | 1,213,069 | ||||||
Denbury Resources, Inc.1 |
18,500 | 298,960 | ||||||
EPL Oil & Gas, Inc.1 |
246,560 | 5,002,702 | ||||||
Gran Tierra Energy, Inc.1 |
194,260 | 1,004,324 | ||||||
Green Plains Renewable Energy, Inc.1 |
3,520 | 20,627 | ||||||
HollyFrontier Corp. |
244,103 | 10,074,131 | ||||||
Kosmos Energy Ltd.1 |
284,513 | 3,240,603 | ||||||
PAA Natural Gas Storage LP |
263,933 | 5,252,267 | ||||||
Renewable Energy Group, Inc.1 |
237,310 | 1,578,112 | ||||||
Rex Stores Corp.1 |
18,470 | 332,645 | ||||||
Targa Resources Corp. |
31,410 | 1,581,179 | ||||||
Tesoro Corp. |
68,841 | 2,884,438 | ||||||
TransGlobe Energy Corp.1 |
86,803 | 942,681 | ||||||
VAALCO Energy, Inc.1 |
233,417 | 1,995,715 | ||||||
Venoco, Inc.1 |
73,590 | 874,249 | ||||||
Warren Resources, Inc.1 |
116,600 | 354,464 | ||||||
Western Refining, Inc. |
86,567 | 2,266,324 | ||||||
|
|
|||||||
40,874,211 | ||||||||
Financials21.5% |
||||||||
Capital Markets1.0% |
||||||||
Federated Investors, Inc., Cl. B |
51,317 | 1,061,749 | ||||||
Financial Engines, Inc.1 |
122,210 | 2,912,264 | ||||||
KBW, Inc. |
293,671 | 4,836,761 | ||||||
|
|
|||||||
8,810,774 | ||||||||
Commercial Banks2.8% |
||||||||
Associated Banc-Corp. |
27,720 | 365,072 | ||||||
BankUnited, Inc. |
166,435 | 4,095,965 | ||||||
CapitalSource, Inc. |
1,512,889 | 11,467,699 | ||||||
Citizens & Northern Corp. |
9,086 | 178,176 | ||||||
Commerce Bancshares, Inc. |
1,850 | 74,611 | ||||||
CVB Financial Corp. |
104,440 | 1,247,014 |
4 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA |
Oppenheimer Main Street Small- & Mid-Cap Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Shares | Value | |||||||
Commercial Banks Continued |
||||||||
Eagle Bancorp, Inc.1 |
24,173 | $ | 404,173 | |||||
First Horizon National Corp. |
12,944 | 124,651 | ||||||
FirstMerit Corp. |
232,736 | 3,428,201 | ||||||
Huntington Bancshares, Inc. |
202,840 | 1,399,596 | ||||||
KeyCorp |
59,560 | 520,554 | ||||||
Lakeland Financial Corp. |
4,189 | 115,616 | ||||||
Old National Bancorp |
67,910 | 924,255 | ||||||
Republic Bancorp, Inc., Cl. A |
12,188 | 267,527 | ||||||
Southside Bancshares, Inc. |
13,152 | 286,845 | ||||||
Univest Corp. of Pennsylvania |
20,380 | 366,840 | ||||||
WesBanco, Inc. |
25,159 | 521,043 | ||||||
|
|
|||||||
25,787,838 | ||||||||
Consumer Finance0.2% |
||||||||
Cash America International, Inc. |
9,250 | 356,773 | ||||||
EZCORP, Inc., Cl. A1 |
29,074 | 666,667 | ||||||
First Cash Financial Services, Inc.1 |
2,180 | 100,302 | ||||||
Green Dot Corp., Cl. A1 |
52,140 | 637,672 | ||||||
Netspend Holdings, Inc.1 |
12,010 | 118,058 | ||||||
|
|
|||||||
1,879,472 | ||||||||
Diversified Financial Services2.6% |
||||||||
Moodys Corp. |
201,450 | 8,898,047 | ||||||
MSCI, Inc., Cl. A1 |
410,606 | 14,695,589 | ||||||
NASDAQ OMX Group, Inc. (The) |
39,220 | 913,630 | ||||||
|
|
|||||||
24,507,266 | ||||||||
Insurance4.4% |
||||||||
Allied World Assurance Holdings Ltd. |
9,670 | 747,008 | ||||||
Alterra Capital Holdings Ltd. |
147,563 | 3,532,658 | ||||||
American Financial Group, Inc. |
62,628 | 2,373,601 | ||||||
AmTrust Financial Services, Inc. |
174,006 | 4,458,034 | ||||||
Aspen Insurance Holdings Ltd. |
25,550 | 779,020 | ||||||
Assurant, Inc. |
41,570 | 1,550,561 | ||||||
Axis Capital Holdings Ltd. |
23,750 | 829,350 | ||||||
CNO Financial Group, Inc. |
249,601 | 2,408,650 | ||||||
Everest Re Group Ltd. |
10,640 | 1,138,054 | ||||||
FBL Financial Group, Inc., Cl. A |
6,955 | 230,906 | ||||||
Fidelity National Financial, Inc., Cl. A |
91,010 | 1,946,704 | ||||||
First American Financial Corp. |
35,960 | 779,253 | ||||||
Greenlight Capital Re Ltd., Cl. A1 |
23,120 | 572,220 | ||||||
HCC Insurance Holdings, Inc. |
69,070 | 2,340,782 | ||||||
Horace Mann Educators Corp. |
78,134 | 1,415,007 | ||||||
Maiden Holdings Ltd. |
33,010 | 293,459 | ||||||
Meadowbrook Insurance Group, Inc. |
129,210 | 993,625 | ||||||
Montpelier Re Holdings Ltd. |
39,670 | 877,897 | ||||||
PartnerRe Ltd. |
9,710 | 721,259 | ||||||
Primerica, Inc. |
81,795 | 2,342,609 | ||||||
ProAssurance Corp. |
18,516 | 1,674,587 | ||||||
Protective Life Corp. |
52,402 | 1,373,456 | ||||||
Reinsurance Group of America, Inc. |
35,931 | 2,079,327 |
5 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA |
Oppenheimer Main Street Small- & Mid-Cap Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Shares | Value | |||||||
Insurance Continued |
||||||||
RenaissanceRe Holdings Ltd. |
9,360 | $ | 721,094 | |||||
StanCorp Financial Group, Inc. |
6,740 | 210,558 | ||||||
Symetra Financial Corp. |
175,173 | 2,154,628 | ||||||
Torchmark Corp. |
35,297 | 1,812,501 | ||||||
Tower Group, Inc. |
390 | 7,562 | ||||||
Validus Holdings Ltd. |
25,100 | 851,141 | ||||||
|
|
|||||||
41,215,511 | ||||||||
Real Estate Investment Trusts (REITs)9.3% |
||||||||
Acadia Realty Trust |
440 | 10,921 | ||||||
American Assets Trust, Inc. |
14,690 | 393,545 | ||||||
American Campus Communities, Inc. |
7,787 | 341,694 | ||||||
Apartment Investment & Management Co. |
39,360 | 1,022,966 | ||||||
Ares Commercial Real Estate Corp. |
77,680 | 1,325,221 | ||||||
Brandywine Realty Trust |
49,140 | 599,017 | ||||||
Camden Property Trust |
40 | 2,580 | ||||||
CBL & Associates Properties, Inc. |
49,870 | 1,064,226 | ||||||
Cedar Shopping Centers, Inc. |
13,840 | 73,075 | ||||||
Chatham Lodging Trust |
154,840 | 2,149,179 | ||||||
Coresite Realty Corp. |
29,210 | 786,917 | ||||||
CubeSmart |
79,741 | 1,026,267 | ||||||
CYS Investments, Inc. |
803,129 | 11,316,088 | ||||||
DCT Industrial Trust, Inc. |
50,290 | 325,376 | ||||||
Digital Realty Trust, Inc. |
122,935 | 8,587,010 | ||||||
Douglas Emmett, Inc. |
13,030 | 300,602 | ||||||
Duke Realty Corp. |
32,030 | 470,841 | ||||||
EastGroup Properties, Inc. |
38,133 | 2,028,676 | ||||||
Education Realty Trust, Inc. |
25,310 | 275,879 | ||||||
Essex Property Trust, Inc. |
32 | 4,744 | ||||||
Extra Space Storage, Inc. |
63,966 | 2,126,870 | ||||||
First Industrial Realty Trust, Inc.1 |
69,390 | 911,785 | ||||||
Glimcher Realty Trust |
87,390 | 923,712 | ||||||
Hatteras Financial Corp. |
439,510 | 12,389,787 | ||||||
Healthcare Realty Trust, Inc. |
52,580 | 1,211,969 | ||||||
LaSalle Hotel Properties |
384,246 | 10,255,526 | ||||||
Lexington Realty Trust |
71,360 | 689,338 | ||||||
Liberty Property Trust |
12,010 | 435,242 | ||||||
Mid-America Apartment Communities, Inc. |
101,275 | 6,614,270 | ||||||
Omega Healthcare Investors, Inc. |
21,180 | 481,421 | ||||||
Post Properties, Inc. |
7,029 | 337,111 | ||||||
Ramco-Gershenson Properties Trust |
58,990 | 739,145 | ||||||
Regency Centers Corp. |
6,350 | 309,436 | ||||||
Sabra Health Care REIT, Inc. |
53,820 | 1,076,938 | ||||||
Sovran Self Storage, Inc. |
30,329 | 1,754,533 | ||||||
Starwood Property Trust, Inc. |
365,242 | 8,499,181 | ||||||
Sun Communities, Inc. |
20,077 | 885,797 | ||||||
Sunstone Hotel Investors, Inc.1 |
64,507 | 709,577 | ||||||
Tanger Factory Outlet Centers, Inc. |
52,947 | 1,711,777 | ||||||
Taubman Centers, Inc. |
24,073 | 1,847,121 |
6 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA |
Oppenheimer Main Street Small- & Mid-Cap Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Shares | Value | |||||||
Real Estate Investment Trusts (REITs) Continued |
||||||||
Weingarten Realty Investors |
25,520 | $ | 717,367 | |||||
|
|
|||||||
86,732,727 | ||||||||
Thrifts & Mortgage Finance1.2% |
||||||||
Flushing Financial Corp. |
18,253 | 288,397 | ||||||
OceanFirst Financial Corp. |
17,360 | 254,671 | ||||||
Ocwen Financial Corp.1 |
234,940 | 6,439,705 | ||||||
Oritani Financial Corp. |
213,770 | 3,217,239 | ||||||
Washington Federal, Inc. |
78,750 | 1,313,550 | ||||||
|
|
|||||||
11,513,562 | ||||||||
Health Care12.1% |
||||||||
Biotechnology2.1% |
||||||||
Achillion Pharmaceuticals, Inc.1 |
245,579 | 2,556,477 | ||||||
Cepheid, Inc.1 |
169,640 | 5,854,276 | ||||||
Halozyme Therapeutics, Inc.1 |
255,772 | 1,933,636 | ||||||
Indevus Pharmaceuticals, Inc.1 |
2,500 | 25 | ||||||
Medivation, Inc.1 |
69,742 | 3,930,659 | ||||||
Myriad Genetics, Inc.1 |
86,623 | 2,337,955 | ||||||
PDL BioPharma, Inc. |
317,159 | 2,438,953 | ||||||
United Therapeutics Corp.1 |
6,464 | 361,208 | ||||||
|
|
|||||||
19,413,189 | ||||||||
Health Care Equipment & Supplies2.4% |
||||||||
ConMed Corp. |
55,554 | 1,583,289 | ||||||
Cyberonics, Inc.1 |
4,448 | 233,164 | ||||||
Dexcom, Inc.1 |
372,600 | 5,600,178 | ||||||
Greatbatch, Inc.1 |
202,581 | 4,928,796 | ||||||
IDEXX Laboratories, Inc.1 |
1,225 | 121,704 | ||||||
Masimo Corp.1 |
16,230 | 392,441 | ||||||
OraSure Technologies, Inc.1 |
122,010 | 1,356,751 | ||||||
Orthofix International NV1 |
85,500 | 3,826,125 | ||||||
ResMed, Inc. |
45,940 | 1,859,192 | ||||||
RTI Biologics, Inc.1 |
174,142 | 726,172 | ||||||
Steris Corp. |
20,420 | 724,297 | ||||||
Vascular Solutions, Inc.1 |
26,360 | 390,392 | ||||||
Young Innovations, Inc. |
10,152 | 396,943 | ||||||
|
|
|||||||
22,139,444 | ||||||||
Health Care Providers & Services5.2% |
||||||||
AMERIGROUP Corp.1 |
37,680 | 3,445,082 | ||||||
AmSurg Corp.1 |
55,101 | 1,563,766 | ||||||
Bio-Reference Laboratories, Inc.1 |
44,150 | 1,261,807 | ||||||
Catamaran Corp.1 |
59,230 | 5,802,763 | ||||||
Chemed Corp. |
25,470 | 1,764,816 | ||||||
DaVita, Inc.1 |
7,610 | 788,472 | ||||||
Ensign Group, Inc. (The) |
51,250 | 1,568,506 | ||||||
Hanger Orthopedic Group, Inc.1 |
43,260 | 1,234,208 |
7 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA |
Oppenheimer Main Street Small- & Mid-Cap Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Shares | Value | |||||||
Health Care Providers & Services Continued |
||||||||
Health Management Associates, Inc., Cl. A1 |
104,500 | $ | 876,755 | |||||
HealthSouth Corp.1 |
456,750 | 10,989,405 | ||||||
Laboratory Corp. of America Holdings1 |
6,810 | 629,721 | ||||||
LifePoint Hospitals, Inc.1 |
2,332 | 99,763 | ||||||
Magellan Health Services, Inc.1 |
1,651 | 85,208 | ||||||
Metropolitan Health Networks, Inc.1 |
115,854 | 1,082,076 | ||||||
Omnicare, Inc. |
32,320 | 1,097,910 | ||||||
Owens & Minor, Inc. |
26,460 | 790,625 | ||||||
Patterson Cos., Inc. |
48,716 | 1,668,036 | ||||||
PharMerica Corp.1 |
27,560 | 348,910 | ||||||
PSS World Medical, Inc.1 |
6,168 | 140,507 | ||||||
Schein (Henry), Inc.1 |
18,770 | 1,487,898 | ||||||
Select Medical Holdings Corp.1 |
144,502 | 1,622,757 | ||||||
Skilled Healthcare Group, Inc., Cl. A1 |
12,120 | 77,932 | ||||||
Team Health Holdings, Inc.1 |
3,720 | 100,924 | ||||||
Triple-S Management Corp., Cl. B1 |
14,081 | 294,293 | ||||||
U.S. Physical Therapy, Inc. |
36,873 | 1,018,801 | ||||||
Universal Health Services, Inc., Cl. B |
7,910 | 361,724 | ||||||
WellCare Health Plans, Inc.1 |
142,180 | 8,040,279 | ||||||
|
|
|||||||
48,242,944 | ||||||||
Health Care Technology0.3% |
||||||||
MedAssets, Inc.1 |
98,310 | 1,749,918 | ||||||
Omnicell, Inc.1 |
73,100 | 1,016,090 | ||||||
|
|
|||||||
2,766,008 | ||||||||
Life Sciences Tools & Services0.8% |
||||||||
Cambrex Corp.1 |
140,214 | 1,644,710 | ||||||
Charles River Laboratories International, Inc.1 |
32,080 | 1,270,368 | ||||||
Parexel International Corp.1 |
20,580 | 633,041 | ||||||
PerkinElmer, Inc. |
48,966 | 1,443,028 | ||||||
Waters Corp.1 |
34,805 | 2,900,301 | ||||||
|
|
|||||||
7,891,448 | ||||||||
Pharmaceuticals1.3% |
||||||||
Endo Pharmaceuticals Holdings, Inc.1 |
22,240 | 705,453 | ||||||
MAP Pharmaceuticals, Inc.1 |
127,970 | 1,992,493 | ||||||
Obagi Medical Products, Inc.1 |
57,090 | 708,487 | ||||||
Questcor Pharmaceuticals, Inc.1 |
285,400 | 5,279,900 | ||||||
Santarus, Inc.1 |
122,060 | 1,083,893 | ||||||
SciClone Pharmaceuticals, Inc.1 |
197,700 | 1,097,235 | ||||||
Vivus, Inc.1 |
79,020 | 1,408,136 | ||||||
|
|
|||||||
12,275,597 | ||||||||
Industrials15.9% |
||||||||
Aerospace & Defense1.3% |
||||||||
B/E Aerospace, Inc.1 |
240,430 | 10,122,103 | ||||||
Exelis, Inc. |
12,253 | 126,696 |
8 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA |
Oppenheimer Main Street Small- & Mid-Cap Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Shares | Value | |||||||
Aerospace & Defense Continued |
||||||||
LMI Aerospace, Inc.1 |
12,040 | $ | 246,098 | |||||
Moog, Inc., Cl. A1 |
36,139 | 1,368,584 | ||||||
|
|
|||||||
11,863,481 | ||||||||
Air Freight & Logistics0.5% |
||||||||
Forward Air Corp. |
6,350 | 193,104 | ||||||
Hub Group, Inc., Cl. A1 |
141,178 | 4,190,163 | ||||||
Park-Ohio Holdings Corp.1 |
17,372 | 376,451 | ||||||
UTi Worldwide, Inc. |
28,200 | 379,854 | ||||||
|
|
|||||||
5,139,572 | ||||||||
Airlines0.5% |
||||||||
Alaska Air Group, Inc.1 |
24,320 | 852,659 | ||||||
Delta Air Lines, Inc.1 |
31,040 | 284,326 | ||||||
JetBlue Airways Corp.1 |
258,570 | 1,238,550 | ||||||
Republic Airways Holdings, Inc.1 |
5,110 | 23,659 | ||||||
Southwest Airlines Co. |
87,260 | 765,270 | ||||||
Spirit Airlines, Inc.1 |
46,161 | 788,430 | ||||||
US Airways Group, Inc.1 |
69,330 | 725,192 | ||||||
|
|
|||||||
4,678,086 | ||||||||
Commercial Services & Supplies3.0% |
||||||||
Acco Brands Corp.1 |
830 | 5,387 | ||||||
Avery-Dennison Corp. |
11,300 | 359,566 | ||||||
Cintas Corp. |
40,570 | 1,681,627 | ||||||
Deluxe Corp. |
54,617 | 1,669,096 | ||||||
Encore Capital Group, Inc.1 |
35,501 | 1,003,258 | ||||||
Intersections, Inc. |
32,880 | 346,555 | ||||||
Kimball International, Inc., Cl. B |
10,950 | 133,809 | ||||||
Knoll, Inc. |
54,719 | 763,330 | ||||||
Miller (Herman), Inc. |
58,540 | 1,138,018 | ||||||
Mine Safety Appliances Co. |
17,730 | 660,797 | ||||||
Quad Graphics, Inc. |
31,517 | 534,528 | ||||||
R.R. Donnelley & Sons Co. |
152,110 | 1,612,366 | ||||||
Steelcase, Inc., Cl. A |
138,280 | 1,362,058 | ||||||
Sykes Enterprises, Inc.1 |
50,726 | 681,757 | ||||||
Tetra Tech, Inc.1 |
69,494 | 1,824,912 | ||||||
UniFirst Corp. |
1,590 | 106,196 | ||||||
Waste Connections, Inc. |
463,410 | 14,018,153 | ||||||
|
|
|||||||
27,901,413 | ||||||||
Construction & Engineering1.9% |
||||||||
Aecom Technology Corp.1 |
54,160 | 1,146,026 | ||||||
Dycom Industries, Inc.1 |
2,750 | 39,545 | ||||||
EMCOR Group, Inc. |
3,927 | 112,077 | ||||||
KBR, Inc. |
549,031 | 16,372,104 | ||||||
URS Corp. |
10,791 | 381,030 | ||||||
|
|
|||||||
18,050,782 | ||||||||
Electrical Equipment1.5% |
||||||||
AZZ, Inc. |
4,814 | 182,836 |
9 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA |
Oppenheimer Main Street Small- & Mid-Cap Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Shares | Value | |||||||
Electrical Equipment Continued |
||||||||
Belden, Inc. |
37,150 | $ | 1,370,092 | |||||
EnerSys, Inc.1 |
56,580 | 1,996,708 | ||||||
General Cable Corp.1 |
150,143 | 4,411,201 | ||||||
Regal-Beloit Corp. |
80,509 | 5,674,274 | ||||||
|
|
|||||||
13,635,111 | ||||||||
Industrial Conglomerates0.2% |
||||||||
Carlisle Cos., Inc. |
16,180 | 840,066 | ||||||
Standex International Corp. |
20,416 | 907,491 | ||||||
|
|
|||||||
1,747,557 | ||||||||
Machinery1.7% |
||||||||
Actuant Corp., Cl. A |
71,190 | 2,037,458 | ||||||
Altra Holdings, Inc. |
22,870 | 416,234 | ||||||
Barnes Group, Inc. |
40,370 | 1,009,654 | ||||||
Columbus McKinnon Corp.1 |
21,290 | 321,692 | ||||||
EnPro Industries, Inc.1 |
12,590 | 453,366 | ||||||
Freightcar America, Inc. |
22,970 | 408,636 | ||||||
Gardner Denver, Inc. |
1,235 | 74,606 | ||||||
Kadant, Inc.1 |
31,660 | 734,195 | ||||||
Lincoln Electric Holdings, Inc. |
8,510 | 332,316 | ||||||
Miller Industries, Inc. |
30,706 | 492,831 | ||||||
Navistar International Corp.1 |
20,081 | 423,508 | ||||||
Tennant Co. |
1,810 | 77,504 | ||||||
Timken Co. |
14,520 | 539,563 | ||||||
Toro Co. (The) |
37,770 | 1,502,491 | ||||||
TriMas Corp.1 |
40,320 | 972,115 | ||||||
Wabtec Corp. |
62,439 | 5,013,227 | ||||||
Watts Water Technologies, Inc., Cl. A |
18,940 | 716,500 | ||||||
Xylem, Inc. |
5,293 | 133,119 | ||||||
|
|
|||||||
15,659,015 | ||||||||
Professional Services2.9% |
||||||||
Dun & Bradstreet Corp. |
1,354 | 107,805 | ||||||
GP Strategies Corp.1 |
32,511 | 628,113 | ||||||
ICF International, Inc.1 |
54,031 | 1,086,023 | ||||||
Kforce, Inc.1 |
12,240 | 144,310 | ||||||
Korn-Ferry International1 |
381,831 | 5,853,469 | ||||||
Navigant Consulting, Inc.1 |
75,402 | 833,192 | ||||||
Resources Connection, Inc. |
49,920 | 654,451 | ||||||
Robert Half International, Inc. |
611,815 | 16,292,633 | ||||||
TrueBlue, Inc.1 |
88,238 | 1,387,101 | ||||||
|
|
|||||||
26,987,097 | ||||||||
Road & Rail2.1% |
||||||||
Celadon Group, Inc. |
40,320 | 647,942 | ||||||
Genesee & Wyoming, Inc., Cl. A1 |
85,691 | 5,729,300 | ||||||
Old Dominion Freight Line, Inc.1 |
402,921 | 12,152,097 | ||||||
Swift Transportation Co.1 |
157,910 | 1,361,184 | ||||||
|
|
|||||||
19,890,523 |
10 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA |
Oppenheimer Main Street Small- & Mid-Cap Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Shares | Value | |||||||
Trading Companies & Distributors0.3% |
||||||||
Aceto Corp. |
14,490 | $ | 136,931 | |||||
Applied Industrial Technologies, Inc. |
15,933 | 660,104 | ||||||
Beacon Roofing Supply, Inc.1 |
75,024 | 2,138,184 | ||||||
|
|
|||||||
2,935,219 | ||||||||
Information Technology15.1% |
||||||||
Communications Equipment2.4% |
||||||||
Arris Group, Inc.1 |
117,830 | 1,507,046 | ||||||
Aruba Networks, Inc.1 |
506,356 | 11,385,415 | ||||||
Brocade Communications Systems, Inc.1 |
318,192 | 1,882,106 | ||||||
Emulex Corp.1 |
125,590 | 905,504 | ||||||
Finisar Corp.1 |
374,661 | 5,357,652 | ||||||
Globecomm Systems, Inc.1 |
34,199 | 381,319 | ||||||
Harris Corp. |
13,270 | 679,689 | ||||||
Polycom, Inc.1 |
31,370 | 309,622 | ||||||
|
|
|||||||
22,408,353 | ||||||||
Computers & Peripherals2.3% |
||||||||
Diebold, Inc. |
41,140 | 1,386,829 | ||||||
Electronics for Imaging, Inc.1 |
86,894 | 1,443,309 | ||||||
Lexmark International, Inc., Cl. A |
3,655 | 81,324 | ||||||
NCR Corp.1 |
70,940 | 1,653,611 | ||||||
Western Digital Corp. |
431,743 | 16,721,406 | ||||||
|
|
|||||||
21,286,479 | ||||||||
Electronic Equipment, Instruments & Components0.3% |
||||||||
Avnet, Inc.1 |
6,763 | 196,736 | ||||||
Celestica, Inc.1 |
85,300 | 609,042 | ||||||
Flextronics International Ltd.1 |
119,990 | 719,940 | ||||||
GSI Group, Inc.1 |
47,000 | 418,770 | ||||||
Insight Enterprises, Inc.1 |
15,740 | 275,135 | ||||||
Itron, Inc.1 |
2,420 | 104,423 | ||||||
Molex, Inc. |
9,570 | 251,500 | ||||||
Newport Corp.1 |
23,112 | 255,619 | ||||||
SYNNEX Corp.1 |
8,760 | 285,401 | ||||||
Zygo Corp.1 |
6,020 | 110,106 | ||||||
|
|
|||||||
3,226,672 | ||||||||
Internet Software & Services1.4% |
||||||||
Ancestry.com, Inc.1 |
28,798 | 866,244 | ||||||
AOL, Inc.1 |
12,898 | 454,397 | ||||||
Demand Media, Inc.1 |
24,678 | 268,250 | ||||||
Dice Holdings, Inc.1 |
145,690 | 1,226,710 | ||||||
Digital River, Inc.1 |
8,971 | 149,457 | ||||||
IAC/InterActiveCorp |
23,330 | 1,214,560 | ||||||
j2 Global, Inc. |
198,183 | 6,504,366 | ||||||
Move, Inc.1 |
27,170 | 234,205 | ||||||
Perficient, Inc.1 |
19,170 | 231,382 |
11 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA |
Oppenheimer Main Street Small- & Mid-Cap Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Shares | Value | |||||||
Internet Software & Services Continued |
||||||||
Travelzoo, Inc.1 |
3,170 | $ | 74,717 | |||||
ValueClick, Inc.1 |
81,217 | 1,396,120 | ||||||
XO Group, Inc.1 |
18,480 | 154,308 | ||||||
|
|
|||||||
12,774,716 | ||||||||
IT Services2.8% |
||||||||
Acxiom Corp.1 |
137,092 | 2,504,671 | ||||||
Alliance Data Systems Corp.1 |
920 | 130,594 | ||||||
Amdocs Ltd. |
43,118 | 1,422,463 | ||||||
Booz Allen Hamilton Holding Corp. |
93,885 | 1,300,307 | ||||||
Broadridge Financial Solutions, Inc. |
73,625 | 1,717,671 | ||||||
CACI International, Inc., Cl. A1 |
112,624 | 5,832,797 | ||||||
Convergys Corp. |
18,079 | 283,298 | ||||||
CSG Systems International, Inc.1 |
65,516 | 1,473,455 | ||||||
EPAM Systems, Inc.1 |
19,580 | 370,845 | ||||||
Euronet Worldwide, Inc.1 |
78,506 | 1,475,128 | ||||||
Genpact Ltd. |
43,150 | 719,742 | ||||||
Global Cash Access, Inc.1 |
110,040 | 885,822 | ||||||
Global Payments, Inc. |
4,200 | 175,686 | ||||||
Heartland Payment Systems, Inc. |
18,370 | 581,962 | ||||||
iGate Corp.1 |
41,090 | 746,605 | ||||||
ManTech International Corp. |
8,190 | 196,560 | ||||||
Maximus, Inc. |
19,299 | 1,152,536 | ||||||
SAIC, Inc. |
69,940 | 842,078 | ||||||
Sapient Corp.1 |
113,440 | 1,209,270 | ||||||
TeleTech Holdings, Inc.1 |
45,160 | 769,978 | ||||||
TNS, Inc.1 |
17,890 | 267,456 | ||||||
Total System Services, Inc. |
73,050 | 1,731,285 | ||||||
Virtusa Corp.1 |
2,030 | 36,073 | ||||||
|
|
|||||||
25,826,282 | ||||||||
Office Electronics0.1% |
||||||||
Zebra Technologies Corp., Cl. A1 |
19,680 | 738,787 | ||||||
Semiconductors & Semiconductor Equipment2.4% |
||||||||
Brooks Automation, Inc. |
20,738 | 166,526 | ||||||
Cabot Microelectronics Corp. |
2,566 | 90,169 | ||||||
Cypress Semiconductor Corp. |
4,974 | 53,321 | ||||||
Entegris, Inc.1 |
33,320 | 270,892 | ||||||
Integrated Silicon Solution, Inc.1 |
40,010 | 370,493 | ||||||
IXYS Corp.1 |
52,059 | 516,425 | ||||||
LSI Corp.1 |
110,520 | 763,693 | ||||||
Magnachip Semiconductor Corp.1 |
23,140 | 273,052 | ||||||
Semtech Corp.1 |
476,968 | 11,995,745 | ||||||
Skyworks Solutions, Inc.1 |
359,509 | 8,471,830 | ||||||
|
|
|||||||
22,972,146 | ||||||||
Software3.4% |
||||||||
Actuate Corp.1 |
112,754 | 792,661 |
12 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA |
Oppenheimer Main Street Small- & Mid-Cap Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Shares | Value | |||||||
Software Continued |
||||||||
BMC Software, Inc.1 |
6,350 | $ | 263,462 | |||||
Cadence Design Systems, Inc.1 |
167,092 | 2,149,639 | ||||||
Deltek, Inc.1 |
17,950 | 233,709 | ||||||
Ebix, Inc. |
49,260 | 1,163,029 | ||||||
Fair Isaac Corp. |
3,606 | 159,602 | ||||||
Fortinet, Inc.1 |
347,121 | 8,379,501 | ||||||
Infoblox, Inc.1 |
9,250 | 215,063 | ||||||
JDA Software Group, Inc.1 |
5,862 | 186,294 | ||||||
Manhattan Associates, Inc.1 |
11,451 | 655,799 | ||||||
Mentor Graphics Corp.1 |
90,310 | 1,397,999 | ||||||
Net 1 UEPS Technologies, Inc.1 |
44,480 | 402,544 | ||||||
NetScout Systems, Inc.1 |
45,085 | 1,150,118 | ||||||
Parametric Technology Corp.1 |
17,570 | 383,026 | ||||||
SeaChange International, Inc.1 |
14,560 | 114,296 | ||||||
Splunk, Inc.1 |
3,000 | 110,160 | ||||||
Synopsys, Inc.1 |
34,480 | 1,138,530 | ||||||
TIBCO Software, Inc.1 |
372,766 | 11,268,716 | ||||||
Vasco Data Security International, Inc.1 |
36,690 | 344,152 | ||||||
Websense, Inc.1 |
87,206 | 1,364,774 | ||||||
|
|
|||||||
31,873,074 | ||||||||
Materials5.4% |
||||||||
Chemicals2.2% |
||||||||
Chemtura Corp.1 |
75,230 | 1,295,461 | ||||||
Cytec Industries, Inc. |
84,558 | 5,540,240 | ||||||
H.B. Fuller Co. |
58,813 | 1,804,383 | ||||||
Huntsman Corp. |
120,652 | 1,801,334 | ||||||
Innospec, Inc.1 |
22,870 | 775,750 | ||||||
Koppers Holdings, Inc. |
19,547 | 682,777 | ||||||
Kronos Worldwide, Inc. |
17,110 | 255,623 | ||||||
LSB Industries, Inc.1 |
8,070 | 354,031 | ||||||
Methanex Corp. |
25,590 | 730,339 | ||||||
Olin Corp. |
6,270 | 136,247 | ||||||
Omnova Solutions, Inc.1 |
35,040 | 265,253 | ||||||
PolyOne Corp. |
4,450 | 73,737 | ||||||
RPM International, Inc. |
25,120 | 716,925 | ||||||
Schulman (A.), Inc. |
65,818 | 1,567,785 | ||||||
Valspar Corp. (The) |
4,369 | 245,101 | ||||||
W.R. Grace & Co.1 |
78,710 | 4,650,187 | ||||||
|
|
|||||||
20,895,173 | ||||||||
Containers & Packaging1.4% |
||||||||
Ball Corp. |
2,644 | 111,868 | ||||||
Bemis Co., Inc. |
28,300 | 890,601 | ||||||
Boise, Inc. |
28,549 | 250,089 | ||||||
Graphic Packaging Holding Co.1 |
145,097 | 843,014 | ||||||
Myers Industries, Inc. |
52,675 | 822,784 |
13 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA |
Oppenheimer Main Street Small- & Mid-Cap Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Shares | Value | |||||||
Containers & Packaging Continued |
||||||||
Packaging Corp. of America |
263,930 | $ | 9,580,659 | |||||
Silgan Holdings, Inc. |
5,404 | 235,128 | ||||||
|
|
|||||||
12,734,143 | ||||||||
Metals & Mining1.0% |
||||||||
Aurizon Mines Ltd.1 |
134,490 | 707,417 | ||||||
Commercial Metals Co. |
24,580 | 324,456 | ||||||
Compass Minerals International, Inc. |
67,334 | 5,022,443 | ||||||
Metals USA Holdings Corp.1 |
33,160 | 443,349 | ||||||
Nevsun Resources Ltd. |
29,320 | 137,804 | ||||||
Noranda Aluminum Holding Corp. |
23,189 | 155,134 | ||||||
Worthington Industries, Inc. |
105,097 | 2,276,401 | ||||||
|
|
|||||||
9,067,004 | ||||||||
Paper & Forest Products0.8% |
||||||||
Buckeye Technologies, Inc. |
61,192 | 1,961,816 | ||||||
Glatfelter |
118,450 | 2,109,595 | ||||||
KapStone Paper & Packing Corp.1 |
77,740 | 1,740,599 | ||||||
Neenah Paper, Inc. |
33,610 | 962,590 | ||||||
Schweitzer-Mauduit International, Inc. |
29,120 | 960,669 | ||||||
|
|
|||||||
7,735,269 | ||||||||
Telecommunication Services0.4% |
||||||||
Diversified Telecommunication Services0.3% |
||||||||
Neutral Tandem, Inc.1 |
4,430 | 41,553 | ||||||
Portugal Telecom SA, Sponsored ADR |
77,280 | 383,309 | ||||||
Telecom Corp. of New Zealand Ltd., Sponsored ADR |
65,821 | 639,780 | ||||||
Vonage Holdings Corp.1 |
599,108 | 1,365,966 | ||||||
|
|
|||||||
2,430,608 | ||||||||
Wireless Telecommunication Services0.1% |
||||||||
USA Mobility, Inc. |
84,446 | 1,002,374 | ||||||
Utilities1.9% |
||||||||
Electric Utilities0.3% |
||||||||
El Paso Electric Co. |
23,440 | 802,820 | ||||||
Empire District Electric Co. |
1,740 | 37,497 | ||||||
NV Energy, Inc. |
72,300 | 1,302,123 | ||||||
Portland General Electric Co. |
23,022 | 622,515 | ||||||
|
|
|||||||
2,764,955 | ||||||||
Energy Traders0.6% |
||||||||
AES Corp. (The)1 |
478,557 | 5,249,770 | ||||||
Gas Utilities0.1% |
||||||||
Chesapeake Utilities Corp. |
790 | 37,414 | ||||||
UGI Corp. |
36,620 | 1,162,685 | ||||||
|
|
|||||||
1,200,099 | ||||||||
Multi-Utilities0.6% |
||||||||
Avista Corp. |
40,510 | 1,042,727 | ||||||
CenterPoint Energy, Inc. |
31,910 | 679,683 | ||||||
CMS Energy Corp. |
11,353 | 267,363 | ||||||
NorthWestern Corp. |
5,146 | 186,440 | ||||||
Teco Energy, Inc. |
97,583 | 1,731,122 |
14 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA |
Oppenheimer Main Street Small- & Mid-Cap Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Shares | Value | |||||||
Multi-Utilities Continued |
||||||||
Vectren Corp. |
52,719 | $ | 1,507,763 | |||||
|
|
|||||||
5,415,098 | ||||||||
Water Utilities0.3% |
||||||||
American States Water Co. |
1,790 | 79,530 | ||||||
Aqua America, Inc. |
103,203 | 2,555,300 | ||||||
|
|
|||||||
2,634,830 | ||||||||
|
|
|||||||
Total Common Stocks (Cost $765,267,340) |
905,986,294 | |||||||
Investment Company2.9% |
||||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.18%3,4 (Cost $27,570,654) |
27,570,654 | 27,570,654 | ||||||
Total Investments, at Value (Cost $792,837,994) |
100.1 | % | 933,556,948 | |||||
Liabilities in Excess of Other Assets |
(0.1 | ) | (1,246,666 | ) | ||||
|
|
|
|
|||||
Net Assets |
100.0 | % | $ | 932,310,282 | ||||
|
|
|
|
Footnotes to Statement of Investments
* | September 28, 2012 represents the last business day of the Funds quarterly period. See accompanying Notes. |
1. | Non-income producing security. |
2. | Escrow shares received as the result of issuer reorganization. |
3. | Rate shown is the 7-day yield as of September 28, 2012. |
4. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 28, 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 December 30, 2011 a |
Gross Additions |
Gross Reductions |
Shares September 28, 2012 |
|||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E |
17,286,356 | 197,477,762 | 187,193,464 | 27,570,654 | ||||||||||||
Value | Income | |||||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E |
$ | 27,570,654 | $ | 36,690 |
a. | December 30, 2011 represents the last business day of the Funds 2011 fiscal year. See accompanying Notes. |
Notes to Statement of Investments
Quarterly and Annual Periods. The last day of the Funds quarterly period was the last day the New York Stock Exchange was open for trading. The Funds financial statements have been presented through that date to maintain consistency with the Funds net asset value calculations used for shareholder transactions.
The last day of the Funds fiscal year was the last day the New York Stock Exchange was open for trading. The Funds financial statements have been presented through that date to maintain consistency with the Funds 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 Funds 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 IMMFs Class E
15 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA |
Oppenheimer Main Street Small- & Mid-Cap Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
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 Funds 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 Funds Board has adopted procedures for the valuation of the Funds 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 Committees fair valuation determinations are subject to review, approval and ratification by the Funds 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 Funds 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 days closing bid and asked prices, and if not, at the current days 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 Funds 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 companys 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.
16 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA |
Oppenheimer Main Street Small- & Mid-Cap Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Security Type |
Standard inputs generally considered by third-party pricing vendors | |
Corporate debt, government debt, municipal, mortgage-backed and asset-backed securities | Reported trade data, broker-dealer price quotations, 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. |
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 Funds Board or (ii) as determined in good faith by the Managers 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 Funds 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 Funds 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 Managers 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 September 28, 2012 based on valuation input level:
17 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA |
Oppenheimer Main Street Small- & Mid-Cap Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012*(Unaudited)
Level 1 Unadjusted Quoted Prices |
Level 2 Other Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
Value | |||||||||||||
Assets Table |
||||||||||||||||
Investments, at Value: |
||||||||||||||||
Common Stocks |
||||||||||||||||
Consumer Discretionary |
$ | 158,702,676 | $ | | $ | | $ | 158,702,676 | ||||||||
Consumer Staples |
19,320,318 | | | 19,320,318 | ||||||||||||
Energy |
54,063,832 | | | 54,063,832 | ||||||||||||
Financials |
200,447,150 | | | 200,447,150 | ||||||||||||
Health Care |
112,728,605 | | 25 | 112,728,630 | ||||||||||||
Industrials |
148,487,856 | | | 148,487,856 | ||||||||||||
Information Technology |
141,106,509 | | | 141,106,509 | ||||||||||||
Materials |
50,431,589 | | | 50,431,589 | ||||||||||||
Telecommunication Services |
3,432,982 | | | 3,432,982 | ||||||||||||
Utilities |
17,264,752 | | | 17,264,752 | ||||||||||||
Investment Company |
27,570,654 | | | 27,570,654 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Assets |
$ | 933,556,923 | $ | | $ | 25 | $ | 933,556,948 | ||||||||
|
|
|
|
|
|
|
|
Currency contracts and forwards, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contracts 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 September 28, 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 |
$ | 798,459,934 | ||
|
|
|||
Gross unrealized appreciation |
$ | 157,674,161 | ||
Gross unrealized depreciation |
(22,577,147 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 135,097,014 | ||
|
|
18 | Oppenheimer Main Street Small- & Mid-Cap Fund/VA |
Oppenheimer Money Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Maturity Date** |
Final Legal Maturity Date*** |
Principal Amount |
Value | |||||||||||||
Certificates of Deposit26.9% |
||||||||||||||||
Yankee Certificates of Deposit26.9% |
||||||||||||||||
Bank of Nova Scotia, Houston TX: |
||||||||||||||||
0.33% |
12/7/12 | 12/7/12 | $ | 5,000,000 | $ | 5,000,000 | ||||||||||
0.34% |
12/10/12 | 12/10/12 | 2,000,000 | 2,000,000 | ||||||||||||
DnB Bank ASA NY, 0.23% |
12/26/12 | 12/26/12 | 4,400,000 | 4,400,000 | ||||||||||||
Rabobank Nederland NV, New York, 0.29% |
11/1/12 | 11/1/12 | 5,000,000 | 5,000,387 | ||||||||||||
Royal Bank of Canada, New York: |
||||||||||||||||
0.46%1 |
12/11/12 | 12/11/12 | 3,000,000 | 3,000,000 | ||||||||||||
0.49%1 |
10/1/12 | 6/7/13 | 3,500,000 | 3,500,000 | ||||||||||||
0.77% |
11/28/12 | 11/28/12 | 1,300,000 | 1,300,000 | ||||||||||||
Svenska Handelsbanken, New York, 0.28% |
12/21/12 | 12/21/12 | 5,000,000 | 5,000,505 | ||||||||||||
Swedbank AB, New York, 0.15% |
10/4/12 | 10/4/12 | 5,000,000 | 5,000,000 | ||||||||||||
Toronto Dominion Bank, New York, 0.17% |
10/10/12 | 10/10/12 | 8,000,000 | 8,000,000 | ||||||||||||
Westpac Banking Corp., New York, 0.24% |
10/4/12 | 10/4/12 | 3,000,000 | 3,000,000 | ||||||||||||
|
|
|||||||||||||||
Total Certificates of Deposit (Cost $45,200,892) |
45,200,892 | |||||||||||||||
Direct Bank Obligations16.4% |
||||||||||||||||
Aust & NZ Banking Group, 0.20%2 |
11/8/12 | 11/8/12 | 900,000 | 899,810 | ||||||||||||
Commonwealth Bank of Australia, 0.23%2 |
1/30/13 | 1/30/13 | 2,000,000 | 1,998,454 | ||||||||||||
Deutsche Bank Financial LLC, 0.10% |
10/1/12 | 10/1/12 | 5,300,000 | 5,300,000 | ||||||||||||
National Australia Funding (Delaware), Inc., 0.32%2 |
10/23/12 | 10/23/12 | 3,000,000 | 2,999,423 | ||||||||||||
Nordea North America, Inc.: |
||||||||||||||||
0.20% |
12/5/12 | 12/5/12 | 2,000,000 | 1,999,296 | ||||||||||||
0.20% |
11/27/12 | 11/27/12 | 4,882,000 | 4,880,454 | ||||||||||||
Skandinaviska Enskilda Banken AB, 0.21%2 |
11/15/12 | 11/15/12 | 5,700,000 | 5,698,504 | ||||||||||||
Societe Generale North America, Inc.: |
||||||||||||||||
0.19% |
10/1/12 | 10/1/12 | 2,000,000 | 2,000,000 | ||||||||||||
0.21% |
10/5/12 | 10/5/12 | 1,700,000 | 1,699,960 | ||||||||||||
|
|
|||||||||||||||
Total Direct Bank Obligations (Cost $27,475,901) |
27,475,901 | |||||||||||||||
Short-Term Notes/Commercial Paper54.5% |
||||||||||||||||
Capital Markets1.8% |
||||||||||||||||
BNP Paribas Finance, Inc., 0.16% |
10/2/12 | 10/2/12 | 3,000,000 | 2,999,987 | ||||||||||||
Diversified Financial Services4.8% |
||||||||||||||||
General Electric Capital Corp.: |
||||||||||||||||
0.32% |
1/22/13 | 1/22/13 | 3,000,000 | 2,996,987 | ||||||||||||
0.32% |
2/11/13 | 2/11/13 | 1,000,000 | 998,818 | ||||||||||||
0.33% |
10/29/12 | 10/29/12 | 4,000,000 | 3,998,973 | ||||||||||||
|
|
|||||||||||||||
7,994,778 | ||||||||||||||||
Leasing & Factoring6.9% |
||||||||||||||||
American Honda Finance Corp.: |
||||||||||||||||
0.52%1 |
11/8/12 | 8/2/13 | 1,500,000 | 1,500,000 | ||||||||||||
2.38%3 |
3/18/13 | 3/18/13 | 2,000,000 | 2,018,738 | ||||||||||||
Toyota Motor Credit Corp.: |
||||||||||||||||
0.59%1 |
12/17/12 | 12/17/12 | 2,300,000 | 2,300,000 | ||||||||||||
0.63% |
2/6/13 | 2/6/13 | 2,700,000 | 2,693,952 |
1 | Oppenheimer Money Fund/VA |
Oppenheimer Money Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Maturity Date** |
Final Legal Maturity Date*** |
Principal Amount |
Value | |||||||||||||
Leasing & Factoring Continued |
||||||||||||||||
0.66%1 |
10/18/12 | 10/18/12 | $ | 3,000,000 | $ | 3,000,000 | ||||||||||
|
|
|||||||||||||||
11,512,690 | ||||||||||||||||
Municipal9.4% |
||||||||||||||||
Carroll Cnty., KY Solid Waste Disposal Revenue Bonds, North American Stainless Project, Series 2006, 0.20%1 |
10/7/12 | 10/7/12 | 4,300,000 | 4,300,000 | ||||||||||||
Cobb Cnty., GA Development Authority Revenue Bonds, Presbyterian Village-Austell, Inc., 0.27%1 |
10/7/12 | 10/7/12 | 2,110,000 | 2,110,000 | ||||||||||||
NC Capital Facilities Finance Agency Revenue Bonds, Pfeiffer University, Series 2006, 0.20%1 |
10/7/12 | 10/7/12 | 6,815,000 | 6,815,000 | ||||||||||||
San Antonio, TX Industrial Development Authority Revenue Bonds, Tindall Corp. Project, 0.26%1 |
10/7/12 | 10/7/12 | 2,600,000 | 2,600,000 | ||||||||||||
|
|
|||||||||||||||
15,825,000 | ||||||||||||||||
Personal Products3.6% |
||||||||||||||||
Reckitt Benckiser Treasury Services plc: |
||||||||||||||||
0.38%2 |
11/7/12 | 11/7/12 | 1,000,000 | 999,609 | ||||||||||||
0.55%2 |
10/11/12 | 10/11/12 | 4,000,000 | 3,999,389 | ||||||||||||
0.55%2 |
10/18/12 | 10/18/12 | 1,000,000 | 999,740 | ||||||||||||
|
|
|||||||||||||||
5,998,738 | ||||||||||||||||
Receivables Finance17.7% |
||||||||||||||||
Alpine Securitization Corp., 0.20% |
10/12/12 | 10/12/12 | 5,500,000 | 5,499,664 | ||||||||||||
Barton Capital Corp., 0.20%2 |
10/3/12 | 10/3/12 | 2,800,000 | 2,799,966 | ||||||||||||
Jupiter Securitization Co. LLC: |
||||||||||||||||
0.24%2 |
11/28/12 | 11/28/12 | 2,000,000 | 1,999,227 | ||||||||||||
0.24%2 |
11/29/12 | 11/29/12 | 3,000,000 | 2,998,820 | ||||||||||||
0.24%2 |
12/21/12 | 12/21/12 | 2,200,000 | 2,198,812 | ||||||||||||
Market Street Funding LLC, 0.24%2 |
10/19/12 | 10/19/12 | 2,500,000 | 2,499,700 | ||||||||||||
Mont Blanc Capital Corp., 0.19%2 |
10/1/12 | 10/1/12 | 3,260,000 | 3,260,000 | ||||||||||||
Old Line Funding Corp.: |
||||||||||||||||
0.24%2 |
12/10/12 | 12/10/12 | 1,400,000 | 1,399,347 | ||||||||||||
0.30%2 |
2/1/13 | 2/1/13 | 1,500,000 | 1,498,463 | ||||||||||||
Thunder Bay Funding LLC: |
||||||||||||||||
0.18%2 |
10/1/12 | 10/1/12 | 3,000,000 | 3,000,000 | ||||||||||||
0.21%2 |
10/29/12 | 10/29/12 | 2,600,000 | 2,599,575 | ||||||||||||
|
|
|||||||||||||||
29,753,574 | ||||||||||||||||
Special Purpose Financial10.3% |
||||||||||||||||
Concord Minutemen Cap. Corp. LLC: |
||||||||||||||||
0.35% |
10/2/12 | 10/2/12 | 2,500,000 | 2,499,976 | ||||||||||||
0.35% |
10/3/12 | 10/3/12 | 1,500,000 | 1,499,970 | ||||||||||||
0.35% |
11/6/12 | 11/6/12 | 3,500,000 | 3,498,775 | ||||||||||||
FCAR Owner Trust I, 0.27% |
12/5/12 | 12/5/12 | 6,000,000 | 5,997,075 | ||||||||||||
Legacy Capital LLC, 0.36% |
10/4/12 | 10/4/12 | 2,000,000 | 1,999,940 |
2 | Oppenheimer Money Fund/VA |
Oppenheimer Money Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Maturity Date** |
Final Legal Maturity Date*** |
Principal Amount |
Value | |||||||||||||
Special Purpose Financial Continued |
||||||||||||||||
Lexington Parker Capital Co. LLC, 0.35%2 |
10/2/12 | 10/2/12 | $ | 1,800,000 | $ | 1,799,983 | ||||||||||
|
|
|||||||||||||||
17,295,719 | ||||||||||||||||
|
|
|||||||||||||||
Total Short-Term Notes/Commercial Paper (Cost $91,380,486) |
91,380,486 | |||||||||||||||
U.S. Government Obligations5.1% |
||||||||||||||||
U.S. Treasury Bonds, 4.25% |
8/15/13 | 8/15/13 | 1,000,000 | 1,035,159 | ||||||||||||
U.S. Treasury Nts.: |
||||||||||||||||
0.38% |
6/30/13 | 6/30/13 | 2,000,000 | 2,002,232 | ||||||||||||
0.50% |
10/15/13 | 10/15/13 | 2,500,000 | 2,507,743 | ||||||||||||
0.75% |
9/15/13 | 9/15/13 | 1,000,000 | 1,004,972 | ||||||||||||
1.00% |
7/15/13 | 7/15/13 | 1,000,000 | 1,005,949 | ||||||||||||
3.38% |
7/31/13 | 7/31/13 | 1,000,000 | 1,026,077 | ||||||||||||
|
|
|||||||||||||||
Total U.S. Government Obligations (Cost $8,582,132) |
8,582,132 | |||||||||||||||
Total Investments, at Value (Cost $172,639,411) |
102.9 | % | 172,639,411 | |||||||||||||
Liabilities in Excess of Other Assets |
(2.9 | ) | (4,847,257 | ) | ||||||||||||
|
|
|
|
|||||||||||||
Net Assets |
100.0 | % | $ | 167,792,154 | ||||||||||||
|
|
|
|
Footnotes to Statement of Investments
Short-term notes and direct bank obligations are generally traded on a discount basis; the interest rate shown is the discount rate received by the Fund at the time of purchase. Other securities normally bear interest at the rates shown.
* | September 28, 2012 represents the last business day of the Funds quarterly period. See accompanying Notes. |
** | The Maturity Date represents the date used to calculate the Funds 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 Funds 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 $43,648,822 or 26.01% of the Funds 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 $2,018,738 or 1.20% of the Funds net assets as of September 28, 2012. |
Notes to Statement of Investments
Quarterly Period. The last day of the Funds quarterly period was the last day the New York Stock Exchange was open for trading. The Funds financial statements have been presented through that date to maintain consistency with the Funds 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 Funds Board has adopted procedures for the valuation of the Funds 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 Committees fair valuation determinations are subject to review, approval and ratification by the Funds Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
3 | Oppenheimer Money Fund/VA |
Oppenheimer Money Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
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 Funds 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 days closing bid and asked prices, and if not, at the current days 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 Funds 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 companys 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, mortgage-backed and asset-backed securities | Reported trade data, broker-dealer price quotations, 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. |
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
4 | Oppenheimer Money Fund/VA |
Oppenheimer Money Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
and the Funds Board or (ii) as determined in good faith by the Managers 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 Funds 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 Funds 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 Managers 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 September 28, 2012 based on valuation input level:
Level 1 Unadjusted Quoted Prices |
Level 2 Other Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
Value | |||||||||||||
Assets Table |
| |||||||||||||||
Investments, at Value: |
| |||||||||||||||
Certificates of Deposit |
$ | | $ | 45,200,892 | $ | | $ | 45,200,892 | ||||||||
Direct Bank Obligations |
| 27,475,901 | | 27,475,901 | ||||||||||||
Short-Term Notes/Commercial Paper |
| 91,380,486 | | 91,380,486 | ||||||||||||
U.S. Government Obligations |
| 8,582,132 | | 8,582,132 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Assets |
$ | | $ | 172,639,411 | $ | | $ | 172,639,411 | ||||||||
|
|
|
|
|
|
|
|
Currency contracts and forwards, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contracts 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.
5 | Oppenheimer Money Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Shares | Value | |||||||
Wholly-Owned Subsidiary0.1% |
||||||||
Oppenheimer Global Strategic Income Fund/VA (Cayman) Ltd.1,2 (Cost $1,500,000) |
15,000 | $ | 1,445,849 | |||||
Principal Amount |
||||||||
Asset-Backed Securities2.9% |
||||||||
Ally Auto Receviables Trust, Automobile Receivables Nts.: |
||||||||
Series 2012-2, Cl. C, 2.26%, 7/16/183 |
$ | 865,000 | 878,385 | |||||
Series 2012-A, Cl. D, 3.15%, 10/15/183 |
2,125,000 | 2,193,738 | ||||||
Ally Master Owner Trust, Automobile Receivable Nts., Series 2012-3, Cl. D, 2.571%, 7/15/174 |
1,200,000 | 1,200,960 | ||||||
AmeriCredit Automobile Receivables Trust 2012-1, Automobile Receivable Nts., Series 2012-1, Cl. C, 2.67%, 1/8/18 |
150,000 | 153,780 | ||||||
AmeriCredit Automobile Receivables Trust 2012-1, Automobile Receivables-Backed Nts., Series 2012-1, Cl. D, 4.72%, 3/8/18 |
8,055,000 | 8,646,072 | ||||||
AmeriCredit Automobile Receivables Trust 2012-3, Automobile Receivable Nts., Series 2012-3, Cl. D, 3.03%, 7/9/18 |
2,625,000 | 2,665,513 | ||||||
AmeriCredit Automobile Receivables Trust 2012-4, Automobile Receivable Nts.: |
||||||||
Series 2012-4, Cl. C, 1.93%, 8/8/18 |
1,770,000 | 1,773,407 | ||||||
Series 2012-4, Cl. D, 2.68%, 10/9/18 |
1,190,000 | 1,192,345 | ||||||
Avis Budget Rental Car Funding AESOP LLC, Automobile Receivable Nts., Series 2010-3A, Cl. A, 4.64%, 5/20/163 |
550,000 | 598,233 | ||||||
Bank of America Auto Trust 2012-1, Automobile Receivable Nts., Series 2012-1, Cl. D., 2.99%, 3/15/19 |
625,000 | 639,844 | ||||||
CarMax Auto Owner Trust 2012-2, Automobile Receivables Nts., Series 2012-2, Cl. D, 3.77%, 11/15/18 |
1,200,000 | 1,213,801 | ||||||
CPS Auto Trust, Automobile Receivable Nts., Series 2012-C, Cl. A, 2.26%, 12/16/193 |
255,000 | 255,226 | ||||||
Credit Acceptance Auto Loan Trust, Automobile Receivable Nts.: |
||||||||
Series 2012-2A, Cl. A, 2.35%, 3/15/203 |
200,000 | 200,110 | ||||||
Series 2012-2A, Cl. B, 5.45%, 9/15/203 |
100,000 | 99,422 |
1 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
DSC Floorplan Master Owner Trust, Automobile Receivable Nts., Series 2011-1, Cl. A, 3.91%, 3/15/16 |
$ | 520,000 | $ | 532,993 | ||||
DT Auto Owner Trust 2011-1A, Automobile Receivable Nts., Series 2011-1A, Cl. C, 3.05%, 8/15/153 |
720,000 | 721,570 | ||||||
DT Auto Owner Trust 2012-2, Automobile Receivable Nts.: |
||||||||
Series 2012-2, Cl. C, 2.72%, 4/17/173 |
690,000 | 691,893 | ||||||
Series 2012-2, Cl. D, 4.35%, 3/15/193 |
1,640,000 | 1,646,664 | ||||||
Enterprise Fleet Financing LLC, Automobile Receivable Nts., Series 2012-2, Cl. A2, 0.72%, 11/20/173,4 |
80,000 | 80,059 | ||||||
Exeter Automobile Receivables Trust, Automobile Receivable Nts.: |
||||||||
Series 2012-2A, Cl. A, 1.30%, 6/15/173 |
315,000 | 315,064 | ||||||
Series 2012-2A, Cl. B, 2.22%, 12/15/173 |
875,000 | 878,230 | ||||||
Series 2012-2A, Cl. C, 3.06%, 7/15/183 |
1,035,000 | 1,039,546 | ||||||
Ice 1 Em CLO Ltd./Ice 1 Em CLO Corp., Sr. Sec. Sub. Term Nts.: |
||||||||
Series 2007-1A, Cl. B, 2.419%, 8/15/224,5 |
7,870,000 | 5,430,300 | ||||||
Series 2007-1A, Cl. C, 3.719%, 8/15/224,5 |
5,270,000 | 3,478,200 | ||||||
Series 2007-1A, Cl. D, 5.719%, 8/15/224,5 |
5,270,000 | 3,372,800 | ||||||
Santander Drive Auto Receivables Trust 2011-S1A, Automobile Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/175 |
149,402 | 149,992 | ||||||
Santander Drive Auto Receivables Trust 2012-2, Automobile Receivables Nts., Series 2012-2, Cl. D, 5%, 2/15/18 |
545,000 | 561,469 | ||||||
Santander Drive Auto Receivables Trust 2012-3, Automobile Receivables Nts.: |
||||||||
Series 2012-3, Cl. C, 3.01%, 4/16/18 |
5,830,000 | 5,916,147 | ||||||
Series 2012-3, Cl. D, 3.64%, 5/15/18 |
6,890,000 | 7,033,684 | ||||||
Santander Drive Auto Receivables Trust 2012-4, Automobile Receivables Nts., Series 2012-4, Cl. D, 4.18%, 6/15/18 |
3,510,000 | 3,573,127 | ||||||
Santander Drive Auto Receivables Trust 2012-5, Automobile Receivables Nts.: |
||||||||
Series 2012-5, Cl. C, 3.80%, 8/15/18 |
2,725,000 | 2,768,819 | ||||||
Series 2012-5, Cl. D, 3.63%, 9/17/18 |
2,620,000 | 2,695,650 | ||||||
SLM Student Loan Trust, Student Loan Receivables, Series 2005-B, Cl. B, 0.789%, 6/15/394 |
2,487,000 | 1,622,861 |
2 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
SNAAC Auto Receivables Trust, Automobile Receivable Nts.: |
||||||||
Series 2012-1A, Cl. B, 3.11%, 6/15/173 |
$ | 525,000 | $ | 528,072 | ||||
Series 2012-1A, Cl. C, 4.38%, 6/15/173 |
545,000 | 549,032 | ||||||
United Auto Credit Securitization Trust 2012-1, Automobile Receivables Nts.: |
||||||||
Series 2012-1, Cl. A2, 1.10%, 3/16/15 |
195,000 | 195,000 | ||||||
Series 2012-1, Cl. B, 1.87%, 9/15/15 |
335,000 | 335,000 | ||||||
Series 2012-1, Cl. C, 2.52%, 3/15/16 |
2,665,000 | 2,665,000 | ||||||
Series 2012-1, Cl. D, 3.12%, 3/15/18 |
1,690,000 | 1,689,882 | ||||||
Westlake Automobile Receivables Trust 2012-1, Automobile Receivable Nts., Series 2012-1, Cl. D, 1.03%, 6/16/143,4 |
195,000 | 195,023 | ||||||
World Financial Network Credit Card Master Note Trust, Credit Card Receivables, Series 2012-B, Cl. A, 1.76%, 5/17/21 |
235,000 | 236,750 | ||||||
|
|
|||||||
Total Asset-Backed Securities (Cost $74,934,122) |
70,613,663 | |||||||
Corporate Loans1.3% |
||||||||
Affinion Group, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B, 5%, 10/9/164 |
1,132,102 | 1,042,949 | ||||||
Atlantic Broadband Finance LLC, Sr. Sec. Credit Facilities 2nd Lien Term Loan, 9.75%, 10/4/194 |
685,000 | 718,394 | ||||||
ATP Oil & Gas Corp., Sr. Sec. Credit Facilities 1st Lien Term Loan, Debtor in Possession, Delayed Draw, 8.50%, 2/27/144,6 |
390,625 | 387,695 | ||||||
ATP Oil & Gas Corp., Sr. Sec. Credit Facilities 1st Lien Term Loan, Debtor in Possession, 8.50%, 2/17/144,6 |
574,375 | 570,067 | ||||||
Autoparts Holdings Ltd., Sr. Sec. Credit Facilities 1st Lien Term Loan, 6.50%, 7/29/174 |
806,155 | 806,155 | ||||||
BJS Wholesale Club, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 9.75%, 3/29/194,6 |
500,000 | 508,750 | ||||||
Brock Holdings III, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 10%, 3/16/184 |
620,000 | 621,550 | ||||||
Chesapeake Energy Corp., Sr. Sec. Credit Facilities Term Loan, 8.50%, 12/2/174 |
1,015,000 | 1,019,652 |
3 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Clear Channel Communications, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B, 3.866%, 1/29/164 |
$ | 3,612,256 | $ | 2,962,050 | ||||
Crestwood Holdings LLC, Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B, 9.75%, 3/26/184 |
979,121 | 995,032 | ||||||
Entegra Holdings LLC, Sr. Sec. Credit Facilities 3rd Lien Term Loan, Tranche B, 3.743%, 10/19/154,6,7 |
5,783,416 | 3,402,575 | ||||||
Hallertau SPC, Sr. Sec. Credit Facilities Term Loan, 7.94%, 9/17/138 |
12,143,750 | 4,250,313 | ||||||
iStar Financial, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche A2, 7%, 3/19/174 |
2,010,000 | 2,025,075 | ||||||
Lonestar Intermediate Super Holdings LLC, Sr. Sec. Credit Facilities Term Loan, 11%, 9/2/194 |
1,215,000 | 1,298,531 | ||||||
Navistar, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B, 7%, 8/17/174 |
645,000 | 655,481 | ||||||
Nuveen Investments, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 8.25%, 2/28/194 |
2,275,000 | 2,295,855 | ||||||
OneLink Communications/San Juan Cable LLC, Sr. Sec. Credit Facilities 2nd Lien Term Loan, 10%, 6/9/184 |
1,055,000 | 1,070,825 | ||||||
Revel Entertainment LLC, Sr. Sec. Credit Facilities 1st Lien Term Loan, 9%, 2/17/174,6 |
1,920,000 | 1,525,499 | ||||||
Springleaf Financial Funding Co., Sr. Sec. Credit Facilities 1st Lien Term Loan, 5.50%, 5/10/174 |
1,085,000 | 1,064,385 | ||||||
SUPERVALU, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B, 8%, 8/1/184 |
2,065,000 | 2,080,649 | ||||||
Texas Competitive Electric Holdings Co. LLC, Non-Extended Sr. Sec. Credit Facilities 1st Lien Term Loan: |
||||||||
3.728%, 10/10/144 |
2,313,296 | 1,728,899 | ||||||
3.938%, 10/10/144 |
371,704 | 277,803 | ||||||
|
|
|||||||
Total Corporate Loans (Cost $31,422,905) |
31,308,184 | |||||||
Mortgage-Backed Obligations35.1% |
||||||||
Government Agency22.5% |
||||||||
FHLMC/FNMA/FHLB/Sponsored22.1% |
||||||||
Federal Home Loan Mortgage Corp.: |
||||||||
3.50%, 10/1/426 |
37,555,000 | 40,277,738 | ||||||
5%, 9/15/33 |
1,152,003 | 1,260,749 | ||||||
5.50%, 9/1/39 |
1,159,378 | 1,277,847 |
4 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued |
||||||||
6%, 5/15/18-10/1/37 |
$ | 560,036 | $ | 611,951 | ||||
6.50%, 3/15/18-8/15/32 |
1,389,136 | 1,580,300 | ||||||
7%, 10/1/31-10/1/37 |
325,625 | 380,273 | ||||||
7.50%, 1/1/32 |
614,929 | 754,506 | ||||||
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: |
||||||||
Series 1360, Cl. PZ, 7.50%, 9/15/22 |
704,806 | 814,714 | ||||||
Series 151, Cl. F, 9%, 5/15/21 |
19,602 | 22,588 | ||||||
Series 1674, Cl. Z, 6.75%, 2/15/24 |
533,925 | 608,938 | ||||||
Series 1897, Cl. K, 7%, 9/15/26 |
1,274,991 | 1,490,076 | ||||||
Series 2006-11, Cl. PS, 23.773%, 3/25/364 |
354,864 | 536,005 | ||||||
Series 2043, Cl. ZP, 6.50%, 4/15/28 |
502,944 | 582,006 | ||||||
Series 2106, Cl. FG, 0.671%, 12/15/284 |
860,448 | 869,186 | ||||||
Series 2122, Cl. F, 0.671%, 2/15/294 |
24,961 | 25,215 | ||||||
Series 2148, Cl. ZA, 6%, 4/15/29 |
663,929 | 751,855 | ||||||
Series 2195, Cl. LH, 6.50%, 10/15/29 |
379,234 | 437,585 | ||||||
Series 2326, Cl. ZP, 6.50%, 6/15/31 |
50,189 | 58,110 | ||||||
Series 2344, Cl. FP, 1.171%, 8/15/314 |
258,220 | 264,630 | ||||||
Series 2368, Cl. PR, 6.50%, 10/15/31 |
205,348 | 237,861 | ||||||
Series 2412, Cl. GF, 1.171%, 2/15/324 |
459,698 | 471,104 | ||||||
Series 2449, Cl. FL, 0.771%, 1/15/324 |
317,058 | 321,805 | ||||||
Series 2451, Cl. FD, 1.221%, 3/15/324 |
166,437 | 170,728 | ||||||
Series 2453, Cl. BD, 6%, 5/15/17 |
62,932 | 67,570 | ||||||
Series 2461, Cl. PZ, 6.50%, 6/15/32 |
765,192 | 887,989 | ||||||
Series 2464, Cl. FI, 1.221%, 2/15/324 |
149,544 | 152,782 | ||||||
Series 2470, Cl. AF, 1.221%, 3/15/324 |
285,564 | 292,928 | ||||||
Series 2470, Cl. LF, 1.221%, 2/15/324 |
153,037 | 156,351 | ||||||
Series 2471, Cl. FD, 1.221%, 3/15/324 |
218,905 | 223,639 | ||||||
Series 2477, Cl. FZ, 0.771%, 6/15/314 |
606,411 | 614,401 | ||||||
Series 2500, Cl. FD, 0.721%, 3/15/324 |
21,679 | 21,947 | ||||||
Series 2517, Cl. GF, 1.221%, 2/15/324 |
133,058 | 135,939 | ||||||
Series 2526, Cl. FE, 0.621%, 6/15/294 |
39,840 | 40,166 | ||||||
Series 2551, Cl. FD, 0.621%, 1/15/334 |
18,106 | 18,267 | ||||||
Series 2668, Cl. AZ, 4%, 9/1/18 |
126,896 | 133,863 | ||||||
Series 2676, Cl. KY, 5%, 9/15/23 |
2,675,699 | 2,938,721 | ||||||
Series 3025, Cl. SJ, 23.941%, 8/15/354 |
419,638 | 639,754 | ||||||
Series 3465, Cl. HA, 4%, 7/1/17 |
83,207 | 85,701 | ||||||
Series 3617, Cl. DC, 4%, 7/1/27 |
350,703 | 360,087 | ||||||
Series 3676, Cl. DA, 4%, 4/1/22 |
166,959 | 168,137 | ||||||
Series 3822, Cl. JA, 5%, 6/1/40 |
129,021 | 135,054 | ||||||
Series 3848, Cl. WL, 4%, 4/1/40 |
688,447 | 735,290 | ||||||
Series 3917, Cl. BA, 4%, 6/1/38 |
808,905 | 860,574 |
5 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued |
||||||||
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: |
||||||||
Series 192, Cl. IO, 12.474%, 2/1/289 |
$ | 17,880 | $ | 3,735 | ||||
Series 205, Cl. IO, 14.293%, 9/1/299 |
104,143 | 25,417 | ||||||
Series 2074, Cl. S, 57.428%, 7/17/289 |
27,394 | 5,970 | ||||||
Series 2079, Cl. S, 64.122%, 7/17/289 |
46,615 | 10,102 | ||||||
Series 2136, Cl. SG, 72.582%, 3/15/299 |
1,239,667 | 282,922 | ||||||
Series 2399, Cl. SG, 66.707%, 12/15/269 |
700,424 | 133,110 | ||||||
Series 243, Cl. 6, 0.111%, 12/15/329 |
267,660 | 56,483 | ||||||
Series 2437, Cl. SB, 77.437%, 4/15/329 |
2,158,694 | 438,690 | ||||||
Series 2526, Cl. SE, 38.726%, 6/15/299 |
50,018 | 11,087 | ||||||
Series 2795, Cl. SH, 18.692%, 3/15/249 |
1,045,598 | 187,451 | ||||||
Series 2802, Cl. AS, 78.575%, 4/15/339 |
180,945 | 9,715 | ||||||
Series 2920, Cl. S, 66.243%, 1/15/359 |
470,802 | 92,989 | ||||||
Series 2922, Cl. SE, 10.691%, 2/15/359 |
81,831 | 18,045 | ||||||
Series 3201, Cl. SG, 10.435%, 8/15/369 |
423,154 | 81,530 | ||||||
Series 3450, Cl. BI, 13.334%, 5/15/389 |
554,486 | 98,933 | ||||||
Series 3606, Cl. SN, 9.161%, 12/15/399 |
168,338 | 27,661 | ||||||
Series 3659, Cl. IE, 9.229%, 3/1/199 |
1,126,084 | 102,658 | ||||||
Series 3662, Cl. SM, 26.186%, 10/15/329 |
379,997 | 57,849 | ||||||
Series 3685, Cl. EI, 12.633%, 3/1/199 |
985,327 | 76,143 | ||||||
Series 3736, Cl. SN, 7.64%, 10/15/409 |
906,514 | 156,973 | ||||||
Federal Home Loan Mortgage Corp., Mtg.-Linked Global Debt Securities, 2.06%, 1/15/22 |
1,751,244 | 1,789,525 | ||||||
Federal National Mortgage Assn.: |
||||||||
2.50%, 10/1/276 |
119,070,000 | 125,172,338 | ||||||
2.789%, 10/1/364 |
3,796,781 | 4,074,881 | ||||||
3.50%, 11/1/426 |
123,245,000 | 131,891,407 | ||||||
4%, 9/1/18-10/1/18 |
1,610,971 | 1,727,622 | ||||||
4.50%, 10/1/27-10/1/426 |
16,845,000 | 18,227,342 | ||||||
5%, 2/25/18-7/25/33 |
4,934,250 | 5,393,152 | ||||||
5%, 10/1/426 |
490,000 | 534,559 | ||||||
5.50%, 4/25/21-1/1/36 |
565,023 | 620,744 | ||||||
5.50%, 10/1/27-10/1/426 |
4,138,000 | 4,529,149 | ||||||
6%, 10/25/16-1/25/19 |
317,996 | 341,773 | ||||||
6%, 10/1/426 |
4,305,000 | 4,753,663 | ||||||
6.50%, 4/25/17-1/1/34 |
1,803,190 | 2,089,354 | ||||||
7%, 11/1/17-6/25/34 |
1,977,170 | 2,350,590 | ||||||
7.50%, 2/25/27-3/25/33 |
2,220,266 | 2,709,749 | ||||||
8.50%, 7/1/32 |
2,423 | 3,021 |
6 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued |
||||||||
Federal National Mortgage Assn., 15 yr.: |
||||||||
3%, 10/1/276 |
$ | 123,800,000 | $ | 131,266,688 | ||||
3.50%, 10/1/276 |
1,485,000 | 1,580,597 | ||||||
Federal National Mortgage Assn., 30 yr., 4%, 10/1/426 |
10,635,000 | 11,460,875 | ||||||
Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: |
||||||||
Trust 1999-54, Cl. LH, 6.50%, 11/25/29 |
357,148 | 410,750 | ||||||
Trust 2001-51, Cl. OD, 6.50%, 10/25/31 |
199,343 | 231,482 | ||||||
Trust 2001-69, Cl. PF, 1.217%, 12/25/314 |
337,819 | 345,303 | ||||||
Trust 2001-80, Cl. ZB, 6%, 1/25/32 |
396,309 | 449,436 | ||||||
Trust 2002-12, Cl. PG, 6%, 3/25/17 |
208,190 | 224,651 | ||||||
Trust 2002-29, Cl. F, 1.217%, 4/25/324 |
158,449 | 161,913 | ||||||
Trust 2002-60, Cl. FH, 1.217%, 8/25/324 |
324,976 | 332,171 | ||||||
Trust 2002-64, Cl. FJ, 1.217%, 4/25/324 |
48,792 | 49,858 | ||||||
Trust 2002-68, Cl. FH, 0.72%, 10/18/324 |
109,917 | 111,163 | ||||||
Trust 2002-84, Cl. FB, 1.217%, 12/25/324 |
693,537 | 708,709 | ||||||
Trust 2002-9, Cl. PC, 6%, 3/25/17 |
211,474 | 226,655 | ||||||
Trust 2002-9, Cl. PR, 6%, 3/25/17 |
258,940 | 276,993 | ||||||
Trust 2002-90, Cl. FH, 0.717%, 9/25/324 |
388,035 | 392,352 | ||||||
Trust 2003-11, Cl. FA, 1.217%, 9/25/324 |
693,553 | 708,725 | ||||||
Trust 2003-112, Cl. AN, 4%, 11/1/18 |
265,743 | 280,516 | ||||||
Trust 2003-116, Cl. FA, 0.617%, 11/25/334 |
59,091 | 59,660 | ||||||
Trust 2003-119, Cl. FK, 0.717%, 5/25/184 |
1,576,326 | 1,587,323 | ||||||
Trust 2004-101, Cl. BG, 5%, 1/25/20 |
942,863 | 1,006,705 | ||||||
Trust 2005-109, Cl. AH, 5.50%, 12/25/25 |
2,160,000 | 2,455,795 | ||||||
Trust 2005-25, Cl. PS, 27.207%, 4/25/354 |
434,515 | 744,310 | ||||||
Trust 2005-31, Cl. PB, 5.50%, 4/25/35 |
560,000 | 698,961 | ||||||
Trust 2005-71, Cl. DB, 4.50%, 8/25/25 |
442,081 | 480,725 | ||||||
Trust 2006-46, Cl. SW, 23.405%, 6/25/364 |
600,355 | 915,112 | ||||||
Trust 2007-42, Cl. A, 6%, 2/1/33 |
569,477 | 588,685 | ||||||
Trust 2008-14, Cl. BA, 4.25%, 3/1/23 |
125,873 | 133,690 | ||||||
Trust 2009-114, Cl. AC, 2.50%, 12/1/23 |
231,030 | 238,150 |
7 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued |
||||||||
Trust 2009-36, Cl. FA, 1.157%, 6/25/374 |
$ | 302,781 | $ | 307,798 | ||||
Trust 2011-122, Cl. EA, 3%, 11/1/29 |
752,197 | 769,997 | ||||||
Trust 2011-122, Cl. EC, 1.50%, 1/1/20 |
626,773 | 637,616 | ||||||
Trust 2011-15, Cl. DA, 4%, 3/1/41 |
634,669 | 683,631 | ||||||
Trust 2011-3, Cl. KA, 5%, 4/1/40 |
515,781 | 563,296 | ||||||
Trust 2011-6, Cl. BA, 2.75%, 6/1/20 |
672,573 | 697,812 | ||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: |
||||||||
Trust 2001-61, Cl. SH, 32.659%, 11/18/319 |
179,215 | 36,149 | ||||||
Trust 2001-63, Cl. SD, 32.676%, 12/18/319 |
46,387 | 9,152 | ||||||
Trust 2001-68, Cl. SC, 22.875%, 11/25/319 |
29,835 | 5,855 | ||||||
Trust 2001-78, Cl. JS, 0%, 8/25/419,10 |
462,193 | 80,172 | ||||||
Trust 2001-81, Cl. S, 25.774%, 1/25/329 |
37,284 | 7,346 | ||||||
Trust 2002-28, Cl. SA, 38.57%, 4/25/329 |
25,252 | 5,165 | ||||||
Trust 2002-38, Cl. SO, 53.634%, 4/25/329 |
143,765 | 31,573 | ||||||
Trust 2002-48, Cl. S, 33.935%, 7/25/329 |
39,183 | 7,418 | ||||||
Trust 2002-52, Cl. SL, 36.719%, 9/25/329 |
25,375 | 4,866 | ||||||
Trust 2002-56, Cl. SN, 35.892%, 7/25/329 |
53,843 | 10,199 | ||||||
Trust 2002-77, Cl. IS, 48.734%, 12/18/329 |
244,933 | 58,241 | ||||||
Trust 2002-77, Cl. SH, 39.598%, 12/18/329 |
55,140 | 12,132 | ||||||
Trust 2002-9, Cl. MS, 29.427%, 3/25/329 |
50,004 | 10,499 | ||||||
Trust 2003-13, Cl. IO, 14.345%, 3/25/339 |
450,722 | 100,725 | ||||||
Trust 2003-26, Cl. DI, 8.859%, 4/25/339 |
319,871 | 66,326 | ||||||
Trust 2003-33, Cl. SP, 34.191%, 5/25/339 |
324,539 | 53,236 | ||||||
Trust 2003-38, Cl. SA, 31.187%, 3/25/239 |
423,474 | 43,876 | ||||||
Trust 2003-4, Cl. S, 32.122%, 2/25/339 |
94,939 | 18,361 | ||||||
Trust 2004-56, Cl. SE, 16.881%, 10/25/339 |
1,458,684 | 265,430 | ||||||
Trust 2005-12, Cl. SC, 14.13%, 3/25/359 |
41,774 | 8,887 |
8 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued |
||||||||
Trust 2005-14, Cl. SE, 47.241%, 3/25/359 |
$ | 1,498,423 | $ | 259,468 | ||||
Trust 2005-40, Cl. SA, 58.207%, 5/25/359 |
1,246,232 | 246,878 | ||||||
Trust 2005-40, Cl. SB, 93.459%, 5/25/359 |
2,065,599 | 411,150 | ||||||
Trust 2005-5, Cl. SD, 12.53%, 1/25/359 |
86,178 | 16,509 | ||||||
Trust 2005-63, Cl. SA, 52.975%, 10/25/319 |
79,595 | 15,912 | ||||||
Trust 2005-71, Cl. SA, 63.291%, 8/25/259 |
276,300 | 41,782 | ||||||
Trust 2006-51, Cl. SA, 14.977%, 6/25/369 |
6,451,787 | 935,672 | ||||||
Trust 2006-90, Cl. SX, 99.999%, 9/25/369 |
1,404,448 | 399,269 | ||||||
Trust 2007-75, Cl. BI, 2.546%, 8/25/379 |
2,036,448 | 480,025 | ||||||
Trust 2007-77, Cl. SB, 0%, 12/25/319,10 |
164,526 | 1,926 | ||||||
Trust 2007-88, Cl. XI, 42.664%, 6/25/379 |
2,156,197 | 367,598 | ||||||
Trust 2008-46, Cl. EI, 14.595%, 6/25/389 |
565,671 | 101,656 | ||||||
Trust 2008-55, Cl. SA, 21.286%, 7/25/389 |
420,195 | 62,467 | ||||||
Trust 2009-8, Cl. BS, 21.924%, 2/25/249 |
423,222 | 43,389 | ||||||
Trust 2010-95, Cl. DI, 10.012%, 11/1/209 |
1,474,648 | 118,175 | ||||||
Trust 2011-84, Cl. IG, 3.482%, 8/1/139 |
4,770,270 | 71,004 | ||||||
Trust 214, Cl. 2, 41.195%, 3/1/239 |
302,161 | 64,489 | ||||||
Trust 221, Cl. 2, 42.26%, 5/1/239 |
36,285 | 7,858 | ||||||
Trust 254, Cl. 2, 34.17%, 1/1/249 |
594,481 | 127,992 | ||||||
Trust 2682, Cl. TQ, 99.999%, 10/15/339 |
488,208 | 110,193 | ||||||
Trust 2981, Cl. BS, 99.999%, 5/15/359 |
873,576 | 171,661 | ||||||
Trust 301, Cl. 2, 1.314%, 4/1/299 |
124,923 | 25,278 | ||||||
Trust 313, Cl. 2, 22.581%, 6/1/319 |
1,255,104 | 228,827 | ||||||
Trust 319, Cl. 2, 1.108%, 2/1/329 |
598,284 | 118,418 | ||||||
Trust 321, Cl. 2, 5.989%, 4/1/329 |
166,081 | 33,418 | ||||||
Trust 324, Cl. 2, 3.356%, 7/1/329 |
172,687 | 34,820 | ||||||
Trust 328, Cl. 2, 22.177%, 12/1/329 |
395,077 | 73,341 | ||||||
Trust 331, Cl. 5, 1.602%, 2/1/339 |
647,309 | 123,298 | ||||||
Trust 332, Cl. 2, 16.151%, 3/1/339 |
3,315,802 | 557,247 | ||||||
Trust 334, Cl. 12, 10.124%, 2/1/339 |
559,776 | 99,508 | ||||||
Trust 339, Cl. 15, 4.903%, 7/1/339 |
1,719,575 | 303,249 |
9 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued |
||||||||
Trust 345, Cl. 9, 49.251%, 1/1/349 |
$ | 580,784 | $ | 69,188 | ||||
Trust 351, Cl. 10, 3.493%, 4/1/349 |
345,459 | 45,900 | ||||||
Trust 351, Cl. 8, 4.941%, 4/1/349 |
571,782 | 79,036 | ||||||
Trust 356, Cl. 10, 17.973%, 6/1/359 |
455,243 | 60,505 | ||||||
Trust 356, Cl. 12, 21.987%, 2/1/359 |
225,009 | 28,645 | ||||||
Trust 362, Cl. 13, 7.232%, 8/1/359 |
279,001 | 41,477 | ||||||
|
|
|||||||
539,162,201 | ||||||||
GNMA/Guaranteed0.2% |
||||||||
Government National Mortgage Assn.: |
||||||||
1.625%, 12/9/254 |
4,846 | 5,046 | ||||||
7%, 3/29/28-7/29/28 |
190,920 | 228,709 | ||||||
7.50%, 3/1/27 |
11,657 | 12,690 | ||||||
8%, 11/29/25-5/29/26 |
47,922 | 49,843 | ||||||
Government National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: |
||||||||
Series 1999-32, Cl. ZB, 8%, 9/16/29 |
836,344 | 1,025,321 | ||||||
Series 2000-12, Cl. ZA, 8%, 2/16/30 |
1,862,163 | 2,256,702 | ||||||
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: |
||||||||
Series 1998-19, Cl. SB, 68.458%, 7/16/289 |
100,207 | 22,330 | ||||||
Series 1998-6, Cl. SA, 83.021%, 3/16/289 |
60,807 | 13,603 | ||||||
Series 2001-21, Cl. SB, 82.124%, 1/16/279 |
440,872 | 90,837 | ||||||
Series 2007-17, Cl. AI, 22.033%, 4/16/379 |
539,546 | 121,670 | ||||||
Series 2010-111, Cl. GI, 28.396%, 9/1/139 |
10,317,656 | 158,960 | ||||||
Series 2011-52, Cl. HS, 9.436%, 4/16/419 |
891,828 | 257,772 | ||||||
|
|
|||||||
4,243,483 | ||||||||
Other Agency0.2% |
||||||||
NCUA Guaranteed Notes Trust 2010-C1, Gtd. Nts.: |
||||||||
Series 2010-C1, Cl. A1, 1.60%, 10/29/20 |
464,961 | 473,097 | ||||||
Series 2010-C1, Cl. A2, 2.90%, 10/29/20 |
1,015,000 | 1,091,125 | ||||||
Series 2010-C1, Cl. APT, 2.65%, 10/29/20 |
1,128,663 | 1,194,090 | ||||||
NCUA Guaranteed Notes Trust 2010-R1, Gtd. Nts., Series 2010-R1, Cl. 1A, 0.678%, 10/7/204 |
866,292 | 870,191 | ||||||
NCUA Guaranteed Notes Trust 2010-R3, Gtd. Nts., Series 2010-R3, Cl. 3A, 2.40%, 12/8/20 |
710,597 | 727,651 | ||||||
|
|
|||||||
4,356,154 |
10 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Non-Agency12.6% |
||||||||
Commercial7.7% |
||||||||
Banc of America Commercial Mortgage Trust 2006-1, Commercial Mtg. Pass-Through Certificates, Series 2006-1, Cl. AJ, 5.46%, 9/1/45 |
$ | 2,200,000 | $ | 2,072,180 | ||||
Banc of America Commercial Mortgage Trust 2006-3, Commercial Mtg. Pass-Through Certificates, Series 2006-3, Cl. AM, 6.053%, 7/10/444 |
4,242,000 | 4,321,586 | ||||||
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 | 6,180,069 | ||||||
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 | 4,301,207 | ||||||
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 | 8,903,405 | ||||||
Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2008-1, Cl. AM, 6.438%, 2/10/514 |
3,415,000 | 3,802,917 | ||||||
BCAP LLC Trust, Mtg. Pass-Through Certificates: |
||||||||
Series 2012-RR2, Cl. 6A3, 3.117%, 9/1/353,4 |
908,625 | 921,981 | ||||||
Series 2012-RR6, Cl. 1A5, 2.243%, 11/1/365 |
520,766 | 517,251 | ||||||
Bear Stearns ARM Trust 2007-4, Mtg. Pass-Through Certificates, Series 2007-4, Cl. 22A1, 5.532%, 6/1/474 |
909,685 | 761,381 | ||||||
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 | 6,108,491 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2007-PWR17, Commercial Mtg. Pass-Through Certificates: |
||||||||
Series 2007-PWR17, Cl. AJ, 6.089%, 6/1/504 |
7,400,000 | 5,874,801 |
11 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Commercial Continued |
||||||||
Series 2007-PWR17, Cl. AM, 5.915%, 6/1/504 |
$ | 2,330,000 | $ | 2,567,711 | ||||
CHL Mortgage Pass-Through Trust 2005-17, Mtg. Pass-Through Certificates, Series 2005-17, Cl. 1A8, 5.50%, 9/1/35 |
2,743,275 | 2,805,503 | ||||||
CHL Mortgage Pass-Through Trust 2005-HYB8, Mtg. Pass-Through Certificates, Series 2005-HYB8, Cl. 4A1, 5.806%, 12/20/354 |
150,038 | 111,948 | ||||||
CHL Mortgage Pass-Through Trust 2007-J3, Mtg. Pass-Through Certificates, Series 2007-J3, Cl. A9, 6%, 7/1/37 |
7,483,370 | 5,880,406 | ||||||
Citigroup Commercial Mortgage Trust 2008-C7, Commercial Mtg. Pass-Through Certificates, Series 2008-C7, Cl. AM, 6.263%, 12/1/494 |
4,270,000 | 4,690,354 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2012-8, Mtg. Pass-Through Certificates, Series 2012-8, Cl. 1A1, 2.647%, 10/1/354,5 |
1,120,000 | 1,117,200 | ||||||
CSMC Mortgage-Backed Trust 2006-C1, Mtg. Pass-Through Certificates, Series 2006-C1, Cl. AJ, 5.588%, 2/1/394 |
3,725,000 | 3,849,968 | ||||||
DBUBS Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2011-LC1, Cl. E, 5.728%, 11/1/463,4 |
2,515,000 | 2,510,530 | ||||||
Deutsche Alt-B Securities, Inc., Mtg. Pass-Through Certificates: |
||||||||
Series 2006-AB2, Cl. A1, 5.885%, 6/25/36 |
121,629 | 89,934 | ||||||
Series 2006-AB4, Cl. A1A, 6.005%, 10/25/36 |
587,478 | 398,439 | ||||||
Deutsche Mortgage & Asset Receiving, Commercial Mtg. Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security, Series 2010-C1, Cl. XPA, 4.90%, 9/1/203,9 |
5,320,488 | 333,837 | ||||||
FDIC Trust, Commerical Mtg. Pass-Through Certificates, Series 2012-C1, Cl. A, 0.841%, 5/1/355 |
1,411,420 | 1,415,979 | ||||||
First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 |
1,521,246 | 1,042,199 | ||||||
GMAC Commercial Mortgage Securities, Inc., Commercial Mtg. Pass-Through Certificates, Series 1998-C1, Cl. F, 7.109%, 5/15/304 |
1,445,988 | 1,465,046 |
12 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 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, 6.065%, 7/10/384 |
$ | 6,150,000 | $ | 5,482,156 | ||||
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 |
1,060,000 | 1,244,026 | ||||||
Series 2007-GG11, Cl. AM, 5.867%, 12/1/49 |
5,550,000 | 5,857,459 | ||||||
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 |
5,035,000 | 5,228,679 | ||||||
GS Mortgage Securities Corp. II, Commercial Mtg. Obligations, Series 2011-GC3, Cl. D, 5.728%, 3/1/443,4 |
3,130,000 | 2,889,740 | ||||||
GSR Mortgage Loan Trust 2005-AR4, Mtg. Pass-Through Certificates, Series 2005-AR4, Cl. 6A1, 5.25%, 7/1/35 |
65,829 | 65,047 | ||||||
IndyMac Index Mortgage Loan Trust 2005-AR23, Mtg. Pass-Through Certificates, Series 2005-AR23, Cl. 6A1, 4.96%, 11/1/354 |
1,455,228 | 1,211,212 | ||||||
JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: |
||||||||
Series 2006-CIBC15, Cl. AM, 5.855%, 6/1/43 |
775,000 | 792,195 | ||||||
Series 2007-CB15, Cl. AJ, 5.502%, 6/1/47 |
8,281,000 | 6,391,400 | ||||||
Series 2007-CB18, Cl. AM, 5.466%, 6/1/47 |
6,400,000 | 6,929,987 | ||||||
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 | 1,887,570 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2007-CB19, Commercial Mtg. Pass-Through Certificates, Series 2007-CB19, Cl. AM, 5.918%, 2/1/494 |
5,850,000 | 6,100,728 |
13 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Commercial Continued |
||||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2007-LD11, Commercial Mtg. Pass-Through Certificates, Series 2007-LD11, Cl. A4, 6.003%, 6/1/494 |
$ | 1,050,000 | $ | 1,221,911 | ||||
JPMorgan Chase Commercial Mortgage Securities Trust 2007-LDP11, Commercial Mtg. Pass-Through Certificates, Series 2007-LDP11, Cl. ASB, 6.003%, 6/1/494 |
504,933 | 553,073 | ||||||
JPMorgan Mortgage Trust 2006-A7, Mtg. Pass-Through Certificates, Series 2006-A7, Cl. 2A2, 2.802%, 1/1/374 |
279,182 | 225,036 | ||||||
JPMorgan, Re-securitized Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Series 2009-5, Cl. 1A2, 2.614%, 7/1/363,4 |
5,387,547 | 3,724,699 | ||||||
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 | 1,235,870 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C6, Commercial Mtg. Pass-Through Certificates, Series 2007-C6, Cl. AM, 6.114%, 7/11/40 |
5,855,000 | 6,220,440 | ||||||
LB-UBS Commercial Mortgage Trust 2008-C1, Commercial Mtg. Pass-Through Certificates, Series 2008-C1, Cl. AM, 6.325%, 4/11/414 |
2,610,000 | 2,948,649 | ||||||
Lehman Structured Securities Corp., Mtg.-Backed Security, 6%, 5/1/29 |
57,523 | 11,041 | ||||||
Merrill Lynch Mortgage Trust 2006-C1, Commercial Mtg. Pass-Through Certificates, Series 2006-C1, Cl. AJ, 5.847%, 5/1/394 |
3,845,000 | 3,556,408 | ||||||
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 | 5,109,483 | ||||||
Morgan Stanley Capital I Trust 2007-IQ15, Commercial Mtg. Pass-Through Certificates, Series 2007-IQ15, Cl. AM, 6.076%, 6/1/494 |
5,875,000 | 6,211,740 | ||||||
Morgan Stanley Capital I Trust, Commercial Mtg. Pass-Through Certificates, Series 2006-HQ10, Cl. AM, 5.36%, 11/1/41 |
8,500,000 | 9,339,286 | ||||||
RALI Series 2005-QA4 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2005-QA4, Cl. A32, 3.479%, 4/25/354 |
112,139 | 22,664 |
14 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Commercial Continued |
||||||||
Residential Asset Securitization Trust 2006-A12, Mtg. Pass-Through Certificates, Series 2006-A12, Cl. 1A, 6.25%, 11/1/36 |
$ | 652,714 | $ | 474,812 | ||||
Sequoia Mortgage Trust, Mtg. Pass-Through Certificates, Series 2012-2, Cl. A2, 3.50%, 3/1/42 |
501,659 | 534,413 | ||||||
STARM Mortgage Loan Trust 2007-1, Mtg. Pass-Through Certificates, Series 2007-1, Cl. 2A1, 5.809%, 2/1/374 |
8,364,874 | 6,864,843 | ||||||
Structured Adjustable Rate Mortgage Loan Trust 2006-4, Commercial Mtg. Pass-Through Certificates, Series 2006-4, Cl. 6A, 5.402%, 5/1/364 |
2,356,115 | 1,920,663 | ||||||
Structured Adjustable Rate Mortgage Loan Trust 2007-6, Mtg. Pass-Through Certificates, Series 2007-6, Cl. 3A1, 4.876%, 7/1/374 |
6,761,436 | 5,196,093 | ||||||
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 | 4,346,021 | ||||||
Wachovia Bank Commercial Mortgage Trust 2006-C25, Commercial Mtg. Pass-Through Certificates, Series 2006-C25, Cl. AJ, 5.923%, 5/1/434 |
5,315,000 | 5,353,106 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-OA3 Trust, Mtg. Pass-Through Certificates, Series 2007-OA3, Cl. 5A, 2.366%, 4/1/474 |
724,773 | 496,572 | ||||||
Wells Fargo Mortgage-Backed Securities 2004-W Trust, Mtg. Pass-Through Certificates, Series 2004-W, Cl. B2, 2.61%, 11/1/344 |
430,542 | 13,285 | ||||||
Wells Fargo Mortgage-Backed Securities 2005-AR1 Trust, Mtg. Pass-Through Certificates, Series 2005-AR1, Cl. 1A1, 2.61%, 2/1/354 |
3,423,507 | 3,411,819 | ||||||
Wells Fargo Mortgage-Backed Securities 2007-AR3 Trust, Mtg. Pass-Through Certificates, Series 2007-AR3, Cl. A4, 5.733%, 4/1/374 |
2,021,170 | 1,813,838 |
15 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Commercial Continued |
||||||||
WFRBS Commercial Mortgage Trust 2011-C3, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2011-C3, Cl. XA, 9.116%, 3/1/449 |
$ | 6,034,673 | $ | 497,996 | ||||
|
|
|||||||
187,428,283 | ||||||||
Multifamily1.0% |
||||||||
Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2006-2, Cl. AJ, 5.952%, 5/1/454 |
4,295,000 | 4,270,896 | ||||||
CHL Mortgage Pass-Through Trust 2006-20, Mtg. Pass-Through Certificates, Series 2006-20, Cl. 1A17, 5.75%, 2/1/37 |
2,552,400 | 2,174,983 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2006-AR3, Mtg. Pass-Through Certificates, Series 2006-AR3, Cl. 1A2A, 5.584%, 6/1/364 |
5,322,309 | 5,132,449 | ||||||
Countrywide Alternative Loan Trust 2006-24CB, Mtg. Pass-Through Certificates, Series 2006-424B, Cl. A12, 5.75%, 6/1/36 |
1,974,634 | 1,553,429 | ||||||
JPMorgan Mortgage Trust 2007-A3, Mtg. Pass-Through Certificates, Series 2007-A3, Cl. 3A2M, 5.046%, 5/1/374 |
4,172,834 | 3,948,863 | ||||||
Wells Fargo Mortgage-Backed Securities 2005-AR15 Trust, Mtg. Pass-Through Certificates, Series 2005-AR15, Cl. 1A2, 2.617%, 9/1/354 |
383,500 | 371,843 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR2 Trust, Mtg. Pass-Through Certificates, Series 2006-AR2, Cl. 2A3, 2.617%, 3/1/364 |
3,436,574 | 3,265,325 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR6 Trust, Mtg. Pass-Through Certificates, Series 2006-AR6, Cl. 3A1, 2.693%, 3/25/364 |
3,048,064 | 2,870,633 | ||||||
|
|
|||||||
23,588,421 | ||||||||
Residential3.9% |
||||||||
Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl. A2, 1.177%, 5/25/344 |
920,464 | 831,419 |
16 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Residential Continued |
||||||||
Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates: |
||||||||
Series 2007-1, Cl. 1A3, 6%, 1/1/37 |
$ | 2,257,042 | $ | 1,950,930 | ||||
Series 2007-4, Cl. AM, 5.987%, 2/1/514 |
3,960,000 | 4,225,029 | ||||||
Banc of America Funding 2007-C Trust, Mtg. Pass-Through Certificates, Series 2007-C, Cl. 1A4, 5.526%, 5/1/364 |
1,971,593 | 1,927,592 | ||||||
Bear Stearns ARM Trust 2004-2, Mtg. Pass-Through Certificates, Series 2004-2, Cl. 12A2, 2.935%, 5/1/344 |
2,598,795 | 2,467,759 | ||||||
CHL Mortgage Pass-Through Trust 2005-29, Mtg. Pass-Through Certificates, Series 2005-29, Cl. A1, 5.75%, 12/1/35 |
5,295,032 | 4,916,231 | ||||||
CHL Mortgage Pass-Through Trust 2005-J4, Mtg. Pass-Through Certificates, Series 2005-J4, Cl. A7, 5.50%, 11/1/35 |
1,806,427 | 1,903,106 | ||||||
CHL Mortgage Pass-Through Trust 2006-6, Mtg. Pass-Through Certificates, Series 2006-6, Cl. A3, 6%, 4/1/36 |
461,619 | 408,256 | ||||||
CHL Mortgage Pass-Through Trust 2007-HY3, Mtg. Pass-Through Certificates, Series 2007-HY3, Cl. 1A1, 3.053%, 6/1/474 |
2,001,492 | 1,658,444 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2005-2, Mtg. Pass-Through Certificates, Series 2005-2, Cl. 1A3, 2.662%, 5/1/354 |
2,231,854 | 2,173,327 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2005-3, Mtg. Pass-Through Certificates, Series 2005-3, Cl. 2A4, 2.896%, 8/1/354 |
4,390,990 | 3,454,532 | ||||||
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 | 6,195,217 | ||||||
Countrywide Alternative Loan Trust 2006-43CB, Mtg. Pass-Through Certificates, Series 2006-43CB, Cl. 1A10, 6%, 2/1/37 |
8,978,784 | 6,885,201 | ||||||
Countrywide Alternative Loan Trust 2007-19, Mtg. Pass-Through Certificates, Series 2007-19, Cl. 1A4, 6%, 8/1/37 |
2,502,878 | 1,960,371 | ||||||
Countrywide Home Loans, Asset-Backed Certificates, Series 2005-16, Cl. 2AF2, 5.287%, 5/1/364 |
715,411 | 561,316 |
17 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Residential Continued |
||||||||
CSMC Mortgage-Backed Trust 2007-3, Mtg. Pass-Through Certificates, Series 2007-3, Cl. 2A10, 6%, 4/1/37 |
$ | 2,354,108 | $ | 2,037,039 | ||||
CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 0.337%, 6/25/474 |
2,601,854 | 2,562,825 | ||||||
CWHEQ Revolving Home Equity Loan Trust, Asset-Backed Certificates: |
||||||||
Series 2005-G, Cl. 2A, 0.451%, 12/15/354 |
154,142 | 84,778 | ||||||
Series 2006-H, Cl. 2A1A, 0.371%, 11/15/364 |
63,517 | 16,482 | ||||||
GSR Mortgage Loan Trust 2006-5F, Mtg. Pass-Through Certificates, Series 2006-5F, Cl. 2A1, 6%, 6/1/36 |
646,377 | 625,515 | ||||||
Home Equity Mortgage Trust 2005-1, Mtg. Pass-Through Certificates, Series 2005-1, Cl. M6, 5.863%, 6/1/35 |
1,046,000 | 749,849 | ||||||
JPMorgan Alternative Loan Trust 2006-S4, Mtg. Pass-Through Certificates, Series 2006-S4, Cl. A6, 5.71%, 12/1/36 |
285,718 | 265,885 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C7, Commercial Mtg. Pass-Through Certificates, Series 2007-C7, Cl. AM, 6.395%, 9/11/454 |
10,430,000 | 11,140,090 | ||||||
Mastr Asset-Backed Securities Trust 2006-WMC3, Mtg. Pass-Through Certificates, Series 2006-WMC3, Cl. A3, 0.317%, 8/25/364 |
1,145,769 | 399,845 | ||||||
Merrill Lynch Mortgage Investors Trust 2006-3, Mtg. Pass-Through Certificates, Series MLCC 2006-3, Cl. 2A1, 2.671%, 10/25/364 |
1,523,278 | 1,533,044 | ||||||
NC Finance Trust, Collateralized Mtg. Obligation Pass-Through Certificates, Series 1999-I, Cl. ECFD, 3.405%, 1/25/295,8 |
66,744 | 5,440 | ||||||
Popular ABS Mortgage Pass-Through Trust 2005-6, Mtg. Pass-Through Certificates, Series 2005-6, Cl. A3, 5.175%, 1/1/364 |
173,515 | 136,761 | ||||||
RALI Series 2006-QS13 Trust, Mtg. Asset-Backed Pass-Through Certificates: |
||||||||
Series 2006-QS13, Cl. 1A5, 6%, 9/25/36 |
1,716,951 | 1,241,716 | ||||||
Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 |
34,320 | 24,820 |
18 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Residential Continued |
||||||||
RALI Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-QS6, Cl. A28, 5.75%, 4/25/37 |
$ | 836,771 | $ | 594,875 | ||||
Residential Asset Securitization Trust 2005-A14, Mtg. Pass-Through Certificates, Series 2005-A14, Cl. A1, 5.50%, 12/1/35 |
3,333,039 | 2,958,695 | ||||||
Residential Asset Securitization Trust 2005-A15, Mtg. Pass-Through Certificates, Series 2005-A15, Cl. 1A4, 5.75%, 2/1/36 |
3,692,031 | 3,301,235 | ||||||
Residential Asset Securitization Trust 2005-A6CB, Mtg. Pass-Through Certificates, Series 2005-A6CB, Cl. A7, 6%, 6/1/35 |
4,195,427 | 3,765,681 | ||||||
Terwin Mortgage Trust, Home Equity Asset-Backed Securities, Series 2006-4SL, Cl. A1, 2.706%, 5/1/373,4,11 |
163,254 | 75,292 | ||||||
WaMu Mortgage Pass-Through Certificates 2005-AR12 Trust, Mtg. Pass-Through Certificates, Series 2007-AR12, Cl. 1A8, 2.488%, 10/1/354 |
2,197,201 | 2,009,331 | ||||||
WaMu Mortgage Pass-Through Certificates 2006-AR10 Trust, Mtg. Pass-Through Certificates, Series 2006-AR10, Cl. 1A2, 2.741%, 9/1/364 |
857,327 | 659,109 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY1 Trust, Mtg. Pass-Through Certificates: |
||||||||
Series 2007-HY1, Cl. 4A1, 2.704%, 2/1/374 |
12,774,924 | 9,995,145 | ||||||
Series 2007-HY1, Cl. 5A1, 4.866%, 2/1/374 |
7,641,021 | 6,112,332 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY5 Trust, Mtg. Pass-Through Certificates, Series 2007-HY5, Cl. 3A1, 5.20%, 5/1/374 |
937,593 | 905,601 | ||||||
Wells Fargo Mortgage-Backed Securities 2005-9 Trust, Mtg. Pass-Through Certificates, Series 2005-9, Cl. 2A6, 5.25%, 10/25/35 |
371,511 | 395,764 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR14 Trust, Mtg. Pass-Through Certificates, Series 2006-AR14, Cl. 1A2, 5.649%, 10/1/364 |
3,129,292 | 3,100,755 | ||||||
|
|
|||||||
96,216,634 | ||||||||
|
|
|||||||
Total Mortgage-Backed Obligations (Cost $835,388,951) |
854,995,176 |
19 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
U.S. Government Obligations4.2% |
| |||||||
Federal Home Loan Mortgage Corp. Nts.: |
||||||||
1%, 7/28/17-9/29/17 |
$ | 5,149,000 | $ | 5,209,079 | ||||
1.25%, 8/1/19 |
1,420,000 | 1,426,505 | ||||||
1.25%, 10/2/196 |
8,045,000 | 8,020,925 | ||||||
2.375%, 1/13/22 |
1,113,000 | 1,170,311 | ||||||
Federal National Mortgage Assn. Nts.: |
||||||||
0.875%, 8/28/17-10/26/17 |
9,905,000 | 9,967,101 | ||||||
4.375%, 10/15/15 |
4,000,000 | 4,481,856 | ||||||
U.S. Treasury Bonds, STRIPS, 4.833%, 2/15/1612 |
2,116,000 | 2,088,801 | ||||||
U.S. Treasury Nts.: |
||||||||
1.625%, 8/15/2213,14 |
63,700,000 | 63,660,188 | ||||||
1.75%, 5/15/2215 |
5,500,000 | 5,580,355 | ||||||
|
|
|||||||
Total U.S. Government Obligations (Cost $100,894,339) |
101,605,121 | |||||||
Foreign Government Obligations28.2% |
||||||||
Angola0.1% |
||||||||
Angola (Republic of) Sr. Unsec. Nts., 7%, 8/16/19 |
1,940,000 | 2,138,850 | ||||||
Australia0.4% |
||||||||
New South Wales Treasury Corp. Bonds: |
||||||||
Series 14, 5.50%, 8/1/14 |
875,000 | AUD | 951,084 | |||||
Series 15, 6%, 4/1/25 |
640,000 | AUD | 712,880 | |||||
Series 17, 5.50%, 3/1/17 |
625,000 | AUD | 713,568 | |||||
Queensland Treasury Corp. Nts.: |
||||||||
Series 15, 6%, 10/14/15 |
1,275,000 | AUD | 1,438,533 | |||||
Series 17, 6%, 9/14/17 |
1,020,000 | AUD | 1,193,305 | |||||
Series 21, 6%, 6/14/21 |
1,255,000 | AUD | 1,539,157 | |||||
Series 24, 5.75%, 7/22/24 |
1,065,000 | AUD | 1,255,113 | |||||
Victoria Treasury Corp. Nts., Series 1116, 5.75%, 11/15/16 |
1,555,000 | AUD | 1,777,738 | |||||
Western Australia Treasury Corp. Nts., Series 15, 7%, 4/15/15 |
630,000 | AUD | 717,917 | |||||
|
|
|||||||
10,299,295 | ||||||||
Belgium0.2% |
||||||||
Belgium (Kingdom of) Bonds, Series 58, 3.75%, 9/28/20 |
2,550,000 | EUR | 3,664,368 | |||||
Brazil2.4% |
||||||||
Brazil (Federative Republic of) Nota Do Tesouro Nacional Nts.: |
||||||||
9.762%, 1/1/17 |
17,168,000 | BRR | 8,742,332 | |||||
9.762%, 1/1/21 |
33,538,000 | BRR | 16,834,962 | |||||
12.681%, 5/15/4516 |
6,470,000 | BRR | 8,957,549 | |||||
Series NTNB, 12.681%, 5/15/1516 |
10,930,000 | BRR | 12,861,914 | |||||
Series NTNB, 12.998%, 8/15/5016 |
3,265,000 | BRR | 4,532,711 | |||||
Brazil (Federative Republic of) Nota Do Tesouro Nacional Unsec. Bonds, 10%, 1/1/18 |
11,075,000 | BRR | 5,632,720 | |||||
|
|
|||||||
57,562,188 |
20 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Canada0.2% |
||||||||
Canada (Government of) Nts., 3.75%, 6/1/19 |
1,850,000 | CAD | $ | 2,154,457 | ||||
Canada (Government of) Treasury Bills, 0.891%, 10/11/1212 |
1,885,000 | CAD | 1,916,791 | |||||
|
|
|||||||
4,071,248 | ||||||||
Colombia0.4% |
||||||||
Bogota Distrio Capital Sr. Bonds, 9.75%, 7/26/283 |
1,199,000,000 | COP | 988,233 | |||||
Colombia (Republic of) Sr. Unsec. Bonds, 6.125%, 1/18/41 |
5,940,000 | 8,078,400 | ||||||
|
|
|||||||
9,066,633 | ||||||||
Croatia0.1% |
||||||||
Croatia (Republic of) Unsec. Nts., 6.25%, 4/27/173 |
2,130,000 | 2,311,050 | ||||||
Denmark0.1% |
||||||||
Denmark (Kingdom of) Bonds, 4%, 11/15/19 |
5,560,000 | DKK | 1,165,247 | |||||
Finland0.0% |
||||||||
Finland (Rebublic of) Sr. Unsec. Bonds, 4.375%, 7/4/19 |
430,000 | EUR | 668,625 | |||||
France0.5% |
||||||||
Caisse DAmortissement de la Dette Sociale Bonds, 1.625%, 7/6/153 |
640,000 | 651,625 | ||||||
France (Republic of) Bonds: |
||||||||
3.25%, 10/25/21 |
1,070,000 | EUR | 1,510,227 | |||||
3.75% 10/25/19 |
2,350,000 | EUR | 3,456,990 | |||||
4%, 4/25/60 |
520,000 | EUR | 779,673 | |||||
4.50%, 4/25/41 |
1,090,000 | EUR | 1,749,494 | |||||
France (Republic of) Treasury Nts., 1%, 7/25/17 |
3,780,000 | EUR | 4,881,445 | |||||
|
|
|||||||
13,029,454 | ||||||||
Germany0.2% |
||||||||
Germany (Federal Republic of) Bonds, 2.50%, 7/4/44 |
1,095,000 | EUR | 1,490,537 | |||||
Germany (Federal Republic of) Sec. Bonds, Series 164, 0.50%, 10/13/17 |
2,520,000 | EUR | 3,236,544 | |||||
Germany (Federal Republic of) Unsec. Bonds, 1.50%, 9/4/22 |
625,000 | EUR | 811,893 | |||||
|
|
|||||||
5,538,974 |
21 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Ghana0.1% |
| |||||||
Ghana (Republic of) Bonds, 8.50%, 10/4/173 |
$ | 1,305,000 | $ | 1,539,900 | ||||
Hungary2.3% |
||||||||
Hungary (Republic of) Bonds: |
||||||||
4.75%, 2/3/15 |
1,350,000 | 1,358,168 | ||||||
6.75%, 11/24/17 |
790,000,000 | HUF | 3,564,632 | |||||
Series 13/D, 6.75%, 2/12/13 |
3,277,000,000 | HUF | 14,757,979 | |||||
Series 14/D, 6.75%, 8/22/14 |
451,000,000 | HUF | 2,051,475 | |||||
Series 15C, 7.75%, 8/24/15 |
1,246,000,000 | HUF | 5,769,977 | |||||
Series 15/A, 8%, 2/12/15 |
238,000,000 | HUF | 1,106,804 | |||||
Series 16/C, 5.50%, 2/12/16 |
315,000,000 | HUF | 1,377,282 | |||||
Series 17/B, 6.75%, 2/24/17 |
678,000,000 | HUF | 3,061,781 | |||||
Series 19/A, 6.50%, 6/24/19 |
497,000,000 | HUF | 2,192,367 | |||||
Series 20/A, 7.50%, 11/12/20 |
455,000,000 | HUF | 2,089,272 | |||||
Series 22A, 7%, 6/24/22 |
341,000,000 | HUF | 1,514,720 | |||||
Series 23A, 6%, 11/24/23 |
230,000,000 | HUF | 936,177 | |||||
Hungary (Republic of) Sr. Unsec. Bonds, 7.625%, 3/29/41 |
805,000 | 913,675 | ||||||
Hungary (Republic of) Sr. Unsec. Nts., 5.75%, 6/11/18 |
880,000 | EUR | 1,128,729 | |||||
Hungary (Republic of) Sr. Unsec. Unsub. Nts., 6.375%, 3/29/21 |
520,000 | 568,776 | ||||||
Hungary (Republic of) Treasury Bills: |
||||||||
6.655%, 5/29/1312 |
110,000,000 | HUF | 475,412 | |||||
6.691%, 4/17/1312 |
146,000,000 | HUF | 637,050 | |||||
6.704%, 12/19/1212 |
183,000,000 | HUF | 813,411 | |||||
6.711%, 12/5/1212 |
73,000,000 | HUF | 325,318 | |||||
6.75%, 12/12/1212 |
293,000,000 | HUF | 1,306,188 | |||||
7.006%, 2/20/1312 |
220,000,000 | HUF | 968,661 | |||||
7.31%, 12/27/1212 |
2,152,000,000 | HUF | 9,567,723 | |||||
|
|
|||||||
56,485,577 | ||||||||
Indonesia0.4% |
||||||||
Indonesia (Republic of) Nts., 5.25%, 1/17/423 |
2,720,000 | 3,111,000 | ||||||
Indonesia (Republic of) Sr. Unsec. Bonds, 4.875%, 5/5/213 |
1,020,000 | 1,171,725 | ||||||
Indonesia (Republic of) Sr. Unsec. Nts., 7.75%, 1/17/383 |
1,295,000 | 1,939,263 | ||||||
Indonesia (Republic of) Unsec. Nts.: |
||||||||
3.75%, 4/25/223 |
2,120,000 | 2,247,200 | ||||||
8.50%, 10/12/353 |
785,000 | 1,250,113 | ||||||
|
|
|||||||
9,719,301 |
22 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Ireland0.1% |
| |||||||
Ireland (Republic of) Treasury Bonds, 4.40%, 6/18/19 |
945,000 | EUR | $ | 1,190,121 | ||||
Israel0.1% |
||||||||
Israel (State of) Sr. Unsec. Bonds, 4%, 6/30/22 |
2,915,000 | 3,102,752 | ||||||
Italy0.5% |
||||||||
Italy (Republic of) Bonds: |
||||||||
4%, 9/1/20 |
935,000 | EUR | 1,155,379 | |||||
4.50%, 3/1/19 |
2,765,000 | EUR | 3,590,897 | |||||
5%, 3/1/22 |
500,000 | EUR | 646,868 | |||||
5%, 9/1/40 |
1,035,000 | EUR | 1,195,162 | |||||
Series EU, 1.853%, 10/15/174 |
630,000 | EUR | 712,009 | |||||
Italy (Republic of) Sr. Unsec. Nts., 4.50%, 6/8/15 |
124,000,000 | JPY | 1,670,441 | |||||
Italy (Republic of) Treasury Bills, 1.548%, 1/31/1312 |
2,215,000 | EUR | 2,834,550 | |||||
Italy (Republic of) Treasury Bonds: |
||||||||
4.75%, 9/15/16 |
510,000 | EUR | 684,408 | |||||
5.75%, 2/1/33 |
440,000 | EUR | 566,112 | |||||
|
|
|||||||
13,055,826 | ||||||||
Ivory Coast0.0% |
||||||||
Ivory Coast Bonds, 3.75%, 12/31/32 |
1,290,000 | 1,119,075 | ||||||
Japan2.1% |
||||||||
Japan Bonds: |
||||||||
2 yr., 0.10%, 5/15/14 |
1,009,000,000 | JPY | 12,929,189 | |||||
5 yr., 0.30%, 3/20/17 |
581,000,000 | JPY | 7,491,431 | |||||
10 yr., Series 301, 1.50%, 6/20/19 |
579,000,000 | JPY | 7,970,428 | |||||
10 yr., 1.10%, 3/20/21 |
234,000,000 | JPY | 3,119,966 | |||||
20 yr., Series 112, 2.10%, 6/20/29 |
713,000,000 | JPY | 9,996,664 | |||||
30 yr., 2%, 3/20/42 |
433,000,000 | JPY | 5,699,232 | |||||
Japan Sr. Unsec. Bonds, Series 134, 1.80%, 3/20/32 |
344,000,000 | JPY | 4,533,024 | |||||
|
|
|||||||
51,739,934 | ||||||||
Latvia0.1% |
||||||||
Latvia (Republic of) Nts., 5.25%, 2/22/173 |
2,225,000 | 2,453,063 | ||||||
Lithuanua0.1% |
||||||||
Lithuania (Republic of) Sr. Unsec. Bonds, 6.625%, 2/1/223 |
2,065,000 | 2,568,344 | ||||||
Malaysia0.6% |
||||||||
Central Bank of Malaysia Treasury Bills: Series 5312, 2.984%, 1/22/1312 |
14,620,000 | MYR | 4,739,908 | |||||
Series 5612, 3%, 2/7/1312 |
14,620,000 | MYR | 4,734,847 | |||||
Series 6212 2.968%, 2/28/1312 |
7,310,000 | MYR | 2,362,978 |
23 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Malaysia (Government of) Sr. Unsec. Bonds: |
||||||||
Series 1/06, 4.262%, 9/15/16 |
2,205,000 | MYR | $ | 748,707 | ||||
Series 210, 4.012%, 9/15/17 |
1,825,000 | MYR | 615,874 | |||||
Wakala Global Sukuk Bhd Bonds, 4.646%, 7/6/213 |
2,105,000 | 2,440,059 | ||||||
|
|
|||||||
15,642,373 | ||||||||
Mexico3.1% |
||||||||
United Mexican States Bonds: |
||||||||
4.592%, 11/29/1212 |
109,230,000 | MXN | 8,423,314 | |||||
Series M, 6.50%, 6/10/214 |
56,985,000 | MXN | 4,843,784 | |||||
Series M20, 7.50%, 6/3/274 |
93,400,000 | MXN | 8,402,550 | |||||
Series M10, 7.75%, 12/14/17 |
21,760,000 | MXN | 1,906,681 | |||||
Series M, 8%, 6/11/20 |
73,300,000 | MXN | 6,734,301 | |||||
Series M20, 8.50%, 5/31/294 |
50,140,000 | MXN | 4,892,808 | |||||
Series MI10, 9%, 12/20/124 |
92,290,000 | MXN | 7,248,957 | |||||
United Mexican States Treasury Bills: |
||||||||
4.569%, 12/13/1212 |
162,930,000 | MXN | 12,543,525 | |||||
4.59%, 10/18/1212 |
257,700,000 | MXN | 19,973,339 | |||||
|
|
|||||||
74,969,259 | ||||||||
Nigeria0.2% |
||||||||
Nigeria (Federal Republic of) Treasury Bills: |
||||||||
13.662%, 9/5/1312 |
329,000,000 | NGN | 1,849,258 | |||||
14.326%, 6/6/1312 |
73,000,000 | NGN | 425,880 | |||||
15.149%, 3/7/1312 |
38,000,000 | NGN | 228,385 | |||||
15.205%, 3/28/1312 |
145,000,000 | NGN | 867,691 | |||||
Series 364, 15.572%, 4/25/1312 |
109,000,000 | NGN | 645,901 | |||||
Series 364, 16.266%, 8/8/1312 |
164,000,000 | NGN | 950,656 | |||||
Series 364, 16.895%, 2/7/1312 |
146,000,000 | NGN | 887,444 | |||||
|
|
|||||||
5,855,215 | ||||||||
Panama0.2% |
||||||||
Panama (Republic of) Bonds: |
||||||||
6.70%, 1/26/36 |
1,191,000 | 1,679,310 | ||||||
8.875%, 9/30/27 |
865,000 | 1,407,788 | ||||||
9.375%, 4/1/29 |
1,045,000 | 1,784,338 | ||||||
|
|
|||||||
4,871,436 | ||||||||
Peru1.1% |
||||||||
Peru (Republic of) Bonds, 7.35%, 7/21/25 |
3,135,000 | 4,608,450 | ||||||
Peru (Republic of) Sr. Unsec. Bonds: |
||||||||
6.95%, 8/12/313 |
14,795,000 | PEN | 6,821,933 | |||||
8.20%, 8/12/263 |
9,500,000 | PEN | 4,941,646 |
24 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Peru (Republic of) Sr. Unsec. Nts., 7.84%, 8/12/203 |
13,285,000 | PEN | $ | 6,347,136 | ||||
Peru (Republic of) Sr. Unsec. Unsub. Bonds, 5.625%, 11/18/50 |
2,110,000 | 2,758,825 | ||||||
|
|
|||||||
25,477,990 | ||||||||
Philippines0.1% |
||||||||
Philippines (Republic of the) Sr. Unsec. Bonds, 5%, 1/13/37 |
1,290,000 | 1,535,100 | ||||||
Philippines (Republic of the) Sr. Unsec. Unsub. Bonds, 6.375%, 10/23/34 |
925,000 | 1,276,500 | ||||||
|
|
|||||||
2,811,600 | ||||||||
Poland0.5% |
||||||||
Poland (Republic of) Bonds: |
||||||||
5.25%, 10/25/20 |
15,280,000 | PLZ | 4,989,823 | |||||
Series WS0922, 5.75%, 9/23/22 |
12,870,000 | PLZ | 4,356,047 | |||||
Series 0415, 5.50%, 4/25/15 |
2,165,000 | PLZ | 698,679 | |||||
Series 1017, 5.25%, 10/25/17 |
3,000,000 | PLZ | 980,624 | |||||
|
|
|||||||
11,025,173 | ||||||||
Portugal0.0% |
||||||||
Portuguese (Republic) Sr. Unsec. Bonds: |
||||||||
4.10%, 4/15/37 |
75,000 | EUR | 53,664 | |||||
4.95%, 10/25/23 |
125,000 | EUR | 116,869 | |||||
|
|
|||||||
170,533 | ||||||||
Qatar0.2% |
||||||||
Qatar (State of) Sr. Nts., 5.25%, 1/20/203 |
1,610,000 | 1,911,875 | ||||||
Qatar (State of) Sr. Unsec. Nts.: |
||||||||
5.75%, 1/20/423 |
1,125,000 | 1,437,188 | ||||||
6.40%, 1/20/403 |
860,000 | 1,178,200 | ||||||
|
|
|||||||
4,527,263 | ||||||||
Romania0.2% |
||||||||
Romania Sr. Unsec. Bonds, 6.75%, 2/7/223 |
4,090,000 | 4,616,588 | ||||||
Russia1.6% |
||||||||
Russian Federation Bonds: |
||||||||
7.50%, 3/15/184 |
181,000,000 | RUR | 5,839,926 | |||||
7.50%, 2/27/194 |
171,100,000 | RUR | 5,473,889 | |||||
7.60%, 4/14/214 |
192,500,000 | RUR | 6,173,971 | |||||
Series 6206, 7.40%, 6/14/17 |
391,700,000 | RUR | 12,575,334 | |||||
Russian Federation Unsec. Bonds: |
||||||||
5.625%, 4/4/423 |
2,845,000 | 3,421,397 | ||||||
Series 9, 7.90%, 3/18/214 |
43,800,000 | RUR | 1,377,394 |
25 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Vnesheconombank Via VEB Finance plc Sr. Unsec. Nts., 6.025%, 7/5/223 |
$ | 1,940,000 | $ | 2,170,472 | ||||
Vnesheconombank Via VEB Finance plc Sr. Unsec. Unsub. Nts.: |
||||||||
6.80%, 11/22/253 |
825,000 | 973,574 | ||||||
6.902%, 7/9/203 |
1,445,000 | 1,710,793 | ||||||
|
|
|||||||
39,716,750 | ||||||||
Slovakia0.1% |
||||||||
Slovakia (Republic of) Bonds, 4.375%, 5/21/223 |
2,135,000 | 2,256,909 | ||||||
South Africa2.5% |
||||||||
South Africa (Republic of) Bonds: |
||||||||
Series R209, 6.25%, 3/31/36 |
65,080,000 | ZAR | 6,300,781 | |||||
Series R208, 6.75%, 3/31/21 |
127,975,000 | ZAR | 15,569,374 | |||||
Series R213, 7%, 2/28/31 |
83,505,000 | ZAR | 9,178,376 | |||||
Series R207, 7.25%, 1/15/20 |
118,260,000 | ZAR | 14,881,990 | |||||
Series R186, 10.50%, 12/21/26 |
100,440,000 | ZAR | 15,278,260 | |||||
|
|
|||||||
61,208,781 | ||||||||
Spain0.2% |
||||||||
Instituto de Credito Oficial Sr. Unsec. Nts., 5%, 5/15/15 |
2,200,000 | NOK | 359,921 | |||||
Spain (Kingdom of) Bonds: |
||||||||
5.50%, 7/30/17 |
760,000 | EUR | 998,954 | |||||
5.85%, 1/31/22 |
1,135,000 | EUR | 1,451,108 | |||||
Spain (Kingdom of) Sr. Unsec. Bonds, 4.30%, 10/31/19 |
765,000 | EUR | 916,313 | |||||
Spain (Kingdom of) Sr. Unsub. Bonds, 4.70%, 7/30/41 |
505,000 | EUR | 491,087 | |||||
Spain (Kingdom of) Unsec. Bonds, 3.30%, 10/31/14 |
380,000 | EUR | 486,971 | |||||
|
|
|||||||
4,704,354 | ||||||||
Sri Lanka0.2% |
||||||||
Sri Lanka (Democratic Socialist Republic of) Sr. Unsec. Bonds, 5.875%, 7/25/223 |
685,000 | 741,513 | ||||||
Sri Lanka (Democratic Socialist Republic of) Sr. Unsec. Nts.: |
||||||||
6.25%, 10/4/203 |
1,265,000 | 1,382,013 | ||||||
6.25% 7/27/213 |
1,565,000 | 1,709,462 | ||||||
|
|
|||||||
3,832,988 | ||||||||
The Netherlands0.2% |
||||||||
Netherlands (Kingdom of the) Bonds, 4%, 7/15/19 |
2,595,000 | EUR | 3,944,565 |
26 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Turkey5.1% |
| |||||||
Turkey (Republic of) Bonds: |
||||||||
6.875%, 3/17/36 |
$ | 2,605,000 | $ | 3,314,863 | ||||
7%, 3/11/19 |
1,200,000 | 1,459,500 | ||||||
8.984%, 11/7/1212 |
96,800,000 | TRY | 53,526,670 | |||||
9%, 3/5/14 |
15,375,000 | TRY | 8,764,327 | |||||
9%, 3/8/17 |
35,160,000 | TRY | 20,590,291 | |||||
9.50%, 1/12/224 |
17,920,000 | TRY | 10,863,174 | |||||
9.884%, 7/17/1312 |
21,035,000 | TRY | 11,087,426 | |||||
10.50%, 1/15/204 |
1,120,000 | TRY | 705,745 | |||||
15.959%, 8/14/1316 |
2,310,000 | TRY | 1,908,730 | |||||
Turkey (Republic of) Nts., 7.50%, 7/14/17 |
1,520,000 | 1,827,800 | ||||||
Turkey (Republic of) Unsec. Bonds: |
||||||||
4.50%, 2/11/154,16 |
2,305,000 | TRY | 1,389,605 | |||||
6.25%, 9/26/22 |
4,270,000 | 5,120,584 | ||||||
Turkey (Republic of) Unsec. Nts.: |
||||||||
5.125%, 3/25/22 |
1,150,000 | 1,269,313 | ||||||
6%, 1/14/41 |
2,310,000 | 2,673,825 | ||||||
|
|
|||||||
124,501,853 | ||||||||
Ukraine0.2% |
||||||||
Ukraine (Republic of) Bonds, 7.75%, 9/23/203 |
820,000 | 814,842 | ||||||
Ukraine (Republic of) Sr. Unsec. Nts.: |
||||||||
6.75%, 11/14/173 |
1,800,000 | 1,728,000 | ||||||
7.95%, 2/23/213 |
1,195,000 | 1,196,398 | ||||||
Ukraine (Republic of) Unsec. Bonds, 9.25%, 7/24/173 |
1,285,000 | 1,356,266 | ||||||
|
|
|||||||
5,095,506 | ||||||||
United Arab Emirates0.1% |
||||||||
Emirates of Dubai Sr. Unsec. International Bonds: |
||||||||
5.591%, 6/22/21 |
880,000 | 938,080 | ||||||
7.75%, 10/5/20 |
2,210,000 | 2,629,900 | ||||||
|
|
|||||||
3,567,980 | ||||||||
United Kingdom0.4% |
||||||||
United Kingdom Treasury Bonds: |
||||||||
3.75%, 9/7/21 |
840,000 | GBP | 1,618,407 | |||||
4%, 9/7/16 |
1,670,000 | GBP | 3,073,294 | |||||
4.75%, 12/7/38 |
2,320,000 | GBP | 4,984,585 | |||||
|
|
|||||||
9,676,286 | ||||||||
Uruguay0.2% |
||||||||
Uruguay (Oriental Republic of) Bonds, 7.625%, 3/21/36 |
2,310,000 | 3,620,925 | ||||||
Uruguay (Oriental Republic of) Unsec. Bonds, 8%, 11/18/22 |
1,516,250 | 2,212,209 | ||||||
|
|
|||||||
5,833,134 |
27 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Venezuela0.8% |
||||||||
Venezuela (Republic of) Bonds: |
||||||||
9%, 5/7/23 |
$ | 4,090,000 | $ | 3,619,650 | ||||
11.95%, 8/5/31 |
1,855,000 | 1,896,738 | ||||||
Venezuela (Republic of) Nts., 8.25%, 10/13/24 |
2,125,000 | 1,774,375 | ||||||
Venezuela (Republic of) Sr. Unsec. Unsub. Nts.: |
||||||||
7.75%, 10/13/19 |
1,550,000 | 1,344,625 | ||||||
12.75%, 8/23/22 |
1,105,000 | 1,179,588 | ||||||
Venezuela (Republic of) Unsec. Bonds: |
||||||||
7%, 3/31/38 |
1,970,000 | 1,452,875 | ||||||
7.65%, 4/21/25 |
3,585,000 | 2,823,188 | ||||||
Venezuela (Republic of) Unsec. Nts., 13.625%, 8/15/183 |
5,465,000 | 5,710,925 | ||||||
|
|
|||||||
19,801,964 | ||||||||
|
|
|||||||
Total Foreign Government Obligations (Cost $655,438,782) |
686,598,325 | |||||||
Corporate Bonds and Notes26.1% |
||||||||
Consumer Discretionary3.8% |
||||||||
Auto Components0.4% |
||||||||
Continental Rubber of America Corp., 4.50% Sr. Sec. Nts., 9/15/193 |
405,000 | 414,720 | ||||||
Goodyear Tire & Rubber Co. (The), 8.25% Sr. Unsec. Unsub. Nts., 8/15/20 |
2,190,000 | 2,436,375 | ||||||
Tower Automotive Holdings USA LLC/TA Holdings Finance, Inc., 10.625% Sr. Sec. Nts., 9/1/173 |
4,652,000 | 5,035,790 | ||||||
UCI International, Inc., 8.625% Sr. Unsec. Nts., 2/15/19 |
605,000 | 605,000 | ||||||
Visteon Corp., 6.75% Sr. Unsec. Nts., 4/15/19 |
2,470,000 | 2,605,850 | ||||||
|
|
|||||||
11,097,735 | ||||||||
Automobiles0.0% |
||||||||
Jaguar Land Rover plc: |
||||||||
7.75% Sr. Unsec. Bonds, 5/15/183 |
390,000 | 422,663 | ||||||
8.25% Sr. Nts., 3/15/203 |
245,000 | GBP | 428,266 | |||||
|
|
|||||||
850,929 | ||||||||
Diversified Consumer Services0.1% |
||||||||
Monitronics International, Inc., 9.125% Sr. Unsec. Nts., 4/1/20 |
1,005,000 | 1,050,225 | ||||||
ServiceMaster Co.: |
||||||||
7% Sr. Nts., 8/15/203 |
965,000 | 993,950 | ||||||
8% Sr. Unsec. Unsub. Nts., 2/15/20 |
605,000 | 644,325 | ||||||
|
|
|||||||
2,688,500 |
28 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Hotels, Restaurants & Leisure1.1% |
||||||||
Boyd Gaming Corp., 9.125% Sr. Unsec. Nts., 12/1/18 |
$ | 1,875,000 | $ | 1,978,125 | ||||
Burger King Corp., 9.875% Sr. Unsec. Unsub. Nts., 10/15/18 |
860,000 | 1,001,900 | ||||||
Caesars Entertainment Operating Co., Inc., 10% Sr. Sec. Nts., 12/15/18 |
9,522,000 | 6,284,520 | ||||||
Chester Downs & Marina LLC, 9.25% Sr. Sec. Nts., 1/15/203 |
665,000 | 671,650 | ||||||
CKE Restaurants, Inc., 11.375% Sec. Nts., 7/15/18 |
767,000 | 893,555 | ||||||
Equinox Holdings, Inc., 9.50% Sr. Sec. Nts., 2/1/165 |
1,780,000 | 1,900,150 | ||||||
HOA Restaurants Group LLC/HOA Finance Corp., 11.25% Sr. Sec. Nts., 4/1/173 |
2,280,000 | 2,091,900 | ||||||
Isle of Capri Casinos, Inc., 7.75% Sr. Unsec. Unsub. Nts., 3/15/19 |
2,030,000 | 2,192,400 | ||||||
Landrys, Inc., 9.375% Sr. Unsec. Nts., 5/1/203 |
2,005,000 | 2,125,300 | ||||||
MGM Mirage, Inc., 6.625% Sr. Unsec. Nts., 7/15/15 |
3,460,000 | 3,719,500 | ||||||
MGM Resorts International, 6.75% Sr. Unsec. Nts., 10/1/203 |
585,000 | 586,463 | ||||||
MTR Gaming Group, Inc., 11.50% Sec. Nts., 8/1/19 |
924,600 | 977,765 | ||||||
Penn National Gaming, Inc., 8.75% Sr. Unsec. Sub. Nts., 8/15/19 |
1,550,000 | 1,743,750 | ||||||
Premier Cruise Ltd., 11% Sr. Nts., 3/15/085,8 |
250,000 | | ||||||
|
|
|||||||
26,166,978 | ||||||||
Household Durables0.3% |
||||||||
Beazer Homes USA, Inc., 9.125% Sr. Unsec. Nts., 5/15/19 |
2,825,000 | 2,853,250 | ||||||
Jarden Corp., 6.125% Sr. Unsec. Nts., 11/15/22 |
225,000 | 244,125 | ||||||
K Hovnanian Enterprises, Inc., 9.125% Sec. Nts., 11/15/203,6 |
480,000 | 484,200 | ||||||
Libbey Glass, Inc., 6.875% Sr. Sec. Nts., 5/15/203 |
770,000 | 831,600 | ||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Luxembourg SA: |
||||||||
5.75% Sr. Sec. Nts., 10/15/203 |
1,020,000 | 1,021,275 | ||||||
9% Sr. Unsec. Unsub. Nts., 4/15/19 |
1,000,000 | 1,025,000 | ||||||
|
|
|||||||
6,459,450 |
29 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Leisure Equipment & Products0.1% |
||||||||
FGI Operating Co. LLC/FGI Finance, Inc., 7.875% Sr. Sec. Nts., 5/1/203 |
$ | 2,005,000 | $ | 2,180,438 | ||||
Media1.5% |
||||||||
Affinion Group Holdings, Inc., 11.625% Sr. Unsec. Nts., 11/15/15 |
1,140,000 | 780,900 | ||||||
Affinion Group, Inc., 7.875% Sr. Unsec. Nts., 12/15/18 |
3,055,000 | 2,512,738 | ||||||
AMC Entertainment, Inc., 8.75% Sr. Unsec. Nts., 6/1/19 |
940,000 | 1,041,050 | ||||||
Belo (A.H.) Corp., 7.75% Sr. Unsec. Unsub. Debs., 6/1/27 |
2,983,000 | 3,027,745 | ||||||
Clear Channel Communications, Inc., 5.75% Sr. Unsec. Unsub. Nts., 1/15/13 |
3,010,000 | 3,028,813 | ||||||
Cumulus Media Holdings, Inc., 7.75% Sr. Unsec. Unsub. Nts., 5/1/19 |
1,230,000 | 1,202,325 | ||||||
DISH DBS Corp.: |
||||||||
5.875% Sr. Unsec. Nts., 7/15/223 |
1,325,000 | 1,364,750 | ||||||
7.875% Sr. Unsec. Nts., 9/1/19 |
2,215,000 | 2,586,013 | ||||||
Entravision Communications Corp., 8.75% Sr. Sec. Nts., 8/1/17 |
1,806,000 | 1,959,510 | ||||||
Gray Television, Inc.: |
||||||||
7.50% Sr. Unsec. Nts., 10/1/203,6 |
2,095,000 | 2,095,000 | ||||||
10.50% Sr. Sec. Nts., 6/29/15 |
1,835,000 | 1,997,856 | ||||||
Newport Television LLC/NTV Finance Corp., 13.75% Sr. Nts., 3/15/173,7 |
1,441,028 | 1,559,913 | ||||||
Nexstar Broadcasting, Inc./Mission Broadcasting, Inc., 8.875% Sec. Nts., 4/15/17 |
1,780,000 | 1,944,650 | ||||||
Sinclair Television Group, Inc.: |
||||||||
6.125% Sr. Nts., 10/1/223,6 |
1,900,000 | 1,911,875 | ||||||
8.375% Sr. Unsec. Nts., 10/15/18 |
775,000 | 858,313 | ||||||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 7.50% Sr. Sec. Nts., 3/15/19 |
1,595,000 | 1,758,488 | ||||||
Univision Communications, Inc., 7.875% Sr. Sec. Nts., 11/1/203 |
1,750,000 | 1,881,250 | ||||||
UPCB Finance V Ltd., 7.25% Sr. Sec. Nts., 11/15/213 |
1,225,000 | 1,338,313 | ||||||
UPCB Finance VI Ltd., 6.875% Sr. Sec. Nts., 1/15/223 |
1,965,000 | 2,092,725 | ||||||
Virgin Media Finance plc, 5.25% Sr. Unsec. Unsub. Nts., 2/15/22 |
760,000 | 801,800 | ||||||
|
|
|||||||
35,744,027 | ||||||||
Specialty Retail0.2% |
||||||||
Burlington Coat Factory Warehouse Corp., 10% Sr. Unsec. Nts., 2/15/19 |
500,000 | 555,625 |
30 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Specialty Retail Continued |
||||||||
J. Crew Group, Inc., 8.125% Sr. Unsec. Nts., 3/1/19 |
$ | 980,000 | $ | 1,031,450 | ||||
Limited Brands, Inc., 5.625% Sr. Nts., 2/15/22 |
1,975,000 | 2,137,938 | ||||||
Michaels Stores, Inc., 7.75% Sr. Unsec. Nts., 11/1/18 |
155,000 | 167,013 | ||||||
Sally Holdings LLC/Sally Capital, Inc., 6.875% Sr. Unsec. Nts., 11/15/19 |
1,830,000 | 2,045,025 | ||||||
|
|
|||||||
5,937,051 | ||||||||
Textiles, Apparel & Luxury Goods0.1% |
||||||||
Levi Strauss & Co., 7.625% Sr. Unsec. Unsub. Nts., 5/15/20 |
940,000 | 1,019,900 | ||||||
Quiksilver, Inc., 6.875% Sr. Unsec. Nts., 4/15/15 |
725,000 | 725,000 | ||||||
|
|
|||||||
1,744,900 | ||||||||
Consumer Staples0.9% |
||||||||
Beverages0.1% |
||||||||
AmBev International Finance Co. Ltd., 9.50% Sr. Unsec. Unsub. Nts., 7/24/174 |
2,080,000 | BRR | 1,169,125 | |||||
Food & Staples Retailing0.2% |
||||||||
Cencosud SA, 5.50% Sr. Unsec. Nts., 1/20/213 |
3,210,000 | 3,526,464 | ||||||
Rite Aid Corp., 7.50% Sr. Sec. Nts., 3/1/17 |
560,000 | 578,200 | ||||||
|
|
|||||||
4,104,664 | ||||||||
Food Products0.6% |
||||||||
American Seafoods Group LLC, 10.75% Sr. Sub. Nts., 5/15/163 |
2,150,000 | 2,187,625 | ||||||
ASG Consolidated LLC, 12.863% Sr. Nts., 5/15/173,7 |
1,831,928 | 1,607,517 | ||||||
Bumble Bee Acquisition Corp., 9% Sr. Sec. Nts., 12/15/173 |
1,662,000 | 1,747,178 | ||||||
Cosan Overseas Ltd., 8.25% Sr. Unsec. Unsub. Nts., 2/5/49 |
1,740,000 | 1,892,250 | ||||||
MHP SA, 10.25% Sr. Unsec. Nts., 4/29/153 |
3,100,000 | 3,162,000 | ||||||
Southern States Cooperative, Inc., 11.25% Sr. Nts., 5/15/153 |
2,465,000 | 2,582,088 | ||||||
|
|
|||||||
13,178,658 | ||||||||
Household Products0.0% |
||||||||
Spectrum Brands Holdings, Inc., 9.50% Sr. Sec. Nts., 6/15/18 |
870,000 | 985,275 | ||||||
Personal Products0.0% |
||||||||
NBTY, Inc., 9% Sr. Unsec. Nts., 10/1/18 |
460,000 | 514,050 |
31 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Tobacco0.0% |
| |||||||
Alliance One International, Inc., 10% Sr. Unsec. Nts., 7/15/16 |
$ | 980,000 | $ | 1,019,200 | ||||
Energy5.1% |
||||||||
Energy Equipment & Services0.4% |
||||||||
Forbes Energy Services Ltd., 9% Sr. Unsec. Nts., 6/15/19 |
800,000 | 780,000 | ||||||
Global Geophysical Services, Inc., 10.50% Sr. Unsec. Nts., 5/1/17 |
1,050,000 | 1,008,000 | ||||||
Hercules Offshore, Inc., 7.125% Sr. Sec. Nts., 4/1/173 |
1,005,000 | 1,046,456 | ||||||
Hornbeck Offshore Services, Inc., 5.875% Sr. Unsec. Nts., 4/1/20 |
2,010,000 | 2,055,225 | ||||||
Offshore Group Investments Ltd., 11.50% Sr. Sec. Nts., 8/1/15 |
2,055,000 | 2,281,050 | ||||||
Precision Drilling Corp., 6.625% Sr. Unsec. Nts., 11/15/20 |
1,850,000 | 1,979,500 | ||||||
SESI LLC, 6.375% Sr. Unsec. Nts., 5/1/19 |
705,000 | 757,875 | ||||||
|
|
|||||||
9,908,106 | ||||||||
Oil, Gas & Consumable Fuels4.7% |
||||||||
Alliance Oil Co. Ltd., 9.875% Sr. Unsec. Nts., 3/11/153 |
1,960,000 | 2,084,166 | ||||||
Antero Resources Finance Corp., 9.375% Sr. Unsec. Nts., 12/1/17 |
1,510,000 | 1,676,100 | ||||||
Arch Coal, Inc., 7.25% Sr. Unsec. Unsub. Nts., 6/15/21 |
655,000 | 550,200 | ||||||
Atlas Pipeline Partners LP/Atlas Pipeline Finance Corp.: |
||||||||
6.625% Sr. Nts., 10/1/203 |
760,000 | 775,200 | ||||||
8.75% Sr. Unsec. Sub. Nts., 6/15/18 |
970,000 | 1,047,600 | ||||||
Bill Barrett Corp., 7.625% Sr. Unsec. Unsub. Nts., 10/1/19 |
795,000 | 846,675 | ||||||
BreitBurn Energy Partners LP/BreitBurn Finance Corp., 8.625% Sr. Unsec. Nts., 10/15/20 |
2,805,000 | 3,078,488 | ||||||
Chaparral Energy, Inc., 9.875% Sr. Unsec. Nts., 10/1/20 |
1,760,000 | 1,997,600 | ||||||
Chesapeake Midstream Partners LP/CHKM Finance Corp., 6.125% Sr. Unsec. Unsub. Nts., 7/15/22 |
1,880,000 | 1,997,500 | ||||||
Cimarex Energy Co., 5.875% Sr. Unsec. Unsub. Nts., 5/1/22 |
1,875,000 | 1,987,500 | ||||||
Cloud Peak Energy Resources LLC/Cloud Peak Energy Finance Corp., 8.50% Sr. Unsec. Unsub. Nts., 12/15/19 |
380,000 | 419,900 | ||||||
Continental Resources, Inc., 5% Sr. Unsec. Nts., 9/15/22 |
1,215,000 | 1,272,713 | ||||||
EP Energy LLC/Everest Acquisition Finance, Inc., 7.75% Sr. Unsec. Nts., 9/1/223 |
1,010,000 | 1,032,725 |
32 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Oil, Gas & Consumable Fuels Continued |
||||||||
Gaz Capital SA: 7.288% Sr. Sec. Nts., 8/16/373 |
$ | 7,675,000 | $ | 9,708,875 | ||||
8.146% Sr. Sec. Nts., 4/11/183 |
4,525,000 | 5,535,071 | ||||||
8.625% Sr. Sec. Nts., 4/28/343 |
2,875,000 | 4,039,375 | ||||||
9.25% Sr. Unsec. Unsub. Nts., 4/23/193 |
6,225,000 | 8,139,188 | ||||||
Hiland Partners LP/Hiland Partners Finance Corp., 7.25% Sr. Nts., 10/1/203 |
290,000 | 301,963 | ||||||
KazMunayGaz National Co., 6.375% Sr. Unsec. Bonds, 4/9/213 |
1,565,000 | 1,886,780 | ||||||
KMG Finance Sub BV, 9.125% Sr. Unsec. Unsub. Nts., 7/2/183 |
3,810,000 | 4,945,342 | ||||||
Linn Energy LLC/Linn Energy Finance Corp., 8.625% Sr. Unsec. Nts., 4/15/20 |
3,620,000 | 3,982,000 | ||||||
Lukoil International Finance BV: |
||||||||
6.125% Sr. Unsec. Nts., 11/9/203 |
4,485,000 | 5,085,990 | ||||||
6.656% Sr. Unsec. Unsub. Bonds, 6/7/223 |
1,350,000 | 1,627,061 | ||||||
7.25% Sr. Unsec. Unsub. Nts., 11/5/193 |
1,030,000 | 1,245,064 | ||||||
MEG Energy Corp., 6.50% Sr. Unsec. Nts., 3/15/213 |
3,195,000 | 3,434,625 | ||||||
Murray Energy Corp., 10.25% Sr. Sec. Nts., 10/15/153 |
1,470,000 | 1,447,950 | ||||||
Navios Maritime Acquisition Corp., 8.625% Sr. Sec. Nts., 11/1/17 |
695,000 | 665,463 | ||||||
Odebrecht Drilling Norbe VIII/IX Ltd., 6.35% Sr. Sec. Nts., 6/30/213 |
2,100,050 | 2,372,006 | ||||||
Pemex Project Funding Master Trust, 6.625% Unsec. Unsub. Bonds, 6/15/35 |
3,625,000 | 4,567,500 | ||||||
Pertamina Persero PT: |
||||||||
5.25% Nts., 5/23/213 |
1,310,000 | 1,459,013 | ||||||
6% Sr. Unsec. Nts., 5/3/423 |
1,335,000 | 1,451,813 | ||||||
6.50% Sr. Unsec. Nts., 5/27/413 |
985,000 | 1,137,675 | ||||||
Petroleos de Venezuela SA: |
||||||||
4.90% Sr. Unsec. Nts., Series 2014, 10/28/14 |
3,060,000 | 2,770,830 | ||||||
8.50% Sr. Nts., 11/2/173 |
3,520,000 | 3,194,400 | ||||||
12.75% Sr. Unsec. Nts., 2/17/223 |
1,690,000 | 1,732,250 | ||||||
Petroleos Mexicanos: |
||||||||
1.95% Sr. Unsec. Nts., 12/20/22 |
185,000 | 189,878 | ||||||
2% Sr. Unsec. Nts., 12/20/22 |
915,000 | 941,417 | ||||||
5.50% Sr. Unsec. Unsub. Nts., 1/21/21 |
1,650,000 | 1,942,875 | ||||||
5.50% Sr. Unsec. Unsub. Nts., 6/27/44 |
2,980,000 | 3,285,450 | ||||||
6% Sr. Unsec. Unsub. Nts., 3/5/20 |
2,005,000 | 2,406,000 |
33 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Oil, Gas & Consumable Fuels Continued |
||||||||
Petroleum Co. of Trinidad & Tobago Ltd., 9.75% Sr. Unsec. Nts., 8/14/193 |
$ | 2,340,000 | $ | 3,030,300 | ||||
Quicksilver Resources, Inc.: |
||||||||
8.25% Sr. Unsec. Nts., 8/1/15 |
985,000 | 943,138 | ||||||
11.75% Sr. Nts., 1/1/16 |
840,000 | 852,600 | ||||||
Range Resources Corp., 8% Sr. Unsec. Sub. Nts., 5/15/19 |
875,000 | 975,625 | ||||||
Samson Investment Co., 9.75% Sr. Unsec. Nts., 2/15/203 |
1,510,000 | 1,557,188 | ||||||
SandRidge Energy, Inc.: |
||||||||
7.50% Sr. Nts., 2/15/233 |
1,625,000 | 1,677,813 | ||||||
8.75% Sr. Unsec. Nts., 1/15/20 |
875,000 | 951,563 | ||||||
Schahin II Finance Co. SPV Ltd., 5.875% Sr. Sec. Unsub. Nts., 9/25/223 |
2,810,000 | 2,950,500 | ||||||
SM Energy Co., 6.50% Sr. Nts., 1/1/233 |
1,015,000 | 1,067,019 | ||||||
Tengizchevroil LLP, 6.124% Nts., 11/15/145 |
661,080 | 695,787 | ||||||
Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.875% Sr. Nts., 10/1/203 |
580,000 | 595,950 | ||||||
Venoco, Inc., 8.875% Sr. Unsec. Nts., 2/15/19 |
1,375,000 | 1,203,125 | ||||||
|
|
|||||||
114,762,829 | ||||||||
Financials4.8% |
||||||||
Capital Markets0.6% |
||||||||
Banco BTG Pactual SA (Cayman), 5.75% Unsec. Sub. Nts., 9/28/223 |
1,725,000 | 1,750,875 | ||||||
Credit Suisse AG (Guernsey), 1.625% Sec. Bonds, 3/6/153 |
381,500 | 388,790 | ||||||
Edgen Murray Corp., 12.25% Sr. Sec. Nts., 1/15/15 |
1,420,000 | 1,522,950 | ||||||
Nationstar Mortgage LLC/Nationstar Capital Corp.: |
||||||||
7.875% Sr. Unsec. Nts., 10/1/203 |
580,000 | 593,050 | ||||||
10.875% Sr. Unsec. Nts., 4/1/15 |
3,715,000 | 4,044,706 | ||||||
Nuveen Investments, Inc., 9.50% Sr. Unsec. Nts., 10/15/203 |
1,020,000 | 1,020,000 | ||||||
Pinafore LLC/Pinafore, Inc., 9% Sec. Nts., 10/1/18 |
2,244,000 | 2,513,280 | ||||||
Springleaf Finance Corp., 6.90% Nts., Series J, 12/15/17 |
1,300,000 | 1,111,500 | ||||||
UBS AG (Jersey Branch): |
||||||||
4.28% Unsec. Sub. Nts., 4/29/49 |
175,000 | EUR | 202,845 | |||||
7.152% Unsec. Sub. Nts., 12/29/49 |
125,000 | EUR | 162,840 | |||||
UBS AG (London), 2.25% Sec. Nts., 3/30/173 |
495,000 | 515,849 |
34 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Capital Markets Continued |
||||||||
UBS Capital Securities Jersey Ltd., 8.836% Sub. Nts., 4/29/49 |
250,000 | EUR | $ | 326,081 | ||||
Verso Paper Holdings LLC/Verso Paper, Inc.: |
||||||||
8.75% Sr. Sec. Nts., 2/1/19 |
2,495,000 | 1,222,550 | ||||||
11.375% Sr. Unsec. Sub. Nts., Series B, 8/1/16 |
526,000 | 312,970 | ||||||
|
|
|||||||
15,688,286 | ||||||||
Commercial Banks2.9% |
||||||||
Akbank TAS, 5.125% Sr. Unsec. Nts., 7/22/155 |
1,595,000 | 1,656,806 | ||||||
Alfa Bank/Alfa Bond Issuance plc, 7.875% Nts., 9/25/173 |
2,070,000 | 2,241,293 | ||||||
Banco Bilbao Vizcaya Argentaria SA, 4% Sec. Nts., 2/25/25 |
180,000 | EUR | 202,073 | |||||
Banco BMG SA: |
||||||||
8.875% Unsec. Sub. Nts., 8/5/203 |
445,000 | 382,700 | ||||||
9.15% Nts., 1/15/165 |
1,304,000 | 1,287,700 | ||||||
9.95% Unsec. Unsub. Nts., 11/5/193 |
1,260,000 | 1,184,400 | ||||||
Banco do Brasil SA (Cayman), 9.25% Perpetual Jr. Sub. Bonds3,17 |
6,205,000 | 7,414,975 | ||||||
Banco do Estado do Rio Grande do Sul SA, 7.375% Sub Nts., 2/2/223 |
2,465,000 | 2,754,638 | ||||||
Bancolombia SA, 5.125% Unsec. Sub. Nts., 9/11/22 |
1,825,000 | 1,852,375 | ||||||
Bank of Scotland plc: |
||||||||
4.875% Sr. Sec. Nts., 12/20/24 |
210,000 | GBP | 407,745 | |||||
4.875% Sr. Sec. Unsub. Nts., 11/8/16 |
125,000 | GBP | 230,827 | |||||
Barclays Bank plc: |
||||||||
2.25% Sr. Sec. Bonds, 5/10/173 |
870,000 | 897,769 | ||||||
6% Sr. Unsec. Sub. Nts., 1/14/21 |
100,000 | EUR | 130,452 | |||||
BBVA Banco Continental SA, 5% Sr. Unsec. Nts., 8/26/223 |
1,365,000 | 1,405,950 | ||||||
BOM Capital plc, 6.699% Sr. Unsec. Nts., 3/11/153 |
4,670,000 | 4,985,225 | ||||||
CIT Group, Inc.: |
||||||||
4.25% Sr. Unsec. Nts., 8/15/17 |
405,000 | 422,418 | ||||||
5% Sr. Unsec. Nts., 8/15/22 |
1,625,000 | 1,699,198 | ||||||
Commonwealth Bank of Australia (New York), 0.031% Sr. Unsec. Nts., 12/31/1712 |
630,000 | 632,279 | ||||||
Corp Andina de Fomento, 4.375% Sr. Unsec. Unsub. Nts., 6/15/22 |
1,470,000 | 1,601,956 | ||||||
Corp Financiera de Desarrollo SA, 4.75% Sr. Unsec. Nts., 2/8/223 |
1,435,000 | 1,589,263 | ||||||
EUROFIMA, 6.25% Bonds, 12/28/18 |
870,000 | AUD | 1,000,075 |
35 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Commercial Banks Continued |
||||||||
Grupo Aval Ltd., 4.75% Sr. Unsec. Nts., 9/26/223 |
$ | 1,825,000 | $ | 1,802,188 | ||||
Halyk Savings Bank of Kazakhstan JSC: |
||||||||
7.25% Unsec. Unsub. Nts., 5/3/173 |
680,000 | 709,750 | ||||||
9.25% Sr. Nts., 10/16/135 |
4,265,000 | 4,522,197 | ||||||
ICICI Bank Ltd., 6.375% Bonds, 4/30/223,4 |
1,775,000 | 1,792,750 | ||||||
Lloyds TSB Bank plc: |
||||||||
6% Sr. Sec. Nts., 2/8/29 |
375,000 | GBP | 801,514 | |||||
11.875% Unsec. Sub. Nts., 12/16/21 |
625,000 | EUR | 925,278 | |||||
Royal Bank of Scotland plc (The): |
||||||||
2.375% Sr. Unsec. Sub. Nts., 11/2/15 |
75,000 | CHF | 75,468 | |||||
13.125% Unsec. Sub. Nts., 3/19/22 |
175,000 | AUD | 206,349 | |||||
Sberbank of Russia Via SB Capital SA: 5.40% Sr. Unsec. Nts., 3/24/17 |
4,310,000 | 4,636,870 | ||||||
6.125% Sr. Nts., 2/7/223 |
3,525,000 | 3,903,938 | ||||||
Societe Generale SCF SA, 1.931% Sec. Unsub. Nts., 6/19/174 |
100,000 | 101,268 | ||||||
Sparebank 1 Boligkreditt AS, 2.30% Sec. Bonds, 6/30/173 |
620,000 | 648,141 | ||||||
Stadshypotek AB: |
||||||||
1.875% Sec. Nts., 10/2/193,6 |
630,000 | 631,252 | ||||||
6% Sec. Unsub. Bonds, 6/21/17 |
4,385,000 | SEK | 781,974 | |||||
State Bank of India (London), 4.125% Sr. Unsec. Unsub. Nts., 8/1/173 |
3,330,000 | 3,410,862 | ||||||
Sumitomo Mitsui Banking Corp., 1.80% Sr. Unsec. Nts., 7/18/17 |
385,000 | 391,535 | ||||||
Swedbank Hypotek AB, 2.375% Sec. Nts., 4/5/173 |
470,000 | 492,769 | ||||||
Toronto-Dominion Bank (The), 1.50% Sec. Bonds, 3/13/173 |
510,000 | 525,110 | ||||||
Turkiye Garanti Bankasi AS, 4.175% Sr. Unsec. Nts., 9/13/173 |
1,365,000 | 1,369,232 | ||||||
Turkiye Halk Bankasi AS, 4.875% Sr. Unsec. Nts., 7/19/173 |
1,630,000 | 1,672,869 | ||||||
VTB Capital SA: |
||||||||
6.315% Nts., 2/22/183 |
3,535,000 | 3,734,233 | ||||||
6.465% Sr. Sec. Unsub. Nts., 3/4/153 |
995,000 | 1,060,441 | ||||||
Yapi ve Kredi Bankasi AS, 6.75% Sr. Unsec. Nts., 2/8/173 |
1,460,000 | 1,574,975 | ||||||
|
|
|||||||
69,751,080 | ||||||||
Consumer Finance0.2% |
||||||||
Community Choice Financial, Inc., 10.75% Sr. Sec. Nts., 5/1/193 |
985,000 | 965,300 | ||||||
JSC Astana Finance, 9.16% Nts., 3/14/128 |
7,200,000 | 540,000 | ||||||
Speedy Cash, Inc., 10.75% Sr. Sec. Nts., 5/15/183 |
1,180,000 | 1,250,800 | ||||||
TMX Finance LLC/TitleMax Finance Corp., 13.25% Sr. Sec. Nts., 7/15/15 |
900,000 | 1,003,500 | ||||||
|
|
|||||||
3,759,600 |
36 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Diversified Financial Services0.5% |
||||||||
Autopistas del Nordeste Cayman Ltd., 9.39% Nts., 1/15/263 |
$ | 2,472,556 | $ | 2,524,727 | ||||
Banco Invex SA, 30.969% Mtg.-Backed Certificates, Series 062U, 3/13/344,16 |
4,830,734 | MXN | 433,690 | |||||
Caisse Centrale Desjardins du Quebec, 1.60% Sec. Bonds, 3/6/173 |
510,000 | 526,485 | ||||||
Export Credit Bank of Turkey, 5.875% Sr. Unsec. Nts., 4/24/193 |
1,705,000 | 1,880,615 | ||||||
GMAC LLC, 8% Sr. Unsec. Nts., 11/1/31 |
2,140,000 | 2,505,940 | ||||||
Instituto de Credito Oficial: |
||||||||
5% Sr. Unsec. Unsub. Nts., 11/14/16 |
635,000 | 627,455 | ||||||
5% Sr. Unsec. Unsub. Nts., 4/10/17 |
1,260,000 | 1,235,138 | ||||||
JPMorgan Hipotecaria su Casita: 8.175% Sec. Nts., 8/26/355,16 |
5,808,600 | MXN | 54,152 | |||||
29.289% Mtg.-Backed Certificates, Series 06U, 9/25/354,16 |
1,574,780 | MXN | 234,882 | |||||
PHH Corp., 9.25% Sr. Unsec. Unsub. Nts., 3/1/16 |
2,030,000 | 2,339,575 | ||||||
|
|
|||||||
12,362,659 | ||||||||
Insurance0.1% |
||||||||
International Lease Finance Corp., 8.75% Sr. Unsec. Unsub. Nts., 3/15/17 |
1,475,000 | 1,733,125 | ||||||
Swiss Reinsurance Co. via ELM BV, 4.568% Sr. Sec. Sub. Nts., 5/25/494 |
125,000 | AUD | 102,298 | |||||
|
|
|||||||
1,835,423 | ||||||||
Real Estate Investment Trusts (REITs)0.2% |
||||||||
FelCor Escrow Holdings LLC, 6.75% Sr. Sec. Nts., 6/1/19 |
1,980,000 | 2,133,450 | ||||||
OMEGA Healthcare Investors, Inc., 6.75% Sr. Unsec. Nts., 10/15/22 |
2,470,000 | 2,741,700 | ||||||
|
|
|||||||
4,875,150 | ||||||||
Real Estate Management & Development0.3% |
||||||||
Ainsworth Lumber Co. Ltd., 11% Sr. Unsec. Unsub. Nts., 7/29/153,7 |
3,067,371 | 2,929,339 | ||||||
Realogy Corp.: |
||||||||
7.625% Sr. Sec. Nts., 1/15/203 |
1,975,000 | 2,187,313 | ||||||
9% Sr. Sec. Nts., 1/15/203 |
1,010,000 | 1,118,575 | ||||||
Wallace Theater Holdings, Inc., 12.50% Sr. Sec. Nts., 6/15/133,4 |
1,250,000 | 1,243,750 | ||||||
|
|
|||||||
7,478,977 |
37 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Health Care0.9% |
||||||||
Biotechnology0.1% |
||||||||
Grifols SA, 8.25% Sr. Sec. Nts., 2/1/18 |
$ | 800,000 | $ | 888,000 | ||||
Universal Hospital Services, Inc., 7.625% Sr. Sec. Nts., 8/15/203 |
465,000 | 485,925 | ||||||
|
|
|||||||
1,373,925 | ||||||||
Health Care Equipment & Supplies0.2% |
||||||||
Accellent, Inc., 10% Sr. Unsec. Sub. Nts., 11/1/17 |
1,145,000 | 973,250 | ||||||
Alere, Inc.: |
||||||||
7.875% Sr. Unsec. Unsub. Nts., 2/1/16 |
1,045,000 | 1,097,250 | ||||||
8.625% Sr. Unsec. Sub. Nts., 10/1/18 |
1,030,000 | 1,086,650 | ||||||
Biomet, Inc., 6.50% Sr. Unsec. Nts., 8/1/203 |
820,000 | 851,775 | ||||||
Hologic, Inc., 6.25% Sr. Unsec. Nts., 8/1/203 |
145,000 | 154,425 | ||||||
|
|
|||||||
4,163,350 | ||||||||
Health Care Providers & Services0.4% |
||||||||
Catalent Pharma Solutions, Inc., 9.50% Sr. Unsec. Nts., 4/15/15 |
400 | 410 | ||||||
CHS/Community Health Systems, Inc., 7.125% Sr. Unsec. Unsub. Nts., 7/15/20 |
620,000 | 662,238 | ||||||
Fresenius Medical Care US Finance II, Inc.: |
||||||||
5.625% Sr. Unsec. Nts., 7/31/193 |
625,000 | 667,188 | ||||||
5.875% Sr. Unsec. Nts., 1/31/223 |
315,000 | 337,838 | ||||||
Gentiva Health Services, Inc., 11.50% Sr. Unsec. Unsub. Nts., 9/1/18 |
1,170,000 | 1,110,038 | ||||||
Kindred Healthcare, Inc., 8.25% Sr. Unsec. Nts., 6/1/19 |
2,145,000 | 2,096,738 | ||||||
Multiplan, Inc., 9.875% Sr. Nts., 9/1/183 |
1,150,000 | 1,276,500 | ||||||
Oncure Holdings, Inc., 11.75% Sr. Sec. Nts., 5/15/17 |
1,130,000 | 694,950 | ||||||
PSS World Medical, Inc., 6.375% Sr. Unsec. Unsub. Nts., 3/1/22 |
455,000 | 486,281 | ||||||
Radiation Therapy Services, Inc.: |
||||||||
8.875% Sr. Sec. Nts., 1/15/17 |
1,080,000 | 1,047,600 | ||||||
9.875% Sr. Unsec. Sub. Nts., 4/15/17 |
900,000 | 659,250 | ||||||
US Oncology, Inc., Escrow Shares (related to 9.125% Sr. Sec. Nts., 8/15/17)8 |
1,730,000 | 30,275 | ||||||
Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc., 8% Sr. Nts., 2/1/18 |
1,595,000 | 1,710,638 | ||||||
|
|
|||||||
10,779,944 |
38 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Health Care Technology0.0% |
||||||||
MedAssets, Inc., 8% Sr. Unsec. Nts., 11/15/18 |
$ | 305,000 | $ | 333,975 | ||||
Life Sciences Tools & Services0.0% |
||||||||
Jaguar Holding Co./Jaguar Merger Sub, Inc., 9.50% Sr. Unsec. Nts., 12/1/193 |
770,000 | 868,175 | ||||||
Pharmaceuticals0.2% |
||||||||
DJO Finance LLC/DJO Finance Corp., 10.875% Sr. Unsec. Nts., 11/15/14 |
535,000 | 556,400 | ||||||
Mylan, Inc., 6% Sr. Nts., 11/15/183 |
810,000 | 862,650 | ||||||
Valeant Pharmaceuticals International, Inc., 6.875% Sr. Unsec. Nts., 12/1/183 |
765,000 | 808,988 | ||||||
Warner Chilcott Co. LLC/Warner Chilcott Finance LL C, 7.75% Sr. Unsec. Nts., 9/15/18 |
2,320,000 | 2,488,200 | ||||||
|
|
|||||||
4,716,238 | ||||||||
Industrials3.1% |
||||||||
Aerospace & Defense0.6% |
||||||||
BE Aerospace, Inc., 6.875% Sr. Nts., 10/1/20 |
840,000 | 936,600 | ||||||
DynCorp International, Inc., 10.375% Sr. Unsec. Nts., 7/1/17 |
4,005,000 | 3,474,338 | ||||||
Embraer SA, 5.15% Sr. Unsec. Unsub. Nts., 6/15/22 |
1,655,000 | 1,780,449 | ||||||
Huntington Ingalls Industries, Inc., 7.125% Sr. Unsec. Unsub. Nts., 3/15/21 |
1,410,000 | 1,524,563 | ||||||
Kratos Defense & Security Solutions, Inc., 10% Sr. Sec. Nts., 6/1/17 |
1,040,000 | 1,128,400 | ||||||
Schaeffler Finance BV, 8.50% Sr. Sec. Nts., 2/15/193 |
1,100,000 | 1,237,500 | ||||||
TransDigm, Inc., 7.75% Sr. Unsec. Sub. Nts., 12/15/18 |
2,660,000 | 2,952,600 | ||||||
|
|
|||||||
13,034,450 | ||||||||
Air Freight & Logistics0.1% |
||||||||
Air Medical Group Holdings, Inc., 9.25% Sr. Sec. Nts., 11/1/18 |
770,000 | 843,150 | ||||||
SPL Logistics Escrow LLC/SPL Logistics Finance Corp., 8.875% Sr. Sec. Nts., 8/1/203 |
2,020,000 | 2,171,500 | ||||||
|
|
|||||||
3,014,650 | ||||||||
Airlines0.2% |
||||||||
American Airlines 2011-2 Class A Pass-Through Trust, 8.625% Sec. Certificates, 4/15/23 |
407,601 | 438,680 | ||||||
Delta Air Lines, Inc., 12.25% Sr. Sec. Nts., 3/15/153 |
3,630,000 | 3,956,700 | ||||||
|
|
|||||||
4,395,380 |
39 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Building Products0.2% |
||||||||
Associated Materials LLC, 9.125% Sr. Sec. Nts., 11/1/173 |
$ | 1,105,000 | $ | 1,088,425 | ||||
Ply Gem Industries, Inc.: |
||||||||
9.375% Sr. Nts., 4/15/173 |
1,495,000 | 1,506,213 | ||||||
13.125% Sr. Unsec. Sub. Nts., 7/15/14 |
1,940,000 | 2,080,650 | ||||||
|
|
|||||||
4,675,288 | ||||||||
Commercial Services & Supplies0.3% |
||||||||
Cenveo Corp., 8.875% Sec. Nts., 2/1/18 |
770,000 | 733,425 | ||||||
First Data Corp., 6.75% Sr. Sec. Nts., 11/1/203 |
1,630,000 | 1,627,963 | ||||||
R.R. Donnelley & Sons Co., 7.25% Sr. Nts., 5/15/18 |
2,000,000 | 1,995,000 | ||||||
STHI Holding Corp., 8% Sec. Nts., 3/15/183 |
795,000 | 850,650 | ||||||
West Corp., 8.625% Sr. Unsec. Nts., 10/1/18 |
1,785,000 | 1,883,175 | ||||||
|
|
|||||||
7,090,213 | ||||||||
Construction & Engineering0.4% |
||||||||
IIRSA Norte Finance Ltd., 8.75% Sr. Nts., 5/30/245 |
3,608,768 | 4,474,872 | ||||||
Odebrecht Finance Ltd.: |
||||||||
5.125% Sr. Nts., 6/26/223 |
2,220,000 | 2,369,850 | ||||||
7% Sr. Unsec. Nts., 4/21/203 |
1,205,000 | 1,367,675 | ||||||
7.125% Sr. Nts., 6/26/423 |
1,660,000 | 1,853,390 | ||||||
|
|
|||||||
10,065,787 | ||||||||
Electrical Equipment0.1% |
||||||||
General Cable Corp., 5.75% Sr. Unsec. Unsub. Nts., 10/1/223 |
770,000 | 785,400 | ||||||
Thermon Industries, Inc., 9.50% Sr. Sec. Nts., 5/1/17 |
1,397,000 | 1,562,894 | ||||||
|
|
|||||||
2,348,294 | ||||||||
Industrial Conglomerates0.0% |
||||||||
GE Capital Australia Funding Pty Ltd., 7% Bonds, 10/8/15 |
590,000 | AUD | 662,290 | |||||
Machinery0.5% |
||||||||
Actuant Corp., 5.625% Sr. Unsec. Unsub. Nts., 6/15/22 |
1,220,000 | 1,271,850 | ||||||
Cleaver-Brooks, Inc., 12.25% Sr. Sec. Nts., 5/1/165 |
1,880,000 | 2,025,700 | ||||||
CNH Capital LLC, 6.25% Sr. Unsec. Nts., 11/1/163 |
520,000 | 567,450 | ||||||
Manitowoc Co., Inc. (The), 8.50% Sr. Unsec. Nts., 11/1/20 |
2,655,000 | 2,983,556 |
40 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Machinery Continued |
||||||||
Navistar International Corp., 3% Cv. Sr. Sub. Nts., 10/15/14 |
$ | 1,100,000 | $ | 981,063 | ||||
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 |
1,930,000 | 2,065,100 | ||||||
Xerium Technologies, Inc., 8.875% Sr. Unsec. Nts., 6/15/18 |
1,245,000 | 1,108,050 | ||||||
|
|
|||||||
12,989,169 | ||||||||
Marine0.2% |
||||||||
Drill Rigs Holdings, Inc., 6.50% Sr. Sec. Nts., 10/1/173 |
200,000 | 199,250 | ||||||
Marquette Transportation Co./Marquette Transportation Finance Corp., 10.875% Sec. Nts., 1/15/17 |
2,790,000 | 2,950,425 | ||||||
Navios Maritime Holdings, Inc./Navios Maritime Finance U.S., Inc., 8.875% Sr. Sec. Nts., 11/1/17 |
565,000 | 582,656 | ||||||
|
|
|||||||
3,732,331 | ||||||||
Professional Services0.0% |
||||||||
Altegrity, Inc., 10.50% Sr. Unsec. Sub. Nts., 11/1/155 |
995,000 | 875,600 | ||||||
Road & Rail0.4% |
||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, Inc., 8.25% Sr. Unsec. Unsub. Nts., 1/15/19 |
905,000 | 989,844 | ||||||
Hertz Corp. (The), 7.50% Sr. Unsec. Nts., 10/15/18 |
2,410,000 | 2,614,850 | ||||||
Kazakhstan Temir Zholy Finance BV, 6.375% Sr. Unsec. Nts., 10/6/203 |
810,000 | 974,924 | ||||||
Transnet SOC Ltd., 4% Sr. Unsec. Nts., 7/26/223 |
1,605,000 | 1,635,495 | ||||||
Western Express, Inc., 12.50% Sr. Sec. Nts., 4/15/153 |
3,730,000 | 2,517,750 | ||||||
|
|
|||||||
8,732,863 | ||||||||
Trading Companies & Distributors0.1% |
||||||||
UR Financing Escrow Corp.: |
||||||||
7.375% Sr. Unsec. Nts., 5/15/203 |
2,430,000 | 2,618,325 | ||||||
7.625% Sr. Unsec. Nts., 4/15/223 |
605,000 | 663,988 | ||||||
|
|
|||||||
3,282,313 | ||||||||
Information Technology0.9% |
||||||||
Communications Equipment0.1% |
||||||||
Avaya, Inc., 7% Sr. Sec. Nts., 4/1/193 |
1,955,000 | 1,827,925 | ||||||
ViaSat, Inc., 6.875% Sr. Unsec. Unsub. Nts., 6/15/20 |
913,000 | 944,955 | ||||||
Zayo Group LLC/Zayo Capital, Inc.: |
||||||||
8.125% Sr. Sec. Nts., 1/1/20 |
465,000 | 510,338 | ||||||
10.125% Sr. Sec. Nts., 7/1/20 |
310,000 | 344,100 | ||||||
|
|
|||||||
3,627,318 |
41 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Computers & Peripherals0.1% |
||||||||
Seagate HDD (Cayman), 7% Sr. Unsec. Nts., 11/1/21 |
$ | 1,665,000 | $ | 1,789,875 | ||||
Electronic Equipment, Instruments & Components0.0% |
||||||||
Anixter, Inc., 5.625% Sr. Unsec. Nts., 5/1/19 |
770,000 | 808,500 | ||||||
Internet Software & Services0.2% |
||||||||
ITC DeltaCom, Inc., 10.50% Sr. Sec. Nts., 4/1/16 |
3,650,000 | 3,923,750 | ||||||
IT Services0.1% |
||||||||
Ceridian Corp., 11.25% Sr. Unsec. Nts., 11/15/15 |
995,000 | 985,050 | ||||||
First Data Corp.: |
||||||||
9.875% Sr. Unsec. Nts., 9/24/15 |
955,000 | 978,875 | ||||||
12.625% Sr. Unsec. Nts., 1/15/21 |
1,670,000 | 1,738,888 | ||||||
|
|
|||||||
3,702,813 | ||||||||
Semiconductors & Semiconductor Equipment0.3% |
||||||||
Advanced Micro Devices, Inc., 7.75% Sr. Unsec. Nts., 8/1/20 |
1,287,000 | 1,312,740 | ||||||
Amkor Technologies, Inc., 6.625% Sr. Unsec. Nts., 6/1/21 |
935,000 | 953,700 | ||||||
Freescale Semiconductor, Inc.: |
||||||||
9.25% Sr. Sec. Nts., 4/15/183 |
1,710,000 | 1,868,175 | ||||||
10.75% Sr. Unsec. Nts., 8/1/20 |
1,950,000 | 2,120,625 | ||||||
|
|
|||||||
6,255,240 | ||||||||
Software0.1% |
||||||||
Lawson Software, Inc., 9.375% Sr. Nts., 4/1/193 |
380,000 | 423,700 | ||||||
SunGard Data Systems, Inc.: |
||||||||
7.375% Sr. Unsec. Nts., 11/15/18 |
560,000 | 603,400 | ||||||
7.625% Sr. Unsec. Nts., 11/15/20 |
765,000 | 833,850 | ||||||
|
|
|||||||
1,860,950 | ||||||||
Materials2.0% |
||||||||
Chemicals0.5% |
||||||||
ADS Waste Holdings, Inc., 8.25% Sr. Nts., 10/1/203,6 |
380,000 | 388,550 | ||||||
Braskem America Finance Co., 7.125% Sr. Unsec. Nts., 7/22/413 |
1,520,000 | 1,618,800 | ||||||
Braskem Finance Ltd.: |
||||||||
5.375% Sr. Unsec. Nts., 5/2/223 |
2,180,000 | 2,267,200 | ||||||
5.75% Sr. Unsec. Nts., 4/15/213 |
560,000 | 596,400 | ||||||
Ferro Corp., 7.875% Sr. Unsec. Nts., 8/15/18 |
880,000 | 853,600 |
42 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Chemicals Continued |
||||||||
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance ULC, 8.875% Sr. Sec. Nts., 2/1/18 |
$ | 980,000 | $ | 1,011,850 | ||||
Ineos Finance plc, 8.375% Sr. Sec. Bonds, 2/15/193 |
1,480,000 | 1,563,250 | ||||||
LyondellBasell Industries NV, 6% Sr. Unsec. Nts., 11/15/21 |
1,185,000 | 1,356,825 | ||||||
Mexichem SAB de CV: |
||||||||
4.875% Sr. Unsec. Nts., 9/19/223 |
905,000 | 920,838 | ||||||
6.75% Sr. Unsec. Nts., 9/19/423 |
725,000 | 754,145 | ||||||
Scotts Miracle-Gro Co. (The), 6.625% Sr. Unsec. Unsub. Nts., 12/15/20 |
250,000 | 270,625 | ||||||
|
|
|||||||
11,602,083 | ||||||||
Construction Materials0.3% |
||||||||
Building Materials Corp. of America, 6.75% Sr. Nts., 5/1/213 |
1,540,000 | 1,690,150 | ||||||
CEMEX Espana Luxembourg, 9.875% Sr. Sec. Nts., 4/30/193 |
1,955,000 | 2,008,763 | ||||||
CEMEX SAB de CV, 9% Sr. Sec. Nts., 1/11/183 |
1,285,000 | 1,291,425 | ||||||
Ply Gem Industries, Inc., 8.25% Sr. Sec. Nts., 2/15/18 |
1,315,000 | 1,379,106 | ||||||
|
|
|||||||
6,369,444 | ||||||||
Containers & Packaging0.3% |
||||||||
Berry Plastics Corp., 9.75% Sec. Nts., 1/15/21 |
1,580,000 | 1,809,100 | ||||||
Consolidated Container Co. LLC/Consolidated Container Capital, Inc., 10.125% Sr. Unsec. Nts., 7/15/203 |
465,000 | 497,550 | ||||||
Polymer Group, Inc., 7.75% Sr. Sec. Nts., 2/1/19 |
2,075,000 | 2,220,250 | ||||||
Rock-Tenn Co., 4.45% Sr. Unsec. Nts., 3/1/193 |
455,000 | 480,877 | ||||||
Verso Paper Holdings LLC/Verso Paper, Inc., 11.75% Sr. Sec. Nts., 1/15/193 |
3,414,000 | 2,645,850 | ||||||
|
|
|||||||
7,653,627 | ||||||||
Metals & Mining0.6% |
||||||||
Aleris International, Inc., 7.625% Sr. Unsec. Nts., 2/15/18 |
1,895,000 | 2,022,913 | ||||||
Alrosa Co. Ltd., 8.25% Sr. Unsec. Nts., 6/23/154 |
19,220,000 | RUR | 620,129 | |||||
Alrosa Finance SA, 7.75% Nts., 11/3/203 |
3,085,000 | 3,509,188 | ||||||
Consolidated Minerals Ltd., 8.875% Sr. Sec. Nts., 5/1/163 |
1,245,000 | 1,027,125 | ||||||
CSN Islands XI Corp., 6.875% Sr. Unsec. Nts., 9/21/193 |
1,360,000 | 1,523,200 |
43 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Metals & Mining Continued |
||||||||
Ferrexpo Finance plc, 7.875% Sr. Unsec. Bonds, 4/7/163 |
$ | 1,435,000 | $ | 1,363,250 | ||||
JSC Severstal, 6.70% Nts., 10/25/173 |
2,450,000 | 2,631,031 | ||||||
Novelis, Inc., 8.75% Sr. Unsec. Nts., 12/15/20 |
465,000 | 517,313 | ||||||
Novolipetsk Steel OJSC, 4.95% Nts., 9/26/193 |
1,825,000 | 1,811,920 | ||||||
|
|
|||||||
15,026,069 | ||||||||
Paper & Forest Products0.3% |
||||||||
Appleton Papers, Inc., 10.50% Sr. Sec. Nts., 6/15/153 |
1,280,000 | 1,366,400 | ||||||
Catalyst Paper Corp.: |
||||||||
13% Sec. Nts., 12/15/164,5 |
657,777 | 638,044 | ||||||
11% Sr. Sec. Nts., 12/15/16 |
2,583,645 | 2,041,080 | ||||||
NewPage Corp., 11.375% Sr. Sec. Nts., 12/31/148 |
3,325,000 | 2,111,375 | ||||||
Norske Skogindustrier ASA, 6.125% Unsec. Bonds, 10/15/153 |
1,500,000 | 1,222,500 | ||||||
|
|
|||||||
7,379,399 | ||||||||
Telecommunication Services2.3% |
||||||||
Diversified Telecommunication Services1.0% |
||||||||
Brasil Telecom SA, 9.75% Sr. Unsec. Nts., 9/15/163 |
2,990,000 | BRR | 1,556,024 | |||||
Cincinnati Bell, Inc.: |
||||||||
8.25% Sr. Nts., 10/15/17 |
1,365,000 | 1,463,963 | ||||||
8.75% Sr. Unsec. Sub. Nts., 3/15/18 |
1,050,000 | 1,071,000 | ||||||
Colombia Telecomunicaciones SA ESP, 5.375% Sr. Unsec. Nts., 9/27/223 |
1,295,000 | 1,317,663 | ||||||
Frontier Communications Corp.: |
||||||||
8.25% Sr. Unsec. Nts., 4/15/17 |
950,000 | 1,083,000 | ||||||
8.50% Sr. Unsec. Nts., 4/15/20 |
635,000 | 720,725 | ||||||
Intelsat Bermuda Ltd.: |
||||||||
11.25% Sr. Unsec. Nts., 2/4/17 |
2,055,000 | 2,180,869 | ||||||
11.50% Sr. Unsec. Nts., 2/4/177 |
1,424,414 | 1,515,220 | ||||||
Intelsat Jackson Holdings SA, 7.25% Sr. Unsec. Nts., 10/15/20 |
755,000 | 816,344 | ||||||
Level 3 Communications, Inc., 8.875% Sr. Unsec. Nts., 6/1/193 |
1,740,000 | 1,833,525 | ||||||
Level 3 Financing, Inc., 9.375% Sr. Unsec. Unsub. Nts., 4/1/19 |
595,000 | 663,425 | ||||||
Telemar Norte Leste SA, 5.50% Sr. Unsec. Nts., 10/23/203 |
7,260,000 | 7,659,300 | ||||||
Wind Acquisition Finance SA, 7.25% Sr. Sec. Nts., 2/15/183 |
1,975,000 | 1,886,125 | ||||||
Windstream Corp., 7.50% Sr. Unsec. Unsub. Nts., 6/1/223 |
960,000 | 1,022,400 | ||||||
|
|
|||||||
24,789,583 |
44 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Wireless Telecommunication Services1.3% |
||||||||
America Movil SAB de CV, 8.46% Sr. Unsec. Unsub. Bonds, 12/18/36 |
14,700,000 | MXN | $ | 1,215,505 | ||||
Cricket Communications, Inc.: |
||||||||
7.75% Sr. Unsec. Nts., 10/15/20 |
1,510,000 | 1,479,800 | ||||||
10% Sr. Unsec. Unsub. Nts., 7/15/15 |
960,000 | 1,012,800 | ||||||
Digicel Group Ltd., 8.25% Sr. Unsec. Nts., 9/30/203 |
1,290,000 | 1,360,950 | ||||||
Leap Wireless International, Inc., 4.50% Cv. Sr. Unsec. Nts., 7/15/14 |
1,395,000 | 1,335,713 | ||||||
MetroPCS Wireless, Inc., 6.625% Sr. Unsec. Nts., 11/15/20 |
1,945,000 | 2,044,681 | ||||||
MTS International Funding Ltd., 8.625% Sr. Unsec. Nts., 6/22/203 |
2,400,000 | 2,930,880 | ||||||
SBA Telecommunications, Inc., 5.75% Sr. Unsec. Unsub. Nts., 7/15/203 |
620,000 | 653,325 | ||||||
Sistema International Funding SA, 6.95% Unsec. Nts., 5/17/193 |
1,700,000 | 1,797,750 | ||||||
Sprint Capital Corp.: |
||||||||
6.875% Sr. Unsec. Nts., 11/15/28 |
1,445,000 | 1,336,625 | ||||||
8.75% Nts., 3/15/32 |
480,000 | 499,200 | ||||||
Sprint Nextel Corp., 9% Sr. Unsec. Nts., 11/15/183 |
1,800,000 | 2,164,500 | ||||||
Vimpel Communications: |
||||||||
8.85% Sr. Unsec. Nts., 3/8/224 |
21,900,000 | RUR | 697,999 | |||||
8.85% Sr. Unsec. Nts., 3/8/224 |
21,900,000 | RUR | 698,069 | |||||
Vimpel Communications/VIP Finance Ireland Ltd. OJSC: |
||||||||
7.748% Sec. Nts., 2/2/213 |
1,615,000 | 1,730,069 | ||||||
9.125% Sr. Unsec. Nts., 4/30/183 |
5,755,000 | 6,616,524 | ||||||
VimpelCom, 7.504% Sr. Unsec. Unsub. Nts., 3/1/223 |
3,760,000 | 3,952,700 | ||||||
Wind Acquisition Finance SA, 11.75% Sr. Sec. Nts., 7/15/173 |
860,000 | 814,850 | ||||||
|
|
|||||||
32,341,940 | ||||||||
Utilities2.3% |
||||||||
Electric Utilities1.6% |
||||||||
Dubai Electricity & Water Authority, 7.375% Sr. Unsec. Unsub. Nts., 10/21/203 |
2,585,000 | 3,034,790 |
45 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Electric Utilities Continued |
||||||||
Empresa Distribuidora y Comercializadora Norte SA, 9.75% Nts., 10/25/223 |
$ | 910,000 | $ | 464,100 | ||||
Empresas Publicas de Medellin ESP, 7.625% Sr. Unsec. Nts., 7/29/193 |
1,400,000 | 1,774,500 | ||||||
Energy Future Intermediate Holding Co. LLC, 10% Sr. Sec. Nts., 12/1/20 |
1,807,000 | 2,041,910 | ||||||
Eskom Holdings Ltd.: |
||||||||
5.75% Sr. Unsec. Bonds, 1/26/213 |
1,530,000 | 1,751,850 | ||||||
7.85% Sr. Unsec. Unsub. Nts., Series ES26, 4/2/26 |
31,000,000 | ZAR | 3,697,708 | |||||
10% Nts., Series ES23, 1/25/23 |
44,000,000 | ZAR | 6,325,474 | |||||
Israel Electric Corp. Ltd.: |
||||||||
6.70% Sr. Unsec. Nts., 2/10/173 |
1,755,000 | 1,897,553 | ||||||
7.25% Nts., 1/15/193 |
7,665,000 | 8,347,538 | ||||||
Majapahit Holding BV: |
||||||||
7.75% Nts., 10/17/163 |
1,545,000 | 1,836,619 | ||||||
8% Sr. Unsec. Nts., 8/7/193 |
1,180,000 | 1,495,650 | ||||||
National Power Corp., 5.875% Unsec. Unsub. Bonds, 12/19/16 |
109,600,000 | PHP | 2,694,476 | |||||
Perusahaan Listrik Negara PT, 5.50% Sr. Unsec. Nts., 11/22/213 |
1,990,000 | 2,236,263 | ||||||
|
|
|||||||
37,598,431 | ||||||||
Energy Traders0.5% |
||||||||
AES Corp. (The): |
||||||||
7.375% Sr. Unsec. Unsub. Nts., 7/1/21 |
525,000 | 601,125 | ||||||
8% Sr. Unsec. Unsub. Nts., 10/15/17 |
855,000 | 991,800 | ||||||
Calpine Corp.: |
||||||||
7.50% Sr. Sec. Nts., 2/15/213 |
885,000 | 960,225 | ||||||
7.875% Sr. Sec. Nts., 1/15/233 |
555,000 | 616,050 | ||||||
Colbun SA, 6% Sr. Unsec. Nts., 1/21/203 |
3,170,000 | 3,576,327 | ||||||
Comision Federal de Electricidad, 4.875% Sr. Nts., 5/26/213 |
1,690,000 | 1,905,475 | ||||||
Energy Future Holdings Corp., 10% Sr. Sec. Nts., 1/15/20 |
1,840,000 | 2,037,800 | ||||||
First Wind Capital LLC, 10.25% Sr. Sec. Nts., 6/1/185 |
270,000 | 276,750 | ||||||
Foresight Energy LLC, 9.625% Sr. Unsec. Nts., 8/15/173 |
965,000 | 1,003,600 | ||||||
NRG Energy, Inc., 6.625% Sr. Unsec. Nts., 3/15/233 |
385,000 | 394,144 | ||||||
|
|
|||||||
12,363,296 |
46 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Gas Utilities0.2% |
||||||||
AmeriGas Finance LLC/AmeriGas Finance Corp., 6.75% Sr. Unsec. Nts., 5/20/20 |
$ | 1,910,000 | $ | 2,043,700 | ||||
Empresa de Energia de Bogota SA ESP, 6.125% Sr. Unsec. Unsub. Nts., 11/10/213 |
1,395,000 | 1,541,475 | ||||||
Transportadora de Gas Internacional SA ESP, 5.70% Sr. Unsec. Nts., 3/20/223 |
2,030,000 | 2,192,400 | ||||||
|
|
|||||||
5,777,575 | ||||||||
|
|
|||||||
Total Corporate Bonds and Notes (Cost $616,894,602) |
634,267,218 | |||||||
Shares | ||||||||
Preferred Stocks0.2% |
||||||||
Ally Financial, Inc., 7% Cum., Series G, Non-Vtg. |
2,040 | 1,908,484 | ||||||
Greektown Superholdings, Inc., Cv., Series A-12 |
29,815 | 2,101,958 | ||||||
|
|
|||||||
Total Preferred Stocks (Cost $4,848,095) |
4,010,442 | |||||||
Common Stocks0.1% |
||||||||
American Media Operations, Inc. 2 |
161,731 | 2,102,503 | ||||||
Arco Capital Corp. Ltd. 2,5 |
690,638 | 1,035,957 | ||||||
Catalyst Paper Corp. 2 |
149,089 | 166,817 | ||||||
Global Aviation Holdings, Inc. 2 |
100 | | ||||||
Greektown Superholdings, Inc., Series A-1 2 |
3,450 | 179,400 | ||||||
Premier Holdings Ltd. 2 |
18,514 | | ||||||
|
|
|||||||
Total Common Stocks (Cost $17,217,618) |
3,484,677 | |||||||
Units | ||||||||
Rights, Warrants and Certificates0.0% |
||||||||
MediaNews Group, Inc. Wts., Strike Price $0.001, Exp. 3/19/17 2 (Cost $3,162,655) |
11,668 | 420 | ||||||
Principal Amount |
||||||||
Structured Securities3.1% |
||||||||
Barclays Bank plc: Indonesia (Republic of) Total Return Linked Bonds, 7%, 5/19/27 |
8,560,000,000 | IDR | 947,682 | |||||
Indonesia (Republic of) Total Return Linked Bonds, 8.25%, 6/17/32 |
22,430,000,000 | IDR | 2,734,421 | |||||
Citigroup Global Markets Holdings, Inc.: |
||||||||
Colombia (Republic of) Credit Linked Bonds, 11.25%, 10/25/185 |
3,255,000,000 | COP | 2,309,288 | |||||
Colombia (Republic of) Credit Linked Nts., Series 2, 10%, 7/25/24 |
10,368,000,000 | COP | 7,475,519 |
47 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Colombia (Republic of) Credit Linked Nts., Series 2, 10%, 7/25/245 |
3,660,000,000 | COP | $ | 2,638,928 | ||||
Colombia (Republic of) Total Return Linked Bonds, Series 2, 11%, 7/27/20 |
2,665,000,000 | COP | 1,919,768 | |||||
Credit Suisse First Boston International, Moitk Total Return Linked Nts., 21%, 3/30/118 |
53,910,000 | RUR | | |||||
Credit Suisse First Boston, Inc. (Nassau Branch), Russian Specialized Construction & Installation Administration Total Return Linked Nts., 13%, 5/24/108 |
97,250,000 | RUR | | |||||
Deutsche Bank AG: |
||||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, Series 128, 3.006%, 5/6/255,12 |
1,763,500 | 1,297,302 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.061%, 5/6/255,12 |
2,246,971 | 1,652,963 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.10%, 5/6/255,12 |
1,939,900 | 1,427,069 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.134%, 5/6/255,12 |
1,734,026 | 1,275,620 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.187%, 5/6/255,12 |
2,159,003 | 1,588,250 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.239%, 5/6/255,12 |
2,464,173 | 1,812,746 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.266%, 5/6/255,12 |
1,968,587 | 1,448,172 | ||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.343%, 5/6/255,12 |
1,850,388 | 1,361,220 | ||||||
Coriolanus Ltd. Sec. Credit Linked Nts., 15.755%, 12/31/175,16 |
12,850,000 | BRR | 7,594,954 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2A, 8.308%, 5/22/154,5 |
697,693 | MXN | 51,526 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2B, 8.308%, 5/22/154,5 |
1,220,632 | MXN | 90,146 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2C, 8.308%, 5/22/154,5 |
18,404,162 | MXN | 1,359,178 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2D, 8.308%, 5/22/154,5 |
1,341,270 | MXN | 99,055 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2E, 8.308%, 5/22/154,5 |
974,458 | MXN | 71,965 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2F, 8.308%, 5/22/154,5 |
622,337 | MXN | 45,961 | |||||
Opic Reforma I Credit Linked Nts., Cl. 2G, 8.308%, 5/22/154,5 |
114,609 | MXN | 8,464 |
48 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Principal Amount |
Value | |||||||
Goldman Sachs Capital Markets LP, Colombia (Republic of) Credit Linked Nts., Cl. B, 10%, 7/30/243 |
16,210,000,000 | COP | $ | 11,681,666 | ||||
Goldman Sachs Group, Inc., United Mexican States Credit Linked Nts., 9.05%, 2/8/373,12 |
315,000,000 | MXN | 2,875,483 | |||||
Hallertau SPC Credit Linked Nts.: |
||||||||
Series 2007-01, 2.787%, 12/20/174,5 |
6,250,000 | 5,846,875 | ||||||
Series 2008-01, 9.888%, 8/2/105,8,12 |
14,337,604 | BRR | | |||||
HSBC Bank USA NA, Indonesia (Republic of) Credit Linked Nts., 8.25%, 6/15/323 |
5,950,000,000 | IDR | 725,359 | |||||
JPMorgan Chase & Co.: |
||||||||
Colombia (Republic of) Credit Linked Nts., 11%, 7/28/205 |
1,315,000,000 | COP | 947,430 | |||||
Indonesia (Republic of) Credit Linked Nts., 7%, 5/19/273 |
20,850,000,000 | IDR | 2,308,315 | |||||
Indonesia (Republic of) Credit Linked Nts., 8.25%, 6/17/323 |
1,500,000,000 | IDR | 182,864 | |||||
LB Peru Trust II Certificates, Series 1998-A, 3.793%, 2/28/168,12 |
363,871 | 36,387 | ||||||
Merrill Lynch, Colombia (Republic of) Credit Linked Nts., 10%, 11/17/165 |
1,784,000,000 | COP | 1,112,760 | |||||
Morgan Stanley: |
||||||||
Peru (Republic of) Credit Linked Nts., 6.25%, 3/23/173 |
4,885,000 | PEN | 1,795,649 | |||||
Russian Federation Total Return Linked Bonds, Series 007, Cl. VR, 5%, 8/22/34 |
55,651,290 | RUR | 849,068 | |||||
Morgan Stanley Capital Services, Inc.: |
||||||||
Brazil (Federative Republic of) Credit Linked Nts., 12.551%, 1/5/223,12 |
28,914,000 | BRR | 3,190,560 | |||||
United Mexican States Credit Linked Nts., 5.64%, 11/20/153 |
2,000,000 | 1,827,200 | ||||||
UBS AG, Indonesia (Republic of) Total Return Linked Nts., 8.25%, 6/17/32 |
20,320,000,000 | IDR | 2,477,193 | |||||
|
|
|||||||
Total Structured Securities (Cost $89,172,553) |
75,067,006 |
Expiration Date |
Strike Price |
Contracts | ||||||||||||||
Options Purchased0.3% |
||||||||||||||||
3-Month FX Basket Put/USD Call2 |
10/31/12 | $ | 96.000 | 2,400,000 | 44 | |||||||||||
90-Day Euro$ Futures, 12/17/12 Put2 |
12/18/12 | 99.500 | 424 | 7,950 |
49 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Expiration Date |
Strike Price | Contracts | Value | |||||||||||||
Australian Dollar (AUD) Call2 |
10/18/12 | 1AUD per 1.065 | USD | 43,725,000 | $ | 32,518 | ||||||||||
Australian Dollar (AUD) Call2 |
10/19/12 | 1AUD per 1.065 | USD | 45,000,000 | 36,210 | |||||||||||
Australian Dollar (AUD) Futures, 12/17/12 Call2 |
10/8/12 | 104.000 | 38 | 7,220 | ||||||||||||
Australian Dollar (AUD) Futures, 12/17/12 Call2 |
10/8/12 | 104.500 | 67 | 6,700 | ||||||||||||
Australian Dollar (AUD) Futures, 12/17/12 Put2 |
10/8/12 | 101.500 | 13 | 1,430 | ||||||||||||
Australian Dollar (AUD) Futures, 12/17/12 Put2 |
10/8/12 | 102.500 | 3 | 990 | ||||||||||||
Brazilian Real (BRR) Call2 |
10/18/12 | 1USD per 1.900 | BRR | 13,770,000 | 184 | |||||||||||
Brazilian Real (BRR) Call2 |
10/18/12 | 1USD per 1.820 | BRR | 13,175,000 | | |||||||||||
British Pound Sterling (GBP) Futures, 12/17/12 Call2 |
10/8/12 | 164.000 | 51 | 1,275 | ||||||||||||
British Pound Sterling (GBP) Put2 |
9/9/13 | 1 GBP per 1.560 | USD | 2,542,293 | 70,694 | |||||||||||
British Pound Sterling (GBP) Put2 |
9/11/13 | 1 GBP per 1.550 | USD | 2,541,017 | 64,485 | |||||||||||
British Pound Sterling (GBP) Put2 |
8/16/13 | 1 GBP per 1.550 | USD | 3,557,644 | 84,453 | |||||||||||
Canadian Dollar (CAD) Put2 |
10/8/12 | 1AUD per 0.980 | CAD | 2,480,000 | 11 | |||||||||||
Candian Dollar (CAD) Futures, 12/18/12 Put2 |
10/8/12 | 100.000 | 79 | 3,950 | ||||||||||||
Candian Dollar (CAD) Futures, 12/18/12 Put2 |
10/8/12 | 100.500 | 112 | 13,440 | ||||||||||||
Euro (EUR) Call2 |
12/21/12 | 1EUR per 1.300 | USD | 13,240,000 | 189,789 | |||||||||||
Euro (EUR) Call2 |
12/21/12 | 1EUR per 1.300 | USD | 14,900,000 | 213,584 | |||||||||||
Euro (EUR) FX Futures, 12/17/12 Call2 |
10/8/12 | 1.320 | 16 | 700 |
50 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Expiration Date |
Strike Price | Contracts | Value | |||||||||||||
Euro (EUR) FX Futures, 12/17/12 Put2 |
10/8/12 | $ | 1.210 | 344 | $ | 2,150 | ||||||||||
Euro (EUR) FX Futures, 12/17/12 Put2 |
10/8/12 | 1.230 | 101 | 631 | ||||||||||||
Euro (EUR) FX Futures, 12/17/12 Put2 |
10/8/12 | 1.240 | 28 | 175 | ||||||||||||
Euro (EUR) FX Futures, 12/17/12 Put2 |
10/8/12 | 1.260 | 297 | 25,988 | ||||||||||||
Euro (EUR) FX Futures, 12/17/12 Put2 |
10/8/12 | 1.210 | 203 | 1,269 | ||||||||||||
Euro (EUR) FX Futures, 12/17/12 Put2 |
10/8/12 | 1.170 | 6 | 38 | ||||||||||||
Euro (EUR) FX Futures, 12/17/12 Put2 |
10/8/12 | 1.190 | 209 | 1,306 | ||||||||||||
Euro (EUR) FX Futures, 12/17/12 Put2 |
10/8/12 | 1.290 | 20 | 16,250 | ||||||||||||
Euro (EUR) FX Futures, 12/17/12 Put2 |
10/8/12 | 1.270 | 25 | 3,750 | ||||||||||||
Euro (EUR) FX Futures, 12/17/12 Put2 |
11/12/12 | 1.230 | 51 | 12,750 | ||||||||||||
Euro (EUR) FX Futures, 12/17/12 Put2 |
11/12/12 | 1.260 | 37 | 24,513 | ||||||||||||
Euro (EUR) FX Futures, 12/17/12 Put2 |
12/10/12 | 1.240 | 51 | 39,525 | ||||||||||||
Euro (EUR) FX Futures, 12/17/12 Put2 |
12/10/12 | 1.270 | 11 | 18,700 | ||||||||||||
Euro-Bundesobligation Futures, 12/6/12 Put2 |
10/29/12 | 138.500 | EUR | 252 | 55,052 | |||||||||||
Euro-Bundesobligation Futures, 12/6/12 Put2 |
10/29/12 | 140.000 | EUR | 166 | 89,594 |
51 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Expiration Date |
Strike Price | Contracts | Value | |||||||||||||
Indian Rupee (INR) Call2 |
12/21/12 | 1USD per 53.200 | INR | 644,700,000 | $ | 187,640 | ||||||||||
Japanese Yen (JPY) Call2 |
12/21/12 | 1USD per 77.250 | JPY | 196,820,000 | 23,506 | |||||||||||
Japanese Yen (JPY) Call2 |
12/28/12 | 1USD per 77.000 | JPY | 394,150,000 | 43,924 | |||||||||||
Japanese Yen (JPY) Futures, 12/17/12 Put2 |
10/8/12 | 122.500 | 5 | 31 | ||||||||||||
Japanese Yen (JPY) Futures, 12/17/12 Put2 |
10/8/12 | 124.500 | 100 | 1,875 | ||||||||||||
Japanese Yen (JPY) Futures, 12/17/12 Put2 |
10/8/12 | 125.000 | 72 | 2,250 | ||||||||||||
Japanese Yen (JPY) Futures, 12/17/12 Put2 |
10/8/12 | 126.000 | 27 | 2,363 | ||||||||||||
Japanese Yen (JPY) Futures, 12/17/12 Put2 |
10/8/12 | 126.500 | 3 | 413 | ||||||||||||
Japanese Yen (JPY) Futures, 12/17/12 Put2 |
10/8/12 | 127.000 | 13 | 2,925 | ||||||||||||
Japanese Yen (JPY) Futures, 12/17/12 Put2 |
10/8/12 | 127.500 | 75 | 27,188 | ||||||||||||
Japanese Yen (JPY) Futures, 12/17/12 Put2 |
11/12/12 | 126.000 | 20 | 12,000 | ||||||||||||
Japanese Yen (JPY) Put2 |
3/29/13 | 1USD per 85.000 | JPY | 204,000,000 | 6,801 | |||||||||||
Japanese Yen (JPY) Put2 |
5/31/13 | 1USD per 82.000 | JPY | 416,833,857 | 52,158 | |||||||||||
Japanese Yen (JPY) Put2 |
8/22/13 | 1USD per 80.000 | JPY | 203,737,049 | 53,106 | |||||||||||
Japanese Yen (JPY) Put2 |
9/11/13 | 1USD per 80.000 | JPY | 203,281,388 | 55,305 | |||||||||||
Mexican Nuevo Peso (MXN) Call2 |
11/8/12 | 1USD per 12.742 | MXN | 163,500,000 | 93,790 | |||||||||||
Mexican Nuevo Peso (MXN) Call2 |
11/9/12 | 1USD per 12.840 | MXN | 186,100,000 | 154,923 | |||||||||||
Mexican Nuevo Peso (MXN) Call2 |
11/13/12 | 1USD per 12.925 | MXN | 187,300,000 | 212,351 |
52 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Expiration Date |
Strike Price | Contracts | Value | |||||||||||||
Mexican Nuevo Peso (MXN) Call2 |
11/27/12 | 1USD per 12.755 | MXN | 556,300,000 | $ | 448,784 | ||||||||||
Mexican Nuevo Peso (MXN) Call2 |
12/14/12 | 1USD per 12.436 | MXN | 271,435,000 | 97,727 | |||||||||||
Mexican Nuevo Peso (MXN) Call2 |
12/20/12 | 1USD per 12.865 | MXN | 102,200,000 | 123,141 | |||||||||||
Mexican Nuevo Peso (MXN) Call2 |
12/20/12 | 1USD per 12.865 | MXN | 102,200,000 | 123,141 | |||||||||||
Mexican Nuevo Peso (MXN) Call2 |
12/20/12 | 1USD per 12.865 | MXN | 102,200,000 | 123,141 | |||||||||||
New Taiwain Dollar (TWD) Call2 |
12/14/12 | 1USD per 28.829 | TWD | 629,200,000 | 40,867 | |||||||||||
New Turkish Lira (TRY) Call2 |
10/19/12 | 1USD per 1.780 | TRY | 10,780,000 | 15,525 | |||||||||||
New Turkish Lira (TRY) Call2 |
10/19/12 | 1USD per 1.780 | TRY | 8,630,000 | 12,753 | |||||||||||
New Turkish Lira (TRY) Call2 |
10/19/12 | 1USD per 1.780 | TRY | 38,900,000 | 56,022 | |||||||||||
New Turkish Lira (TRY) Call2 |
10/19/12 | 1USD per 1.780 | TRY | 46,990,000 | 69,441 | |||||||||||
New Turkish Lira (TRY) Call2 |
10/19/12 | 1USD per 1.780 | TRY | 9,700,000 | 14,335 | |||||||||||
New Turkish Lira (TRY) Call2 |
11/28/12 | 1USD per 1.829 | TRY | 26,870,000 | 315,894 | |||||||||||
New Turkish Lira (TRY) Call2 |
12/6/12 | 1USD per 1.837 | TRY | 13,460,000 | 186,007 | |||||||||||
New Turkish Lira (TRY) Put2 |
11/28/12 | 1EUR per 2.300 | TRY | 7,345,000 | 65,582 | |||||||||||
New Turkish Lira (TRY) Put2 |
12/6/12 | 1EUR per 2.314 | TRY | 3,665,000 | 46,161 | |||||||||||
Polish Zloty (PLZ) Call2 |
11/16/12 | 1USD per 3.148 | PLZ | 37,190,000 | 132,869 | |||||||||||
Russian Ruble (RUR) Call2 |
11/27/12 | 1USD per 31.150 | RUR | 1,356,300,000 | 577,553 | |||||||||||
Russian Ruble (RUR) Call2 |
11/29/12 | 1USD per 31.250 | RUR | 308,600,000 | 145,505 | |||||||||||
Russian Ruble (RUR) Call2 |
12/21/12 | 1USD per 31.000 | RUR | 246,000,000 | 101,682 | |||||||||||
Russian Ruble (RUR) Call2 |
12/21/12 | 1USD per 31.000 | RUR | 246,000,000 | 101,682 | |||||||||||
Russian Ruble (RUR) Call2 |
12/21/12 | 1USD per 31.000 | RUR | 246,000,000 | 101,682 | |||||||||||
South African Rand (ZAR) Call2 |
11/21/12 | 1USD per 8.218 | ZAR | 90,475,000 | 182,232 | |||||||||||
South African Rand (ZAR) Call2 |
11/26/12 | 1USD per 8.202 | ZAR | 90,225,000 | 180,434 |
53 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Expiration Date |
Strike Price | Contracts | Value | |||||||||||||
South African Rand (ZAR) Call2 |
11/27/12 | 1USD per 8.055 | ZAR | 175,365,000 | $ | 222,700 | ||||||||||
South African Rand (ZAR) Call2 |
11/27/12 | 1USD per 8.055 | ZAR | 175,365,000 | 222,700 | |||||||||||
South African Rand (ZAR) Call2 |
12/20/12 | 1USD per 8.255 | ZAR | 65,600,000 | 176,866 | |||||||||||
South African Rand (ZAR) Call2 |
12/21/12 | 1USD per 8.255 | ZAR | 65,600,000 | 177,726 | |||||||||||
South African Rand (ZAR) Call2 |
12/21/12 | 1USD per 8.255 | ZAR | 65,600,000 | 177,726 | |||||||||||
South Korean Won (KRW) Call2 |
10/29/12 | 1USD per 1,103.000 | KRW | 9,405,000,000 | 23,983 | |||||||||||
South Korean Won (KRW) Call2 |
10/29/12 | 1USD per 1,103.000 | KRW | 8,590,000,000 | 21,905 | |||||||||||
South Korean Won (KRW) Call2 |
10/31/12 | 1USD per 1,094.500 | KRW | 23,890,000,000 | 31,774 | |||||||||||
South Korean Won (KRW) Call2 |
10/31/12 | 1USD per 1,094.500 | KRW | 23,890,000,000 | 31,774 | |||||||||||
South Korean Won (KRW) Call2 |
11/27/12 | 1USD per 1,111.250 | KRW | 48,386,000,000 | 360,960 | |||||||||||
U.S. Treasury Long Bonds Futures, 12/19/12 Call2 |
10/1/12 | 150.000 | 221 | 3,453 | ||||||||||||
U.S. Treasury Long Bonds Futures, 12/19/12 Call2 |
10/1/12 | 151.000 | 99 | 1,547 | ||||||||||||
U.S. Treasury Long Bonds Futures, 12/19/12 Put2 |
10/1/12 | 149.000 | 102 | 1,594 | ||||||||||||
U.S. Treasury Long Bonds Futures, 12/19/12 Put2 |
10/8/12 | 147.000 | 102 | 20,719 | ||||||||||||
U.S. Treasury Long Bonds Futures, 12/19/12 Put2 |
10/8/12 | 148.000 | 102 | 41,438 | ||||||||||||
U.S. Treasury Long Bonds Futures, 12/19/12 Put2 |
10/15/12 | 147.000 | 102 | 36,656 |
54 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Expiration Date |
Strike Price | Contracts | Value | |||||||||||||
U.S. Treasury Long Bonds, 20 yr. Futures, 12/19/12 Put2 |
10/29/12 | $ | 138.000 | 186 | $ | 5,813 | ||||||||||
U.S. Treasury Long Bonds, 20 yr. Futures, 12/19/12 Put2 |
10/29/12 | 142.000 | 186 | 20,344 | ||||||||||||
U.S. Treasury Long Bonds, 20 yr. Futures, 12/19/12 Put2 |
10/29/12 | 144.000 | 103 | 25,750 | ||||||||||||
U.S. Treasury Long Bonds, 20 yr. Futures, 12/19/12 Put2 |
10/29/12 | 146.000 | 104 | 53,625 | ||||||||||||
U.S. Treasury Long Bonds, 20 yr. Futures, 12/19/12 Put2 |
11/26/12 | 145.000 | 102 | 97,219 | ||||||||||||
U.S. Treasury Nts., 10 yr. Futures, 12/19/12 Call2 |
10/1/12 | 134.000 | 204 | 3,188 | ||||||||||||
U.S. Treasury Nts., 10 yr. Futures, 12/19/12 Call2 |
10/29/12 | 134.000 | 123 | 46,125 | ||||||||||||
U.S. Treasury Nts., 10 yr. Futures, 12/19/12 Call2 |
11/26/12 | 135.000 | 193 | 66,344 | ||||||||||||
U.S. Treasury Nts., 10 yr. Futures, 12/19/12 Call2 |
11/26/12 | 136.000 | 299 | 46,719 | ||||||||||||
U.S. Treasury Nts., 10 yr. Futures, 12/19/12 Put2 |
10/29/12 | 128.500 | 354 | 5,531 | ||||||||||||
U.S. Treasury Nts., 10 yr. Futures, 12/19/12 Put2 |
10/29/12 | 129.000 | 27 | 422 |
55 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Expiration Date |
Strike Price | Contracts | Value | |||||||||||||
U.S. Treasury Nts., 10 yr. Futures, 12/19/12 Put2 |
10/29/12 | $ | 131.000 | 27 | $ | 1,688 | ||||||||||
U.S. Treasury Nts., 10 yr. Futures, 12/19/12 Put2 |
10/29/12 | 131.500 | 518 | 56,656 | ||||||||||||
U.S. Treasury Nts., 10 yr. Futures, 12/19/12 Put2 |
10/29/12 | 132.000 | 186 | 31,969 | ||||||||||||
U.S. Treasury Nts., 10 yr. Futures, 12/19/12 Put2 |
10/29/12 | 132.500 | 206 | 54,719 | ||||||||||||
U.S. Treasury Nts., 10 yr. Futures, 12/19/12 Put2 |
11/26/12 | 132.000 | 54 | 22,781 | ||||||||||||
|
|
|||||||||||||||
Total Options Purchased (Cost $10,095,245) |
7,314,441 |
Swaption Expiration Date |
Notional Amount |
|||||||||||
Swaptions Purchased0.3% |
||||||||||||
Bank of America NA; Index Credit Default Swaption (European); Swap Terms: Paid: 1%; Received: Protection on CDX.NA.IG.18; Termination Date: 6/20/172 |
12/20/12 | $ | 54,660,000 | 75,347 | ||||||||
Bank of America NA; Index Credit Default Swaption (European); Swap Terms: Paid: 1%; Received: Protection on CDX.NA.IG.18; Termination Date: 6/20/172 |
12/20/12 | 54,680,000 | 75,375 |
56 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Swaption Expiration Date |
Notional Amount |
Value | ||||||||||
Bank of America NA; Interest Rate Swaption (European); Swap Terms: Paid: 1.35%; Received: Three-Month USD BBA LIBOR; Termination Date: 11/5/172 |
11/2/12 | $ | 1,240,000 | $ | 10 | |||||||
Bank of America NA; Interest Rate Swaption (European); Swap Terms: Paid: 2%; Received: Three-Month USD BBA LIBOR; Termination Date: 9/3/232 |
9/3/13 | 20,395,000 | 553,194 | |||||||||
Bank of America NA; Interest Rate Swaption (European); Swap Terms: Paid: 2.90%; Received: Three-Month USD BBA LIBOR; Termination Date: 3/22/432 |
3/21/13 | 10,200,000 | 317,283 | |||||||||
Bank of America NA; Interest Rate Swaption (European); Swap Terms: Paid: 2.95%; Received: Three-Month USD BBA LIBOR; Termination Date: 3/11/432 |
3/8/13 | 10,155,000 | 259,605 | |||||||||
Bank of America NA; Interest Rate Swaption (European); Swap Terms: Paid: Three-Month CAD BA CDOR; Received: 2.44%; Termination Date: 11/21/222 |
11/23/12 | 2,530,000 | CAD | 67,628 |
57 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Swaption Expiration Date |
Notional Amount |
Value | ||||||||||
Bank of America NA; Interest Rate Swaption (European); Swap Terms: Paid: Three-Month USD BBA LIBOR; Received: 1.75%; Termination Date: 1/30/232 |
1/29/13 | $ | 32,705,000 | $ | 451,186 | |||||||
Bank of America NA; Interest Rate Swaption (European); Swap Terms: Paid: Three-Month USD BBA LIBOR; Received: 2.10%; Termination Date: 7/30/432 |
7/29/13 | 16,350,000 | 320,317 | |||||||||
Bank of America NA; Interest Rate Swaption (European); Swap Terms: Paid: Three-Month USD BBA LIBOR; Received: 2.30%; Termination Date: 12/4/422 |
12/3/12 | 9,810,000 | 71,476 | |||||||||
Barclays Bank plc; Index Credit Default Swaption (European); Swap Terms: Paid: 1%; Received: Protection on iTraxx Europe Crosover Series 17 Version 1; Termination Date: 6/20/172 |
12/20/12 | 3,155,000 | EUR | 21,105 | ||||||||
Barclays Bank plc; Interest Rate Swaption (European); Swap Terms: Paid: 1.765%; Received: Three-Month USD BBA LIBOR; Termination Date: 7/12/182 |
7/11/13 | 51,200,000 | 329,803 |
58 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Swaption Expiration Date |
Notional Amount |
Value | ||||||||||
Barclays Bank plc; Interest Rate Swaption (European); Swap Terms: Paid: 1.85%; Received: Three-Month USD BBA LIBOR; Termination Date: 11/29/222 |
11/28/12 | $ | 25,490,000 | $ | 181,538 | |||||||
Barclays Bank plc; Interest Rate Swaption (European); Swap Terms: Paid: 2.695%; Received: Three-Month USD BBA LIBOR; Termination Date: 5/15/232 |
4/12/13 | 25,100,000 | 90,364 | |||||||||
Barclays Bank plc; Interest Rate Swaption (European); Swap Terms: Paid: 2.905%; Received: Three-Month USD BBA LIBOR; Termination Date: 9/30/452 |
9/29/15 | 4,655,206 | 541,970 | |||||||||
Barclays Bank plc; Interest Rate Swaption (European); Swap Terms: Paid: 3.05%; Received: Three-Month USD BBA LIBOR; Termination Date: 3/18/432 |
3/15/13 | 15,230,000 | 319,901 | |||||||||
Barclays Bank plc; Interest Rate Swaption (European); Swap Terms: Paid: 3.48%; Received: Three-Month USD BBA LIBOR; Termination Date: 4/27/472 |
4/26/17 | 5,040,000 | 507,298 |
59 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Swaption Expiration Date |
Notional Amount |
Value | ||||||||||
Barclays Bank plc; Interest Rate Swaption (European); Swap Terms: Paid: Six-Month EUR EURIBOR; Received: 1.75%; Termination Date: 8/28/192 |
8/27/14 | 5,060,000 | EUR | $ | 135,107 | |||||||
Barclays Bank plc; Interest Rate Swaption (European); Swap Terms: Paid: Three-Month USD BBA LIBOR; Received: 1.53%; Termination Date: 1/30/232 |
1/29/13 | 65,400,000 | 359,623 | |||||||||
Goldman Sachs International; Interest Rate Swaption (European); Swap Terms: Paid: 2.95%; Received: Three-Month USD BBA LIBOR; Termination Date: 3/18/432 |
3/15/13 | 11,170,000 | 299,064 | |||||||||
Goldman Sachs International; Index Credit Default Swaption (European); Swap Terms: Paid: 5%; Received: Protection on CDX.NA.HY.18; Termination Date: 6/20/172 |
10/18/12 | 21,825,000 | 8,934 |
60 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Swaption Expiration Date |
Notional Amount |
Value | ||||||||||
Goldman Sachs International; Index Credit Default Swaption (European); Swap Terms: Paid: 5%; Received: Protection on CDX.NA.HY.18; Termination Date: 6/20/172 |
10/18/12 | $ | 21,830,000 | $ | 8,936 | |||||||
Goldman Sachs International; Index Credit Default Swaption (European); Swap Terms: Paid: 5%; Received: Protection on CDX.NA.HY.18; Termination Date: 6/20/172 |
12/20/12 | 21,890,000 | 328,158 | |||||||||
Goldman Sachs International; Interest Rate Swaption (European); Swap Terms: Paid: 2.495%; Received: Three-Month USD BBA LIBOR; Termination Date: 11/22/222 |
11/23/12 | 37,700,000 | 6,011 | |||||||||
Goldman Sachs International; Interest Rate Swaption (European); Swap Terms: Paid: 3.20%; Received: Three-Month USD BBA LIBOR; Termination Date: 9/24/442 |
9/23/14 | 10,200,000 | 662,008 |
61 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Swaption Expiration Date |
Notional Amount |
Value | ||||||||||
Goldman Sachs International; Interest Rate Swaption (European); Swap Terms: Paid: Three-Month USD BBA LIBOR; Received: 2.28%; Termination Date: 10/29/422 |
10/26/12 | $ | 16,405,000 | $ | 26,446 | |||||||
Goldman Sachs International; Interest Rate Swaption (European); Swap Terms: Paid: Three-Month USD BBA LIBOR; Received: 2.295%; Termination Date: 10/26/422 |
10/25/12 | 16,395,000 | 28,741 | |||||||||
Goldman Sachs International; Interest Rate Swaption (European); Swap Terms: Paid: Three-Month USD BBA LIBOR; Received: 2.405%; Termination Date: 11/6/422 |
11/5/12 | 16,370,000 | 113,424 | |||||||||
JPMorgan Chase Bank NA; Index Credit Default Swaption (European); Swap Terms: Paid: 1%; Received: Protection on CDX.NA.IG.18; Termination Date: 6/20/172 |
12/20/12 | 54,680,000 | 79,384 |
62 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Swaption Expiration Date |
Notional Amount |
Value | ||||||||||
JPMorgan Chase Bank NA; Index Credit Default Swaption (European); Swap Terms: Paid: 5%; Received: Protection on CDX.NA.HY.18; Termination Date: 6/20/172 |
10/18/12 | $ | 21,805,000 | $ | 6,071 | |||||||
JPMorgan Chase Bank NA; Index Credit Default Swaption (European); Swap Terms: Paid: 5%; Received: Protection on CDX.NA.HY.18; Termination Date: 6/20/172 |
12/20/12 | 21,790,000 | 114,166 | |||||||||
JPMorgan Chase Bank NA; Index Credit Default Swaption (European); Swap Terms: Paid: 5%; Received: Protection on CDX.NA.HY.18; Termination Date: 6/20/172 |
12/20/12 | 21,830,000 | 354,650 | |||||||||
JPMorgan Chase Bank NA; Interest Rate Swaption (European); Swap Terms: Paid: 1.65%; Received: Three-Month USD BBA LIBOR; Termination Date: 2/25/182 |
2/22/13 | 24,810,000 | 16,548 |
63 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Swaption Expiration Date |
Notional Amount |
Value | ||||||||||
UBS AG; Index Credit Default Swaption (European); Swap Terms: Paid: 1%; Received: Protection on CDX.NA.IG.18; Termination Date: 6/20/172 |
12/20/12 | $ | 54,660,000 | $ | 64,884 | |||||||
UBS AG; Index Credit Default Swaption (European); Swap Terms: Paid: 5%; Received: Protection on CDX.NA.HY.18; Termination Date: 6/20/172 |
10/18/12 | 43,600,000 | 3,549 | |||||||||
UBS AG; Interest Rate Swaption (European); Swap Terms: Paid: 2.11%; Received: Six-Month EUR EURIBOR; Termination Date: 1/3/232 |
1/2/13 | 3,205,000 | EUR | 18,004 | ||||||||
UBS AG; Interest Rate Swaption (European); Swap Terms: Paid: 2.215%; Received: Three-Month USD BBA LIBOR; Termination Date: 12/4/222 |
12/3/12 | 96,515,000 | 129,965 | |||||||||
UBS AG; Interest Rate Swaption (European); Swap Terms: Paid: 2.60%; Received: Three-Month USD BBA LIBOR; Termination Date: 3/28/432 |
3/27/13 | 10,040,000 | 593,412 |
64 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Swaption Expiration Date |
Notional Amount |
Value | ||||||||||
UBS AG; Interest Rate Swaption (European); Swap Terms: Paid: 2.98%; Received: Six-Month EUR EURIBOR; Termination Date: 3/4/232 |
3/1/13 | 24,830,000 | EUR | $ | 21,062 | |||||||
UBS AG; Interest Rate Swaption (European); Swap Terms: Paid: 3%; Received: Three-Month USD BBA LIBOR; Termination Date: 3/4/432 |
3/1/13 | 15,230,000 | 326,417 | |||||||||
UBS AG; Interest Rate Swaption (European); Swap Terms: Paid: 3.025%; Received: Six-Month EUR EURIBOR; Termination Date: 2/27/232 |
2/26/13 | 24,845,000 | EUR | 16,753 | ||||||||
UBS AG; Interest Rate Swaption (European); Swap Terms: Paid: Three-Month AUD BBR BBSW; Received: 3.01%; Termination Date: 4/2/162 |
3/29/13 | 3,785,000 | AUD | 39,262 | ||||||||
|
|
|||||||||||
Total Swaptions Purchased (Cost $24,720,025) |
|
7,943,979 | ||||||||||
Shares | ||||||||||||
Investment Companies16.9% |
||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.18% 1,18 |
27,105,480 | 27,105,480 | ||||||||||
Oppenheimer Master Event-Linked Bond Fund, LLC 1 |
4,827,322 | 58,688,060 | ||||||||||
Oppenheimer Master Loan Fund, LLC 1 |
24,480,422 | 315,340,465 | ||||||||||
Oppenheimer Short Duration Fund, Cl. Y 1 |
1,007,050 | 10,090,636 | ||||||||||
|
|
|||||||||||
Total Investment Companies (Cost $407,606,598) |
411,224,641 |
65 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Shares | Value | |||||||
Total Investments, at Value (Cost $2,873,296,490) |
118.8 | % | $ | 2,889,879,142 | ||||
Liabilities in Excess of Other Assets |
(18.8 | ) | (458,008,500 | ) | ||||
|
|
|
|
|||||
Net Assets |
100.0 | % | $ | 2,431,870,642 | ||||
|
|
|
|
Footnotes to Statement of Investments
* | September 28, 2012 represents the last business day of the Funds quarterly period. See accompanying Notes. |
Principal amount, notional amount, and strike price are reported in U.S. Dollars, except for those denoted in the following currencies:
AUD |
Australian Dollar | |
BRR |
Brazilian Real | |
CAD |
Canadian Dollar | |
CHF |
Swiss Franc | |
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 | |
NGN |
Nigeria Naira | |
NOK |
Norwegian Krone | |
PEN |
Peruvian New Sol | |
PHP |
Philippines Peso | |
PLZ |
Polish Zloty | |
RUR |
Russian Ruble | |
SEK |
Swedish Krona | |
TRY |
New Turkish Lira | |
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 September 28, 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 December 30, 2011a |
Gross Additions |
Gross Reductions |
Shares September 28, 2012 |
|||||||||||||
Oppenheimer Global Strategic Income Fund/VA (Cayman) Ltd.b |
15,000 | | | 15,000 | ||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E |
27,393,119 | 625,216,830 | 625,504,469 | 27,105,480 | ||||||||||||
Oppenheimer Master Event-Linked Bond Fund, LLC |
4,827,322 | | | 4,827,322 | ||||||||||||
Oppenheimer Master Loan Fund, LLC |
29,466,809 | 42,124 | 5,028,511 | 24,480,422 | ||||||||||||
Oppenheimer Short Duration Fund, Cl. Y |
1,001,329 | 5,721 | | 1,007,050 |
66 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Value | Income | Realized Loss |
||||||||||
Oppenheimer Global Strategic Income Fund/VA (Cayman) Ltd.b |
$ | 1,445,849 | $ | | $ | | ||||||
Oppenheimer Institutional Money Market Fund, Cl. E |
27,105,480 | 53,754 | | |||||||||
Oppenheimer Master Event-Linked Bond Fund, LLC |
58,688,060 | 3,692,210 | c | 2,049,638 | c | |||||||
Oppenheimer Master Loan Fund, LLC |
315,340,465 | 17,394,764 | d | 2,116,301 | d | |||||||
Oppenheimer Short Duration Fund, Cl. Y |
10,090,636 | 51,101 | | |||||||||
|
|
|
|
|
|
|||||||
$ | 412,670,490 | $ | 21,191,829 | $ | 4,165,939 | |||||||
|
|
|
|
|
|
a. | December 30, 2011 represents the last business day of the Funds 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. |
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 $446,928,277 or 18.38% of the Funds net assets as of September 28, 2012. |
4. | Represents the current interest rate for a variable or increasing rate security. |
5. | Restricted security. The aggregate value of restricted securities as of September 28, 2012 was $68,970,749, which represents 2.84% of the Funds net assets. See accompanying Notes. Information concerning restricted securities is as follows: |
Security |
Acquisition Dates |
Cost | Value | Unrealized Appreciation (Depreciation) |
||||||||||||
Akbank TAS, 5.125% Sr. Unsec. Nts., 7/22/15 |
|
7/15/10- 8/7/12 |
|
$ | 1,643,910 | $ | 1,656,806 | $ | 12,896 | |||||||
Altegrity, Inc., 10.50% Sr. Unsec. Sub. Nts., 11/1/15 |
2/17/10 | 940,828 | 875,600 | (65,228 | ) | |||||||||||
Arco Capital Corp. Ltd. |
2/27/07 | 10,359,570 | 1,035,957 | (9,323,613 | ) | |||||||||||
Banco BMG SA, 9.15% Nts., 1/15/16 |
|
12/15/05- 4/3/12 |
|
1,307,405 | 1,287,700 | (19,705 | ) | |||||||||
BCAP LLC Trust, Mtg. Pass-Through Certificates, Series 2012-RR6, Cl. 1A5, 2.243%, 11/1/36 |
6/14/12 | 513,606 | 517,251 | 3,645 | ||||||||||||
Catalyst Paper Corp., 13% Sec. Nts., 12/15/16 |
9/6/12 | 591,854 | 638,044 | 46,190 | ||||||||||||
Citigroup Global Markets Holdings, Inc., Colombia (Republic of) Credit Linked Bonds, 11.25%, 10/25/18 |
12/9/08 | 1,380,162 | 2,309,288 | 929,126 | ||||||||||||
Citigroup Global Markets Holdings, Inc., Colombia (Republic of) Credit Linked Nts., Series 2, 10%, 7/25/24 |
3/28/12 | 2,574,704 | 2,638,928 | 64,224 | ||||||||||||
Citigroup Mortgage Loan Trust, Inc. 2012-8, Mtg. Pass-Through Certificates, Series 2012-8, Cl. 1A1, 2.647%, 10/1/35 |
8/1/12 | 1,115,800 | 1,117,200 | 1,400 | ||||||||||||
Cleaver-Brooks, Inc., 12.25% Sr. Sec. Nts., 5/1/16 |
|
4/21/10- 5/3/11 |
|
1,889,520 | 2,025,700 | 136,180 | ||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, Series 128, 3.006%, 5/6/25 |
10/8/10 | 1,225,859 | 1,297,302 | 71,443 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.343%, 5/6/25 |
4/16/09 | 1,251,283 | 1,361,220 | 109,937 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.266%, 5/6/25 |
8/18/09 | 1,338,958 | 1,448,172 | 109,214 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.239%, 5/6/25 |
9/25/09 | 1,679,434 | 1,812,746 | 133,312 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.187%, 5/6/25 |
12/17/09 | 1,477,476 | 1,588,250 | 110,774 |
67 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Security |
Acquisition Dates |
Cost | Value | Unrealized Appreciation (Depreciation) |
||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.134%, 5/6/25 |
3/30/10 | $ | 1,191,781 | $ | 1,275,620 | $ | 83,839 | |||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.10%, 5/6/25 |
5/18/10 | 1,337,458 | 1,427,069 | 89,611 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 3.061%, 5/6/25 |
7/16/10 | 1,554,176 | 1,652,963 | 98,787 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Nts., 15.755%, 12/31/17 |
9/19/07 | 5,795,149 | 7,594,954 | 1,799,805 | ||||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2A, 8.308%, 5/22/15 |
5/21/08 | 67,269 | 51,526 | (15,743 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2B, 8.308%, 5/22/15 |
6/12/08 | 117,680 | 90,146 | (27,534 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2C, 8.308%, 5/22/15 |
6/18/08 | 1,785,486 | 1,359,178 | (426,308 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2D, 8.308%, 5/22/15 |
7/8/08 | 130,028 | 99,055 | (30,973 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2E, 8.308%, 5/22/15 |
7/15/08 | 94,626 | 71,965 | (22,661 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2F, 8.308%, 5/22/15 |
8/8/08 | 61,263 | 45,961 | (15,302 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2G, 8.308%, 5/22/15 |
8/22/08 | 11,304 | 8,464 | (2,840 | ) | |||||||||||
Equinox Holdings, Inc., 9.50% Sr. Sec. Nts., 2/1/16 |
9/15/11 | 1,783,231 | 1,900,150 | 116,919 | ||||||||||||
FDIC Trust, Commerical Mtg. Pass-Through Certificates, Series 2012-C1, Cl. A, 0.841%, 5/1/35 |
5/10/12 | 1,411,420 | 1,415,979 | 4,559 | ||||||||||||
First Wind Capital LLC, 10.25% Sr. Sec. Nts., 6/1/18 |
6/7/11 | 277,842 | 276,750 | (1,092 | ) | |||||||||||
Hallertau SPC Credit Linked Nts., Series 2007-01, 2.787%, 12/20/17 |
12/13/07 | 6,250,000 | 5,846,875 | (403,125 | ) | |||||||||||
Hallertau SPC Credit Linked Nts., Series 2008-01, 9.888%, 8/2/10 |
|
4/18/08- 10/1/08 |
|
7,188,001 | | (7,188,001 | ) | |||||||||
Halyk Savings Bank of Kazakhstan JSC, 9.25% Sr. Nts., 10/16/13 |
|
4/9/08- 4/3/12 |
|
4,343,380 | 4,522,197 | 178,817 | ||||||||||
Ice 1 Em CLO Ltd./Ice 1 Em CLO Corp., Sr. Sec. Sub. Term Nts., Series 2007-1A, Cl. B, 2.419%, 8/15/22 |
11/6/07 | 7,040,032 | 5,430,300 | (1,609,732 | ) | |||||||||||
Ice 1 Em CLO Ltd./Ice 1 Em CLO Corp., Sr. Sec. Sub. Term Nts., Series 2007-1A, Cl. C, 3.719%, 8/15/22 |
6/8/07 | 5,270,000 | 3,478,200 | (1,791,800 | ) | |||||||||||
Ice 1 Em CLO Ltd./Ice 1 Em CLO Corp., Sr. Sec. Sub. Term Nts., Series 2007-1A, Cl. D, 5.719%, 8/15/22 |
6/8/07 | 5,270,000 | 3,372,800 | (1,897,200 | ) | |||||||||||
IIRSA Norte Finance Ltd., 8.75% Sr. Nts., 5/30/24 |
|
8/3/06- 7/24/07 |
|
3,846,573 | 4,474,872 | 628,299 | ||||||||||
JPMorgan Chase & Co., Colombia (Republic of) Credit Linked Nts., 11%, 7/28/20 |
8/24/10 | 890,334 | 947,430 | 57,096 | ||||||||||||
JPMorgan Hipotecaria su Casita, 8.175% Sec. Nts., 8/26/35 |
3/21/07 | 526,714 | 54,152 | (472,562 | ) | |||||||||||
Merrill Lynch, Colombia (Republic of) Credit Linked Nts., 10%, 11/17/16 |
10/20/06 | 762,393 | 1,112,760 | 350,367 | ||||||||||||
NC Finance Trust, Collateralized Mtg. Obligation Pass-Through Certificates, Series 1999-I, Cl. ECFD, 3.405%, 1/25/29 |
8/10/10 | 66,025 | 5,440 | (60,585 | ) | |||||||||||
Premier Cruise Ltd., 11% Sr. Nts., 3/15/08 |
3/6/98 | 242,675 | | (242,675 | ) | |||||||||||
Santander Drive Auto Receivables Trust 2011-S1A, Automobile Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/17 |
|
2/4/11- 4/14/11 |
|
149,580 | 149,992 | 412 | ||||||||||
Tengizchevroil LLP, 6.124% Nts., 11/15/14 |
|
4/29/05- 3/16/10 |
|
675,538 | 695,787 | 20,249 | ||||||||||
|
|
|
|
|
|
|||||||||||
$ | 87,430,327 | $ | 68,970,749 | $ | (18,459,578 | ) | ||||||||||
|
|
|
|
|
|
6. | All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after September 28, 2012. See accompanying Notes. |
7. | Interest or dividend is paid-in-kind, when applicable. |
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. |
68 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
9. | 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 $10,187,304 or 0.42% of the Funds net assets as of September 28, 2012. |
10. | The current amortization rate of the securitys 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. |
11. | 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. |
12. | Zero coupon bond reflects effective yield on the date of purchase. |
13. | All or a portion of the security position is held in segregated accounts and pledged to cover margin requirements under certain derivative contracts. The aggregate market value of such securities is $14,065,204. See accompanying Notes. |
14. | All or a portion of the security position is held in segregated accounts and pledged to cover margin requirements with respect to outstanding written options. The aggregate market value of such securities is $2,860,211. See accompanying Notes. |
15. | All or a portion of the security position is held in accounts at a futures clearing merchant and pledged to cover margin requirements on open futures contracts and written options on futures, if applicable. The aggregate market value of such securities is $4,890,420. See accompanying Notes. |
16. | Denotes an inflation-indexed security: coupon or principal are indexed to a consumer price index. |
17. | 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. |
18. | Rate shown is the 7-day yield as of September 28, 2012. |
Distribution of investments representing geographic holdings, as a percentage of total investments at value, is as follows:
Geographic Holdings |
Value | Percent | ||||||
United States |
$ | 1,792,035,759 | 62.0 | % | ||||
Turkey |
133,326,327 | 4.6 | ||||||
Russia |
126,616,971 | 4.4 | ||||||
Brazil |
118,349,656 | 4.1 | ||||||
Mexico |
104,927,230 | 3.6 | ||||||
South Africa |
75,959,692 | 2.6 | ||||||
Hungary |
56,485,577 | 2.0 | ||||||
Japan |
52,415,314 | 1.8 | ||||||
Colombia |
47,632,593 | 1.6 | ||||||
Peru |
46,643,453 | 1.6 | ||||||
Indonesia |
28,712,168 | 1.0 | ||||||
Venezuela |
27,499,444 | 1.0 | ||||||
Canada |
17,206,254 | 0.6 | ||||||
United Kingdom |
15,986,774 | 0.6 | ||||||
Italy |
15,756,801 | 0.5 | ||||||
Malaysia |
15,642,373 | 0.5 | ||||||
Supranational |
14,883,375 | 0.5 | ||||||
Kazakhstan |
14,274,780 | 0.5 | ||||||
Israel |
13,347,843 | 0.5 |
69 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Geographic Holdings |
Value | Percent | ||||||
France |
$ | 13,130,722 | 0.5 | |||||
Australia |
12,083,040 | 0.4 | ||||||
Philippines |
11,352,951 | 0.4 | ||||||
Poland |
11,158,042 | 0.4 | ||||||
Germany |
10,099,354 | 0.4 | ||||||
Ukraine |
9,620,756 | 0.3 | ||||||
The Netherlands |
8,732,428 | 0.3 | ||||||
Spain |
7,657,020 | 0.3 | ||||||
Chile |
7,102,791 | 0.2 | ||||||
United Arab Emirates |
6,602,770 | 0.2 | ||||||
India |
5,908,565 | 0.2 | ||||||
Nigeria |
5,855,215 | 0.2 | ||||||
Uruguay |
5,833,134 | 0.2 | ||||||
Panama |
4,871,436 | 0.2 | ||||||
Romania |
4,616,588 | 0.2 | ||||||
Qatar |
4,527,263 | 0.2 | ||||||
Sri Lanka |
3,832,988 | 0.1 | ||||||
Luxembourg |
3,696,089 | 0.1 | ||||||
Belgium |
3,664,368 | 0.1 | ||||||
Trinidad & Tobago |
3,030,300 | 0.1 | ||||||
Lithuanua |
2,568,344 | 0.1 | ||||||
Dominican Republic |
2,524,727 | 0.1 | ||||||
Latvia |
2,453,063 | 0.1 | ||||||
Croatia |
2,311,050 | 0.1 | ||||||
Slovakia |
2,256,909 | 0.1 | ||||||
Angola |
2,138,850 | 0.1 | ||||||
Sweden |
1,905,995 | 0.1 | ||||||
Norway |
1,870,641 | 0.1 | ||||||
Switzerland |
1,698,703 | 0.1 | ||||||
Ghana |
1,539,900 | 0.1 | ||||||
Jamaica |
1,360,950 | | ||||||
Ireland |
1,190,121 | | ||||||
Denmark |
1,165,247 | | ||||||
Ivory Coast |
1,119,075 | | ||||||
European Union |
882,842 | | ||||||
Finland |
668,625 | | ||||||
Korea, Republic of South |
470,396 | | ||||||
Argentina |
464,100 | | ||||||
Portugal |
170,533 | | ||||||
Taiwan |
40,867 | | ||||||
|
|
|
|
|||||
Total |
$ | 2,889,879,142 | 100.0 | % | ||||
|
|
|
|
Foreign Currency Exchange Contracts as of September 28, 2012 are as follows:
Counterparty/Contract Description |
Buy/Sell | Contract Amount (000s) |
Expiration Date | Value | Unrealized Appreciation |
Unrealized Depreciation |
||||||||||||||||||
Bank of America: |
||||||||||||||||||||||||
Australian Dollar (AUD) |
Buy | 995 | AUD | 10/24/12 | $ | 1,029,707 | $ | | $ | 3,302 | ||||||||||||||
Chilean Peso (CLP) |
Buy | 1,053,000 | CLP | 10/9/12-12/20/12 | 2,212,089 | 97,519 | 247 | |||||||||||||||||
Colombian Peso (COP) |
Sell | 13,210,000 | COP | 10/16/12 | 7,321,405 | | 12,968 | |||||||||||||||||
Japanese Yen (JPY) |
Sell | 450,000 | JPY | 10/24/12-12/20/12 | 5,767,914 | 19,027 | 1,686 | |||||||||||||||||
Malaysian Ringgit (MYR) |
Buy | 108,400 | MYR | 11/30/12-4/2/13 | 35,095,900 | 128,274 | 27,118 |
70 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Counterparty/Contract Description |
Buy/Sell | Contract Amount (000s) |
Expiration Date | Value | Unrealized Appreciation |
Unrealized Depreciation |
||||||||||||||||||
Malaysian Ringgit (MYR) |
Sell | 54,490 | MYR | 10/5/12 | $ | 17,811,627 | $ | | $ | 45,080 | ||||||||||||||
Peruvian New Sol (PEN) |
Sell | 25,940 | PEN | 10/5/12-10/15/12 | 9,978,795 | | 210,084 | |||||||||||||||||
Philippines Peso (PHP) |
Sell | 113,000 | PHP | 1/14/13 | 2,701,597 | | 18,786 | |||||||||||||||||
South African Rand (ZAR) |
Sell | 155,580 | ZAR | 10/5/12 | 18,679,529 | 248,038 | | |||||||||||||||||
|
|
|
|
|||||||||||||||||||||
492,858 | 319,271 | |||||||||||||||||||||||
Bank Paribas Asia: |
||||||||||||||||||||||||
Australian Dollar (AUD) |
Sell | 1,185 | AUD | 12/20/12 | 1,220,550 | 9,263 | 485 | |||||||||||||||||
Malaysian Ringgit (MYR) |
Buy | 4,180 | MYR | 11/30/12 | 1,357,959 | 24,838 | | |||||||||||||||||
Mexican Nuevo Peso (MXN) |
Sell | 3,400 | MXN | 12/20/12 | 262,001 | | 100 | |||||||||||||||||
New Zealand Dollar (NZD) |
Buy | 1,170 | NZD | 12/20/12 | 964,385 | | 2,580 | |||||||||||||||||
Polish Zloty (PLZ) |
Buy | 1,250 | PLZ | 12/20/12 | 386,512 | | 13,744 | |||||||||||||||||
Polish Zloty (PLZ) |
Sell | 3,050 | PLZ | 11/30/12-12/20/12 | 944,437 | | 18,025 | |||||||||||||||||
|
|
|
|
|||||||||||||||||||||
34,101 | 34,934 | |||||||||||||||||||||||
Barclays Capital: |
||||||||||||||||||||||||
Chilean Peso (CLP) |
Sell | 465,000 | CLP | 10/9/12 | 978,747 | | 18,400 | |||||||||||||||||
Euro (EUR) |
Sell | 850 | EUR | 1/23/13 | 1,093,700 | | 47,341 | |||||||||||||||||
Hungarian Forint (HUF) |
Buy | 210,000 | HUF | 10/24/12 | 942,932 | 44,798 | | |||||||||||||||||
Hungarian Forint (HUF) |
Sell | 330,000 | HUF | 12/12/12-2/20/13 | 1,465,770 | | 15,622 | |||||||||||||||||
Israeli Shekel (ILS) |
Buy | 2,030 | ILS | 4/2/13 | 514,688 | | 14,923 | |||||||||||||||||
Israeli Shekel (ILS) |
Sell | 2,030 | ILS | 4/2/13 | 514,688 | 21,229 | | |||||||||||||||||
Japanese Yen (JPY) |
Sell | 1,906,000 | JPY | 10/15/12-12/20/12 | 24,426,829 | 34,375 | | |||||||||||||||||
Mexican Nuevo Peso (MXN) |
Buy | 1,600 | MXN | 12/20/12 | 123,295 | | 161 | |||||||||||||||||
Mexican Nuevo Peso (MXN) |
Sell | 36,900 | MXN | 10/18/12-12/20/12 | 2,859,447 | | 106,063 | |||||||||||||||||
New Turkish Lira (TRY) |
Sell | 2,970 | TRY | 11/7/12 | 1,643,667 | | 46,113 | |||||||||||||||||
Norwegian Krone (NOK) |
Buy | 3,250 | NOK | 12/20/12 | 565,563 | | 461 | |||||||||||||||||
Polish Zloty (PLZ) |
Buy | 260 | PLZ | 10/16/12 | 80,992 | | 1,933 | |||||||||||||||||
Russian Ruble (RUR) |
Buy | 67,880 | RUR | 11/30/12 | 2,151,494 | | 38,678 | |||||||||||||||||
Russian Ruble (RUR) |
Sell | 144,100 | RUR | 10/15/12 | 4,605,531 | 2,558 | | |||||||||||||||||
South African Rand (ZAR) |
Buy | 8,710 | ZAR | 12/20/12 | 1,034,405 | | 12,543 | |||||||||||||||||
South African Rand (ZAR) |
Sell | 124,210 | ZAR | 10/22/12 | 14,877,159 | 141,643 | | |||||||||||||||||
|
|
|
|
|||||||||||||||||||||
244,603 | 302,238 | |||||||||||||||||||||||
Citigroup: |
||||||||||||||||||||||||
Australian Dollar (AUD) |
Sell | 9,740 | AUD | 11/30/12 | 10,049,095 | 102,104 | | |||||||||||||||||
Brazilian Real (BRR) |
Buy | 3,330 | BRR | 11/5/12 | 1,634,414 | 139 | | |||||||||||||||||
Chilean Peso (CLP) |
Sell | 352,000 | CLP | 10/16/12 | 739,993 | | 36,064 | |||||||||||||||||
Colombian Peso (COP) |
Sell | 3,317,000 | COP | 11/30/12-12/20/12 | 1,827,547 | 148 | 23,573 | |||||||||||||||||
Euro (EUR) |
Buy | 20,335 | EUR | 10/24/12 | 26,137,936 | | 203,393 | |||||||||||||||||
Euro (EUR) |
Sell | 12,910 | EUR | 10/16/12-11/30/12 | 16,600,307 | 6,348 | 200,398 | |||||||||||||||||
Hong Kong Dollar (HKD) |
Buy | 2,970 | HKD | 10/18/12 | 383,027 | 71 | | |||||||||||||||||
Hungarian Forint (HUF) |
Buy | 394,000 | HUF | 11/6/12 | 1,766,020 | 18,521 | | |||||||||||||||||
Hungarian Forint (HUF) |
Sell | 73,000 | HUF | 12/5/12 | 326,127 | 1,024 | | |||||||||||||||||
Indonesia Rupiah (IDR) |
Buy | 92,762,000 | IDR | 12/20/12-1/16/13 | 9,553,096 | 700 | 1,919 | |||||||||||||||||
Indonesia Rupiah (IDR) |
Sell | 90,433,000 | IDR | 10/5/12 | 9,441,386 | | 26,186 | |||||||||||||||||
Malaysian Ringgit (MYR) |
Buy | 12,530 | MYR | 11/30/12-12/20/12 | 4,068,853 | 37,947 | 29 | |||||||||||||||||
Malaysian Ringgit (MYR) |
Sell | 5,610 | MYR | 10/5/12 | 1,833,790 | | 6,429 | |||||||||||||||||
Mexican Nuevo Peso (MXN) |
Buy | 320,500 | MXN | 10/18/12-12/20/12 | 24,712,723 | 75,626 | 13,529 | |||||||||||||||||
Mexican Nuevo Peso (MXN) |
Sell | 800,193 | MXN | 10/2/12-12/13/12 | 61,986,365 | 6,042 | 1,847,460 | |||||||||||||||||
New Zealand Dollar (NZD) |
Sell | 5 | NZD | 12/20/12 | 4,121 | | | |||||||||||||||||
Norwegian Krone (NOK) |
Buy | 1,760 | NOK | 12/20/12 | 306,274 | | 506 | |||||||||||||||||
Norwegian Krone (NOK) |
Sell | 15,090 | NOK | 10/16/12 | 2,632,419 | | 2,858 | |||||||||||||||||
Peruvian New Sol (PEN) |
Buy | 12,770 | PEN | 10/5/12 | 4,914,377 | 4,188 | 9,596 | |||||||||||||||||
Peruvian New Sol (PEN) |
Sell | 11,760 | PEN | 1/16/13 | 4,500,585 | 5,163 | |
71 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Counterparty/Contract Description |
Buy/Sell | Contract Amount (000s) |
Expiration Date | Value | Unrealized Appreciation |
Unrealized Depreciation |
||||||||||||||||||
Singapore Dollar (SGD) |
Sell | 6,920 | SGD | 10/16/12 | $ | 5,638,730 | $ | | $ | 116,214 | ||||||||||||||
South Korean Won (KRW) |
Buy | 10,463,000 | KRW | 11/19/12 | 9,368,947 | 144,756 | | |||||||||||||||||
Swiss Franc (CHF) |
Buy | 460 | CHF | 11/30/12 | 489,668 | 10,923 | | |||||||||||||||||
|
|
|
|
|||||||||||||||||||||
413,700 | 2,488,154 | |||||||||||||||||||||||
Credit Suisse: |
||||||||||||||||||||||||
Australian Dollar (AUD) |
Sell | 258 | AUD | 10/2/12-12/20/12 | 266,078 | 1,605 | | |||||||||||||||||
British Pound Sterling (GBP) |
Buy | 2,690 | GBP | 10/24/12 | 4,343,488 | | 11,622 | |||||||||||||||||
Chilean Peso (CLP) |
Sell | 394,000 | CLP | 12/20/12 | 820,528 | 3,337 | | |||||||||||||||||
Colombian Peso (COP) |
Buy | 109,000 | COP | 12/20/12 | 59,914 | | 433 | |||||||||||||||||
Euro (EUR) |
Buy | 3,675 | EUR | 11/29/12 | 4,725,533 | 102,659 | | |||||||||||||||||
New Turkish Lira (TRY) |
Sell | 12,610 | TRY | 11/29/12-7/17/13 | 6,896,539 | | 209,190 | |||||||||||||||||
Polish Zloty (PLZ) |
Buy | 8,300 | PLZ | 10/16/12 | 2,585,523 | | 56,191 | |||||||||||||||||
South African Rand (ZAR) |
Sell | 195,440 | ZAR | 12/12/12 | 23,238,226 | 417,350 | | |||||||||||||||||
Swedish Krona (SEK) |
Buy | 5,260 | SEK | 12/20/12 | 798,795 | | 5,529 | |||||||||||||||||
Swiss Franc (CHF) |
Buy | 1,020 | CHF | 10/24/12 | 1,085,046 | | 7,031 | |||||||||||||||||
|
|
|
|
|||||||||||||||||||||
524,951 | 289,996 | |||||||||||||||||||||||
Deutsche Bank Securities, Inc.: |
||||||||||||||||||||||||
Australian Dollar (AUD) |
Buy | 2,480 | AUD | 10/16/12 | 2,568,506 | | 23,888 | |||||||||||||||||
Canadian Dollar (CAD) |
Buy | 4,205 | CAD | 10/24/12 | 4,275,060 | | 22,773 | |||||||||||||||||
Czech Koruna (CZK) |
Sell | 10,900 | CZK | 12/20/12 | 557,365 | 8,487 | | |||||||||||||||||
Hungarian Forint (HUF) |
Sell | 4,824,000 | HUF | 10/16/12-5/29/13 | 21,611,016 | 9,503 | 859,816 | |||||||||||||||||
Indian Rupee (INR) |
Buy | 33,000 | INR | 11/19/12 | 619,895 | 13,482 | | |||||||||||||||||
Indian Rupee (INR) |
Sell | 13,000 | INR | 12/20/12 | 243,439 | | 3,188 | |||||||||||||||||
Japanese Yen (JPY) |
Buy | 494,000 | JPY | 10/24/12 | 6,331,376 | 22,308 | | |||||||||||||||||
Japanese Yen (JPY) |
Sell | 1,859,000 | JPY | 10/15/12 | 23,824,148 | | 336,653 | |||||||||||||||||
Malaysian Ringgit (MYR) |
Buy | 71,935 | MYR | 10/5/12 | 23,514,028 | 609,499 | | |||||||||||||||||
New Turkish Lira (TRY) |
Sell | 18,325 | TRY | 10/30/12 | 10,153,030 | | 276,985 | |||||||||||||||||
Polish Zloty (PLZ) |
Buy | 19,240 | PLZ | 11/6/12 | 5,977,796 | | 64,633 | |||||||||||||||||
Polish Zloty (PLZ) |
Sell | 20,400 | PLZ | 10/16/12-12/20/12 | 6,341,231 | 23,511 | 166,091 | |||||||||||||||||
|
|
|
|
|||||||||||||||||||||
686,790 | 1,754,027 | |||||||||||||||||||||||
Goldman Sachs & Co.: |
||||||||||||||||||||||||
Australian Dollar (AUD) |
Sell | 3,505AUD | 10/16/12 | 3,630,086 | | 110,736 | ||||||||||||||||||
British Pound Sterling (GBP) |
Sell | 2,455GBP | 10/16/12 | 3,964,140 | | 173,804 | ||||||||||||||||||
Colombian Peso (COP) |
Buy | 21,048,880COP | 10/3/12 | 11,689,790 | 8,947 | | ||||||||||||||||||
Colombian Peso (COP) |
Sell | 14,790,000COP | 10/16/12 | 8,197,091 | | 19,043 | ||||||||||||||||||
Danish Krone (DKK) |
Sell | 501DKK | 10/2/12 | 86,393 | 181 | | ||||||||||||||||||
Euro (EUR) |
Buy | 5,505EUR | 11/29/12-12/7/12 | 7,078,898 | 150,894 | | ||||||||||||||||||
Japanese Yen (JPY) |
Buy | 978,000JPY | 11/30/12 | 12,538,497 | 203,998 | 562 | ||||||||||||||||||
Mexican Nuevo Peso (MXN) |
Buy | 93,709MXN | 10/3/12-12/4/12 | 7,255,107 | 115,387 | | ||||||||||||||||||
Mexican Nuevo Peso (MXN) |
Sell | 532,500MXN | 10/16/12-12/20/12 | 41,072,498 | | 885,568 | ||||||||||||||||||
New Turkish Lira (TRY) |
Sell | 32,850TRY | 11/29/12-12/7/12 | 18,116,679 | | 177,918 | ||||||||||||||||||
South African Rand (ZAR) |
Sell | 44,070ZAR | 10/5/12 | 5,291,212 | 66,687 | | ||||||||||||||||||
Swedish Krona (SEK) |
Buy | 1,968SEK | 10/2/12 | 299,536 | | 452 | ||||||||||||||||||
|
|
|
|
|||||||||||||||||||||
546,094 | 1,368,083 | |||||||||||||||||||||||
HSBC: |
||||||||||||||||||||||||
Israeli Shekel (ILS) |
Sell | 3,150ILS | 12/20/12 | 801,216 | 2,274 | | ||||||||||||||||||
New Turkish Lira (TRY) |
Buy | 3,240TRY | 7/17/13 | 1,728,765 | 65,094 | | ||||||||||||||||||
New Turkish Lira (TRY) |
Sell | 91,370TRY | 11/7/12 | 50,566,294 | | 1,548,053 | ||||||||||||||||||
|
|
|
|
|||||||||||||||||||||
67,368 | 1,548,053 | |||||||||||||||||||||||
JPMorgan Chase: |
||||||||||||||||||||||||
British Pound Sterling (GBP) |
Buy | 620GBP | 12/20/12 | 1,000,940 | | 4,381 | ||||||||||||||||||
Euro (EUR) |
Sell | 10,430EUR | 11/6/12-11/30/12 | 13,410,499 | | 378,993 | ||||||||||||||||||
Hungarian Forint (HUF) |
Buy | 13,000HUF | 12/20/12 | 57,990 | | 951 |
72 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Counterparty/Contract Description |
Buy/Sell | Contract Amount (000s) |
Expiration Date | Value | Unrealized Appreciation |
Unrealized Depreciation |
||||||||||||||||||
Hungarian Forint (HUF) |
Sell | 3,779,000 | HUF | 10/24/12-2/12/13 | $ | 16,776,034 | $ | 7,381 | $ | 1,217,002 | ||||||||||||||
Indonesia Rupiah (IDR) |
Buy | 90,444,864 | IDR | 10/5/2012-10/15/2012 | 10,681,093 | 2,779 | 128,244 | |||||||||||||||||
Japanese Yen (JPY) |
Sell | 213,000 | JPY | 10/24/12 | 2,729,925 | | 9,011 | |||||||||||||||||
Malaysian Ringgit (MYR) |
Buy | 930 | MYR | 12/20/12 | 301,835 | 576 | 532 | |||||||||||||||||
Malaysian Ringgit (MYR) |
Sell | 11,835 | MYR | 10/5/12 | 3,868,611 | | 91,081 | |||||||||||||||||
Mexican Nuevo Peso (MXN) |
Buy | 80,600 | MXN | 10/16/12-12/4/12 | 6,234,923 | 163,383 | 25,001 | |||||||||||||||||
New Taiwan Dollar (TWD) |
Buy | 14,000 | TWD | 12/20/12 | 477,914 | | 1,867 | |||||||||||||||||
New Taiwan Dollar (TWD) |
Sell | 7,000 | TWD | 12/20/12 | 238,957 | | 943 | |||||||||||||||||
New Turkish Lira (TRY) |
Sell | 6,720 | TRY | 11/29/12 | 3,707,361 | | 34,166 | |||||||||||||||||
Norwegian Krone (NOK) |
Buy | 15,090 | NOK | 10/16/12 | 2,632,419 | | 13,998 | |||||||||||||||||
Philippines Peso (PHP) |
Buy | 13,000 | PHP | 12/20/12 | 310,856 | 684 | 137 | |||||||||||||||||
Polish Zloty (PLZ) |
Buy | 12,000 | PLZ | 11/6/12 | 3,728,355 | 3,382 | | |||||||||||||||||
Polish Zloty (PLZ) |
Sell | 12,450 | PLZ | 10/16/12 | 3,878,284 | 20,071 | | |||||||||||||||||
Russian Ruble (RUR) |
Buy | 81,900 | RUR | 11/30/12-12/20/12 | 2,593,363 | 36,355 | 5,336 | |||||||||||||||||
Russian Ruble (RUR) |
Sell | 463,500 | RUR | 10/15/12-12/20/12 | 14,764,852 | 7,781 | 552,295 | |||||||||||||||||
|
|
|
|
|||||||||||||||||||||
242,392 | 2,463,938 | |||||||||||||||||||||||
Morgan Stanley & Co., Inc.: |
||||||||||||||||||||||||
Brazilian Real (BRR) |
Buy | 490 | BRR | 11/5/12 | 240,499 | 680 | | |||||||||||||||||
Brazilian Real (BRR) |
Sell | 88,965 | BRR | 11/5/12 | 43,665,367 | | 115,914 | |||||||||||||||||
Canadian Dollar (CAD) |
Buy | 1,610 | CAD | 12/20/12 | 1,634,594 | | 12,869 | |||||||||||||||||
Canadian Dollar (CAD) |
Sell | 1,155 | CAD | 10/16/12 | 1,174,447 | | 1,433 | |||||||||||||||||
Euro (EUR) |
Sell | 15,080 | EUR | 10/16/12 | 19,381,738 | | 983,807 | |||||||||||||||||
Singapore Dollar (SGD) |
Sell | 8,460 | SGD | 10/16/12-12/20/12 | 6,893,587 | | 230,916 | |||||||||||||||||
South Korean Won (KRW) |
Buy | 10,796,000 | KRW | 10/15/12 | 9,694,722 | 277,005 | | |||||||||||||||||
|
|
|
|
|||||||||||||||||||||
277,685 | 1,344,939 | |||||||||||||||||||||||
Nomura Securities: |
||||||||||||||||||||||||
British Pound Sterling (GBP) |
Buy | 85 | GBP | 11/30/12 | 137,232 | 3,102 | | |||||||||||||||||
British Pound Sterling (GBP) |
Sell | 810 | GBP | 12/20/12 | 1,307,679 | 7,356 | | |||||||||||||||||
Canadian Dollar (CAD) |
Sell | 730 | CAD | 10/16/12 | 742,291 | | 30,830 | |||||||||||||||||
Euro (EUR) |
Buy | 9,401 | EUR | 10/3/12-12/20/12 | 12,088,474 | 231,227 | 18,079 | |||||||||||||||||
Euro (EUR) |
Sell | 14,113 | EUR | 10/3/12-12/20/12 | 18,140,412 | 4,248 | 980,190 | |||||||||||||||||
Indonesia Rupiah (IDR) |
Sell | 71,925,000 | IDR | 10/15/12 | 7,496,095 | 51,124 | | |||||||||||||||||
Japanese Yen (JPY) |
Sell | 1,433,000 | JPY | 10/15/12 | 18,364,715 | | 187,024 | |||||||||||||||||
Malaysian Ringgit (MYR) |
Sell | 61,160 | MYR | 10/15/12-10/16/12 | 19,955,439 | | 654,350 | |||||||||||||||||
Singapore Dollar (SGD) |
Buy | 8,160 | SGD | 10/16/12 | 6,649,138 | | 686 | |||||||||||||||||
Singapore Dollar (SGD) |
Sell | 4,170 | SGD | 10/16/12 | 3,397,905 | | 71,538 | |||||||||||||||||
South Korean Won (KRW) |
Sell | 9,800,000 | KRW | 10/15/12-12/20/12 | 8,799,274 | | 244,303 | |||||||||||||||||
|
|
|
|
|||||||||||||||||||||
297,057 | 2,187,000 | |||||||||||||||||||||||
RBS Greenwich Capital: |
||||||||||||||||||||||||
Hungarian Forint (HUF) |
Sell | 1,860,000 | HUF | 12/27/12 | 8,291,181 | | 704,540 | |||||||||||||||||
New Turkish Lira (TRY) |
Buy | 11,860 | TRY | 10/30/12 | 6,571,074 | 33,840 | | |||||||||||||||||
New Turkish Lira (TRY) |
Sell | 28,370 | TRY | 10/15/12 | 15,751,862 | | 287,848 | |||||||||||||||||
Polish Zloty (PLZ) |
Sell | 11,430 | PLZ | 10/16/12-12/20/12 | 3,554,659 | | 224,667 | |||||||||||||||||
Russian Ruble (RUR) |
Sell | 33,100 | RUR | 11/30/12 | 1,049,123 | 1,199 | | |||||||||||||||||
Singapore Dollar (SGD) |
Buy | 11,090 | SGD | 10/16/12 | 9,036,635 | 312,671 | | |||||||||||||||||
|
|
|
|
|||||||||||||||||||||
347,710 | 1,217,055 | |||||||||||||||||||||||
Standard Chartered Bank |
||||||||||||||||||||||||
Malaysian Ringgit (MYR) |
Buy | 21,920 | MYR | 11/30/12 | 7,121,161 | 124,261 | | |||||||||||||||||
State Street: |
||||||||||||||||||||||||
Mexican Nuevo Peso (MXN) |
Sell | 234,700 | MXN | 10/16/12 | 18,201,050 | | 958,911 | |||||||||||||||||
New Turkish Lira (TRY) |
Sell | 6,660 | TRY | 11/29/12 | 3,674,260 | | 49,277 | |||||||||||||||||
South African Rand (ZAR) |
Sell | 62,600 | ZAR | 10/16/12 | 7,504,266 | | 118,183 | |||||||||||||||||
|
|
|
|
|||||||||||||||||||||
| 1,126,371 | |||||||||||||||||||||||
|
|
|
|
|||||||||||||||||||||
Total unrealized appreciation and depreciation |
|
$ | 4,299,570 | $ | 16,444,059 | |||||||||||||||||||
|
|
|
|
73 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Futures Contracts as of September 28, 2012 are as follows:
Contract Description |
Buy/Sell | Number of Contracts |
Expiration Date |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||
Australian Treasury Bonds, 3 yr. |
Sell | 117 | 12/17/12 | $ | 13,412,381 | $ | (51,269 | ) | ||||||||||||
Australian Treasury Bonds, 10 yr. |
Sell | 16 | 12/17/12 | 2,106,010 | (4,163 | ) | ||||||||||||||
CBOE Volatility Index |
Sell | 60 | 11/20/12 | 1,083,000 | 104,948 | |||||||||||||||
FTSE 100 Index |
Sell | 20 | 12/21/12 | 1,845,076 | 49,944 | |||||||||||||||
Japanese Yen (JPY) |
Sell | 45 | 12/17/12 | 7,218,000 | 22,635 | |||||||||||||||
SPI 200 Index |
Sell | 19 | 12/20/12 | 2,160,076 | 11,194 | |||||||||||||||
Standard & Poors 500 E-Mini Index |
Sell | 339 | 12/21/12 | 24,309,690 | 420,475 | |||||||||||||||
Standard & Poors 500 E-Mini Index |
Buy | 251 | 12/21/12 | 17,999,210 | (312,410 | ) | ||||||||||||||
Standard & Poors/Toronto Stock Exchange 60 Index |
Sell | 6 | 12/20/12 | 855,294 | 15,848 | |||||||||||||||
U.S. Treasury Long Bonds, 20 yr. |
Buy | 320 | 12/19/12 | 47,800,000 | 85,878 | |||||||||||||||
U.S. Treasury Long Bonds, 20 yr. |
Sell | 219 | 12/19/12 | 32,713,125 | (15,010 | ) | ||||||||||||||
U.S. Treasury Nts., 2 yr. |
Sell | 1,089 | 12/31/12 | 240,158,531 | (103,498 | ) | ||||||||||||||
U.S. Treasury Nts., 2 yr. |
Buy | 174 | 12/31/12 | 38,372,438 | 21,009 | |||||||||||||||
U.S. Treasury Nts., 5 yr. |
Sell | 130 | 12/31/12 | 16,202,266 | (73,497 | ) | ||||||||||||||
U.S. Treasury Nts., 5 yr. |
Buy | 303 | 12/31/12 | 37,763,742 | 100,080 | |||||||||||||||
U.S. Treasury Nts., 10 yr. |
Sell | 1,412 | 12/19/12 | 188,479,938 | (1,164,056 | ) | ||||||||||||||
U.S. Treasury Nts., 10 yr. |
Buy | 86 | 12/19/12 | 11,479,656 | 39,545 | |||||||||||||||
U.S. Treasury Ultra Bonds |
Buy | 197 | 12/19/12 | 32,548,094 | 17,631 | |||||||||||||||
|
|
|||||||||||||||||||
$ | (834,716 | ) | ||||||||||||||||||
|
|
Written Options as of September 28, 2012 are as follows:
Description |
Type | Number of Contracts |
Exercise Price |
Expiration Date |
Premiums Received |
Value | Unrealized Appreciation/ (Depreciation) |
|||||||||||||||||||||
Australian Dollar (AUD) Futures, 12/17/12 |
Put | 52 | $ | 101.000 | 10/8/12 | $ | 3,084 | $ | (2,600 | ) | $ | 484 | ||||||||||||||||
Australian Dollar (AUD) Futures, 12/17/12 |
Put | 20 | 100.000 | 10/8/12 | 897 | (200 | ) | 697 | ||||||||||||||||||||
Australian Dollar (AUD) Futures, 12/17/12 |
Put | 2 | 99.500 | 10/8/12 | 37 | (10 | ) | 27 | ||||||||||||||||||||
Brazilian Real (BRR) |
Put | 16,900,000 | |
1USD per 2.130BRR |
|
12/20/12 | 63,673 | (44,285 | ) | 19,388 | ||||||||||||||||||
Brazilian Real (BRR) |
Put | 16,900,000 | |
1USD per 2.130BRR |
|
12/20/12 | 61,103 | (44,285 | ) | 16,818 | ||||||||||||||||||
Brazilian Real (BRR) |
Put | 16,900,000 | |
1USD per 2.130BRR |
|
12/20/12 | 59,110 | (44,285 | ) | 14,825 | ||||||||||||||||||
British Pound Sterling (GBP) |
Put | 5,082,035 | |
1GBP per 1.400USD |
|
9/11/13 | 39,061 | (25,968 | ) | 13,093 | ||||||||||||||||||
British Pound Sterling (GBP) |
Put | 2,542,293 | |
1GBP per 1.360USD |
|
9/9/13 | 14,556 | (6,328 | ) | 8,228 | ||||||||||||||||||
British Pounds Sterling (GBP) |
Put | 3,557,644 | |
1GBP per 1.350USD |
|
8/16/13 | 32,308 | (5,752 | ) | 26,556 | ||||||||||||||||||
Candian Dollar (CAD) Futures, 12/18/12 |
Put | 224 | 98.500 | 10/8/12 | 6,126 | (2,240 | ) | 3,886 | ||||||||||||||||||||
Candian Dollar (CAD) Futures, 12/18/12 |
Put | 223 | 99.000 | 10/8/12 | 4,353 | (2,230 | ) | 2,123 | ||||||||||||||||||||
Euro (EUR) |
Call | 14,900,000 | |
1EUR per 1.350USD |
|
12/21/12 | 89,109 | (43,399 | ) | 45,710 | ||||||||||||||||||
Euro (EUR) |
Call | 13,240,000 | |
1EUR per 1.350USD |
|
12/21/12 | 83,114 | (38,564 | ) | 44,550 | ||||||||||||||||||
Euro (EUR) FX Futures, 12/17/12 |
Put | 781 | 1.200 | 10/8/12 | 31,605 | (4,881 | ) | 26,724 | ||||||||||||||||||||
Euro (EUR) FX Futures, 12/17/12 |
Put | 407 | 1.215 | 10/8/12 | 25,546 | (2,544 | ) | 23,002 | ||||||||||||||||||||
Euro (EUR) FX Futures, 12/17/12 |
Put | 282 | 1.175 | 10/8/12 | 38,586 | (1,763 | ) | 36,823 | ||||||||||||||||||||
Euro (EUR) FX Futures, 12/17/12 |
Put | 224 | 1.195 | 10/8/12 | 9,913 | (1,400 | ) | 8,513 |
74 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Description |
Type | Number of Contracts |
Exercise Price | Expiration Date |
Premiums Received |
Value | Unrealized Appreciation/ (Depreciation) |
|||||||||||||||||||||
Euro (EUR) FX Futures, 12/17/12 |
Put | 213 | $ | 1.245 | 10/8/12 | $ | 6,921 | $ | (3,994 | ) | $ | 2,927 | ||||||||||||||||
Euro (EUR) FX Futures, 12/17/12 |
Put | 207 | 1.250 | 10/8/12 | 7,438 | (5,175 | ) | 2,263 | ||||||||||||||||||||
Euro (EUR) FX Futures, 12/17/12 |
Put | 187 | 1.230 | 10/8/12 | 25,727 | (1,169 | ) | 24,558 | ||||||||||||||||||||
Euro (EUR) FX Futures, 12/17/12 |
Put | 114 | 1.205 | 11/12/12 | 16,821 | (9,975 | ) | 6,846 | ||||||||||||||||||||
Euro (EUR) FX Futures, 12/17/12 |
Put | 102 | 1.175 | 11/12/12 | 44,419 | (2,550 | ) | 41,869 | ||||||||||||||||||||
Euro (EUR) FX Futures, 12/17/12 |
Put | 102 | 1.175 | 12/10/12 | 69,873 | (12,750 | ) | 57,123 | ||||||||||||||||||||
Euro (EUR) FX Futures, 12/17/12 |
Put | 92 | 1.210 | 12/10/12 | 34,901 | (31,050 | ) | 3,851 | ||||||||||||||||||||
Euro (EUR) FX Futures, 12/17/12 |
Put | 32 | 1.270 | 10/8/12 | 7,570 | (7,600 | ) | (30 | ) | |||||||||||||||||||
Euro (EUR) FX Futures, 12/17/12 |
Put | 25 | 1.240 | 10/8/12 | 703 | (313 | ) | 390 | ||||||||||||||||||||
Euro (EUR) FX Futures, 12/17/12 |
Put | 14 | 1.255 | 10/8/12 | 1,058 | (700 | ) | 358 | ||||||||||||||||||||
Euro (EUR) FX Futures, 12/17/12 |
Put | 13 | 1.180 | 10/8/12 | 630 | (81 | ) | 549 | ||||||||||||||||||||
Euro-Bundesobligation Futures, 12/6/12 |
Put | 221 | 137.500 | EUR | 10/29/12 | 31,012 | (25,560 | ) | 5,452 | |||||||||||||||||||
Euro-Bundesobligation Futures, 12/6/12 |
Put | 110 | 136.000 | EUR | 10/29/12 | 4,109 | (4,241 | ) | (132 | ) | ||||||||||||||||||
Euro-Bundesobligation Futures, 12/6/12 |
Put | 2 | 137.000 | EUR | 10/29/12 | 229 | (154 | ) | 75 | |||||||||||||||||||
France (Republic of) Bonds, 3%, 4/25/22 |
Put | 1,270,000 | 104.000 | EUR | 11/6/12 | 11,036 | (6,360 | ) | 4,676 | |||||||||||||||||||
Hungarian Forint (HUF) |
Call | 9,370,000 | |
1EUR per 295.000HUF |
|
12/20/12 | 132,929 | (142,014 | ) | (9,085 | ) | |||||||||||||||||
Japanese Yen (JPY) |
Call | 366,000,460 | |
1USD per 72.000JPY |
|
5/31/13 | 85,817 | (29,225 | ) | 56,592 | ||||||||||||||||||
Japanese Yen (JPY) |
Call | 182,953,249 | |
1USD per 72.000JPY |
|
9/11/13 | 32,398 | (26,656 | ) | 5,742 | ||||||||||||||||||
Japanese Yen (JPY) |
Call | 191,003,483 | |
1USD per 75.000JPY |
|
8/22/13 | 55,646 | (47,199 | ) | 8,447 | ||||||||||||||||||
Japanese Yen (JPY) |
Put | 229,204,180 | |
1USD per 90.000JPY |
|
8/22/13 | 16,146 | (7,898 | ) | 8,248 | ||||||||||||||||||
Japanese Yen (JPY) |
Put | 228,691,562 | |
1USD per 90.000JP |
|
9/11/13 | 12,400 | (9,088 | ) | 3,312 | ||||||||||||||||||
Japanese Yen (JPY) |
Put | 482,917,273 | |
1USD per 95.000JPY |
|
5/31/13 | 22,217 | (971 | ) | 21,246 | ||||||||||||||||||
Japanese Yen (JPY) Futures, 12/17/12 |
Put | 268 | 123.500 | 10/8/12 | 5,755 | (1,675 | ) | 4,080 | ||||||||||||||||||||
Japanese Yen (JPY) Futures, 12/17/12 |
Put | 204 | 121.000 | 10/8/12 | 24,833 | (1,275 | ) | 23,558 | ||||||||||||||||||||
Japanese Yen (JPY) Futures, 12/17/12 |
Put | 114 | 125.500 | 10/8/12 | 18,461 | (5,700 | ) | 12,761 | ||||||||||||||||||||
Japanese Yen (JPY) Futures, 12/17/12 |
Put | 100 | 124.000 | 10/8/12 | 4,659 | (1,250 | ) | 3,409 | ||||||||||||||||||||
Japanese Yen (JPY) Futures, 12/17/12 |
Put | 40 | 123.000 | 11/12/12 | 4,937 | (6,000 | ) | (1,063 | ) | |||||||||||||||||||
Mexican Nuevo Peso (MXN) |
Call | 99,300,000 | |
1USD per 12.500MXN |
|
12/20/12 | 51,239 | (46,057 | ) | 5,182 | ||||||||||||||||||
Mexican Nuevo Peso (MXN) |
Call | 99,300,000 | |
1USD per 12.500MXN |
|
12/20/12 | 52,710 | (46,057 | ) | 6,653 | ||||||||||||||||||
Mexican Nuevo Peso (MXN) |
Call | 99,300,000 | |
1USD per 12.500MXN |
|
12/20/12 | 56,561 | (46,057 | ) | 10,504 | ||||||||||||||||||
Russian Ruble (RUR) |
Put | 270,000,000 | |
1USD per 34.000RUR |
|
12/21/12 | 51,618 | (25,985 | ) | 25,633 | ||||||||||||||||||
Russian Ruble (RUR) |
Put | 270,000,000 | |
1USD per 34.000RUR |
|
12/21/12 | 50,824 | (25,985 | ) | 24,839 | ||||||||||||||||||
Russian Ruble (RUR) |
Put | 270,000,000 | |
1USD per 34.000RUR |
|
12/21/12 | 54,000 | (25,985 | ) | 28,015 | ||||||||||||||||||
Russian Ruble (RUR) |
Put | 375,200,000 | |
1USD per 38.000RUR |
|
11/29/12 | 165,878 | (315 | ) | 165,563 | ||||||||||||||||||
South African Rand (ZAR) |
Call | 86,825,000 | |
1USD per 7.893ZAR |
|
11/26/12 | 98,238 | (61,199 | ) | 37,039 | ||||||||||||||||||
South African Rand (ZAR) |
Call | 63,200,000 | |
1USD per 7.950ZAR |
|
12/21/12 | 89,275 | (71,321 | ) | 17,954 | ||||||||||||||||||
South African Rand (ZAR) |
Call | 63,200,000 | |
1USD per 7.950ZAR |
|
12/20/12 | 89,036 | (70,802 | ) | 18,234 |
75 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Description |
Type | Number of Contracts |
Exercise Price |
Expiration Date |
Premiums Received |
Value | Unrealized Appreciation/ (Depreciation) |
|||||||||||||||||||||
South African Rand (ZAR) |
Call | 63,200,000 | |
1USD per 7.950ZAR |
|
12/21/12 | $ | 88,838 | $ | (71,321 | ) | $ | 17,517 | |||||||||||||||
South African Rand (ZAR) |
Put | 99,325,000 | |
1USD per 9.023ZAR |
|
11/21/12 | 134,855 | (52,039 | ) | 82,816 | ||||||||||||||||||
South African Rand (ZAR) |
Put | 99,150,000 | |
1USD per 9.013ZAR |
|
11/26/12 | 145,768 | (61,489 | ) | 84,279 | ||||||||||||||||||
South African Rand (ZAR) |
Put | 71,500,000 | |
1USD per 9.000ZAR |
|
12/21/12 | 89,613 | (79,352 | ) | 10,261 | ||||||||||||||||||
South African Rand (ZAR) |
Put | 71,500,000 | |
1USD per 9.000ZAR |
|
12/20/12 | 89,296 | (77,913 | ) | 11,383 | ||||||||||||||||||
South African Rand (ZAR) |
Put | 71,500,000 | |
1USD per 9.000ZAR |
|
12/21/12 | 93,943 | (79,352 | ) | 14,591 | ||||||||||||||||||
South African Rand (ZAR) |
Call | 86,975,000 | |
1USD per 7.900ZAR |
|
11/21/12 | 79,378 | (57,381 | ) | 21,997 | ||||||||||||||||||
Spain (Kingdom of) Bonds, 5.85%, 1/31/22 |
Put | 635,000 | 95.800 | EUR | 10/4/12 | 21,221 | (21,539 | ) | (318 | ) | ||||||||||||||||||
Swedish Krona (SEK) |
Put | 119,000,000 | |
1USD per 6.800SEK |
|
12/20/12 | 122,325 | (145,616 | ) | (23,291 | ) | |||||||||||||||||
Swedish Krona (SEK) |
Put | 119,000,000 | |
1USD per 6.800SEK |
|
12/20/12 | 134,575 | (145,616 | ) | (11,041 | ) | |||||||||||||||||
U.S. Treasury Long Bonds Futures, 12/19/12 |
Put | 205 | 144.000 | 10/8/12 | 5,979 | (6,406 | ) | (427 | ) | |||||||||||||||||||
U.S. Treasury Long Bonds Futures, 12/19/12 |
Put | 204 | 146.000 | 10/8/12 | 13,536 | (19,125 | ) | (5,589 | ) | |||||||||||||||||||
U.S. Treasury Long Bonds Futures, 12/19/12 |
Put | 204 | 144.000 | 10/15/12 | 11,745 | (12,750 | ) | (1,005 | ) | |||||||||||||||||||
U.S. Treasury Long Bonds Futures, 12/19/12 |
Call | 4 | 149.000 | 10/1/12 | 3,494 | (1,563 | ) | 1,931 | ||||||||||||||||||||
U.S. Treasury Long Bonds, 20 yr. Futures, 12/19/12 |
Put | 578 | 139.000 | 10/29/12 | 28,045 | (27,094 | ) | 951 | ||||||||||||||||||||
U.S. Treasury Long Bonds, 20 yr. Futures, 12/19/12 |
Put | 372 | 140.000 | 10/29/12 | 21,571 | (23,250 | ) | (1,679 | ) | |||||||||||||||||||
U.S. Treasury Long Bonds, 20 yr. Futures, 12/19/12 |
Put | 204 | 140.000 | 11/26/12 | 53,906 | (60,563 | ) | (6,657 | ) | |||||||||||||||||||
U.S. Treasury Long Bonds, 20 yr. Futures, 12/19/12 |
Put | 22 | 143.000 | 10/29/12 | 3,771 | (3,781 | ) | (10 | ) | |||||||||||||||||||
U.S. Treasury Nts., 10 yr. Futures, 12/19/12 |
Put | 916 | 129.500 | 10/29/12 | 33,861 | (14,313 | ) | 19,548 | ||||||||||||||||||||
U.S. Treasury Nts., 10 yr. Futures, 12/19/12 |
Put | 428 | 130.500 | 10/29/12 | 19,472 | (20,063 | ) | (591 | ) | |||||||||||||||||||
U.S. Treasury Nts., 10 yr. Futures, 12/19/12 |
Put | 108 | 129.500 | 11/26/12 | 9,976 | (11,813 | ) | (1,837 | ) | |||||||||||||||||||
U.S. Treasury Nts., 10 yr. Futures, 12/19/12 |
Put | 54 | 130.000 | 10/29/12 | 1,613 | (1,688 | ) | (75 | ) | |||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||
$ | 3,206,986 | $ | (2,075,147 | ) | $ | 1,131,839 | ||||||||||||||||||||||
|
|
|
|
|
|
Credit Default Swap Contracts as of September 28, 2012 are as follows:
Reference Entity/ Swap Counterparty |
Buy/Sell Credit Protection |
Notional Amount (000s) |
Pay/ Receive Fixed Rate |
Termination Date |
Upfront Payment Received/ (Paid) |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
Banco Bilbao Vizcaya Argentaria Senior Finance SAU: |
||||||||||||||||||||||||||||
UBS AG |
Sell | 125 | EUR | 3.0 | % | 12/20/17 | $ | 4,874 | $ | 355 | $ | 5,229 | ||||||||||||||||
UBS AG |
Sell | 125 | EUR | 3.0 | 12/20/17 | 5,012 | 216 | 5,228 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total | 250 | EUR | 9,886 | 571 | 10,457 | |||||||||||||||||||||||
Banco Santander SA |
||||||||||||||||||||||||||||
UBS AG |
Sell | 250 | EUR | 3.0 | 9/20/17 | (901 | ) | (8,426 | ) | (9,327 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total | 250 | EUR | (901 | ) | (8,426 | ) | (9,327 | ) | ||||||||||||||||||||
Barrick Gold Corp. |
||||||||||||||||||||||||||||
Goldman Sachs International |
Buy | 4,750 | 1.0 | 9/20/17 | (133,750 | ) | 90,745 | (43,005 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total | 4,750 | (133,750 | ) | 90,745 | (43,005 | ) |
76 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Buy/Sell Reference Entity/ Swap Counterparty |
Credit Protection |
Notional Amount (000s) |
Pay/ Receive Fixed Rate |
Termination Date |
Upfront Payment Received/ (Paid) |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
Caterpillar, Inc. |
||||||||||||||||||||||||||||
Citibank NA |
Buy | $ | 4,800 | 1.0 | 9/20/17 | $ | 10,533 | $ | (7,180 | ) | $ | 3,353 | ||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total | 4,800 | 10,533 | (7,180 | ) | 3,353 | |||||||||||||||||||||||
CDX Emerging Market Index, Series 17 |
||||||||||||||||||||||||||||
Deutsche Bank AG |
Buy | 5,260 | 5.0 | 6/20/17 | 685,261 | (671,921 | ) | 13,340 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total | 5,260 | 685,261 | (671,921 | ) | 13,340 | |||||||||||||||||||||||
Dell, Inc. |
||||||||||||||||||||||||||||
Goldman Sachs International |
Buy | 4,800 | 1.0 | 12/20/17 | (361,560 | ) | 348,676 | (12,884 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total | 4,800 | (361,560 | ) | 348,676 | (12,884 | ) | ||||||||||||||||||||||
Devon Energy Corp. |
||||||||||||||||||||||||||||
Goldman Sachs International |
Buy | 4,800 | 1.0 | 12/20/17 | 54,464 | (55,015 | ) | (551 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total | 4,800 | 54,464 | (55,015 | ) | (551 | ) | ||||||||||||||||||||||
Expedia, Inc. |
||||||||||||||||||||||||||||
Credit Suisse International |
Sell | 4,750 | 1.0 | 9/20/17 | 153,428 | (134,074 | ) | 19,354 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total | 4,750 | 153,428 | (134,074 | ) | 19,354 | |||||||||||||||||||||||
Gap, Inc. (The) |
||||||||||||||||||||||||||||
Bank of America NA |
Sell | 4,750 | 1.0 | 9/20/17 | 242,910 | (95,379 | ) | 147,531 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total | 4,750 | 242,910 | (95,379 | ) | 147,531 | |||||||||||||||||||||||
Halliburton Co. |
||||||||||||||||||||||||||||
Credit Suisse International |
Buy | 4,750 | 1.0 | 9/20/17 | 25,520 | (84,052 | ) | (58,532 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total | 4,750 | 25,520 | (84,052 | ) | (58,532 | ) | ||||||||||||||||||||||
Hungary (Republic of) |
||||||||||||||||||||||||||||
Barclays Bank plc |
Sell | 3,280 | 1.0 | 12/20/17 | 416,486 | (431,650 | ) | (15,164 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total | 3,280 | 416,486 | (431,650 | ) | (15,164 | ) | ||||||||||||||||||||||
Istanbul Bond Co. SA for Finansbank AS |
||||||||||||||||||||||||||||
Morgan Stanley Capital Services, Inc. |
Sell | 3,100 | 1.3 | 3/24/13 | | (14,551 | ) | (14,551 | ) | |||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total | 3,100 | | (14,551 | ) | (14,551 | ) | ||||||||||||||||||||||
M.D.C. Holdings, Inc. |
||||||||||||||||||||||||||||
Deutsche Bank AG |
Sell | 4,750 | 1.0 | 9/20/17 | 140,066 | (39,553 | ) | 100,513 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total | 4,750 | 140,066 | (39,553 | ) | 100,513 | |||||||||||||||||||||||
Peru (Republic of) |
||||||||||||||||||||||||||||
Deutsche Bank AG |
Buy | 1,800 | 1.0 | 12/20/17 | (4,282 | ) | 8,866 | 4,584 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total | 1,800 | (4,282 | ) | 8,866 | 4,584 |
77 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Reference Entity/ Swap Counterparty |
Buy/Sell Credit Protection |
Notional Amount (000s) |
Pay/ Receive Fixed Rate |
Termination Date |
Upfront Payment Received/ (Paid) |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||||||||
Sherwin-Williams Co. (The) |
||||||||||||||||||||||||||||
Deutsche Bank AG |
Sell | $ | 4,750 | 1.0 | 9/20/17 | $ | (85,601 | ) | $ | 105,501 | $ | 19,900 | ||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total | 4,750 | (85,601 | ) | 105,501 | 19,900 | |||||||||||||||||||||||
SLM Corp. |
||||||||||||||||||||||||||||
Deutsche Bank AG |
Sell | 4,750 | 5.0 | 9/20/17 | (133,727 | ) | 325,465 | 191,738 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total | 4,750 | (133,727 | ) | 325,465 | 191,738 | |||||||||||||||||||||||
Spain (Kingdom of): |
||||||||||||||||||||||||||||
Goldman Sachs International |
Buy | 630 | EUR | 1.0 | 9/20/22 | (101,013 | ) | 111,430 | 10,417 | |||||||||||||||||||
Goldman Sachs International |
Buy | 630 | EUR | 1.0 | 12/20/22 | (125,138 | ) | 125,340 | 202 | |||||||||||||||||||
UBS AG |
Buy | 250 | EUR | 1.0 | 9/20/17 | (19,067 | ) | 24,153 | 5,086 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|||||||||||||||||||||
Total | 1,510 | EUR | (245,218 | ) | 260,923 | 15,705 | ||||||||||||||||||||||
|
Grand Total Buys |
|
30,968 | (108,958 | ) | (77,990 | ) | |||||||||||||||||||||
|
Grand Total Sells |
|
742,547 | (292,096 | ) | 450,451 | ||||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||||||
|
Total Credit Default Swaps |
|
$ | 773,515 | $ | (401,054 | ) | $ | 372,461 | |||||||||||||||||||
|
|
|
|
|
|
Notional amount is reported in U.S. Dollars (USD), except for those denoted in the following currency:
EUR |
Euro |
The table that follows shows the undiscounted maximum potential payment by the Fund related to selling credit protection in credit default swaps:
Type of Reference Asset on which the Fund Sold Protection |
Total Maximum Potential Payments
for Selling Credit Protection (Undiscounted) |
Amount Recoverable* |
Reference Asset Rating Range** |
|||||||||
Investment Grade Single Name Corporate Debt |
500,000 | EUR | $ | | A-to BBB+ | |||||||
Investment Grade Single Name Corporate Debt |
$ | 14,250,000 | $ | | A to BBB- | |||||||
Non-Investment Grade Single Name Corporate Debt |
$ | 12,600,000 | $ | | BB+ | |||||||
Non-Investment Grade Sovereign Debt |
$ | 3,280,000 | $ | | BB+ | |||||||
|
|
|
|
|||||||||
Total EUR |
500,000 | $ | | |||||||||
|
|
|
|
|||||||||
Total USD |
$ | 30,130,000 | $ | | ||||||||
|
|
|
|
* | 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 & Poors 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. |
78 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Interest Rate Swap Contracts as of September 28, 2012 are as follows:
Interest Rate/Swap Counterparty |
Notional Amount (000s) |
Paid by the Fund | Received by the Fund | Termination Date |
Value | |||||||||||||||
BZDI: |
||||||||||||||||||||
Bank of America NA |
10,140 | BRR | BZDI | 8.090 | % | 1/2/15 | $ | (9,472 | ) | |||||||||||
Deutsche Bank AG |
17,370 | BRR | BZDI | 8.080 | 1/2/15 | (19,614 | ) | |||||||||||||
Goldman Sachs International |
29,320 | BRR | BZDI | 7.650 | 1/2/14 | (2,862 | ) | |||||||||||||
Goldman Sachs International |
21,700 | BRR | BZDI | 8.640 | 1/2/17 | (59,993 | ) | |||||||||||||
Goldman Sachs International |
11,550 | BRR | BZDI | 8.080 | 1/2/15 | (9,342 | ) | |||||||||||||
|
|
|
|
|||||||||||||||||
Total |
90,080 | BRR | (101,283 | ) | ||||||||||||||||
Six-Month AUD BBR BBSW: |
||||||||||||||||||||
Bank of America NA |
1,895 | AUD | |
Six-Month AUD BBR BBSW |
|
3.680 | 9/28/22 | 4,432 | ||||||||||||
Barclays Bank plc |
5,780 | AUD | |
Six-Month AUD BBR BBSW |
|
4.029 | 7/3/22 | (196,925 | ) | |||||||||||
|
|
|
|
|||||||||||||||||
Total |
7,675 | AUD | (192,493 | ) | ||||||||||||||||
Six-Month EUR EURIBOR |
||||||||||||||||||||
Barclays Bank plc |
4,710 | EUR |
|
Six-Month EUR EURIBOR |
|
1.734 | 10/2/22 | | ||||||||||||
|
|
|
|
|||||||||||||||||
Total |
4,710 | EUR | | |||||||||||||||||
Six-Month JPY BBA LIBOR |
||||||||||||||||||||
Barclays Bank plc |
472,000 | JPY | 0.786 | % | |
Six-Month JPY BBA LIBOR |
|
10/2/22 | (4,213 | ) | ||||||||||
Three-Month CAD BA CDOR: |
||||||||||||||||||||
Bank of America NA |
6,220 | CAD | 1.538 | |
Three-Month CAD BA CDOR |
|
8/13/13 | (19,682 | ) | |||||||||||
Bank of America NA |
2,485 | CAD | 1.590 | |
Three-Month CAD BA CDOR |
|
8/7/14 | (14,336 | ) | |||||||||||
Bank of America NA |
5,010 | CAD | 2.530 | |
Three-Month CAD BA CDOR |
|
9/24/22 | (180,962 | ) | |||||||||||
Bank of America NA |
10,000 | CAD | 2.610 | |
Three-Month CAD BA CDOR |
|
9/21/22 | (442,097 | ) | |||||||||||
|
|
|
|
|||||||||||||||||
Total where Fund pays a fixed rate |
23,715 | CAD | (657,077 | ) | ||||||||||||||||
Bank of America NA |
1,275 | CAD | |
Three-Month CAD BA CDOR |
|
2.079 | 7/11/22 | (2,265 | ) | |||||||||||
Bank of America NA |
1,275 | CAD | |
Three-Month CAD BA CDOR |
|
2.010 | 7/25/22 | (11,182 | ) | |||||||||||
|
|
|
|
|||||||||||||||||
Total where fund pays a variable rate |
2,550 | CAD | (13,447 | ) | ||||||||||||||||
|
|
|
|
|||||||||||||||||
Total |
26,265 | CAD | (670,524 | ) | ||||||||||||||||
Three-Month USD BBA LIBOR: |
||||||||||||||||||||
Citibank NA |
5,060 | 0.819 | |
Three-Month USD BBA LIBOR |
|
9/17/17 | (16,476 | ) | ||||||||||||
Bank of America NA |
1,200 | 1.550 | |
Three-Month USD BBA LIBOR |
|
7/27/22 | 11,102 | |||||||||||||
Bank of America NA |
1,225 | 1.621 | |
Three-Month USD BBA LIBOR |
|
7/13/22 | 1,823 | |||||||||||||
|
|
|
|
|||||||||||||||||
Total where Fund pays a fixed rate |
7,485 | (3,551 | ) | |||||||||||||||||
|
|
|
|
|||||||||||||||||
Barclays Bank plc |
5,870 | |
Three-Month USD BBA LIBOR |
|
2.358 | 11/2/21 | 458,594 | |||||||||||||
|
|
|
|
|||||||||||||||||
Total where fund pays a variable rate |
5,870 | 458,594 | ||||||||||||||||||
|
|
|
|
|||||||||||||||||
Total |
13,355 | 455,043 | ||||||||||||||||||
|
|
|||||||||||||||||||
|
Total Interest Rate Swaps |
|
$ | (513,470 | ) | |||||||||||||||
|
|
79 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
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 | |
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 | |
BBR BBSW | Bank Bill Swap Reference Rate (Australian Financial Market) | |
BZDI | Brazil Interbank Deposit Rate | |
EURIBOR | Euro Interbank Offered Rate |
Total Return Swap Contracts as of September 28, 2012 are as follows:
Reference Entity/Swap Counterparty |
Notional Amount (000s) |
Paid by the Fund |
Received by the Fund |
Termination Date |
Value | |||||||||||
Custom Basket of Securities: |
||||||||||||||||
Citibank NA |
4,334 | AUD | One-Month AUD BBA LIBOR plus 50 basis points, and if negative, the absolute value of the Total Return of a Custom Basket of Securities | If positive, the Total Return of a Custom Basket of Securities | 3/8/13 | $ | 69,777 | |||||||||
Citibank NA |
4,326 | CAD | One-Month CAD BA CDOR plus 30 basis points, and if negative, the absolute value of the Total Return of a Custom Basket of Securities | If positive, the Total Return of a Custom Basket of Securities | 3/6/13 | 98,837 | ||||||||||
Goldman Sachs International |
23,945 | One-Month USD BBA LIBOR plus 18 basis points, and if negative, the absolute value of the Total Return of a Custom Basket of Securities | If positive, the Total Return of a Custom Basket of Securities | 9/9/13 | 462,071 |
80 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Reference Entity/Swap Counterparty |
Notional Amount (000s) |
Paid by the Fund |
Received by the Fund |
Termination Date |
Value | |||||||||||
Goldman Sachs International |
$ | 3,224 | One-Month USD BBA LIBOR plus 25 basis points, and if negative, the absolute value of the Total Return of a Custom Basket of Securities | If positive, the Total Return of a Custom Basket of Securities | 9/9/13 | $ | 21,173 | |||||||||
Goldman Sachs International |
33,552 | HKD | One-Month HKD HIBOR HKAB plus 40 basis points, and if negative, the absolute value of the Total Return of a Custom Basket of Securities | If positive, the Total Return of a Custom Basket of Securities | 9/12/13 | 346,526 | ||||||||||
Morgan Stanley & Co. International plc |
1,398 | GBP | One-Month GBP BBA LIBOR plus 50 basis points and if negative, the absolute value of the Total Return of a Custom Basket of Securities | If positive, the Total Return of a Custom Basket of Securities | 1/10/13 | 17,502 | ||||||||||
|
|
|||||||||||||||
Reference Entity Total | 1,015,886 | |||||||||||||||
|
|
|||||||||||||||
HANG SENG Index Futures Contract expiring 10/30/12 | ||||||||||||||||
Goldman Sachs International |
38,346 | HKD | If positive, the Total Return of the HANG SENG Index Futures Contract expiring 10/30/12 | If negative, the absolute value of the Total Return of the HANG SENG Index Futures Contract expiring 10/30/12 | 11/6/12 | (35,120 | ) | |||||||||
IBOVESPA Futures Contract expiring 10/17/12 | ||||||||||||||||
Goldman Sachs International |
1,522 | If positive, the Total Return of the IBOVESPA Futures Contract expiring 10/17/12 | If negative, the absolute value of the Total Return of the IBOVESPA Futures Contract expiring 10/17/12 | 10/18/12 | (83,917 | ) | ||||||||||
|
|
|||||||||||||||
Total of Total Return Swaps | 896,849 | |||||||||||||||
|
|
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 | |
HKD | Hong Kong Dollar |
Abbreviations are as follows:
BA CDOR | Canada Bankers Acceptances Deposit offering Rate | |
BBA LIBOR | British Bankers Association London-Interbank Offered Rate | |
HANG SENG | Hang Seng Bank | |
HIBOR | Hong Kong Interbank Offered Rate | |
HKAB | Hong Kong Association of Banks | |
IBOVESPA | Index of stocks that trade on the SAO Paulo, mercantile & Futures Exchange |
81 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Volatility Swaps as of September 28, 2012 are as follows:
Reference Entity/ Swap Counterparty |
Notional Amount (000s) |
Paid by the Fund | Received by the Fund | Termination Date |
Value | |||||||||||||||
AUD/CHF Spot Exchange Rate: |
||||||||||||||||||||
Bank of America NA |
50 | AUD | |
The Historic Volatility of the mid AUD/CHF spot exchange rate during the period 9/26/12 to 10/29/12 |
|
7.450 | % | 10/31/12 | $ | (7,562 | ) | |||||||||
Credit Suisse International |
52 | AUD | |
The Historic Volatility of the mid AUD/CHF spot exchange rate during the period 9/20/12 to 10/22/12 |
|
7.500 | 10/24/12 | 33,628 | ||||||||||||
JPMorgan Chase Bank NA |
49 | AUD | |
The Historic Volatility of the mid AUD/CHF spot exchange rate during the period 9/25/12 to 10/25/12 |
|
7.150 | 10/29/12 | (10,324 | ) | |||||||||||
|
|
|||||||||||||||||||
Reference Entity Total | 15,742 | |||||||||||||||||||
|
|
|||||||||||||||||||
EUR/CHF Spot Exchange Rate: |
||||||||||||||||||||
Credit Suisse International |
33 | EUR | |
The Historic Volatility of the mid EUR/CHF spot exchange rate during the period 9/19/12 to 10/18/12 |
|
3.500 | 10/22/12 | 37,161 | ||||||||||||
Morgan Stanley Capital Services, Inc. |
33 | EUR | |
The Historic Volatility of the mid EUR/CHF spot exchange rate during the period 9/18/12 to 10/18/12 |
|
3.700 | 10/22/12 | 46,181 | ||||||||||||
|
|
|||||||||||||||||||
Reference Entity Total | 83,342 | |||||||||||||||||||
|
|
|||||||||||||||||||
EUR/JPY Spot Exchange Rate |
||||||||||||||||||||
Morgan Stanley Capital Services, Inc. |
32 | EUR | 10.250 | % | |
The Historic Volatility of the mid EUR/JPY spot exchange rate during the period 9/14/12 to 10/17/12 |
|
10/19/12 | (8,432 | ) | ||||||||||
EUR/NZD Spot Exchange Rate |
||||||||||||||||||||
Goldman Sachs Bank USA |
34 | EUR | |
The Historic Volatility of the mid EUR/NZD spot exchange rate during the period 9/13/12 to 10/15/12 |
|
6.900 | 10/17/12 | (64,215 | ) |
82 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Reference Entity/Swap Counterparty |
Notional Amount (000s) |
Paid by the Fund |
Received by the Fund |
Termination Date |
Value | |||||||||||
GBP/CAD Spot Exchange Rate: |
||||||||||||||||
Bank of America NA |
21 | GBP | The Historic Volatility of the mid GBP/CAD spot exchange rate during the period 9/28/12 to 10/31/12 | $5.600 | 11/2/12 | | ||||||||||
Credit Suisse International |
20 | GBP | The Historic Volatility of the mid GBP/CAD spot exchange rate during the period 9/27/12 to 10/30/12 | 5.700 | 11/1/12 | (6,091 | ) | |||||||||
|
|
|||||||||||||||
Reference Entity Total | (6,091 | ) | ||||||||||||||
|
|
|||||||||||||||
GBP/CHF Spot Exchange Rate |
||||||||||||||||
JPMorgan Chase Bank NA |
22 | GBP | The Historic Volatility of the mid GBP/CHF spot exchange rate during the period 9/6/12 to 10/8/12 | 6.500 | 10/10/12 | 41,797 | ||||||||||
GBP/JPY Spot Exchange Rate: |
||||||||||||||||
Bank of America NA |
22 | GBP | The Historic Volatility of the mid GBP/JPY spot exchange rate during the period 9/5/12 to 10/4/12 | 8.050 | 10/9/12 | (75,576 | ) | |||||||||
BNP Paribas |
22 | GBP | The Historic Volatility of the mid GBP/JPY spot exchange rate during the period 9/4/12 to 10/4/12 | 8.300 | 10/9/12 | (59,302 | ) | |||||||||
Goldman Sachs International |
22 | GBP | The Historic Volatility of the mid GBP/JPY spot exchange rate during the period 8/30/12 to 10/2/12 | 8.650 | 10/4/12 | (29,996 | ) | |||||||||
|
|
|
|
|||||||||||||
Total where Fund pays a variable rate |
66 | GBP | (164,874 | ) | ||||||||||||
|
|
|
|
|||||||||||||
Deutsche Bank AG |
22 | GBP | 8.550 | The Historic Volatility of the mid GBP/JPY spot exchange rate during the period 8/31/12 to 10/2/12 | 10/4/12 | (40,101 | ) | |||||||||
|
|
|
|
|||||||||||||
Total where Fund pays a fixed rate |
22 | GBP | (40,101 | ) | ||||||||||||
|
|
|
|
|||||||||||||
88 | GBP | Reference Entity Total | (204,975 | ) | ||||||||||||
|
|
|||||||||||||||
JPY/EUR Spot Exchange Rate |
||||||||||||||||
JPMorgan Chase Bank NA |
32 | EUR | 10.500 | The Historic Volatility of the mid JPY/EUR spot exchange rate during the period 9/17/12 to 10/17/12 | 10/19/12 | (59,233 | ) | |||||||||
NZD/CHF Spot Exchange Rate |
||||||||||||||||
Morgan Stanley Capital Services, Inc. |
83 | NZD | The Historic Volatility of the mid NZD/CHF spot exchange rate during the period 9/12/12 to 10/11/12 | 7.250 | 10/15/12 | (186,357 | ) |
83 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Reference Entity/ Swap Counterparty |
Notional Amount (000s) |
Paid by the Fund |
Received by the Fund |
Termination Date |
Value | |||||||||||
USD/SEK Spot Exchange Rate: |
||||||||||||||||
Deutsche Bank AG |
56 | 9.575 | The Historic Volatility of the mid USD/SEK spot exchange rate during the period 9/10/12 to 10/10/12 | 10/12/12 | $ | 67,363 | ||||||||||
JPMorgan Chase Bank NA |
56 | 9.600 | The Historic Volatility of the mid USD/SEK spot exchange rate during the period 9/7/12 to 10/9/12 | 10/11/12 | 57,971 | |||||||||||
|
|
|||||||||||||||
Reference Entity Total | 125,334 | |||||||||||||||
|
|
|||||||||||||||
Total Volatility Swaps | $ | (263,088 | ) | |||||||||||||
|
|
Notional amount is reported in U.S. Dollars (USD), except for those denoted in the following currencies:
AUD |
Australian Dollar | |
EUR |
Euro | |
GBP |
British Pounds Sterling | |
NZD |
New Zealand Dollar |
Abbreviations/Definitions are as follows:
CAD |
Canadian Dollar | |
CHF |
Swiss Franc | |
JPY |
Japanese Yen | |
SEK |
Swedish Krona |
Swap Summary as of September 28, 2012 is as follows:
Swap Counterparty |
Swap Type from Fund Perspective |
Notional Amount (000s) |
Value | |||||||
|
|
|
|
|||||||
Bank of America NA: |
||||||||||
Credit Default Sell Protection |
$ | 4,750 | $ | (95,379 | ) | |||||
Interest Rate |
1,895 | AUD | 4,432 | |||||||
Interest Rate |
10,140 | BRR | (9,472 | ) | ||||||
Interest Rate |
26,265 | CAD | (670,524 | ) | ||||||
Interest Rate |
2,425 | 12,925 | ||||||||
Volatility |
50 | AUD | (7,562 | ) | ||||||
Volatility |
43 | GBP | (75,576 | ) | ||||||
|
|
|||||||||
(841,156 | ) | |||||||||
|
|
|||||||||
Barclays Bank plc: |
||||||||||
Credit Default Sell Protection |
3,280 | (431,650 | ) | |||||||
Interest Rate |
5,780 | AUD | (196,925 | ) | ||||||
Interest Rate |
4,710 | EUR | | |||||||
Interest Rate |
472,000 | JPY | (4,213 | ) | ||||||
Interest Rate |
5,870 | 458,594 | ||||||||
|
|
|||||||||
(174,194 | ) | |||||||||
|
|
84 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Swap Counterparty |
Swap Type from Fund Perspective |
Notional Amount (000s) |
Value | |||||||
BNP Paribas |
Volatility |
22 | GBP | (59,302 | ) | |||||
Citibank NA: |
||||||||||
Credit Default Buy Protection |
$ | 4,800 | $ | (7,180 | ) | |||||
Interest Rate |
5,060 | (16,476 | ) | |||||||
Total Return |
4,334 | AUD | 69,777 | |||||||
Total Return |
4,326 | CAD | 98,837 | |||||||
|
|
|||||||||
144,958 | ||||||||||
|
|
|||||||||
Credit Suisse International: |
||||||||||
Credit Default Buy Protection |
4,750 | (84,052 | ) | |||||||
Credit Default Sell Protection |
4,750 | (134,074 | ) | |||||||
Volatility |
52 | AUD | 33,628 | |||||||
Volatility |
33 | EUR | 37,161 | |||||||
Volatility |
20 | GBP | (6,091 | ) | ||||||
|
|
|||||||||
(153,428 | ) | |||||||||
|
|
|||||||||
Deutsche Bank AG: |
||||||||||
Credit Default Buy Protection |
7,060 | (663,055 | ) | |||||||
Credit Default Sell Protection |
14,250 | 391,413 | ||||||||
Interest Rate |
17,370 | BRR | (19,614 | ) | ||||||
Volatility |
22 | GBP | (40,101 | ) | ||||||
Volatility |
56 | 67,363 | ||||||||
|
|
|||||||||
(263,994 | ) | |||||||||
|
|
|||||||||
Goldman Sachs Bank USA |
Volatility |
34 | EUR | (64,215 | ) | |||||
|
|
|||||||||
Goldman Sachs International: |
||||||||||
Credit Default Buy Protection |
1,260 | EUR | 236,770 | |||||||
Credit Default Buy Protection |
14,350 | 384,406 | ||||||||
Interest Rate |
62,570 | BRR | (72,197 | ) | ||||||
Total Return |
71,898 | HKD | 311,406 | |||||||
Total Return |
28,691 | 399,327 | ||||||||
Volatility |
22 | GBP | (29,996 | ) | ||||||
|
|
|||||||||
1,229,716 | ||||||||||
|
|
|||||||||
JPMorgan Chase Bank NA: |
||||||||||
Volatility |
49 | AUD | (10,324 | ) | ||||||
Volatility |
32 | EUR | (59,233 | ) | ||||||
Volatility |
22 | GBP | 41,797 | |||||||
Volatility |
56 | 57,971 | ||||||||
|
|
|||||||||
30,211 | ||||||||||
|
|
85 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Swap Counterparty |
Swap Type from Fund Perspective |
Notional Amount (000s) |
Value | |||||||
Morgan Stanley & Co. International plc | Total Return |
1,398 | GBP | $ | 17,502 | |||||
Morgan Stanley Capital Services, Inc.: | ||||||||||
Credit Default Sell Protection | 3,100 | (14,551 | ) | |||||||
Volatility | 65 | EUR | 37,749 | |||||||
Volatility | 83 | NZD | (186,357 | ) | ||||||
|
|
|||||||||
(163,159 | ) | |||||||||
|
|
|||||||||
UBS AG: |
||||||||||
Credit Default Buy Protection |
250 | EUR | 24,153 | |||||||
Credit Default Sell Protection |
500 | EUR | (7,855 | ) | ||||||
|
|
|||||||||
16,298 | ||||||||||
|
|
|||||||||
|
Total Swaps |
|
$ | (280,763 | ) | |||||
|
|
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 Pounds Sterling | |
HKD | Hong Kong Dollar | |
JPY | Japanese Yen | |
NZD | New Zealand Dollar |
As of September 28, 2012, the Fund had entered into the following written swaption contracts:
Reference Entity / Swaption |
Swaption Description |
Underlying Swap Type |
Notional Amount (000s) |
Expiration Date |
Premium Received |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||||
CDX.NA.HY.18: |
||||||||||||||||||||||||
Goldman Sachs International |
Index Credit Default Swaption (European); Swap Terms: Paid: 5%; Received: Protection on CDX.NA.HY.18; Termination Date: 6/20/17 | Index Credit Default Swap; Pay Fixed | $ | 21,825 | 10/18/12 | $ | 118,837 | $ | (367,506 | ) | $ | (248,669 | ) | |||||||||||
Goldman Sachs International |
Index Credit Default Swaption (European); Swap Terms: Paid: 5%; Received: Protection on CDX.NA.HY.18; Termination Date: 6/20/17 | Index Credit Default Swap; Pay Fixed | 43,625 | 12/20/12 | 272,089 | (388,843 | ) | (116,754 | ) |
86 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Reference Entity / |
Swaption Description |
Underlying Swap Type |
Notional Amount (000s) |
Expiration Date |
Premium Received |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||||
Goldman Sachs International |
Index Credit Default Swaption (European); Swap Terms: Paid: 5%; Received: Protection on CDX.NA.HY.18; Termination Date: 6/20/17 | Index Credit Default Swap; Pay Fixed | $ | 21,830 | 10/18/12 | $ | 105,897 | $ | (367,590 | ) | $ | (261,693 | ) | |||||||||||
JPMorgan Chase Bank NA |
Index Credit Default Swaption (European); Swap Terms: Paid: 5%; Received: Protection on CDX.NA.HY.18; Termination Date: 6/20/17 | Index Credit Default Swap; Pay Fixed | 43,620 | 12/20/12 | 237,511 | (418,397 | ) | (180,886 | ) | |||||||||||||||
JPMorgan Chase Bank NA |
Index Credit Default Swaption (European); Swap Terms: Paid: 5%; Received: Protection on CDX.NA.HY.18; Termination Date: 6/20/17 | Index Credit Default Swap; Pay Fixed | 21,830 | 12/20/12 | 121,026 | (313,519 | ) | (192,493 | ) | |||||||||||||||
JPMorgan Chase Bank NA |
Index Credit Default Swaption (European); Swap Terms: Paid: 5%; Received: Protection on CDX.NA.HY.18; Termination Date: 6/20/17 | Index Credit Default Swap; Pay Fixed | 21,805 | 10/18/12 | 99,300 | (359,281 | ) | (259,981 | ) | |||||||||||||||
UBS AG |
Index Credit Default Swaption (European);Swap Terms: Paid: 5%; Received: Protection on CDX.NA.HY.18; Termination Date: 6/20/17 | Index Credit Default Swap; Pay Fixed | 21,800 | 10/18/12 | 79,853 | (356,457 | ) | (276,604 | ) | |||||||||||||||
UBS AG |
Index Credit Default Swaption (European);Swap Terms: Paid: 5%; Received: Protection on CDX.NA.HY.18; Termination Date: 6/20/17 | Index Credit Default Swap; Pay Fixed | 21,800 | 10/18/12 | 133,808 | (534,243 | ) | (400,435 | ) | |||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
Total where Fund pays a fixed rate | 1,168,321 | (3,105,836 | ) | (1,937,515 | ) |
87 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Reference Entity / |
Swaption Description |
Underlying Swap Type |
Notional Amount (000s) |
Expiration Date |
Premium Received |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||||
Goldman Sachs International |
Index Credit Default Swaption (European); Swap Terms: Paid: Protection on CDX.NA.HY.18; Received: 5%; Termination Date: 6/20/17 | Index Credit Default Swap; Pay Floating | $ | 21,735 | 12/20/12 | $ | 90,374 | $ | (90,780 | ) | $ | (406 | ) | |||||||||||
JPMorgan Chase Bank NA |
Index Credit Default Swaption (European); Swap Terms: Paid: Protection on CDX.NA.HY.18; Received: 5%; Termination Date: 6/20/17 | Index Credit Default Swap; Pay Floating | 43,620 | 12/20/12 | 168,417 | (188,931 | ) | (20,514 | ) | |||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
Total where Fund pays a floating rate | 258,791 | (279,711 | ) | (20,920 | ) | |||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
Total | 1,427,112 | (3,385,547 | ) | (1,958,435 | ) | |||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
CDX.NA.IG.18 |
||||||||||||||||||||||||
Barclays Bank plc |
Index Credit Default Swaption (European); Swap Terms: Paid: 1%; Received: Protection on CDX.NA.IG.18; Termination Date: 6/20/17 | Index Credit Default Swap; Pay Fixed | 6,310 | 12/20/12 | 16,406 | (23,484 | ) | (7,078 | ) | |||||||||||||||
Six-Month EUR EURIBOR: |
||||||||||||||||||||||||
Barclays Bank plc |
Interest Rate Swaption (European); Swap Terms: Paid: 2.204%; Received: Six-Month EUR EURIBOR; Termination Date: 8/28/44 | Interest Rate Swap; Pay Fixed | 1,265 | EUR | 8/27/14 | 138,559 | (102,010 | ) | 36,549 | |||||||||||||||
Goldman Sachs Bank USA |
Interest Rate Swaption (European); Swap Terms: Paid: 2.71%; Received: Six-Month EUR EURIBOR; Termination Date: 11/17/42 | Interest Rate Swap; Pay Fixed | 14,850 | EUR | 11/16/12 | 805,251 | (276,668 | ) | 528,583 |
88 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Reference Entity / |
Swaption Description |
Underlying Swap Type |
Notional Amount (000s) |
Expiration Date |
Premium Received |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||||
Goldman Sachs Bank USA |
Interest Rate Swaption (European); Swap Terms: Paid: 2.65%; Received: Six-Month EUR EURIBOR; Termination Date: 12/1/42 | Interest Rate Swap; Pay Fixed | 14,900 | EUR | 11/30/12 | $ | 750,380 | $ | (250,796 | ) | $ | 499,584 | ||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
1,694,190 | (629,474 | ) | 1,064,716 | |||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
Six-Month GBP BBA LIBOR |
||||||||||||||||||||||||
JPMorgan Chase Bank NA |
Interest Rate Swaption (European); Swap Terms: Paid: 3.231%; Received: Six-Month GBP BBA LIBOR; Termination Date: 2/14/43 | Interest Rate Swap; Pay Fixed | 500 | GBP | 2/15/13 | 49,596 | (57,636 | ) | (8,040 | ) | ||||||||||||||
Three-Month CAD BA CDOR |
||||||||||||||||||||||||
Bank of America NA |
Interest Rate Swaption (European); Swap Terms: Paid: Three-Month CAD BA CDOR; Received: 2.1025%; Termination Date: 1/16/23 | Interest Rate Swap; Pay Floating | 3,180 | CAD | 1/17/13 | 66,129 | (54,860 | ) | 11,269 | |||||||||||||||
Three-Month USD BBA LIBOR: |
||||||||||||||||||||||||
Bank of America NA |
Interest Rate Swaption (European); Swap Terms: Paid: 2.2825%; Received: Three-Month USD BBA LIBOR; Termination Date: 10/11/22 | Interest Rate Swap; Pay Fixed | 20,095 | 10/9/12 | 476,252 | (1,091,980 | ) | (615,728 | ) | |||||||||||||||
Goldman Sachs International |
Interest Rate Swaption (European); Swap Terms: Paid: 1.40%; Received: Three-Month USD BBA LIBOR; Termination Date: 1/26/23 | Interest Rate Swap; Pay Fixed | 40,865 | 7/25/13 | 347,353 | (253,747 | ) | 93,606 |
89 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Reference Entity / |
Swaption Description |
Underlying Swap Type |
Notional Amount (000s) |
Expiration Date |
Premium Received |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||||
Goldman Sachs International |
Interest Rate Swaption (European); Swap Terms: Paid 1.405%; Received: Three-Month USD BBA LIBOR; Termination Date: 8/6/23 | Interest Rate Swap; Pay Fixed | $ | 40,930 | 8/5/13 | $ | 485,703 | $ | (265,166 | ) | $ | 220,537 | ||||||||||||
Goldman Sachs International |
Interest Rate Swaption (European); Swap Terms: Paid: 1.30%; Received: Three-Month USD BBA LIBOR; Termination Date: 7/26/23 | Interest Rate Swap; Pay Fixed | 40,995 | 7/25/13 | 409,950 | (175,425 | ) | 234,525 | ||||||||||||||||
Goldman Sachs International |
Interest Rate Swaption (European); Swap Terms: Paid: 2.90%; Received: Three-Month USD BBA LIBOR; Termination Date: 11/13/22 | Interest Rate Swap; Pay Fixed | 68,830 | 11/9/12 | 621,191 | (890,179 | ) | (268,988 | ) | |||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
|
Total where Fund pays a fixed rate |
|
2,340,449 | (2,676,497 | ) | (336,048 | ) | |||||||||||||||||
Bank of America NA |
Interest Rate Swaption (European); Swap Terms: Paid: Three-Month USD BBA LIBOR; Received: 2.0675%; Termination Date: 1/30/23 | Interest Rate Swap; Pay Floating | 32,705 | 1/29/13 | 402,272 | (248,964 | ) | 153,308 | ||||||||||||||||
Bank of America NA |
Interest Rate Swaption (European); Swap Terms: Paid: Three-Month USD BBA LIBOR; Received: 2.50%; Termination Date: 9/3/23 | Interest Rate Swap; Pay Floating | 20,395 | 9/3/13 | 336,518 | (257,227 | ) | 79,291 | ||||||||||||||||
Bank of America NA |
Interest Rate Swaption (European); Swap Terms: Paid: Three-Month USD BBA LIBOR; Received: 3.45%; Termination Date: 3/11/43 | Interest Rate Swap; Pay Floating | 10,155 | 3/8/13 | 116,783 | (65,466 | ) | 51,317 |
90 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Reference Entity / Swaption |
Swaption Description |
Underlying Swap Type |
Notional Amount (000s) |
Expiration Date |
Premium Received |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||||
Barclays Bank plc |
Interest Rate Swaption (European); Swap Terms: Paid: Three-Month USD BBA LIBOR; Received: 2.15%; Termination Date: 11/29/22 | Interest Rate Swap; Pay Floating | $ | 25,490 | 11/28/12 | $ | 127,450 | $ | (42,636 | ) | $ | 84,814 | ||||||||||||
Barclays Bank plc |
Interest Rate Swaption (European); Swap Terms: Paid: Three-Month USD BBA LIBOR; Received: 2.135%; Termination Date: 1/30/23 | Interest Rate Swap; Pay Floating | 65,410 | 1/29/13 | 619,760 | (408,324 | ) | 211,436 | ||||||||||||||||
Barclays Bank plc |
Interest Rate Swaption (European); Swap Terms: Paid: Three-Month USD BBA LIBOR; Received: 1.935%; Termination Date: 9/30/20 | Interest Rate Swap; Pay Floating | 20,017 | 9/29/15 | 512,445 | (531,328 | ) | (18,883 | ) | |||||||||||||||
Barclays Bank plc |
Interest Rate Swaption (European); Swap Terms: Paid: Three-Month USD BBA LIBOR; Received: 3.50%; Termination Date: 4/27/22 | Interest Rate Swap; Pay Floating | 20,515 | 4/26/17 | 681,481 | (466,257 | ) | 215,224 | ||||||||||||||||
Barclays Bank plc |
Interest Rate Swaption (European); Swap Terms: Paid: Three-Month USD BBA LIBOR; Received: 3.40%; Termination Date: 3/18/43 | Interest Rate Swap; Pay Floating | 15,230 | 3/15/13 | 274,902 | (124,628 | ) | 150,274 | ||||||||||||||||
Goldman Sachs International |
Interest Rate Swaption (European); Swap Terms: Paid: Three-Month USD BBA LIBOR; Received: 1.875%; Termination Date: 9/24/20 | Interest Rate Swap; Pay Floating | 28,560 | 9/23/13 | 347,004 | (313,582 | ) | 33,422 |
91 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Reference Entity / |
Swaption |
Underlying Swap Type |
Notional Amount (000s) |
Expiration Date | Premium Received |
Value | Unrealized Appreciation (Depreciation) |
|||||||||||||||||
Goldman Sachs International |
Interest Rate Swaption (European); Swap Terms: Paid: Three-Month USD BBA LIBOR; Received: 3.45%; Termination Date: 3/18/43 | Interest Rate Swap; Pay Floating | $ | 11,170 | 3/15/13 | $ | 172,018 | (78,926 | ) | $ | 93,092 | |||||||||||||
UBS AG |
Interest Rate Swaption (European); Swap Terms: Paid: Three-Month USD BBA LIBOR; Received: 3.50%; Termination Date: 3/4/43 | Interest Rate Swap; Pay Floating | 15,230 | 3/1/13 | 213,220 | (75,746 | ) | 137,474 | ||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
|
Total where Fund pays a floating rate |
|
3,803,853 | (2,613,084 | ) | 1,190,769 | ||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
Total | 6,144,302 | (5,289,581 | ) | 854,721 | ||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
Three-Month ZAR JIBAR SAFEX: |
||||||||||||||||||||||||
Barclays Bank plc |
Interest Rate Swaption (European); Swap Terms: Paid: 7%; Received: Three-Month ZAR JIBAR SAFEX; Termination Date: 11/14/22 | Interest Rate Swap; Pay Fixed | 17,090ZAR | 11/20/12 | 22,519 | (58,066 | ) | (35,547 | ) | |||||||||||||||
JPMorgan Chase Bank NA |
Interest Rate Swaption (European); Swap Terms: Paid: 7%; Received: Three-Month ZAR JIBAR SAFEX; Termination Date: 11/19/22 | Interest Rate Swap; Pay Fixed | 17,265ZAR | 12/19/12 | 22,751 | (65,032 | ) | (42,281 | ) | |||||||||||||||
JPMorgan Chase Bank NA |
Interest Rate Swaption (European); Swap Terms: Paid: 7%; Received: Three-Month ZAR JIBAR SAFEX; Termination Date: 12/18/22 | Interest Rate Swap; Pay Fixed | 17,000ZAR | 11/13/12 | 22,009 | (56,200 | ) | (34,191 | ) | |||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
67,279 | (179,298 | ) | (112,019 | ) | ||||||||||||||||||||
|
|
|
|
|
|
|||||||||||||||||||
Total Written Swaptions | $ | 9,465,014 | $ | (9,619,880 | ) | $ | (154,866 | ) | ||||||||||||||||
|
|
|
|
|
|
92 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
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 | |
ZAR | South African Rand |
Abbreviations/Definitions are as follows:
BA CDOR | Canada Bankers Acceptances Deposit Offering Rate | |
BBA LIBOR | British Bankers Association London-Interbank Offered Rate | |
CDX.NA.HY.18 | Markit CDX North American High Yield | |
CDX.NA.IG.18 | Markit CDX North American Investment Grade High Volatility | |
EURIBOR | Euro Interbank Offered Rate | |
JIBAR | South Africa Johannesburg Interbank Agreed Rate | |
SAFEX | South African Futures Exchange |
Notes to Statement of Investments
Quarterly and Annual Periods. The last day of the Funds quarterly period was the last day the New York Stock Exchange was open for trading. The Funds financial statements have been presented through that date to maintain consistency with the Funds net asset value calculations used for shareholder transactions.
The last day of the Funds fiscal year was the last day the New York Stock Exchange was open for trading. The Funds financial statements have been presented through that date to maintain consistency with the Funds 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 notes 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
93 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
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 Funds net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. When the Fund engages in when-issued or delayed delivery transactions, it relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do so may cause the Fund to lose the opportunity to obtain or dispose of the security at a price and yield it considers advantageous. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase.
As of September 28, 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 |
$ | 609,596,587 | ||
Sold securities |
130,494,696 |
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 Funds market value of investments relative to its net assets which can incrementally increase the volatility of the Funds 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.
94 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Credit Risk. The Fund invests in high-yield, non-investment-grade bonds, which may be subject to a greater degree of credit risk. Credit risk relates to the ability of the issuer to meet interest or principal payments or both as they become due. The Fund may acquire securities that have missed an interest payment, and is not obligated to dispose of securities whose issuers or underlying obligors subsequently miss an interest payment. Information concerning securities not accruing interest as of September 28, 2012 is as follows:
Cost |
$ | 27,617,624 | ||
Market Value |
$ | 6,973,790 | ||
Market Value as a % of Net Assets |
0.29 | % |
Investment in Oppenheimer Global Allocation Fund (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.
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 Funds 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 Funds investment in the Subsidiary is recorded in the Funds Statement of Assets and Liabilities in the annual and semiannual reports and the Funds 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 Funds 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 IMMFs 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 Funds investment in IMMF.
95 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
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 Funds investments and therefore the value of the Funds 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 Funds 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 Funds investment in the Master Funds.
Foreign Currency Translation. The Funds 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 Funds Board has adopted procedures for the valuation of the Funds 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 Committees fair valuation determinations are subject to review, approval and ratification by the Funds Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
96 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
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 Funds 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 days closing bid and asked prices, and if not, at the current days 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 Funds 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 companys 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.
97 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
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 Funds 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 | |
Corporate debt, government debt, municipal, mortgage-backed and asset-backed securities | Reported trade data, broker-dealer price quotations, 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. | |
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. |
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
98 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
standardized fair valuation methodology applicable to the security type or the significant event as previously approved by the Valuation Committee and the Funds Board or (ii) as determined in good faith by the Managers 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 Funds 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 Funds 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.) |
99 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
3) | Level 3-significant unobservable inputs (including the Managers 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 September 28, 2012 based on valuation input level:
Level
1 Unadjusted Quoted Prices |
Level 2 Other Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
Value | |||||||||||||
Assets Table |
||||||||||||||||
Investments, at Value: |
||||||||||||||||
Wholly-Owned Subsidiary |
$ | | $ | 1,445,849 | $ | | $ | 1,445,849 | ||||||||
Asset-Backed Securities |
| 58,332,363 | 12,281,300 | 70,613,663 | ||||||||||||
Corporate Loans |
| 27,057,871 | 4,250,313 | 31,308,184 | ||||||||||||
Mortgage-Backed Obligations |
| 854,995,176 | | 854,995,176 | ||||||||||||
U.S. Government Obligations |
| 101,605,121 | | 101,605,121 | ||||||||||||
Foreign Government Obligations |
| 686,598,325 | | 686,598,325 | ||||||||||||
Corporate Bonds and Notes |
| 633,089,174 | 1,178,044 | 634,267,218 | ||||||||||||
Preferred Stocks |
| 4,010,442 | | 4,010,442 | ||||||||||||
Common Stocks |
| 3,317,860 | 166,817 | 3,484,677 | ||||||||||||
Rights, Warrants and Certificates |
| | 420 | 420 | ||||||||||||
Structured Securities |
| 75,030,619 | 36,387 | 75,067,006 | ||||||||||||
Options Purchased |
1,028,691 | 6,285,750 | | 7,314,441 | ||||||||||||
Swaptions Purchased |
| 7,943,979 | | 7,943,979 | ||||||||||||
Investment Companies |
37,196,116 | 374,028,525 | | 411,224,641 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments, at Value |
38,224,807 | 2,833,741,054 | 17,913,281 | 2,889,879,142 | ||||||||||||
Other Financial Instruments: |
||||||||||||||||
Appreciated swaps, at value |
| 2,477,264 | | 2,477,264 | ||||||||||||
Depreciated swaps, at value |
| 439,421 | | 439,421 | ||||||||||||
Futures margins |
299,271 | | | 299,271 | ||||||||||||
Foreign currency exchange contracts |
| 4,299,570 | | 4,299,570 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Assets |
$ | 38,524,078 | $ | 2,840,957,309 | $ | 17,913,281 | $ | 2,897,394,668 | ||||||||
|
|
|
|
|
|
|
|
100 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Liabilities Table |
||||||||||||||||
Other Financial Instruments: |
||||||||||||||||
Swaps, at value |
$ | | $ | | $ | | $ | | ||||||||
Appreciated swaps, at value |
| (948,107 | ) | | (948,107 | ) | ||||||||||
Depreciated swaps, at value |
| (2,249,341 | ) | | (2,249,341 | ) | ||||||||||
Appreciated swaptions written, at value |
| (3,460,428 | ) | | (3,460,428 | ) | ||||||||||
Depreciated swaptions, written, at value |
| (6,159,452 | ) | | (6,159,452 | ) | ||||||||||
Appreciated options written, at value |
(164,209 | ) | (1,278,873 | ) | | (1,443,082 | ) | |||||||||
Depreciated options written, at value |
(177,280 | ) | (454,785 | ) | | (632,065 | ) | |||||||||
Futures margins |
(267,581 | ) | | | (267,581 | ) | ||||||||||
Foreign currency exchange contracts |
| (16,444,059 | ) | | (16,444,059 | ) | ||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Liabilities |
$ | (609,070 | ) | $ | (30,995,045 | ) | $ | | $ | (31,604,115 | ) | |||||
|
|
|
|
|
|
|
|
Currency contracts and forwards, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contracts 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 Funds 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 2** |
Transfers into Level 3** |
Transfers out of Level 3* |
|||||||||||||
Assets Table |
||||||||||||||||
Corporate Bonds and Notes |
$ | | $ | (792,000 | ) | $ | 792,000 | $ | | |||||||
Preferred Stocks |
2,968,560 | | | (2,968,560 | ) | |||||||||||
Common Stocks |
208,932 | | | (208,932 | ) | |||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Assets |
$ | 3,177,492 | $ | (792,000 | ) | $ | 792,000 | $ | (3,177,492 | ) | ||||||
|
|
|
|
|
|
|
|
* | Transferred from Level 3 to Level 2 due to the availability of market data for this security. |
** | Transferred from Level 2 to Level 3 because of the lack of observable market data. |
101 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 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 Subsidiarys 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 Funds 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
102 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
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 instruments price over a defined time period. Large increases or decreases in a financial instruments 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 Funds 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 Funds 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 Funds 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 Funds derivative counterparties are financial institutions who are subject to market conditions that may weaken their financial position. The Fund intends to enter into financial transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction. As of September 28, 2012, the
103 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
maximum amount of loss that the Fund would incur if the counterparties to its derivative transactions failed to perform would be $22,943,398, 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 Funds 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 $1,791,088 as of September 28, 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 September 28, 2012 the Fund has required certain counterparties to post collateral of $349,731.
Credit Related Contingent Features. The Funds 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 Funds net assets and or a percentage decrease in the Funds Net Asset Value or NAV. The contingent features are established within the Funds International Swap and Derivatives Association, Inc. master agreements which govern certain positions in swaps, over-the-counter options and swaptions, and forward currency exchange contracts for each individual counterparty.
As of September 28, 2012, the aggregate fair value of derivative instruments with credit related contingent features in a net liability position was $11,252,433 for which the Fund has posted collateral of $14,065,204. If a contingent feature would have been triggered as of September 28, 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.
104 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
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. The unrealized appreciation (depreciation) is reported in the Statement of Assets and Liabilities in the annual and semiannual reports as a receivable or payable and in the Statement of Operations in the annual and semiannual reports within the change in unrealized appreciation (depreciation). At contract close, the difference between the original cost of the contract and the value at the close date is recorded as a realized gain (loss) in the Statement of Operations in the annual and semiannual reports.
The Fund has purchased and sold certain forward foreign currency exchange contracts of different currencies in order to acquire currencies to pay for or sell currencies to acquire related foreign securities purchase and sale transactions, respectively, or to convert foreign currencies to U.S. dollars from related foreign securities transactions. These foreign currency exchange contracts are negotiated at the current spot exchange rate with settlement typically within two business days thereafter.
The Fund has entered into forward foreign currency exchange contracts with the obligation to purchase specified foreign currencies in the future at a currently negotiated forward rate in order to take a positive investment perspective on the related currency. These forward foreign currency exchange contracts seek to increase exposure to foreign exchange rate risk.
The Fund has entered into forward foreign currency exchange contracts with the obligation to purchase specified foreign currencies in the future at a currently negotiated forward rate in order to decrease exposure to foreign exchange rate risk associated with foreign currency denominated securities held by the Fund.
The Fund has entered into forward foreign currency exchange contracts with the obligation to sell specified foreign currencies in the future at a currently negotiated forward rate in order to take a negative investment perspective on the related currency. These forward foreign currency exchange contracts seek to increase exposure to foreign exchange rate risk.
The Fund has entered into forward foreign currency exchange contracts with the obligation to sell specified foreign currencies in the future at a currently negotiated forward rate in order to decrease exposure to foreign exchange rate risk associated with foreign currency denominated securities held by the Fund.
During the period ended September 28, 2012, the Fund had daily average contract amounts on forward foreign currency contracts to buy and sell of $3,056,797 and $6,361,133, respectively.
105 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Additional associated risk to the Fund includes counterparty credit risk. Counterparty credit risk arises from the possibility that the counterparty will default.
Futures Contracts
A futures contract is a commitment to buy or sell a specific amount of a financial instrument, or currency, at a negotiated price on a stipulated future date. The Fund may buy and sell futures contracts and may also buy or write put or call options on these futures contracts.
Futures contracts traded on a commodities or futures exchange will be valued at the final settlement price or official closing price on the principal exchange as reported by such principal exchange at its trading session ending at, or most recently prior to, the time when the Funds assets are valued.
Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin) in an amount equal to a certain percentage of the contract value. Subsequent payments (variation margin) are made or received by the Fund each day. The variation margin payments are equal to the daily changes in the contract value and are recorded as unrealized gains and losses.
Futures contracts are reported on a schedule following the Statement of Investments. Securities held in collateralized accounts to cover initial margin requirements on open futures contracts are noted in the Statement of Investments. Cash held by the broker to cover initial margin requirements on open futures contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted in the Statement of Assets and Liabilities in the annual and semiannual reports. The net change in unrealized appreciation and depreciation is reported in the Statement of Operations in the annual and semiannual reports. Realized gains (losses) are reported in the Statement of Operations in the annual and semiannual reports at the closing or expiration of futures contracts.
The Fund has purchased futures contracts on various bonds and notes to increase exposure to interest rate risk.
The Fund has sold futures contracts on various bonds and notes to decrease exposure to interest rate risk.
The Fund has purchased futures contracts on various equity indexes to increase exposure to equity risk.
The Fund has sold futures contracts on various equity indexes to decrease exposure to equity risk.
The Fund has sold futures contracts, which have values that are linked to the price movement of the related volatility indexes, in order to decrease exposure to volatility risk.
106 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
The Fund has purchased futures contracts on various currencies to increase exposure to foreign exchange rate risk.
The Fund has sold futures contracts on various currencies to decrease exposure to foreign exchange rate risk
During the period ended September 28, 2012, the Fund had an ending monthly average market value of $288,921,496 and $293,892,212 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 Funds 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.
107 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
During the period ended September 28, 2012, the Fund had an ending monthly average market value of $3,312,547 and $1,120,963 on purchased call options and purchased put options, respectively.
Options written, if any, are reported in a schedule following the Statement of Investments and as a liability in the Statement of Assets and Liabilities in the annual and semiannual reports. Securities held in collateralized accounts to cover potential obligations with respect to outstanding written options are noted in the Statement of Investments.
The risk in writing a call option is that the Fund gives up the opportunity for profit if the market price of the security increases and the option is exercised. The risk in writing a put option is that the Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying an option is that the Fund pays a premium whether or not the option is exercised. The Fund also has the additional risk that there may be an illiquid market where the Fund is unable to close the contract.
The Fund has written put options on currencies to increase exposure to foreign exchange rate risk. A written put option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price.
The Fund has written call options on currencies to decrease exposure to foreign exchange rate risk. A written call option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price.
The Fund has written 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 September 28, 2012, the Fund had an ending monthly average market value of $621,801 and $972,368 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.
108 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Written option activity for the period ended September 28, 2012 was as follows:
Call Options | Put Options | |||||||||||||||
Number of Contracts |
Amount of Premiums |
Number of Contracts |
Amount of Premiums |
|||||||||||||
Options outstanding as of December 30, 2011 |
115,871,391,682 | $ | 2,007,763 | 134,242,404,666 | $ | 1,464,690 | ||||||||||
Options written |
37,145,457,511 | 4,523,254 | 7,430,092,696 | 12,777,163 | ||||||||||||
Options closed or expired |
(143,105,626,997 | ) | (4,926,416 | ) | (136,518,459,260 | ) | (11,583,235 | ) | ||||||||
Options exercised |
(8,472,455,000 | ) | (516,819 | ) | (2,313,255,445 | ) | (539,414 | ) | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Options outstanding as of September 28, 2012 |
1,438,767,196 | $ | 1,087,782 | 2,840,782,657 | $ | 2,119,204 | ||||||||||
|
|
|
|
|
|
|
|
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
109 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
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 issuers failure to make timely payments of interest or principal on the debt security, bankruptcy or restructuring. The Fund may enter into credit default swaps either by buying or selling protection on a single security, sovereign debt, or a basket of securities (the reference asset).
The buyer of protection pays a periodic fee to the seller of protection based on the notional amount of debt securities underlying the swap contract. The seller of protection agrees to compensate the buyer of protection for future potential losses as a result of a credit event on the reference asset. The contract effectively transfers the credit event risk of the reference asset from the buyer of protection to the seller of protection.
The ongoing value of the contract will fluctuate throughout the term of the contract based primarily on the credit risk of the reference asset. If the credit quality of the reference asset improves relative to the credit quality at contract initiation, the buyer of protection may have an unrealized loss greater than the anticipated periodic fee owed. This unrealized loss would be the result of current credit protection being cheaper than the cost of credit protection at contract initiation. If the buyer elects to terminate the contract prior to its maturity, and there has been no credit event, this unrealized loss will become realized. If the contract is held to maturity, and there has been no credit event, the realized loss will be equal to the periodic fee paid over the life of the contract.
If there is a credit event, the buyer of protection can exercise its rights under the contract and receive a payment from the seller of protection equal to the notional amount of the reference asset less the market value of the reference asset. Upon exercise of the contract the difference between the value of the underlying reference asset and the notional amount is recorded as realized gain (loss) and is included on the Statement of Operations in the annual and semiannual reports.
The Fund has sold credit protection through credit default swaps to increase exposure to the credit risk of individual securities and/or, indexes that are either unavailable or considered to be less attractive in the bond market.
110 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
The Fund has purchased credit protection through credit default swaps to decrease exposure to the credit risk of individual securities and/or, indexes.
For the period ended September 28, 2012, the Fund had ending monthly average notional amounts of $47,307,905 and $40,585,501 on credit default swaps to buy protection and credit default swaps to sell protection, respectively.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
Interest Rate Swap Contracts. An interest rate swap is an agreement between counterparties to exchange periodic payments based on interest rates. One cash flow stream will typically be a floating rate payment based upon a specified interest rate while the other is typically a fixed interest rate.
The Fund has entered into interest rate swaps in which it pays a floating interest rate and receives a fixed interest rate in order to increase exposure to interest rate risk. Typically, if relative interest rates rise, payments made by the Fund under a swap agreement will be greater than the payments received by the Fund.
The Fund has entered into interest rate swaps in which it pays a fixed interest rate and receives a floating interest rate in order to decrease exposure to interest rate risk. Typically, if relative interest rates rise, payments received by the Fund under the swap agreement will be greater than the payments made by the Fund.
For the period ended September 28, 2012, the Fund had ending monthly average notional amounts of $32,005,490 and $72,328,115 on interest rate swaps which pay a fixed rate and interest rate swaps which receive a fixed rate, respectively.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
Total Return Swap Contracts. A total return swap is an agreement between counterparties to exchange periodic payments based on asset or non-asset references. One cash flow is typically based on a non-asset reference (such as an interest rate or index) and the other on the total return of a reference asset (such as a security or a basket of securities). The total return of the reference asset typically includes appreciation or depreciation on the reference asset, plus any interest or dividend payments.
Total return swap contracts are exposed to the market risk factor of the specific underlying financial instrument or index. Total return swaps are less standard in structure than other types of swaps and can isolate and/or, include multiple types of market risk factors including equity risk, credit risk, and interest rate risk.
111 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
The Fund has entered into total return swaps on various equity securities or indexes to increase exposure to equity risk. These equity risk related total return swaps require the Fund to pay a floating reference interest rate, or an amount equal to the negative price movement of securities or an index multiplied by the notional amount of the contract. The Fund will receive payments equal to the positive price movement of the same securities or index multiplied by the notional amount of the contract.
The Fund has entered into total return swaps on various equity securities or indexes to decrease exposure to equity risk. These equity risk related total return swaps require the Fund to pay an amount equal to the positive price movement of securities or an index multiplied by the notional amount of the contract. The Fund will receive payments of a floating
reference interest rate or an amount equal to the negative price movement of the same securities or index multiplied by the notional amount of the contract.
For the period ended September 28, 2012, the Fund had ending monthly average notional amounts of $50,007,152 and $9,356,952 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 September 28, 2012, the Fund had ending monthly average notional amounts of $220,000 on currency swaps.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
As of September 28, 2012, the Fund had no such currency swap agreements outstanding.
112 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
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 investments volatility, or size of the movement, rather than general directional increases or decreases in its price.
Volatility swaps are less standard in structure than other types of swaps and provide pure, or isolated, exposure to volatility risk of the specific underlying reference investment. Volatility swaps are typically used to speculate on future volatility levels, to trade the spread between realized and expected volatility, or to decrease the volatility exposure of investments held by the Fund.
The Fund has entered into volatility swaps to increase exposure to the volatility risk of various reference investments. These types of volatility swaps require the fund to pay the measured volatility and receive a fixed interest payment over the period of the contract. If the measured volatility of the related reference investment increases over the period, the swaps will depreciate in value. Conversely, if the measured volatility of the related reference investment decreases over the period, the swaps will appreciate in value.
The Fund has entered into volatility swaps to decrease exposure to the volatility risk of various reference investments. These types of volatility swaps require the fund to pay a fixed interest payment and receive the measured volatility over the period of the contract. If the measured volatility of the related reference investment increases over the period, the swaps will appreciate in value. Conversely, if the measured volatility of the related reference investment decreases over the period, the swaps will depreciate in value.
For the period ended September 28, 2012, the Fund had ending monthly average notional amounts of $138,903 and $569,199 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
113 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
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.
114 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 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.
The Fund has written swaptions which give it the obligation, if exercised by the purchaser, to sell credit protection through credit default swaps in order to increase exposure to the credit risk of individual securities and/or, indexes. A written swaption of this type becomes more valuable as the likelihood of a credit event on the reference asset decreases.
The Fund has written swaptions which give it the obligation, if exercised by the purchaser, to buy credit protection through credit default swaps in order to decrease exposure to the credit risk of individual securities and, or, indexes. A written swaption of this type becomes more valuable as the likelihood of a credit event on the reference asset increases.
The Fund has purchased swaptions which gives it the option to buy credit protection through credit default swaps in order to decrease exposure to the credit risk of individual securities and, or, indexes. A purchased swaption of this type becomes more valuable as the likelihood of a credit event on the reference asset increases.
The Fund has purchased swaptions which gives it the option to sell credit protection through credit default swaps in order to increase exposure to the credit risk of individual securities and, or, indexes. A purchased swaption of this type becomes more valuable as the likelihood of a credit event on the reference asset decreases.
During the period ended September 28, 2012, the Fund had an ending monthly average market value of $6,251,275 and $8,104,951 on purchased and written swaptions, respectively.
Written swaption activity for the period ended September 28, 2012 was as follows:
Call Swaptions | ||||||||
Notional Amount |
Amount of Premiums |
|||||||
Swaptions outstanding as of December 30, 2011 |
385,315,000 | $ | 8,188,797 | |||||
Swaptions written |
3,642,027,387 | 25,129,218 | ||||||
Swaptions closed or expired |
(3,134,965,000 | ) | (23,506,099 | ) | ||||
Swaptions exercised |
(39,935,000 | ) | (346,902 | ) | ||||
|
|
|
|
|||||
Swaptions outstanding as of September 28, 2012 |
852,442,387 | $ | 9,465,014 | |||||
|
|
|
|
115 | Oppenheimer Global Strategic Income Fund/VA |
Oppenheimer Global Strategic Income Fund/VA
STATEMENT OF INVESTMENTS September 28, 2012* (Unaudited)
Restricted Securities
As of September 28, 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 September 28, 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 |
$ | 2,874,577,461 | ||
Federal tax cost of other investments |
(356,967,387 | ) | ||
|
|
|||
Total federal tax cost |
$ | 2,517,610,074 | ||
|
|
|||
Gross unrealized appreciation |
$ | 127,747,394 | ||
Gross unrealized depreciation |
(112,830,080 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 14,917,314 | ||
|
|
116 | Oppenheimer Global Strategic Income Fund/VA |
STATEMENT OF INVESTMENTS September 28, 2012* / Unaudited
Shares | Value | |||||||
Common Stocks95.3% |
||||||||
Consumer Discretionary10.4% |
||||||||
Automobiles1.3% |
||||||||
Ford Motor Co. |
10,050 | $ | 99,093 | |||||
Household Durables0.5% |
||||||||
Newell Rubbermaid, Inc. |
1,930 | 36,844 | ||||||
Media3.0% |
||||||||
Comcast Corp., Cl. A |
5,010 | 179,208 | ||||||
Viacom, Inc., Cl. B |
720 | 38,585 | ||||||
|
|
|||||||
217,793 | ||||||||
Multiline Retail3.4% |
||||||||
Target Corp. |
3,910 | 248,168 | ||||||
Specialty Retail2.2% |
||||||||
Lowes Cos., Inc. |
5,370 | 162,389 | ||||||
Consumer Staples10.1% |
||||||||
Beverages4.7% |
||||||||
Coca-Cola Co. (The) |
3,120 | 118,342 | ||||||
Molson Coors Brewing Co., Cl. B, Non-Vtg. |
2,710 | 122,085 | ||||||
PepsiCo, Inc. |
1,510 | 106,863 | ||||||
|
|
|||||||
347,290 | ||||||||
Food & Staples Retailing2.2% |
||||||||
Walgreen Co. |
4,520 | 164,709 | ||||||
Food Products1.0% |
||||||||
Kellogg Co. |
1,420 | 73,357 | ||||||
Household Products2.2% |
||||||||
Church & Dwight Co., Inc. |
1,620 | 87,464 | ||||||
Procter & Gamble Co. |
1,070 | 74,215 | ||||||
|
|
|||||||
161,679 | ||||||||
Energy10.6% |
||||||||
Energy Equipment & Services1.0% |
||||||||
Baker Hughes, Inc. |
1,690 | 76,439 | ||||||
Oil, Gas & Consumable Fuels9.6% |
||||||||
Apache Corp. |
710 | 61,394 | ||||||
Chevron Corp. |
3,540 | 412,622 | ||||||
Exxon Mobil Corp. |
2,554 | 233,563 | ||||||
|
|
|||||||
707,579 | ||||||||
Financials20.1% |
||||||||
Capital Markets3.0% |
||||||||
BlackRock, Inc., Cl. A |
400 | 71,320 | ||||||
Goldman Sachs Group, Inc. (The) |
1,280 | 145,510 | ||||||
|
|
|||||||
216,830 | ||||||||
Commercial Banks9.1% |
||||||||
M&T Bank Corp. |
1,890 | 179,852 | ||||||
PNC Financial Services Group, Inc. |
2,240 | 141,344 | ||||||
SunTrust Banks, Inc. |
4,030 | 113,928 | ||||||
Wells Fargo & Co. |
6,830 | 235,840 | ||||||
|
|
|||||||
670,964 | ||||||||
Diversified Financial Services0.5% |
||||||||
Citigroup, Inc. |
1,150 | 37,628 | ||||||
Insurance7.5% |
||||||||
ACE Ltd. |
2,340 | 176,904 | ||||||
Marsh & McLennan Cos., Inc. |
6,310 | 214,098 | ||||||
MetLife, Inc. |
2,060 | 70,988 | ||||||
Travelers Cos., Inc. (The) |
1,290 | 88,055 | ||||||
|
|
|||||||
550,045 | ||||||||
Health Care15.1% |
||||||||
Health Care Equipment & Supplies2.0% |
||||||||
Baxter International, Inc. |
2,460 | 148,240 | ||||||
Health Care Providers & Services7.1% |
||||||||
Humana, Inc. |
4,630 | 324,794 | ||||||
UnitedHealth Group, Inc. |
3,580 | 198,368 | ||||||
|
|
|||||||
523,162 | ||||||||
Pharmaceuticals6.0% |
||||||||
Merck & Co., Inc. |
5,760 | 259,776 | ||||||
Teva Pharmaceutical Industries Ltd., Sponsored ADR |
4,450 | 184,274 | ||||||
|
|
|||||||
444,050 | ||||||||
Industrials8.9% |
||||||||
Aerospace & Defense3.5% |
||||||||
Honeywell International, Inc. |
4,350 | 259,912 | ||||||
Construction & Engineering1.3% |
||||||||
Quanta Services, Inc.1 |
3,870 | 95,589 | ||||||
Industrial Conglomerates2.1% |
||||||||
Tyco International Ltd. |
2,680 | 150,777 | ||||||
Machinery1.0% |
||||||||
AGCO Corp.1 |
930 | 44,156 | ||||||
Navistar International Corp.1 |
1,350 | 28,472 | ||||||
|
|
|||||||
72,628 | ||||||||
Trading Companies & Distributors1.0% |
||||||||
AerCap Holdings NV1 |
6,010 | 75,125 | ||||||
Information Technology8.2% |
||||||||
Communications Equipment3.9% |
||||||||
Cisco Systems, Inc. |
7,510 | 143,366 | ||||||
Juniper Networks, Inc.1 |
8,160 | 139,618 | ||||||
|
|
|||||||
282,984 | ||||||||
Computers & Peripherals1.1% |
||||||||
Apple, Inc. |
120 | 80,071 | ||||||
Electronic Equipment, Instruments & Components1.0% |
||||||||
TE Connectivity Ltd. |
2,140 | 72,781 | ||||||
Semiconductors & Semiconductor Equipment2.2% |
||||||||
Analog Devices, Inc. |
1,950 | 76,420 |
1 | OPPENHEIMER VALUE FUND/VA |
STATEMENT OF INVESTMENTS Unaudited / (Continued)
Shares | Value | |||||||
Semiconductors & Semiconductor Equipment (Continued) |
||||||||
Xilinx, Inc. |
2,630 | $ | 87,868 | |||||
|
|
|||||||
164,288 | ||||||||
Materials4.4% |
||||||||
Chemicals2.6% |
||||||||
Celanese Corp., Series A |
940 | 35,635 | ||||||
Mosaic Co. (The) |
2,650 | 152,666 | ||||||
|
|
|||||||
188,301 | ||||||||
Containers & Packaging1.8% |
||||||||
Rock-Tenn Co., Cl. A |
1,870 | 134,977 | ||||||
Telecommunication Services3.8% |
||||||||
Diversified Telecommunication Services3.8% |
||||||||
AT&T, Inc. |
2,952 | 111,290 | ||||||
Verizon Communications, Inc. |
3,680 | 167,698 | ||||||
|
|
|||||||
278,988 | ||||||||
Utilities3.7% |
||||||||
Electric Utilities2.3% |
||||||||
American Electric Power Co., Inc. |
2,140 | 94,032 | ||||||
Edison International |
1,620 | 74,018 | ||||||
|
|
|||||||
168,050 | ||||||||
Multi-Utilities1.4% |
||||||||
NiSource, Inc. |
1,620 | 41,278 | ||||||
Public Service Enterprise Group, Inc. |
1,960 | 63,073 | ||||||
|
|
|||||||
104,351 | ||||||||
|
|
|||||||
Total Common Stocks (Cost $6,185,274) |
7,015,081 | |||||||
Investment Company5.1% |
||||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.18%2,3 (Cost $372,638) |
372,638 | 372,638 | ||||||
Total Investments, at Value (Cost $6,557,912) |
100.4 | % | 7,387,719 | |||||
Liabilities in Excess of Other Assets |
(0.4 | ) | (30,282 | ) | ||||
|
|
|
|
|||||
Net Assets |
100.0 | % | $ | 7,357,437 | ||||
|
|
|
|
Footnotes to Statement of Investments
* | September 28, 2012 represents the last business day of the Funds 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 September 28, 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 December 30, 2011ª |
Gross Additions |
Gross Reductions |
Shares September 28, 2012 |
|||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E |
374,186 | 3,056,578 | 3,058,126 | 372,638 | ||||||||||||
Value | Income | |||||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E |
$ | 372,638 | $ | 486 |
a. | December 30, 2011 represents the last business day of the Funds 2011 fiscal year. See accompanying Notes. |
3. | Rate shown is the 7-day yield as of September 28, 2012. |
2 | OPPENHEIMER VALUE FUND/VA |
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued)
Quarterly and Annual Periods. The last day of the Funds quarterly period was the last day the New York Stock Exchange was open for trading. The Funds financial statements have been presented through that date to maintain consistency with the Funds net asset value calculations used for shareholder transactions.
The last day of the Funds fiscal year was the last day the New York Stock Exchange was open for trading. The Funds financial statements have been presented through that date to maintain consistency with the Funds 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 Funds 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 IMMFs 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 Funds 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 Funds Board has adopted procedures for the valuation of the Funds 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 Committees fair valuation determinations are subject to review, approval and ratification by the Funds 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
3 | OPPENHEIMER VALUE FUND/VA |
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued)
the Funds 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 days closing bid and asked prices, and if not, at the current days 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 Funds 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 companys 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, mortgage-backed and asset-backed securities |
Reported trade data, broker-dealer price quotations, 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. |
4 | OPPENHEIMER VALUE FUND/VA |
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued)
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 Funds Board or (ii) as determined in good faith by the Managers 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 Funds 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 Funds 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) |
5 | OPPENHEIMER VALUE FUND/VA |
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued)
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 Managers 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 September 28, 2012 based on valuation input level:
Level
1 Unadjusted Quoted Prices |
Level 2 Other Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
Value | |||||||||||||
Assets Table |
||||||||||||||||
Investments, at Value: |
||||||||||||||||
Common Stocks |
||||||||||||||||
Consumer Discretionary |
$ | 764,287 | $ | | $ | | $ | 764,287 | ||||||||
Consumer Staples |
747,035 | | | 747,035 | ||||||||||||
Energy |
784,018 | | | 784,018 | ||||||||||||
Financials |
1,475,467 | | | 1,475,467 | ||||||||||||
Health Care |
1,115,452 | | | 1,115,452 | ||||||||||||
Industrials |
654,031 | | | 654,031 | ||||||||||||
Information Technology |
600,124 | | | 600,124 | ||||||||||||
Materials |
323,278 | | | 323,278 | ||||||||||||
Telecommunication Services |
278,988 | | | 278,988 | ||||||||||||
Utilities |
272,401 | | | 272,401 | ||||||||||||
Investment Company |
372,638 | | | 372,638 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Assets |
$ | 7,387,719 | $ | | $ | | $ | 7,387,719 | ||||||||
|
|
|
|
|
|
|
|
Currency contracts and forwards, if any, are reported at their unrealized appreciation/ depreciation at measurement date, which represents the change in the contracts 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 Funds 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
6 | OPPENHEIMER VALUE FUND/VA |
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued)
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 instruments price over a defined time period. Large increases or decreases in a financial instruments 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 Funds 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 Funds use of derivatives can result in losses due to unanticipated changes in the market risk factors and the overall market. In instances where
7 | OPPENHEIMER VALUE FUND/VA |
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued)
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 Funds 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 Funds 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 Funds 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 Funds net assets and or a percentage decrease in the Funds Net Asset Value or NAV. The contingent features are established within the Funds International Swap and Derivatives Association, Inc. master agreements which govern certain positions in swaps, over-the-counter options and swaptions, and forward currency exchange contracts for each individual counterparty.
Option Activity
The Fund may buy and sell put and call options, or write put and call options. When an option is written, the Fund receives a premium and becomes obligated to sell or purchase the underlying security at a fixed price, upon exercise of the option.
8 | OPPENHEIMER VALUE FUND/VA |
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued)
Options are valued daily based upon the last sale price on the principal exchange on which the option is traded. The difference between the premium received or paid, and market value of the option, is recorded as unrealized appreciation or depreciation. The net change in unrealized appreciation or depreciation is reported in the Statement of Operations in the annual and semiannual reports. When an option is exercised, the cost of the security purchased or the proceeds of the security sale are adjusted by the amount of premium received or paid. Upon the expiration or closing of the option transaction, a gain or loss is reported in the Statement of Operations in the annual and semiannual reports.
The Fund has purchased put options on individual equity securities and/or equity indexes to decrease exposure to equity risk. A purchased put option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price.
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 September 28, 2012, the Fund had an ending monthly average market value of $894 and $124 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.
Additional associated risks to the Fund include counterparty credit risk for over-the-counter options and liquidity risk.
As of September 28, 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 September 28, 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.
9 | OPPENHEIMER VALUE FUND/VA |
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued)
Federal tax cost of securities |
$ | 6,673,527 | ||
|
|
|||
Gross unrealized appreciation |
$ | 846,331 | ||
Gross unrealized depreciation |
(132,139 | ) | ||
|
|
|||
Net unrealized appreciation |
$ | 714,192 | ||
|
|
10 | OPPENHEIMER VALUE FUND/VA |
Item 2. Controls and Procedures.
(a) | Based on their evaluation of the registrants disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c)) as of 9/28/2012, the registrants principal executive officer and principal financial officer found the registrants 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 registrants 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 registrants internal controls over financial reporting that occurred during the registrants last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting. |
Item 3. Exhibits.
Exhibits attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Oppenheimer Variable Account Funds
By: | /s/ William F. Glavin, Jr. | |
William F. Glavin, Jr. | ||
Principal Executive Officer | ||
Date: | 11/12/2012 |
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: | 11/12/2012 |
By: | /s/ Brian W. Wixted | |
Brian W. Wixted | ||
Principal Financial Officer | ||
Date: | 11/12/2012 |
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 registrants 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 registrants 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 registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed to the registrants auditors and the audit committee of the registrants 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 registrants 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 registrants internal control over financial reporting. |
/s/ William F. Glavin, Jr. |
William F. Glavin, Jr. |
Principal Executive Officer |
Date: 11/12/2012 |
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 registrants 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 registrants 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 registrants internal control over financial reporting that occurred during the registrants most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrants internal control over financial reporting; and |
5. | The registrants other certifying officer and I have disclosed to the registrants auditors and the audit committee of the registrants 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 registrants 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 registrants internal control over financial reporting. |
/s/ Brian W. Wixted |
Brian W. Wixted |
Principal Financial Officer |
Date: 11/12/2012 |