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
OFI Global Asset Management, 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: 9/30/2013
Item 1. Schedule of Investments.
STATEMENT OF INVESTMENTS September 30, 2013 / Unaudited |
1 OPPENHEIMER DISCOVERY MID CAP GROWTH FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued |
2 OPPENHEIMER DISCOVERY MID CAP GROWTH FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued |
Footnotes to Statement of Investments
1. Non-income producing security.
2. Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 30, 2013, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows:
Shares | Gross | Gross | Shares | |||||||||||||
December 31, 2012 | Additions | Reductions | September 30, 2013 | |||||||||||||
|
||||||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 11,313,011 | 192,957,579 | 199,096,447 | 5,174,143 | ||||||||||||
Value | Income | |||||||||||||||
|
||||||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | $ | 5,174,143 | $ | 7,610 |
3. Rate shown is the 7-day yield as of September 30, 2013.
3 OPPENHEIMER DISCOVERY MID CAP GROWTH FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited |
The Fund changed its name to Oppenheimer Discovery Mid Cap Growth Fund/VA from Oppenheimer Small- & Mid-Cap Growth Fund/VA.
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 the investment adviser of IMMF, and the Sub-Adviser provides investment and related advisory services to 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
4 OPPENHEIMER DISCOVERY MID CAP GROWTH FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued |
Securities Valuation (Continued)
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 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
5 OPPENHEIMER DISCOVERY MID CAP GROWTH FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued |
Securities Valuation (Continued)
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 30, 2013 based on valuation input level:
6 OPPENHEIMER DISCOVERY MID CAP GROWTH FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued |
Securities Valuation (Continued)
Level 1 Unadjusted Quoted Prices |
Level 2 Other Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
Value | |||||||||||||
Assets Table |
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Investments, at Value: |
||||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary |
$ | 150,230,587 | $ | | $ | | $ | 150,230,587 | ||||||||
Consumer Staples |
31,811,439 | | | 31,811,439 | ||||||||||||
Energy |
43,499,182 | | | 43,499,182 | ||||||||||||
Financials |
43,811,117 | | | 43,811,117 | ||||||||||||
Health Care |
86,140,379 | | | 86,140,379 | ||||||||||||
Industrials |
120,487,805 | | | 120,487,805 | ||||||||||||
Information Technology |
164,576,330 | | | 164,576,330 | ||||||||||||
Materials |
20,484,589 | | | 20,484,589 | ||||||||||||
Telecommunication Services |
10,257,041 | | | 10,257,041 | ||||||||||||
Investment Company | 5,174,143 | | | 5,174,143 | ||||||||||||
|
|
|||||||||||||||
Total Assets | $ | 676,472,612 | $ | | $ | | $ | 676,472,612 | ||||||||
|
|
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.
Federal Taxes
The approximate aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of September 30, 2013 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.
Total federal tax cost | $ | 449,001,032 | ||
|
|
|||
Gross unrealized appreciation | $ | 228,322,008 | ||
Gross unrealized depreciation |
|
(850,428) |
| |
|
|
|||
Net unrealized appreciation | $ | 227,471,580 | ||
|
|
7 OPPENHEIMER DISCOVERY MID CAP GROWTH FUND/VA
STATEMENT OF INVESTMENTS September 30, 2013 / Unaudited |
1 OPPENHEIMER CAPITAL INCOME FUND/VA
STATEMENT OF INVESTMENTS Unaudited / (Continued) |
2 OPPENHEIMER CAPITAL INCOME FUND/VA
STATEMENT OF INVESTMENTS Unaudited / (Continued) |
3 OPPENHEIMER CAPITAL INCOME FUND/VA
STATEMENT OF INVESTMENTS Unaudited / (Continued) |
4 OPPENHEIMER CAPITAL INCOME FUND/VA
STATEMENT OF INVESTMENTS Unaudited / (Continued) |
5 OPPENHEIMER CAPITAL INCOME FUND/VA
STATEMENT OF INVESTMENTS Unaudited / (Continued) |
6 OPPENHEIMER CAPITAL INCOME FUND/VA
STATEMENT OF INVESTMENTS Unaudited / (Continued) |
7 OPPENHEIMER CAPITAL INCOME FUND/VA
STATEMENT OF INVESTMENTS Unaudited / (Continued) |
8 OPPENHEIMER CAPITAL INCOME FUND/VA
STATEMENT OF INVESTMENTS Unaudited / (Continued) |
9 OPPENHEIMER CAPITAL INCOME FUND/VA
STATEMENT OF INVESTMENTS Unaudited / (Continued) |
10 OPPENHEIMER CAPITAL INCOME FUND/VA
STATEMENT OF INVESTMENTS Unaudited / (Continued) |
11 OPPENHEIMER CAPITAL INCOME FUND/VA
STATEMENT OF INVESTMENTS Unaudited / (Continued) |
12 OPPENHEIMER CAPITAL INCOME FUND/VA
STATEMENT OF INVESTMENTS Unaudited / (Continued) |
13 OPPENHEIMER CAPITAL INCOME FUND/VA
STATEMENT OF INVESTMENTS Unaudited / (Continued) |
14 OPPENHEIMER CAPITAL INCOME FUND/VA
STATEMENT OF INVESTMENTS Unaudited / (Continued) |
15 OPPENHEIMER CAPITAL INCOME FUND/VA
STATEMENT OF INVESTMENTS Unaudited / (Continued) |
16 OPPENHEIMER CAPITAL INCOME FUND/VA
STATEMENT OF INVESTMENTS Unaudited / (Continued) |
17 OPPENHEIMER CAPITAL INCOME FUND/VA
STATEMENT OF INVESTMENTS Unaudited / (Continued) |
Footnotes to Statement of Investments
1. Non-income producing security.
2. Restricted security. The aggregate value of restricted securities as of September 30, 2013 was $728,536, which represents 0.26% of the Funds net assets. See accompanying Notes. Information concerning restricted securities is as follows:
Security | Acquisition Dates |
Cost | Value | Unrealized Appreciation |
||||||||||||
|
||||||||||||||||
Ally Auto Receivables Trust, Series 2012-A, Cl. D, 3.15%, 10/15/18 | 5/3/13 | $ | 515,471 | $ | 519,531 | $ | 4,060 | |||||||||
Morgan Stanley Reremic Trust, Collateralized Mtg. Obligations, Series 2012-R3, Cl. 1B, 2.346%, 11/26/36 | 10/24/12 | 130,279 | 142,239 | 11,960 | ||||||||||||
Santander Drive Auto Receivables Trust, Series 2011-S2A, Cl. D, 3.35%, 6/15/17 | 5/19/11-4/9/13 | 66,571 | 66,766 | 195 | ||||||||||||
|
|
|||||||||||||||
$ | 712,321 | $ | 728,536 | $ | 16,215 | |||||||||||
|
|
3. Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $29,395,260 or 10.35% of the Funds net assets as of September 30, 2013.
4. Represents the current interest rate for a variable or increasing rate security.
5. Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $2,662,547 or 0.94% of the Funds net assets as of September 30, 2013.
6. 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.
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 $143,172 or 0.05% of the Funds net assets as of September 30, 2013.
8. All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after September 30, 2013. 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 $596,035. See accompanying Notes.
10. This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. Rate reported represents the current interest rate for this variable rate security.
11. Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 30, 2013, 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 31, 2012 |
Gross Additions |
Gross Reductions |
Shares September 30, 2013 |
|||||||||||||
|
||||||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 19,691,265 | 42,627,851 | 42,401,509 | 19,917,607 | ||||||||||||
Value | Income | |||||||||||||||
|
||||||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | $ | 19,917,607 | $ | 19,689 |
12. Rate shown is the 7-day yield as of September 30, 2013.
18 OPPENHEIMER CAPITAL INCOME FUND/VA
STATEMENT OF INVESTMENTS Unaudited / (Continued) |
Footnotes to Statement of Investments Continued
|
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Futures Contracts as of September 30, 2013: |
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Description | Exchange | Buy/Sell | Expiration Date | Number of Contracts |
Unrealized Appreciation (Depreciation) |
|||||||||||||||||||
|
||||||||||||||||||||||||
U.S. Treasury Long Bonds | CBT | Buy | 12/19/13 | 27 | $ | 97,972 | ||||||||||||||||||
U.S. Treasury Nts., 2 yr. | CBT | Sell | 12/31/13 | 16 | (1,377) | |||||||||||||||||||
U.S. Treasury Nts., 5 yr. | CBT | Sell | 12/31/13 | 76 | (94,383) | |||||||||||||||||||
U.S. Treasury Nts., 10 yr. | CBT | Sell | 12/19/13 | 23 | (5,025) | |||||||||||||||||||
U.S. Treasury Ultra Bonds | CBT | Buy | 12/19/13 | 34 | 146,989 | |||||||||||||||||||
|
|
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$ | 144,176 | |||||||||||||||||||||||
|
|
Glossary:
Exchange Abbreviations
CBT |
Chicago Board of Trade |
19 OPPENHEIMER CAPITAL INCOME FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited |
|
The Fund has changed its name to Oppenheimer Capital Income Fund/VA from Oppenheimer Balanced Fund/VA.
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 the investment adviser of IMMF, and the Sub-Adviser provides investment and related advisory services to 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 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 30, 2013, 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 | $89,002,011 | |||
Sold securities | 23,624,580 |
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.
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 New York Stock Exchange (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.
20 OPPENHEIMER CAPITAL INCOME FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued) |
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 he 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
21 OPPENHEIMER CAPITAL INCOME FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued) |
|
Securities Valuation (Continued)
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.
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. |
22 OPPENHEIMER CAPITAL INCOME FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued) |
Securities Valuation (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)
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.)
23 OPPENHEIMER CAPITAL INCOME FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued) |
Securities Valuation (Continued)
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 30, 2013 based on valuation input level:
Level 1 Quoted Prices |
Level 2 Other Significant |
Level 3 Significant |
Value | |||||||||||||
|
||||||||||||||||
Assets Table |
||||||||||||||||
Investments, at Value: |
||||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary |
$ | 11,743,793 | $ | | $ | | $ | 11,743,793 | ||||||||
Consumer Staples |
6,784,812 | 2,307,250 | | 9,092,062 | ||||||||||||
Energy |
9,977,713 | | | 9,977,713 | ||||||||||||
Financials |
17,824,322 | | | 17,824,322 | ||||||||||||
Health Care |
12,585,092 | | | 12,585,092 | ||||||||||||
Industrials |
12,516,967 | | | 12,516,967 | ||||||||||||
Information Technology |
17,037,505 | | | 17,037,505 | ||||||||||||
Materials |
4,108,487 | | | 4,108,487 | ||||||||||||
Telecommunication Services |
1,976 | | | 1,976 | ||||||||||||
Utilities |
968,042 | | | 968,042 | ||||||||||||
Asset-Backed Securities | | 27,494,326 | | 27,494,326 | ||||||||||||
Mortgage-Backed Obligations | | 100,936,259 | | 100,936,259 | ||||||||||||
U.S. Government Obligations | | 2,165,297 | | 2,165,297 | ||||||||||||
Investment Company | 19,917,607 | | | 19,917,607 | ||||||||||||
Non-Convertible Corporate Bonds and Notes | | 69,149,088 | | 69,149,088 | ||||||||||||
|
|
|||||||||||||||
Total Investments, at Value | 113,466,316 | 202,052,220 | | 315,518,536 | ||||||||||||
Other Financial Instruments: | ||||||||||||||||
Variation margin receivable | 18 | | | 18 | ||||||||||||
|
|
|||||||||||||||
Total Assets | $ | 113,466,334 | $ | 202,052,220 | $ | | $ | 315,518,554 | ||||||||
|
|
|||||||||||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Variation margin payable | $ | (13,687) | $ | | $ | | $ | (13,687) | ||||||||
|
|
|||||||||||||||
Total Liabilities | $ | (13,687) | $ | | $ | | $ | (13,687) | ||||||||
|
|
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.
24 OPPENHEIMER CAPITAL INCOME 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 currency exchange contracts, credit default swaps, interest rate swaps, total return swaps, variance 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. These instruments 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. Such contracts may be entered into through a bilateral over-the-counter (OTC) transaction, or through a securities or futures exchange and cleared through a clearinghouse.
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.
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 due to unanticipated changes in the market risk factors and the overall market. 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. In instances
25 OPPENHEIMER CAPITAL INCOME FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued) |
Risk Exposures and the Use of Derivative Instruments (Continued)
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. Some derivatives have the potential for unlimited loss, regardless of the size of the Funds initial investment.
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.
The Funds actual exposures to these market risk factors and associated risks during the period are discussed in further detail, by derivative type, below.
Futures Contracts
A futures contract is a commitment to buy or sell a specific amount of a commodity, 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 and options thereon are generally entered into on a regulated futures exchange and cleared through a clearinghouse associated with the exchange.
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 in an account registered in the futures commission merchants name. Subsequent payments (variation margin) are paid to or from the futures commission merchant each day equal to the daily changes in the contract value. Such payments are recorded as unrealized gains and losses. Should the Fund fail to make requested variation margin payments, the futures commission merchant can gain access to the initial margin to satisfy the Funds payment obligations.
Futures contracts are reported on a schedule following the Statement of Investments. Securities held by a futures commission merchant to cover initial margin requirements on open futures contracts are noted in the Statement of Investments. Cash held by a futures commission merchant 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.
26 OPPENHEIMER CAPITAL INCOME FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued) |
Risk Exposures and the Use of Derivative Instruments (Continued)
During the period ended September 30, 2013, the Fund had an ending monthly average market value of $15,254,758 and $16,346,628 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.
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, the price or volatility of asset or non-asset references, or the occurrence of a credit event, over a specified period. Swaps can be executed in a bi-lateral privately negotiated arrangement with a dealer in an OTC transaction (OTC swaps) or executed on a regulated market. Certain swaps, regardless of the venue of their execution, are required to be cleared through a clearinghouse (cleared swaps). Swap contracts may include interest rate, equity, debt, index, total return, credit default, currency, and volatility swaps.
Swap contracts are reported on a schedule following the Statement of Investments. Daily changes in the value of cleared swaps are reported as variation margin receivable or payable on the Statement of Assets and Liabilities in the annual and semiannual reports. The values of OTC 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. 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, if any, 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 rate or asset. Swap contracts are typically more attractively priced compared to similar investments in related cash securities because they isolate the risk to one market risk factor and eliminate the other market risk factors. Investments in cash securities (for instance bonds) have exposure to multiple risk factors (credit and interest rate risk). Because swaps have embedded leverage, they can expose the Fund to substantial risk in the isolated market risk factor.
Credit Default Swap Contracts. A credit default swap is a contract that enables an investor to buy or sell protection against a defined-issuer credit event, such as the issuers failure to make timely payments of interest or principal on a debt security, bankruptcy or restructuring. The Fund may enter into credit default swaps either by buying or selling protection on a corporate issuer, sovereign issuer, or a basket or index of issuers (the reference asset).
27 OPPENHEIMER CAPITAL INCOME FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued) |
Risk Exposures and the Use of Derivative Instruments (Continued)
The buyer of protection pays a periodic fee to the seller of protection based on the notional amount of 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 swap less the market value of specified debt securities issued by the reference asset. Upon exercise of the contract the difference between such value and the notional amount is recorded as realized gain (loss) and is included on the Statement of Operations in the annual and semiannual reports.
The Fund has purchased credit protection through credit default swaps to decrease exposure to the credit risk of individual issuers and/or indexes of issuers.
For the period ended September 30, 2013, the Fund had ending monthly average notional amounts of $840,000 on credit default swaps to buy protection.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
As of September 30, 2013 the Fund had no such credit default swap agreements outstanding.
Counterparty Credit Risk. Derivative positions are subject to the risk that the counterparty will not fulfill its obligation to the Fund. The Fund intends to enter into derivative transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities in the annual and semiannual reports. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
The Funds risk of loss from counterparty credit risk on exchange-traded derivatives cleared through a clearinghouse and for cleared swaps is generally considered lower than as compared to OTC derivatives. However, counterparty credit risk exists with respect to initial and variation margin deposited/paid by the Fund that is held in futures commission merchant, broker and/or clearinghouse accounts for such exchange-traded derivatives and for cleared swaps.
28 OPPENHEIMER CAPITAL INCOME FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued) |
Risk Exposures and the Use of Derivative Instruments (Continued)
With respect to cleared swaps, such transactions will be submitted for clearing, and if cleared, will be held in accounts at futures commission merchants or brokers that are members of clearinghouses. While brokers, futures commission merchants and clearinghouses are required to segregate customer margin from their own assets, in the event that a broker, futures commission merchant or clearinghouse becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker, futures commission merchant or clearinghouse for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the brokers, futures commission merchants or clearinghouses customers, potentially resulting in losses to the Fund.
There is the risk that a broker, futures commission merchant or clearinghouse will decline to clear a transaction on the Funds behalf, and the Fund may be required to pay a termination fee to the executing broker with whom the Fund initially enters into the transaction. Clearinghouses may also be permitted to terminate cleared swaps at any time. The Fund is also subject to the risk that the broker or futures commission merchant will improperly use the Funds assets deposited/paid as initial or variation margin to satisfy payment obligations of another customer. In the event of a default by another customer of the broker or futures commission merchant, the Fund might not receive its variation margin payments from the clearinghouse, due to the manner in which variation margin payments are aggregated for all customers of the broker/futures commission merchant.
Collateral and margin requirements differ by type of derivative. Margin requirements are established by the broker, futures commission merchant or clearinghouse for exchange-traded and cleared derivatives, including cleared swaps. Brokers, futures commission merchants and clearinghouses can ask for margin in excess of the regulatory minimum, or increase the margin amount, in certain circumstances.
For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund, if any, is reported separately on the Statement of Assets and Liabilities in the annual and semiannual reports as cash pledged as collateral. Non-cash collateral pledged by the Fund, if any, is noted in the Statement of Investments. Generally, the amount of collateral due from or to a party must exceed a minimum transfer amount threshold (e.g. $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance.
Restricted Securities
As of September 30, 2013, investments in securities included issues that are restricted. A restricted security may have a contractual restriction on its resale and is valued under methods approved by the Board of Trustees as reflecting fair value. Securities that are restricted are marked with an applicable footnote on the Statement of Investments. Restricted securities are reported on a schedule following the Statement of Investments.
Federal Taxes
The approximate aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of September 30, 2013 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 | $ | 305,316,570 | ||
Federal tax cost of other investments | (7,342,661) | |||
|
|
|||
Total federal tax cost | $ | 297,973,909 | ||
|
|
|||
Gross unrealized appreciation | $ | 14,676,269 | ||
Gross unrealized depreciation | (4,330,127) | |||
|
|
|||
Net unrealized appreciation | $ | 10,346,142 | ||
|
|
29 OPPENHEIMER CAPITAL INCOME FUND/VA
STATEMENT OF INVESTMENTS September 30, 2013 / Unaudited |
1 OPPENHEIMER CAPITAL APPRECIATION FUND/VA
STATEMENT OF INVESTMENTS Unaudited / (Continued) |
2 OPPENHEIMER CAPITAL APPRECIATION FUND/VA
STATEMENT OF INVESTMENTS Unaudited / (Continued) |
Footnotes to Statement of Investments
1. Non-income producing security.
2. Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 30, 2013, 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 31, 2012 |
Gross Additions |
Gross Reductions |
Shares September 30, 2013 |
|||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E |
11,345,499 | 129,930,197 | 132,712,221 | 8,563,475 | ||||||||||||
Value | Income | |||||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E |
$ | 8,563,475 | $ | 7,785 |
3. Rate shown is the 7-day yield as of September 30, 2013.
3 OPPENHEIMER CAPITAL APPRECIATION FUND/VA
NOTES TO STATEMENT OF INVESTMENTS 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 the investment adviser of IMMF, and the Sub-Adviser provides investment and related advisory services to 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 New York Stock Exchange (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
4 OPPENHEIMER CAPITAL APPRECIATION FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued) |
Securities Valuation (Continued)
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 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
5 OPPENHEIMER CAPITAL APPRECIATION FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued) |
Securities Valuation (Continued)
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 CAPITAL APPRECIATION FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued) |
Securities Valuation (Continued)
The table below categorizes amounts as of September 30, 2013 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 |
$ | 182,857,906 | $ | | $ | | $ | 182,857,906 | ||||||||
Consumer Staples |
53,152,211 | 15,033,339 | | 68,185,550 | ||||||||||||
Energy |
48,883,686 | | | 48,883,686 | ||||||||||||
Financials |
33,997,712 | | | 33,997,712 | ||||||||||||
Health Care |
150,876,716 | 18,843,741 | | 169,720,457 | ||||||||||||
Industrials |
98,791,291 | | | 98,791,291 | ||||||||||||
Information Technology |
295,183,576 | | | 295,183,576 | ||||||||||||
Materials |
36,234,341 | | | 36,234,341 | ||||||||||||
Investment Company |
8,563,475 | | | 8,563,475 | ||||||||||||
|
|
|||||||||||||||
Total Assets |
$ | 908,540,914 | $ | 33,877,080 | $ | | $ | 942,417,994 | ||||||||
|
|
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.
Federal Taxes
The approximate aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of September 30, 2013 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 |
$ | 673,436,094 | ||
|
|
|||
Gross unrealized appreciation |
$ | 275,055,642 | ||
Gross unrealized depreciation |
(6,073,742) | |||
|
|
|||
Net unrealized appreciation |
$ | 268,981,900 | ||
|
|
7 OPPENHEIMER CAPITAL APPRECIATION FUND/VA
STATEMENT OF INVESTMENTS September 30, 2013 / Unaudited
Principal Amount | Value | |||||||
Asset-Backed Securities14.9% |
||||||||
Auto Loan14.6% |
||||||||
American Credit Acceptance Receivables Trust: |
||||||||
Series 2012-2, Cl. A, 1.89%, 7/15/161 |
$ | 233,153 | $ | 233,753 | ||||
Series 2012-3, Cl. A, 1.64%, 11/15/161 |
108,653 | 108,589 | ||||||
Series 2012-3, Cl. C, 2.78%, 9/17/181 |
90,000 | 89,861 | ||||||
Series 2013-2, Cl. B, 2.84%, 5/15/191 |
381,000 | 381,967 | ||||||
AmeriCredit Automobile Receivables Trust: |
||||||||
Series 2010-2, Cl. C, 4.52%, 10/8/15 |
309,079 | 312,475 | ||||||
Series 2010-2, Cl. D, 6.24%, 6/8/16 |
275,000 | 287,200 | ||||||
Series 2011-1, Cl. D, 4.26%, 2/8/17 |
120,000 | 125,140 | ||||||
Series 2011-2, Cl. D, 4.00%, 5/8/17 |
525,000 | 544,810 | ||||||
Series 2011-4, Cl. D, 4.08%, 9/8/17 |
650,000 | 676,163 | ||||||
Series 2011-5, Cl. D, 5.05%, 12/8/17 |
435,000 | 466,309 | ||||||
Series 2012-1, Cl. D, 4.72%, 3/8/18 |
155,000 | 163,404 | ||||||
Series 2012-2, Cl. B, 1.78%, 3/8/17 |
345,000 | 349,158 | ||||||
Series 2012-2, Cl. D, 3.38%, 4/9/18 |
695,000 | 713,462 | ||||||
Series 2012-4, Cl. D, 2.68%, 10/9/18 |
75,000 | 75,160 | ||||||
Series 2012-5, Cl. C, 1.69%, 11/8/18 |
255,000 | 253,471 | ||||||
Series 2012-5, Cl. D, 2.35%, 12/10/18 |
365,000 | 363,002 | ||||||
Series 2013-1, Cl. C, 1.57%, 1/8/19 |
420,000 | 411,305 | ||||||
Series 2013-1, Cl. D, 2.09%, 2/8/19 |
295,000 | 287,677 | ||||||
Series 2013-2, Cl. D, 2.42%, 5/8/19 |
445,000 | 436,176 | ||||||
Series 2013-3, Cl. D, 3.00%, 7/8/19 |
290,000 | 288,526 | ||||||
Capital Auto Receivables Asset Trust, Series 2013-1, Cl. D, 2.19%, 9/20/21 |
195,000 | 190,757 | ||||||
Centre Point Funding LLC, Series 2010-1A, Cl. 1, 5.43%, 7/20/161 |
57,415 | 59,625 | ||||||
CFC LLC, Series 2013-1A, Cl. A, 1.65%, 7/17/171 |
135,810 | 135,499 | ||||||
CPS Auto Receivables Trust: |
||||||||
Series 2012-B, Cl. A, 2.52%, 9/16/191 |
378,887 | 383,541 | ||||||
Series 2012-C, Cl. A, 1.82%, 12/16/191 |
125,051 | 125,759 | ||||||
Credit Acceptance Auto Loan Trust: |
||||||||
Series 2012-1A, Cl. A, 2.20%, 9/16/191 |
260,000 | 262,487 | ||||||
Series 2012-2A, Cl. A, 1.52%, 3/16/201 |
155,000 | 155,524 | ||||||
Series 2012-2A, Cl. B, 2.21%, 9/15/201 |
80,000 | 80,435 | ||||||
Series 2013-1A, Cl. B, 1.83%, 4/15/211 |
235,000 | 233,287 | ||||||
DT Auto Owner Trust: |
||||||||
Series 2011-1A, Cl. C, 3.05%, 8/17/151 |
15,138 | 15,152 | ||||||
Series 2011-3A, Cl. C, 4.03%, 2/15/171 |
435,000 | 436,490 | ||||||
Series 2012-2A, Cl. C, 2.72%, 4/17/171 |
100,000 | 100,820 | ||||||
Series 2012-2A, Cl. D, 4.35%, 3/15/191 |
130,000 | 134,237 | ||||||
Series 2013-1A, Cl. D, 3.74%, 5/15/201 |
175,000 | 175,447 | ||||||
Series 2013-2A, Cl. D, 4.18%, 6/15/201 |
425,000 | 425,512 | ||||||
Exeter Automobile Receivables Trust: |
||||||||
Series 2012-1A, Cl. A, 2.02%, 8/15/161 |
302,744 | 303,920 | ||||||
Series 2012-2A, Cl. A, 1.30%, 6/15/171 |
138,880 | 138,808 | ||||||
Series 2012-2A, Cl. B, 2.22%, 12/15/171 |
205,000 | 203,467 | ||||||
Series 2012-2A, Cl. C, 3.06%, 7/16/181 |
35,000 | 34,338 | ||||||
Series 2013-1A, Cl. A, 1.29%, 10/16/171 |
282,193 | 281,735 | ||||||
Series 2013-2A, Cl. C, 4.35%, 1/15/191 |
405,000 | 408,658 |
1 OPPENHEIMER CORE BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Auto Loan Continued |
||||||||
First Investors Auto Owner Trust, Series 2012-1A, Cl. D, 5.65%, 4/15/181 |
$ | 155,000 | $ | 163,207 | ||||
Ford Credit Auto Owner Trust, Series 2013-A, Cl. D, 1.86%, 8/15/19 |
280,000 | 276,769 | ||||||
Ford Credit Floorplan Master Owner Trust A: |
||||||||
Series 2012-1, Cl. C, 1.682%, 1/15/162 |
200,000 | 200,583 | ||||||
Series 2012-2, Cl. C, 2.86%, 1/15/19 |
295,000 | 303,578 | ||||||
Series 2013-3, Cl. D, 1.74%, 6/15/17 |
155,000 | 155,312 | ||||||
Prestige Auto Receivables Trust, Series 2011-1A, Cl. D, 5.18%, 7/16/181 |
180,000 | 186,491 | ||||||
Santander Drive Auto Receivables Trust: |
||||||||
Series 2010-3, Cl. C, 3.06%, 11/15/17 |
485,000 | 494,893 | ||||||
Series 2010-B, Cl. C, 3.02%, 10/17/161 |
348,822 | 352,319 | ||||||
Series 2011-1, Cl. D, 4.01%, 2/15/17 |
465,000 | 481,834 | ||||||
Series 2011-4, Cl. B, 2.90%, 5/16/16 |
180,000 | 182,360 | ||||||
Series 2011-S1A, Cl. D, 3.10%, 5/15/171 |
4,456 | 4,461 | ||||||
Series 2011-S2A, Cl. D, 3.35%, 6/15/173 |
60,676 | 60,937 | ||||||
Series 2012-2, Cl. C, 3.20%, 2/15/18 |
295,000 | 303,531 | ||||||
Series 2012-2, Cl. D, 3.87%, 2/15/18 |
545,000 | 562,319 | ||||||
Series 2012-3, Cl. C, 3.01%, 4/16/18 |
190,000 | 195,119 | ||||||
Series 2012-4, Cl. B, 1.83%, 3/15/17 |
175,000 | 176,444 | ||||||
Series 2012-4, Cl. D, 3.50%, 6/15/18 |
680,000 | 695,443 | ||||||
Series 2012-5, Cl. C, 2.70%, 8/15/18 |
670,000 | 674,637 | ||||||
Series 2012-5, Cl. D, 3.30%, 9/17/18 |
835,000 | 850,214 | ||||||
Series 2012-6, Cl. B, 1.33%, 5/15/17 |
560,000 | 561,106 | ||||||
Series 2012-6, Cl. D, 2.52%, 9/17/18 |
880,000 | 870,690 | ||||||
Series 2012-AA, Cl. D, 2.46%, 12/17/181 |
75,000 | 73,679 | ||||||
Series 2013-1, Cl. C, 1.76%, 1/15/19 |
455,000 | 447,752 | ||||||
Series 2013-1, Cl. D, 2.27%, 1/15/19 |
240,000 | 234,806 | ||||||
Series 2013-2, Cl. D, 2.57%, 3/15/19 |
325,000 | 317,915 | ||||||
Series 2013-3, Cl. C, 1.81%, 4/15/19 |
100,000 | 98,312 | ||||||
Series 2013-3, Cl. D, 2.42%, 4/15/19 |
215,000 | 206,303 | ||||||
Series 2013-4, Cl. D, 3.92%, 1/15/20 |
110,000 | 111,430 | ||||||
Series 2013-A, Cl. C, 3.12%, 10/15/191 |
770,000 | 792,404 | ||||||
SNAAC Auto Receivables Trust: |
||||||||
Series 2012-1A, Cl. A, 1.78%, 6/15/161 |
72,805 | 73,009 | ||||||
Series 2012-1A, Cl. C, 4.38%, 6/15/171 |
165,000 | 168,895 | ||||||
Series 2013-1A, Cl. B, 2.09%, 7/16/181 |
130,000 | 129,503 | ||||||
Series 2013-1A, Cl. C, 3.07%, 8/15/181 |
145,000 | 144,080 | ||||||
United Auto Credit Securitization Trust: |
||||||||
Series 2012-1, Cl. A2, 1.10%, 3/16/151 |
78,395 | 78,392 | ||||||
Series 2012-1, Cl. B, 1.87%, 9/15/151 |
265,000 | 264,943 | ||||||
Series 2012-1, Cl. C, 2.52%, 3/15/161 |
190,000 | 189,896 | ||||||
Series 2012-1, Cl. D, 3.12%, 3/15/181 |
135,000 | 134,921 | ||||||
Series 2013-1, Cl. B, 1.74%, 4/15/161 |
230,000 | 229,638 | ||||||
Series 2013-1, Cl. C, 2.22%, 12/15/171 |
145,000 | 144,705 | ||||||
Series 2013-1, Cl. D, 2.90%, 12/15/171 |
30,000 | 29,939 | ||||||
Westlake Automobile Receivables Trust: |
||||||||
Series 2012-1A, Cl. A2, 1.03%, 3/15/161 |
97,156 | 97,248 | ||||||
Series 2013-1A, Cl. A2, 1.12%, 1/15/181 |
370,000 | 370,187 | ||||||
|
|
|||||||
22,943,310 |
2 OPPENHEIMER CORE BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Equipment0.1% |
||||||||
FRS I LLC, Series 2013-1A, Cl. A1, 1.80%, 4/15/431 |
$ | 107,581 | $ | 107,053 | ||||
Receivables: Other0.2% |
||||||||
AmeriCredit Automobile Receivables Trust, Series 2010-1, Cl. D, 6.65%, 7/17/17 |
300,000 | 311,308 | ||||||
|
|
|||||||
Total Asset-Backed Securities (Cost $23,332,416) |
23,361,671 | |||||||
Mortgage-Backed Obligations58.3% |
||||||||
Government Agency45.1% |
||||||||
FHLMC/FNMA/FHLB/Sponsored44.9% |
||||||||
Federal Home Loan Mortgage Corp. Gold Pool: |
||||||||
5.00%, 12/1/34 |
8,532 | 9,266 | ||||||
5.50%, 9/1/39 |
800,410 | 876,518 | ||||||
6.00%, 5/1/18-10/1/29 |
1,359,683 | 1,484,998 | ||||||
6.50%, 4/1/18-4/1/34 |
345,754 | 388,074 | ||||||
7.00%, 8/1/16-10/1/37 |
379,207 | 433,244 | ||||||
8.00%, 4/1/16 |
69,906 | 73,168 | ||||||
9.00%, 8/1/22-5/1/25 |
37,613 | 42,211 | ||||||
Federal Home Loan Mortgage Corp. Non Gold Pool, 10.50%, 10/1/20 |
2,002 | 2,334 | ||||||
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: |
||||||||
Series 205, Cl. IO, 15.94%, 9/1/294 |
12,830 | 1,951 | ||||||
Series 206, Cl. IO, 0.00%, 12/1/294,5 |
175,196 | 26,154 | ||||||
Series 243, Cl. 6, 0.00%, 12/15/324,5 |
159,441 | 33,183 | ||||||
Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 3.69%, 6/1/266 |
67,914 | 63,483 | ||||||
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: |
| |||||||
Series 151, Cl. F, 9.00%, 5/15/21 |
8,733 | 9,747 | ||||||
Series 1674, Cl. Z, 6.75%, 2/15/24 |
29,493 | 33,290 | ||||||
Series 2034, Cl. Z, 6.50%, 2/15/28 |
3,598 | 4,066 | ||||||
Series 2042, Cl. N, 6.50%, 3/15/28 |
9,334 | 10,600 | ||||||
Series 2043, Cl. ZP, 6.50%, 4/15/28 |
439,815 | 502,077 | ||||||
Series 2046, Cl. G, 6.50%, 4/15/28 |
27,143 | 30,687 | ||||||
Series 2053, Cl. Z, 6.50%, 4/15/28 |
4,566 | 5,160 | ||||||
Series 2066, Cl. Z, 6.50%, 6/15/28 |
471,240 | 528,965 | ||||||
Series 2195, Cl. LH, 6.50%, 10/15/29 |
364,808 | 413,416 | ||||||
Series 2220, Cl. PD, 8.00%, 3/15/30 |
2,084 | 2,448 | ||||||
Series 2326, Cl. ZP, 6.50%, 6/15/31 |
97,325 | 110,977 | ||||||
Series 2461, Cl. PZ, 6.50%, 6/15/32 |
463,607 | 527,826 | ||||||
Series 2470, Cl. LF, 1.182%, 2/15/322 |
3,537 | 3,610 | ||||||
Series 2500, Cl. FD, 0.682%, 3/15/322 |
101,951 | 102,567 | ||||||
Series 2526, Cl. FE, 0.582%, 6/15/292 |
135,203 | 135,479 | ||||||
Series 2538, Cl. F, 0.782%, 12/15/322 |
390,963 | 393,805 | ||||||
Series 2551, Cl. FD, 0.582%, 1/15/332 |
84,695 | 84,884 | ||||||
Series 2707, Cl. QE, 4.50%, 11/15/18 |
41,074 | 43,328 | ||||||
Series 2936, Cl. PE, 5.00%, 2/15/35 |
69,000 | 75,375 | ||||||
Series 3025, Cl. SJ, 24.082%, 8/15/352 |
38,430 | 60,213 | ||||||
Series 3030, Cl. FL, 0.582%, 9/15/352 |
5,737 | 5,734 | ||||||
Series 3822, Cl. JA, 5.00%, 6/15/40 |
21,285 | 22,556 | ||||||
Series 3848, Cl. WL, 4.00%, 4/15/40 |
39,656 | 42,362 | ||||||
Series 4221, Cl. HJ, 1.50%, 7/15/23 |
104,997 | 104,411 |
3 OPPENHEIMER CORE BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued |
||||||||
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security: |
| |||||||
Series 2074, Cl. S, 55.51%, 7/17/284 |
$ | 2,731 | $ | 569 | ||||
Series 2079, Cl. S, 59.73%, 7/17/284 |
5,029 | 1,060 | ||||||
Series 2130, Cl. SC, 55.52%, 3/15/294 |
193,548 | 37,951 | ||||||
Series 2526, Cl. SE, 34.64%, 6/15/294 |
6,106 | 1,258 | ||||||
Series 2796, Cl. SD, 56.23%, 7/15/264 |
297,582 | 54,279 | ||||||
Series 2802, Cl. AS,0%, 4/15/334,10 |
41,640 | 1,332 | ||||||
Series 2920, Cl. S, 57.71%, 1/15/354 |
1,109,883 | 218,239 | ||||||
Series 2922, Cl. SE, 9.39%, 2/15/354 |
134,173 | 23,558 | ||||||
Series 3004, Cl. SB, 0.63%, 7/15/354 |
58,152 | 10,580 | ||||||
Series 3201, Cl. SG, 7.75%, 8/15/364 |
328,973 | 61,521 | ||||||
Series 3397, Cl. GS, 15.49%, 12/15/374 |
28,221 | 4,784 | ||||||
Series 3424, Cl. EI, 3.14%, 4/15/384 |
49,444 | 6,570 | ||||||
Series 3450, Cl. BI, 14.80%, 5/15/384 |
729,046 | 131,769 | ||||||
Series 3606, Cl. SN, 6.77%, 12/15/394 |
191,462 | 24,763 | ||||||
Federal National Mortgage Assn. Pool: |
||||||||
2.50%, 10/1/277 |
2,490,000 | 2,504,784 | ||||||
2.661%, 10/1/362 |
130,961 | 139,063 | ||||||
3.00%, 10/1/267 |
1,470,000 | 1,522,369 | ||||||
3.50%, 11/1/27-11/1/427 |
29,825,000 | 30,869,387 | ||||||
4.00%, 10/1/28-10/1/427 |
6,555,000 | 6,888,156 | ||||||
4.50%, 10/1/22-10/1/427 |
10,140,000 | 10,830,551 | ||||||
5.00%, 2/1/22-7/1/22 |
6,589 | 7,081 | ||||||
5.00%, 10/25/387 |
515,000 | 558,534 | ||||||
5.50%, 2/1/35-5/1/36 |
349,063 | 382,107 | ||||||
6.00%, 10/1/437 |
160,000 | 175,025 | ||||||
6.50%, 5/1/17-1/1/34 |
522,594 | 559,252 | ||||||
7.00%, 11/1/17-7/1/35 |
234,169 | 255,263 | ||||||
7.50%, 1/1/33 |
7,944 | 9,331 | ||||||
8.50%, 7/1/32 |
15,613 | 18,218 | ||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: |
||||||||
Series 221, Cl. 2, 43.39%, 5/1/234 |
4,779 | 713 | ||||||
Series 222, Cl. 2, 25.19%, 6/1/234 |
494,142 | 75,003 | ||||||
Series 252, Cl. 2, 41.66%, 11/1/234 |
464,453 | 70,768 | ||||||
Series 294, Cl. 2, 15.85%, 2/1/284 |
51,300 | 7,695 | ||||||
Series 301, Cl. 2, 4.92%, 4/1/294 |
4,786 | 1,022 | ||||||
Series 303, Cl. IO, 9.39%, 11/1/294 |
86,170 | 13,049 | ||||||
Series 320, Cl. 2, 10.42%, 4/1/324 |
347,765 | 68,806 | ||||||
Series 321, Cl. 2, 5.34%, 4/1/324 |
993,447 | 260,661 | ||||||
Series 324, Cl. 2, 3.34%, 7/1/324 |
9,972 | 2,612 | ||||||
Series 331, Cl. 5, 0.00%, 2/1/334,5 |
14,379 | 2,772 | ||||||
Series 331, Cl. 9, 0.00%, 2/1/334,5 |
293,251 | 59,575 | ||||||
Series 334, Cl. 12, 0.00%, 3/1/334,5 |
24,728 | 4,624 | ||||||
Series 334, Cl. 17, 6.67%, 2/1/334 |
203,787 | 48,012 | ||||||
Series 339, Cl. 12, 0.00%, 6/25/334,5 |
355,757 | 60,616 | ||||||
Series 339, Cl. 7, 0.00%, 8/1/334,5 |
754,531 | 122,504 | ||||||
Series 343, Cl. 13, 0.00%, 9/1/334,5 |
334,682 | 52,855 | ||||||
Series 343, Cl. 18, 0.00%, 5/1/344,5 |
90,074 | 13,604 | ||||||
Series 345, Cl. 9, 0.00%, 1/1/344,5 |
233,125 | 40,027 | ||||||
Series 351, Cl. 10, 0.00%, 4/1/344,5 |
120,845 | 19,234 | ||||||
Series 351, Cl. 8, 0.00%, 4/1/344,5 |
195,979 | 31,170 |
4 OPPENHEIMER CORE BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued |
||||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Continued |
||||||||
Series 356, Cl. 10, 0.00%, 6/1/354,5 |
$ | 146,390 | $ | 23,638 | ||||
Series 356, Cl. 12, 0.00%, 2/1/354,5 |
72,024 | 11,623 | ||||||
Series 362, Cl. 13, 0.00%, 8/1/354,5 |
278,860 | 47,417 | ||||||
Series 364, Cl. 15, 0.00%, 9/1/354,5 |
14,449 | 2,368 | ||||||
Series 364, Cl. 16, 0.00%, 9/1/354,5 |
293,274 | 45,740 | ||||||
Series 365, Cl. 16, 0.00%, 3/1/364,5 |
461,970 | 85,651 | ||||||
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: |
| |||||||
Series 1989-17, Cl. E, 10.40%, 4/25/19 |
898 | 909 | ||||||
Series 1993-87, Cl. Z, 6.50%, 6/25/23 |
345,616 | 390,876 | ||||||
Series 1998-58, Cl. PC, 6.50%, 10/25/28 |
261,171 | 296,563 | ||||||
Series 1998-61, Cl. PL, 6.00%, 11/25/28 |
124,092 | 138,854 | ||||||
Series 1999-54, Cl. LH, 6.50%, 11/25/29 |
213,341 | 239,220 | ||||||
Series 2001-44, Cl. QC, 6.00%, 9/25/16 |
9,068 | 9,506 | ||||||
Series 2001-51, Cl. OD, 6.50%, 10/25/31 |
17,247 | 19,252 | ||||||
Series 2001-74, Cl. QE, 6.00%, 12/25/31 |
334,268 | 375,448 | ||||||
Series 2002-12, Cl. PG, 6.00%, 3/25/17 |
4,821 | 5,083 | ||||||
Series 2003-28, Cl. KG, 5.50%, 4/25/23 |
2,745,659 | 3,011,721 | ||||||
Series 2004-101, Cl. BG, 5.00%, 1/25/20 |
603,936 | 631,838 | ||||||
Series 2004-25, Cl. PC, 5.50%, 1/25/34 |
15,372 | 16,537 | ||||||
Series 2005-73, Cl. DF, 0.429%, 8/25/352 |
20,251 | 20,251 | ||||||
Series 2006-11, Cl. PS, 23.911%, 3/25/362 |
180,062 | 279,491 | ||||||
Series 2006-46, Cl. SW, 23.543%, 6/25/362 |
142,693 | 223,395 | ||||||
Series 2006-50, Cl. KS, 23.544%, 6/25/362 |
202,926 | 317,238 | ||||||
Series 2007-109, Cl. NF, 0.729%, 12/25/372 |
99,809 | 100,420 | ||||||
Series 2009-36, Cl. FA, 1.119%, 6/25/372 |
223,397 | 225,550 | ||||||
Series 2009-70, Cl. TL, 4.00%, 8/25/19 |
224,507 | 234,808 | ||||||
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security: |
| |||||||
Series 2001-61, Cl. SH, 33.36%, 11/18/314 |
12,438 | 2,201 | ||||||
Series 2001-63, Cl. SD, 34.68%, 12/18/314 |
4,432 | 866 | ||||||
Series 2001-65, Cl. S, 30.33%, 11/25/314 |
312,067 | 57,567 | ||||||
Series 2001-68, Cl. SC, 22.58%, 11/25/314 |
2,810 | 556 | ||||||
Series 2001-81, Cl. S, 29.84%, 1/25/324 |
90,118 | 18,640 | ||||||
Series 2002-28, Cl. SA, 38.65%, 4/25/324 |
2,892 | 558 | ||||||
Series 2002-38, Cl. SO, 47.31%, 4/25/324 |
7,720 | 1,375 | ||||||
Series 2002-39, Cl. SD, 40.02%, 3/18/324 |
5,105 | 1,026 | ||||||
Series 2002-47, Cl. NS, 35.09%, 4/25/324 |
287,827 | 54,464 | ||||||
Series 2002-48, Cl. S, 34.57%, 7/25/324 |
4,575 | 905 | ||||||
Series 2002-51, Cl. S, 35.30%, 8/25/324 |
264,226 | 52,517 | ||||||
Series 2002-52, Cl. SD, 36.55%, 9/25/324 |
359,291 | 74,740 | ||||||
Series 2002-52, Cl. SL, 36.86%, 9/25/324 |
2,990 | 566 | ||||||
Series 2002-53, Cl. SK, 33.75%, 4/25/324 |
17,787 | 3,754 | ||||||
Series 2002-56, Cl. SN, 36.30%, 7/25/324 |
6,237 | 1,235 | ||||||
Series 2002-60, Cl. SM, 32.24%, 8/25/324 |
42,749 | 6,629 | ||||||
Series 2002-7, Cl. SK, 29.06%, 1/25/324 |
19,221 | 3,217 | ||||||
Series 2002-77, Cl. BS, 29.09%, 12/18/324 |
26,549 | 5,294 | ||||||
Series 2002-77, Cl. IS, 44.57%, 12/18/324 |
13,153 | 2,681 | ||||||
Series 2002-77, Cl. SH, 39.10%, 12/18/324 |
134,753 | 27,937 | ||||||
Series 2002-84, Cl. SA, 36.24%, 12/25/324 |
316,074 | 60,249 | ||||||
Series 2002-9, Cl. MS, 30.59%, 3/25/324 |
4,873 | 1,001 | ||||||
Series 2002-90, Cl. SN, 33.33%, 8/25/324 |
21,992 | 3,410 |
5 OPPENHEIMER CORE BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued |
||||||||
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security: Continued |
| |||||||
Series 2002-90, Cl. SY, 38.44%, 9/25/324 |
$ | 15,819 | $ | 2,582 | ||||
Series 2003-26, Cl. DI, 10.08%, 4/25/334 |
12,999 | 2,581 | ||||||
Series 2003-33, Cl. SP, 30.60%, 5/25/334 |
317,352 | 57,393 | ||||||
Series 2003-4, Cl. S, 32.24%, 2/25/334 |
212,103 | 41,441 | ||||||
Series 2004-54, Cl. DS, 41.34%, 11/25/304 |
248,608 | 37,874 | ||||||
Series 2005-12, Cl. SC, 11.06%, 3/25/354 |
67,051 | 14,382 | ||||||
Series 2005-14, Cl. SE, 41.60%, 3/25/354 |
198,902 | 33,617 | ||||||
Series 2005-40, Cl. SA, 49.84%, 5/25/354 |
587,635 | 101,992 | ||||||
Series 2005-40, Cl. SB, 53.11%, 5/25/354 |
25,812 | 4,484 | ||||||
Series 2005-52, Cl. JH, 9.74%, 5/25/354 |
136,578 | 24,995 | ||||||
Series 2005-93, Cl. SI, 13.95%, 10/25/354 |
476,304 | 71,721 | ||||||
Series 2008-55, Cl. SA, 16.31%, 7/25/384 |
49,836 | 7,599 | ||||||
Series 2009-8, Cl. BS, 0.00%, 2/25/244,5 |
273,053 | 24,783 | ||||||
Series 2012-40, Cl. PI, 3.13%, 4/25/414 |
226,426 | 42,619 | ||||||
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Principal-Only Stripped Mtg.-Backed Security, Series 1993-184, Cl. M, 4.37%, 9/25/236 |
155,233 | 150,580 | ||||||
|
|
|||||||
70,694,271 | ||||||||
GNMA/Guaranteed0.2% |
||||||||
Government National Mortgage Assn. I Pool: |
||||||||
7.00%, 12/15/23-3/15/26 |
14,786 | 16,700 | ||||||
8.50%, 8/15/17-12/15/17 |
48,678 | 51,748 | ||||||
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: |
||||||||
Series 2002-15, Cl. SM, 62.72%, 2/16/324 |
405,932 | 74,495 | ||||||
Series 2007-17, Cl. AI, 17.04%, 4/16/374 |
123,215 | 23,351 | ||||||
Series 2011-52, Cl. HS, 8.62%, 4/16/414 |
818,034 | 205,423 | ||||||
Government National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: |
||||||||
Series 1999-32, Cl. ZB, 8.00%, 9/16/29 |
56,411 | 66,852 | ||||||
Series 2000-7, Cl. Z, 8.00%, 1/16/30 |
22,003 | 25,750 | ||||||
|
|
|||||||
464,319 | ||||||||
Non-Agency13.2% |
||||||||
Commercial8.3% |
||||||||
Asset Securitization Corp., Interest-Only Stripped Mtg.-Backed Security, Collateralized Mtg. Obligations, Series 1997-D4, Cl. PS1, 8.56%, 4/14/294 |
1,844,118 | 86,755 | ||||||
Banc of America Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Collateralized Mtg. Obligations, Series 2006-6, Cl. AM, 5.39%, 10/10/45 |
425,000 | 452,465 | ||||||
Capital Lease Funding Securitization LP, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 1997-CTL1, Cl. IO, 0%, 6/22/243,4,5 |
1,857,361 | 88,408 | ||||||
CD Commercial Mortgage Trust, Collateralized Mtg. Obligations, Series 2007-CD4, Cl. A2B, 5.205%, 12/11/49 |
16,559 | 16,575 | ||||||
Citigroup Commercial Mortgage Trust: |
||||||||
Series 2008-C7, Cl. AM, 6.336%, 12/10/492 |
410,000 | 451,286 | ||||||
Series 2013-GCJ11, 4.459%, 4/10/231 |
160,000 | 135,629 | ||||||
COMM Mortgage Trust, Commercial Mtg. Pass-Through Certificates: |
||||||||
Series 2012-CR4, Cl. D, 4.73%, 10/15/451,2 |
50,000 | 44,005 | ||||||
Series 2012-CR5, Cl. E, 4.48%, 12/10/451,2 |
75,000 | 64,860 | ||||||
Series 2013-CR7, Cl. D, 4.501%, 3/10/461,2 |
175,000 | 146,215 |
6 OPPENHEIMER CORE BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Commercial Continued |
||||||||
COMM Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security: |
||||||||
Series 2010-C1, Cl. XPA, 0.00%, 7/10/461,4,5 |
$ | 4,075,219 | $ | 178,519 | ||||
Series 2012-CR5, Cl. XA, 1.82%, 12/10/454 |
2,808,388 | 309,417 | ||||||
Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2007-GG11, Cl. AM, 5.867%, 12/10/492 |
475,000 | 518,559 | ||||||
Countrywide Alternative Loan Trust, Series 2006-J2, Cl. A7, 6%, 4/25/36 |
10,280 | 8,817 | ||||||
Countrywide Home Loans: |
||||||||
Series 2005-17, Cl. 1A8, 5.50%, 9/25/35 |
44,344 | 44,309 | ||||||
Series 2007-J3, Cl. A9, 6.00%, 7/25/37 |
181,966 | 150,486 | ||||||
Credit Suisse Commercial Mortgage Trust, Series 2006-6, Cl. 1A4, 6%, 7/25/36 |
312,579 | 241,256 | ||||||
Credit Suisse Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2006-C1, Cl. AJ, 5.567%, 2/15/392 |
275,000 | 296,818 | ||||||
Credit Suisse First Boston Commercial Trust, Commercial Mtg. Pass-Through Certificates, Series 2005-C6, Cl. AJ, 5.23%, 12/15/402 |
410,000 | 436,135 | ||||||
DBUBS Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2011-LC1A, Cl. E, 5.728%, 11/10/461,2 |
75,000 | 73,001 | ||||||
First Horizon Alternative Mortgage Securities Trust: |
||||||||
Series 2004-FA2, Cl. 3A1, 6.00%, 1/25/35 |
333,426 | 339,706 | ||||||
Series 2005-FA8, Cl. 1A6, 0.829%, 11/25/352 |
306,118 | 232,785 | ||||||
Series 2005-FA9, Cl. A4A, 5.50%, 12/25/35 |
17,991 | 15,946 | ||||||
Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37 |
239,946 | 177,861 | ||||||
Series 2007-FA4, Cl. 1A6, 6.25%, 8/25/372 |
354,219 | 305,267 | ||||||
FREMF Mortgage Trust, Commercial Mtg. Pass-Through Certificates: |
||||||||
Series 2013-K25, Cl. C, 3.742%, 11/25/451,2 |
90,000 | 74,710 | ||||||
Series 2013-K26, Cl. C, 3.723%, 12/25/451,2 |
60,000 | 49,599 | ||||||
Series 2013-K27, Cl. C, 3.616%, 1/25/461,2 |
95,000 | 77,466 | ||||||
Series 2013-K28, Cl. C, 3.614%, 6/25/461,2 |
95,000 | 77,502 | ||||||
Series 2013-K712, Cl. C, 3.483%, 5/25/451,2 |
160,000 | 142,610 | ||||||
GE Capital Commercial Mortgage Corp., Collateralized Mtg. Obligations, Series 2005-C4, Cl. AJ, 5.489%, 11/10/452 |
380,000 | 368,172 | ||||||
GS Mortgage Securities Trust: |
||||||||
Series 2006-GG6, Cl. AM, 5.622%, 4/10/382 |
420,274 | 451,909 | ||||||
Series 2011-GC3, Cl. A1, 2.331%, 3/10/441 |
168,399 | 170,611 | ||||||
GSR Mortgage Loan Trust, Mtg. Pass-Through Certificates, Series 2005-AR4, Cl. 6A1, 5.25%, 7/25/352 |
228,029 | 226,764 | ||||||
IndyMac Index Mortgage Loan Trust, Collateralized Mtg. Obligations, Series 2005-AR23, Cl. 6A1, 4.706%, 11/25/352 |
460,050 | 381,184 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust: |
||||||||
Series 2006-CB16, Cl. AJ, 5.623%, 5/12/45 |
415,000 | 388,597 | ||||||
Series 2011-C3, Cl. A1, 1.875%, 2/15/461 |
174,118 | 175,218 | ||||||
JP Morgan Mortgage Trust, Collateralized Mtg. Obligations, Series 2007-S3, Cl. 1A90, 7%, 8/25/37 |
483,437 | 442,221 | ||||||
JPMorgan Resecuritization Trust, Collateralized Mtg. Obligations, Series 2009-5, Cl. 1A2, 2.613%, 7/26/361,2 |
412,048 | 315,337 | ||||||
LB Commercial Conduit Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Collateralized Mtg. Obligations, Series 1998-C1, Cl. IO, 0%, 2/18/304,5 |
843,937 | 24,299 | ||||||
Lehman Structured Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 2002-GE1, Cl. A, 2.514%, 7/26/242,3 |
88,532 | 77,549 | ||||||
Merrill Lynch Mortgage Trust, Collateralized Mtg. Obligations, Series 2006-C2, Cl. AM, 5.782%, 8/12/432 |
425,000 | 460,032 |
7 OPPENHEIMER CORE BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Commercial Continued |
||||||||
Morgan Stanley Bank of America Merrill Lynch Trust, Commercial Mtg. Pass-Through Certificates: |
| |||||||
Series 2012-C6, Cl. E, 4.82%, 11/15/451,2 |
$ | 145,000 | $ | 127,333 | ||||
Series 2013-C7, Cl. D, 4.444%, 2/15/461,2 |
175,000 | 145,596 | ||||||
Series 2013-C8, Cl. D, 4.311%, 12/15/481,2 |
130,000 | 108,780 | ||||||
Morgan Stanley Capital I Trust: |
||||||||
Series 2007-IQ13, Cl. AM, 5.406%, 3/15/44 |
415,000 | 445,554 | ||||||
Series 2007-IQ15, Cl. AM, 6.107%, 6/11/492 |
490,000 | 527,428 | ||||||
Morgan Stanley Reremic Trust, Collateralized Mtg. Obligations, Series 2012-R3, Cl. 1B, 2.346%, 11/26/362,3 |
479,160 | 257,028 | ||||||
Salomon Brothers Mortgage Securities VII, Inc., Interest-Only Stripped Mtg.-Backed Security, Collateralized Mtg. Obligations, Series 1999-C1, Cl. X, 6.79%, 5/18/324 |
7,615,930 | 3,321 | ||||||
Structured Adjustable Rate Mortgage Loan Trust: |
||||||||
Series 2006-4, Cl. 6A, 5.168%, 5/25/362 |
277,860 | 234,085 | ||||||
Series 2007-6, Cl. 3A1, 4.689%, 7/25/372 |
464,814 | 381,815 | ||||||
UBS-Barclays Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2012-C2, Cl. E, 5.049%, 5/10/631,2 |
65,000 | 56,628 | ||||||
WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR14, Cl. 1A4, 2.473%, 12/25/352 |
282,764 | 259,122 | ||||||
Wells Fargo Mortgage-Backed Securities Trust: |
||||||||
Series 2005-AR15, Cl. 1A6, 2.613%, 9/25/352 |
96,153 | 90,108 | ||||||
Series 2007-16, Cl. 1A1, 6.00%, 12/28/37 |
332,735 | 348,724 | ||||||
Series 2007-AR3, Cl. A4, 5.679%, 4/25/372 |
112,482 | 106,970 | ||||||
Series 2007-AR8, Cl. A1, 5.942%, 11/25/372 |
309,909 | 275,483 | ||||||
WF-RBS Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates: |
||||||||
Series 2012-C10, Cl. D, 4.609%, 12/15/451,2 |
75,000 | 65,214 | ||||||
Series 2012-C7, Cl. E, 5.004%, 6/15/451,2 |
120,000 | 106,267 | ||||||
Series 2012-C8, Cl. E, 5.041%, 8/15/451,2 |
145,000 | 130,523 | ||||||
Series 2013-C11, Cl. D, 4.324%, 3/15/451,2 |
74,000 | 61,239 | ||||||
|
|
|||||||
12,450,078 | ||||||||
Multi-Family0.9% |
||||||||
Citigroup Mortgage Loan Trust, Series 2006-AR3, Cl. 1A2A, 5.457%, 6/25/362 |
293,805 | 271,946 | ||||||
Countrywide Alternative Loan Trust: |
||||||||
Series 2005-86CB, Cl. A8, 5.50%, 2/25/36 |
81,394 | 75,702 | ||||||
Series 2005-J14, Cl. A7, 5.50%, 12/25/35 |
76,565 | 66,479 | ||||||
Series 2006-24CB, Cl. A12, 5.75%, 6/25/36 |
96,506 | 78,487 | ||||||
Countrywide Home Loans, Collateralized Mtg. Obligations, Series 2006-20, Cl. 1A17, 5.75%, 2/25/37 |
451,787 | 396,171 | ||||||
JP Morgan Mortgage Trust, Series 2007-A3, Cl. 3A2M, 4.807%, 5/25/372 |
110,705 | 104,860 | ||||||
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR2, Cl. 2A3, 2.642%, 3/25/362 |
198,264 | 196,584 | ||||||
|
|
|||||||
1,190,229 | ||||||||
Other0.0% |
||||||||
Salomon Brothers Mortgage Securities VI, Inc., Interest-Only Stripped Mtg.-Backed Security, Collateralized Mtg. Obligations, Series 1987-3, Cl. B, 23.92%, 10/23/174 |
20 | | ||||||
Salomon Brothers Mortgage Securities VI, Inc., Principal-Only Stripped Mtg.-Backed Security, Collateralized Mtg. Obligations, Series 1987-3, Cl. A, 25.01%, 10/23/176 |
29 | 29 | ||||||
|
|
|||||||
29 |
8 OPPENHEIMER CORE BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Residential4.0% |
||||||||
Banc of America Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2007-4, Cl. AM, 6.001%, 2/10/512 |
$ | 470,000 | $ | 516,104 | ||||
Banc of America Funding Trust: |
||||||||
Series 2007-1, Cl. 1A3, 6.00%, 1/25/37 |
285,692 | 252,376 | ||||||
Series 2007-C, Cl. 1A4, 5.38%, 5/20/362 |
119,727 | 116,792 | ||||||
Banc of America Mortgage Securities Trust, Collateralized Mtg. Obligations, Series 2007-1, Cl. 1A24, 6%, 3/25/37 |
209,626 | 195,763 | ||||||
Carrington Mortgage Loan Trust, Series 2006-FRE1, Cl. A2, 0.289%, 7/25/362 |
233,659 | 226,538 | ||||||
CD Commercial Mortgage Trust, Collateralized Mtg. Obligations, Series 2007-CD4, Cl. AMFX, 5.366%, 12/11/492 |
100,000 | 101,000 | ||||||
Countrywide Alternative Loan Trust, Series 2007-19, Cl. 1A34, 6%, 8/25/37 |
472,562 | 372,734 | ||||||
Countrywide Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 0.299%, 6/25/472 |
4,135 | 4,128 | ||||||
Countrywide Home Loans: |
||||||||
Series 2005-26, Cl. 1A8, 5.50%, 11/25/35 |
219,784 | 210,403 | ||||||
Series 2005-29, Cl. A1, 5.75%, 12/25/35 |
244,927 | 225,238 | ||||||
Series 2005-30, Cl. A5, 5.50%, 1/25/36 |
168,396 | 164,616 | ||||||
Series 2005-J4, Cl. A7, 5.50%, 11/25/35 |
28,034 | 28,745 | ||||||
Series 2006-17, Cl. A2, 6.00%, 12/25/36 |
356,540 | 322,478 | ||||||
Series 2007-15, Cl. 1A29, 6.25%, 9/25/37 |
272,010 | 250,225 | ||||||
Credit Suisse Commercial Mortgage Trust, Collateralized Mtg. Obligations, Series 2007-3, Cl. 2A10, 6%, 4/25/37 |
277,749 | 240,809 | ||||||
CWABS Asset-Backed Certificates Trust, Series 2005-16, Cl. 2AF2, 5.071%, 5/25/362 |
234,392 | 232,248 | ||||||
GSR Mortgage Loan Trust, Series 2006-5F, Cl. 2A1, 6%, 6/25/36 |
163,324 | 159,676 | ||||||
JP Morgan Alternative Loan Trust, Series 2006-S4, Cl. A6, 5.71%, 12/25/362 |
435,226 | 408,114 | ||||||
MASTR Asset Backed Securities Trust, Series 2006-WMC3, Cl. A3, 0.279%, 8/25/362 |
58,228 | 25,994 | ||||||
MLCC Mortgage Investors, Inc., Mtg. Pass-Through Certificates, Series 2006-3, Cl. 2A1, 2.378%, 10/25/362 |
35,371 | 33,814 | ||||||
NC Finance Trust, Series 1999-I, Cl. D, 3.405%, 1/25/293,9 |
3,370,016 | 219,051 | ||||||
RALI Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2006-QS13, Cl. 1A8, 6%, 9/25/36 |
1,480 | 1,158 | ||||||
RALI Trust, Mtg. Pass-Through Certificates: |
||||||||
Series 2003-QS1, Cl. A2, 5.75%, 1/25/33 |
91,278 | 93,303 | ||||||
Series 2006-QS13, Cl. 1A5, 6.00%, 9/25/36 |
42,241 | 33,043 | ||||||
Series 2007-QS6, Cl. A28, 5.75%, 4/25/37 |
17,910 | 14,300 | ||||||
Residential Asset Securitization Trust, Series 2005-A15, Cl. 1A4, 5.75%, 2/25/36 |
114,115 | 103,420 | ||||||
WaMu Mortgage Pass-Through Certificates Trust: |
||||||||
Series 2006-AR18, Cl. 3A1, 4.335%, 1/25/372 |
181,091 | 155,522 | ||||||
Series 2007-HY1, Cl. 4A1, 2.539%, 2/25/372 |
45,673 | 39,461 | ||||||
Series 2007-HY5, Cl. 3A1, 4.891%, 5/25/372 |
585,349 | 558,105 | ||||||
Wells Fargo Alternative Loan Trust, Series 2007-PA5, Cl. 1A1, 6.25%, 11/25/37 |
347,489 | 318,480 | ||||||
Wells Fargo Mortgage-Backed Securities Trust: |
||||||||
Series 2005-9, Cl. 2A6, 5.25%, 10/25/35 |
343,959 | 355,020 |
9 OPPENHEIMER CORE BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Residential Continued |
||||||||
Series 2006-AR14, Cl. 1A2, 5.589%, 10/25/362 |
$ | 264,731 | $ | 255,554 | ||||
|
|
|||||||
6,234,212 | ||||||||
|
|
|||||||
Total Mortgage-Backed Obligations (Cost $93,803,344) |
91,033,138 | |||||||
U.S. Government Obligations2.2% |
||||||||
Federal Home Loan Mortgage Corp. Nts.: |
||||||||
0.875%, 10/14/16-3/7/18 |
1,250,000 | 1,236,503 | ||||||
1.375%, 5/1/20 |
694,000 | 661,706 | ||||||
2.375%, 1/13/2211 |
894,000 | 872,104 | ||||||
Federal National Mortgage Assn. Nts.: |
||||||||
1.625%, 11/27/18 |
347,000 | 346,053 | ||||||
1.875%, 9/18/18 |
305,000 | 308,808 | ||||||
|
|
|||||||
Total U.S. Government Obligations (Cost $3,474,139) |
3,425,174 | |||||||
Corporate Bonds and Notes41.9% |
||||||||
Consumer Discretionary5.4% |
||||||||
Auto Components0.5% |
||||||||
Dana Holding Corp., 6.75% Sr. Unsec. Nts., 2/15/21 |
395,000 | 421,662 | ||||||
TRW Automotive, Inc., 4.50% Sr. Unsec. Nts., 3/1/211 |
245,000 | 247,450 | ||||||
|
|
|||||||
669,112 | ||||||||
Automobiles1.5% |
||||||||
Daimler Finance North America LLC: |
||||||||
1.30% Sr. Unsec. Nts., 7/31/151 |
406,000 | 408,007 | ||||||
8.50% Sr. Unsec. Unsub. Nts., 1/18/31 |
237,000 | 341,062 | ||||||
Ford Motor Credit Co. LLC, 5.875% Sr. Unsec. Unsub. Nts., 8/2/21 |
936,000 | 1,042,496 | ||||||
General Motors Co., 6.25% Sr. Unsec. Nts., 10/2/431 |
128,000 | 126,240 | ||||||
General Motors Financial Co., Inc., 4.25% Sr. Unsec. Nts., 5/15/231 |
349,000 | 319,771 | ||||||
|
|
|||||||
2,237,576 | ||||||||
Hotels, Restaurants & Leisure0.3% |
||||||||
Brinker International, Inc., 2.60% Sr. Unsec. Nts., 5/15/18 |
134,000 | 133,652 | ||||||
Starwood Hotels & Resorts Worldwide, Inc., 7.15% Sr. Unsec. Unsub. Nts., 12/1/19 |
261,000 | 318,877 | ||||||
|
|
|||||||
452,529 | ||||||||
Household Durables0.5% |
||||||||
Jarden Corp., 6.125% Sr. Unsec. Nts., 11/15/22 |
446,000 | 464,397 | ||||||
Lennar Corp., 4.125% Sr. Unsec. Nts., 12/1/18 |
398,000 | 382,080 | ||||||
|
|
|||||||
846,477 | ||||||||
Media1.4% |
||||||||
Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22 |
292,000 | 412,475 | ||||||
Comcast Corp., 4.65% Sr. Unsec. Unsub. Nts., 7/15/42 |
258,000 | 246,253 | ||||||
Historic TW, Inc., 9.15% Debs., 2/1/23 |
61,000 | 80,993 | ||||||
Interpublic Group of Cos., Inc. (The), 6.25% Sr. Unsec. Nts., 11/15/14 |
297,000 | 311,850 | ||||||
Lamar Media Corp., 5% Sr. Unsec. Sub. Nts., 5/1/23 |
453,000 | 422,422 | ||||||
News America, Inc., 6.15% Sr. Unsec. Nts., 2/15/41 |
162,000 | 179,057 | ||||||
Time Warner Entertainment Co. LP, 8.375% Sr. Unsec. Nts., 7/15/33 |
257,000 | 280,850 | ||||||
|
|
|||||||
1,933,900 |
10 OPPENHEIMER CORE BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Multiline Retail0.7% |
||||||||
Dollar General Corp., 4.125% Sr. Unsec. Nts., 7/15/17 |
$ | 469,000 | $ | 498,958 | ||||
Macys Retail Holdings, Inc., 5.75% Sr. Unsec. Nts., 7/15/14 |
650,000 | 675,176 | ||||||
|
|
|||||||
1,174,134 | ||||||||
Specialty Retail0.3% |
||||||||
Rent-A-Center, Inc., 4.75% Sr. Unsec. Nts., 5/1/211 |
420,000 | 392,700 | ||||||
Textiles, Apparel & Luxury Goods0.2% |
||||||||
PVH Corp., 4.50% Sr. Unsec. Unsub. Nts., 12/15/22 |
405,000 | 384,750 | ||||||
Consumer Staples2.4% |
||||||||
Beverages1.0% |
||||||||
Anheuser-Busch InBev Worldwide, Inc., 8.20% Sr. Unsec. Unsub. Nts., 1/15/39 |
324,000 | 478,130 | ||||||
Constellation Brands, Inc., 3.75% Sr. Unsec. Nts., 5/1/21 |
423,000 | 391,804 | ||||||
Fosters Finance Corp., 4.875% Sr. Unsec. Nts., 10/1/141 |
433,000 | 450,549 | ||||||
SABMiller Holdings, Inc., 4.95% Sr. Unsec. Unsub. Nts., 1/15/421 |
206,000 | 206,050 | ||||||
|
|
|||||||
1,526,533 | ||||||||
Food & Staples Retailing0.4% |
||||||||
Delhaize Group SA, 5.70% Sr. Unsec. Nts., 10/1/40 |
215,000 | 210,709 | ||||||
Safeway, Inc., 5.625% Sr. Unsec. Nts., 8/15/14 |
227,000 | 236,447 | ||||||
Wal-Mart Stores, Inc., 4% Sr. Unsec. Unsub. Nts., 4/11/43 |
201,000 | 179,900 | ||||||
|
|
|||||||
627,056 | ||||||||
Food Products0.4% |
||||||||
Bunge Ltd. Finance Corp.: |
||||||||
5.10% Sr. Unsec. Unsub. Nts., 7/15/15 |
332,000 | 353,580 | ||||||
5.35% Sr. Unsec. Unsub. Nts., 4/15/14 |
61,000 | 62,449 | ||||||
8.50% Sr. Unsec. Nts., 6/15/19 |
289,000 | 360,354 | ||||||
|
|
|||||||
776,383 | ||||||||
Personal Products0.3% |
||||||||
Avon Products, Inc., 5% Sr. Unsec. Nts., 3/15/23 |
420,000 | 423,554 | ||||||
Tobacco0.3% |
||||||||
Altria Group, Inc., 10.20% Sr. Unsec. Nts., 2/6/39 |
227,000 | 347,154 | ||||||
Lorillard Tobacco Co., 3.75% Sr. Unsec. Nts., 5/20/23 |
227,000 | 209,000 | ||||||
|
|
|||||||
556,154 | ||||||||
Energy6.5% |
||||||||
Energy Equipment & Services0.9% |
||||||||
Ensco plc, 4.70% Sr. Unsec. Nts., 3/15/21 |
471,000 | 500,886 | ||||||
Noble Holding International Ltd., 7.375% Sr. Unsec. Nts., 3/15/14 |
403,000 | 414,562 | ||||||
Rowan Cos., Inc., 4.875% Sr. Unsec. Unsub. Nts., 6/1/22 |
318,000 | 328,819 | ||||||
Weatherford International Ltd. Bermuda, 4.50% Sr. Unsec. Unsub. Nts., 4/15/22 |
224,000 | 222,169 | ||||||
|
|
|||||||
1,466,436 | ||||||||
Oil, Gas & Consumable Fuels5.6% |
||||||||
Anadarko Petroleum Corp.: |
||||||||
6.20% Sr. Unsec. Nts., 3/15/40 |
163,000 | 183,285 | ||||||
7.625% Sr. Unsec. Nts., 3/15/14 |
316,000 | 325,584 | ||||||
Buckeye Partners LP, 4.15% Sr. Unsec. Nts., 7/1/23 |
235,000 | 229,877 | ||||||
Canadian Oil Sands Ltd., 6% Sr. Unsec. Nts., 4/1/421 |
182,000 | 187,099 |
11 OPPENHEIMER CORE BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Oil, Gas & Consumable Fuels Continued |
||||||||
Cimarex Energy Co., 5.875% Sr. Unsec. Unsub. Nts., 5/1/22 |
$ | 388,000 | $ | 393,820 | ||||
CNOOC Finance 2013 Ltd., 4.25% Sr. Unsec. Unsub. Nts., 5/9/43 |
147,000 | 126,254 | ||||||
Continental Resources, Inc., 4.50% Sr. Unsec. Nts., 4/15/23 |
428,000 | 422,115 | ||||||
Copano Energy LLC/Copano Energy Finance Corp., 7.125% Sr. Unsec. Unsub. Nts., 4/1/21 |
460,000 | 527,070 | ||||||
DCP Midstream LLC: |
||||||||
5.375% Sr. Unsec. Nts., 10/15/151 |
290,000 | 311,538 | ||||||
5.85% Jr. Sub. Nts., 5/21/431,2 |
422,000 | 388,240 | ||||||
DCP Midstream Operating LP: |
||||||||
2.50% Sr. Unsec. Unsub. Nts., 12/1/17 |
415,000 | 411,589 | ||||||
3.875% Sr. Unsec. Nts., 3/15/23 |
214,000 | 195,181 | ||||||
Enbridge Energy Partners LP, 5.35% Sr. Unsec. Nts., 12/15/14 |
326,000 | 343,491 | ||||||
EnCana Holdings Finance Corp., 5.80% Sr. Unsec. Unsub. Nts., 5/1/14 |
219,000 | 225,386 | ||||||
Energy Transfer Partners LP: |
||||||||
4.65% Sr. Unsec. Unsub. Nts., 6/1/21 |
345,000 | 354,908 | ||||||
5.20% Sr. Unsec. Unsub. Nts., 2/1/22 |
136,000 | 143,264 | ||||||
8.50% Sr. Unsec. Nts., 4/15/14 |
324,000 | 336,524 | ||||||
Range Resources Corp., 5.75% Sr. Unsec. Sub. Nts., 6/1/21 |
398,000 | 419,890 | ||||||
Ras Laffan Liquefied Natural Gas Co. Ltd. III, 5.50% Sr. Sec. Nts., 9/30/141 |
420,000 | 438,900 | ||||||
Rockies Express Pipeline LLC, 3.90% Sr. Unsec. Unsub. Nts., 4/15/151 |
471,000 | 471,000 | ||||||
Southwestern Energy Co., 4.10% Sr. Unsec. Nts., 3/15/22 |
232,000 | 232,542 | ||||||
Spectra Energy Partners LP: |
||||||||
4.60% Sr. Unsec. Nts., 6/15/21 |
238,000 | 246,146 | ||||||
4.75% Sr. Unsec. Nts., 3/15/24 |
194,000 | 200,398 | ||||||
Talisman Energy, Inc.: |
||||||||
5.125% Sr. Unsec. Nts., 5/15/15 |
315,000 | 333,689 | ||||||
6.25% Sr. Unsec. Unsub. Nts., 2/1/38 |
121,000 | 122,997 | ||||||
Whiting Petroleum Corp., 5.75% Sr. Unsec. Nts., 3/15/211 |
395,000 | 404,875 | ||||||
Williams Cos., Inc. (The), 3.70% Sr. Unsec. Unsub. Nts., 1/15/23 |
222,000 | 200,965 | ||||||
Woodside Finance Ltd.: |
||||||||
4.60% Sr. Unsec. Unsub. Nts., 5/10/211 |
354,000 | 375,253 | ||||||
5.00% Sr. Unsec. Nts., 11/15/131 |
366,000 | 367,689 | ||||||
|
|
|||||||
8,919,569 | ||||||||
Financials13.8% |
||||||||
Capital Markets2.8% |
||||||||
Blackstone Holdings Finance Co. LLC, 6.625% Sr. Unsec. Nts., 8/15/191 |
575,000 | 677,876 | ||||||
Carlyle Holdings II Finance LLC, 5.625% Sr. Sec. Nts., 3/30/431 |
209,000 | 194,873 | ||||||
Deutsche Bank AG, 4.296% Jr. Sub. Nts., 5/24/282 |
423,000 | 382,930 | ||||||
Goldman Sachs Capital I, 6.345% Sub. Nts., 2/15/34 |
477,000 | 463,033 | ||||||
Goldman Sachs Group, Inc. (The), 2.90% Sr. Unsec. Nts., 7/19/18 |
700,000 | 706,563 | ||||||
Macquarie Bank Ltd., 6.625% Unsec. Sub. Nts., 4/7/211 |
672,000 | 734,012 | ||||||
Nomura Holdings, Inc., 2% Sr. Unsec. Nts., 9/13/16 |
821,000 | 824,254 | ||||||
Raymond James Financial, Inc., 5.625% Sr. Unsec. Unsub. Nts., 4/1/24 |
417,000 | 435,076 | ||||||
|
|
|||||||
4,418,617 | ||||||||
Commercial Banks4.7% |
||||||||
Abbey National Treasury Services plc, 3.05% Sr. Unsec. Nts., 8/23/18 |
308,000 | 313,329 | ||||||
Amsouth Bank NA, 5.20% Sub. Nts., 4/1/15 |
419,000 | 441,470 | ||||||
Barclays Bank plc, 5.14% Sub. Nts., 10/14/20 |
399,000 | 417,498 |
12 OPPENHEIMER CORE BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Commercial Banks Continued |
||||||||
BPCE SA, 1.70% Sr. Unsec. Nts., 4/25/16 |
$ | 654,000 | $ | 657,499 | ||||
CIT Group, Inc., 5% Sr. Unsec. Nts., 8/1/23 |
420,000 | 407,579 | ||||||
Commerzbank AG, 8.125% Sub. Nts., 9/19/231 |
388,000 | 396,730 | ||||||
Fifth Third Capital Trust IV, 6.50% Jr. Sub. Nts., 4/15/372 |
765,000 | 764,044 | ||||||
HSBC Finance Capital Trust IX, 5.911% Unsec. Sub. Nts., 11/30/352 |
890,000 | 912,250 | ||||||
LBG Capital No. 1 plc, 7.875% Unsec. Sub. Nts., 11/1/201 |
374,000 | 399,806 | ||||||
Lloyds TSB Bank plc, 6.50% Unsec. Sub. Nts., 9/14/201 |
309,000 | 341,694 | ||||||
PNC Financial Services Group, Inc. (The), 4.85% Jr. Sub. Perpetual Bonds2,8 |
441,000 | 380,363 | ||||||
Rabobank Capital Funding Trust III, 5.254% Jr. Sub. Perpetual Bonds1,2,8 |
667,000 | 680,340 | ||||||
Royal Bank of Scotland Group plc, 7.64% Jr. Sub. Perpetual Bonds, Series U2,8 |
400,000 | 384,000 | ||||||
Santander Holdings USA, Inc., 3.45% Sr. Unsec. Nts., 8/27/18 |
142,000 | 145,216 | ||||||
Wells Fargo & Co., 7.98% Jr. Sub. Perpetual Bonds, Series K2,8 |
528,000 | 583,440 | ||||||
|
|
|||||||
7,225,258 | ||||||||
Consumer Finance0.6% |
||||||||
Ally Financial, Inc., 4.75% Sr. Unsec. Nts., 9/10/18 |
389,000 | 387,765 | ||||||
Discover Financial Services, 3.85% Sr. Unsec. Unsub. Nts., 11/21/22 |
481,000 | 459,974 | ||||||
National Rural Utilities Cooperative Finance Corp., 4.75% Sr. Unsec. Sub. Nts., 4/30/432 |
223,000 | 206,833 | ||||||
|
|
|||||||
1,054,572 | ||||||||
Diversified Financial Services1.8% |
||||||||
Bank of America Corp., 5.20% Jr. Sub. Perpetual Bonds2,8 |
215,000 | 189,200 | ||||||
Citigroup, Inc., 6.675% Sub. Nts., 9/13/43 |
344,000 | 371,651 | ||||||
CME Group, Inc., 5.30% Sr. Unsec. Nts., 9/15/43 |
206,000 | 213,264 | ||||||
ING Bank NV, 5.80% Sub. Nts., 9/25/231 |
313,000 | 316,853 | ||||||
ING US, Inc., 5.65% Jr. Sub. Nts., 5/15/532 |
420,000 | 385,405 | ||||||
Jefferies Group LLC, 5.125% Sr. Unsec. Nts., 1/20/23 |
228,000 | 230,305 | ||||||
JPMorgan Chase & Co., 7.90% Jr. Sub. Perpetual Bonds, Series 12,8 |
752,000 | 816,705 | ||||||
Merrill Lynch & Co., Inc., 7.75% Jr. Sub. Nts., 5/14/38 |
354,000 | 439,622 | ||||||
MidAmerican Energy Co., 4.80% Sec. Nts., 9/15/43 |
152,000 | 154,972 | ||||||
|
|
|||||||
3,117,977 | ||||||||
Insurance2.7% |
||||||||
Allstate Corp. (The), 5.75% Sub. Nts., 8/15/532 |
400,000 | 390,750 | ||||||
CNA Financial Corp.: |
||||||||
5.75% Sr. Unsec. Unsub. Nts., 8/15/21 |
368,000 | 415,401 | ||||||
5.875% Sr. Unsec. Unsub. Nts., 8/15/20 |
260,000 | 300,362 | ||||||
Gulf South Pipeline Co. LP, 5.05% Sr. Unsec. Nts., 2/1/151 |
425,000 | 445,353 | ||||||
Liberty Mutual Group, Inc., 4.25% Sr. Unsec. Nts., 6/15/231 |
332,000 | 324,577 | ||||||
Lincoln National Corp., 6.05% Jr. Unsec. Sub. Nts., 4/20/672 |
688,000 | 677,680 | ||||||
Marsh & McLennan Cos., Inc., 5.375% Sr. Unsec. Nts., 7/15/14 |
101,000 | 104,674 | ||||||
Prudential Financial, Inc., 5.20% Jr. Sub. Nts., 3/15/442 |
300,000 | 273,600 | ||||||
QBE Insurance Group Ltd., 2.40% Sr. Unsec. Nts., 5/1/181 |
511,000 | 498,471 | ||||||
Swiss Re Capital I LP, 6.854% Jr. Sub. Perpetual Bonds1,2,8 |
663,000 | 696,279 | ||||||
|
|
|||||||
4,127,147 |
13 OPPENHEIMER CORE BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Real Estate Investment Trusts (REITs)1.2% |
||||||||
American Tower Corp.: |
||||||||
5.05% Sr. Unsec. Unsub. Nts., 9/1/20 |
$ | 149,000 | $ | 154,831 | ||||
7.00% Sr. Unsec. Nts., 10/15/17 |
413,000 | 475,995 | ||||||
Corrections Corp. of America, 4.125% Sr. Unsec. Nts., 4/1/20 |
165,000 | 157,163 | ||||||
Hospitality Properties Trust, 5.125% Sr. Unsec. Nts., 2/15/15 |
411,000 | 424,042 | ||||||
Host Hotels & Resorts LP, 3.75% Sr. Unsec. Nts., 10/15/23 |
297,000 | 275,603 | ||||||
National Retail Properties, Inc., 6.25% Sr. Unsec. Nts., 6/15/14 |
332,000 | 343,870 | ||||||
|
|
|||||||
1,831,504 | ||||||||
Health Care1.4% |
||||||||
Biotechnology0.5% |
||||||||
Celgene Corp., 3.25% Sr. Unsec. Nts., 8/15/22 |
504,000 | 479,015 | ||||||
Gilead Sciences, Inc., 5.65% Sr. Unsec. Unsub. Nts., 12/1/41 |
232,000 | 257,511 | ||||||
|
|
|||||||
736,526 | ||||||||
Health Care Equipment & Supplies0.3% |
||||||||
Boston Scientific Corp., 4.125% Sr. Unsec. Nts., 10/1/23 |
394,000 | 392,621 | ||||||
Health Care Providers & Services0.2% |
||||||||
McKesson Corp., 6% Sr. Unsec. Unsub. Nts., 3/1/41 |
237,000 | 276,161 | ||||||
Pharmaceuticals0.4% |
||||||||
Hospira, Inc., 5.20% Sr. Unsec. Nts., 8/12/20 |
373,000 | 380,151 | ||||||
Mallinckrodt International Finance SA, 3.50% Sr. Unsec. Unsub. Nts., 4/15/181 |
187,000 | 184,225 | ||||||
Zoetis, Inc., 1.875% Sr. Unsec. Nts., 2/1/181 |
151,000 | 149,663 | ||||||
|
|
|||||||
714,039 | ||||||||
Industrials2.8% |
||||||||
Aerospace & Defense0.5% |
||||||||
B/E Aerospace, Inc., 5.25% Sr. Unsec. Nts., 4/1/22 |
382,000 | 381,045 | ||||||
Huntington Ingalls Industries, Inc., 7.125% Sr. Unsec. Unsub. Nts., 3/15/21 |
405,000 | 438,412 | ||||||
|
|
|||||||
819,457 | ||||||||
Building Products0.2% |
||||||||
Owens Corning, 4.20% Sr. Unsec. Nts., 12/15/22 |
333,000 | 325,602 | ||||||
Commercial Services & Supplies0.3% |
||||||||
Clean Harbors, Inc., 5.25% Sr. Unsec. Unsub. Nts., 8/1/20 |
395,000 | 393,025 | ||||||
Industrial Conglomerates0.3% |
||||||||
General Electric Capital Corp., 5.25% Jr. Sub. Perpetual Bonds2,8 |
440,000 | 408,980 | ||||||
Machinery0.5% |
||||||||
Ingersoll-Rand Global Holding Co. Ltd., 4.25% Sr. Unsec. Nts., 6/15/231 |
548,000 | 545,527 | ||||||
Starwood Hotels & Resorts Worldwide, Inc., 7.375% Sr. Unsec. Nts., 11/15/15 |
148,000 | 166,225 | ||||||
|
|
|||||||
711,752 | ||||||||
Professional Services0.2% |
||||||||
Nielsen Finance LLC/Nielsen Finance Co., 4.50% Sr. Unsec. Nts., 10/1/20 |
400,000 | 387,000 |
14 OPPENHEIMER CORE BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Road & Rail0.5% |
||||||||
Kansas City Southern Railway, 4.30% Sr. Unsec. Nts., 5/15/431 |
$ | 170,000 | $ | 151,034 | ||||
Penske Truck Leasing Co. LP/PTL Finance Corp.: |
||||||||
2.50% Sr. Unsec. Nts., 7/11/141 |
442,000 | 447,022 | ||||||
4.25% Sr. Unsec. Nts., 1/17/231 |
230,000 | 224,181 | ||||||
|
|
|||||||
822,237 | ||||||||
Trading Companies & Distributors0.3% |
||||||||
International Lease Finance Corp., 5.875% Sr. Unsec. Unsub. Nts., 4/1/19 |
376,000 | 393,429 | ||||||
Information Technology1.8% |
||||||||
Computers & Peripherals0.6% |
||||||||
Hewlett-Packard Co.: |
||||||||
2.65% Sr. Unsec. Unsub. Nts., 6/1/16 |
706,000 | 724,469 | ||||||
4.75% Sr. Unsec. Nts., 6/2/14 |
154,000 | 158,075 | ||||||
|
|
|||||||
882,544 | ||||||||
Electronic Equipment, Instruments, & Components0.8% |
||||||||
Amphenol Corp., 4.75% Sr. Unsec. Nts., 11/15/14 |
124,000 | 129,397 | ||||||
Arrow Electronics, Inc., 5.125% Sr. Unsec. Unsub. Nts., 3/1/21 |
527,000 | 547,986 | ||||||
Avnet, Inc., 4.875% Sr. Unsec. Unsub. Nts., 12/1/22 |
500,000 | 505,057 | ||||||
|
|
|||||||
1,182,440 | ||||||||
IT Services0.1% |
||||||||
Fidelity National Information Services, Inc., 3.50% Sr. Unsec. Nts., 4/15/23 |
207,000 | 186,651 | ||||||
Office Electronics0.3% |
||||||||
Xerox Corp., 4.25% Sr. Unsec. Nts., 2/15/15 |
391,000 | 407,844 | ||||||
Materials3.3% |
||||||||
Chemicals0.5% |
||||||||
LYB International Finance BV, 5.25% Sr. Unsec. Nts., 7/15/43 |
123,000 | 121,386 | ||||||
Rockwood Specialties Group, Inc., 4.625% Sr. Unsec. Nts., 10/15/20 |
380,000 | 383,800 | ||||||
RPM International, Inc., 3.45% Sr. Unsec. Unsub. Nts., 11/15/22 |
227,000 | 212,783 | ||||||
Sherwin-Williams Co. (The), 4% Sr. Unsec. Unsub. Nts., 12/15/42 |
236,000 | 208,257 | ||||||
|
|
|||||||
926,226 | ||||||||
Containers & Packaging0.6% |
||||||||
Crown Americas LLC/Crown Americas Capital Corp. III, 6.25% Sr. Unsec. Nts., 2/1/21 |
421,000 | 442,050 | ||||||
Rock Tenn Co., 3.50% Sr. Unsec. Unsub. Nts., 3/1/20 |
432,000 | 427,907 | ||||||
|
|
|||||||
869,957 | ||||||||
Metals & Mining1.8% |
||||||||
Allegheny Technologies, Inc., 5.95% Sr. Unsec. Unsub. Nts., 1/15/21 |
238,000 | 250,353 | ||||||
Barrick Gold Corp., 3.85% Sr. Unsec. Nts., 4/1/22 |
190,000 | 168,330 | ||||||
Carpenter Technology Corp., 4.45% Sr. Unsec. Unsub. Nts., 3/1/23 |
145,000 | 142,406 | ||||||
Cliffs Natural Resources, Inc., 3.95% Sr. Unsec. Unsub. Nts., 1/15/18 |
392,000 | 394,136 | ||||||
Freeport-McMoRan Copper & Gold, Inc.: |
||||||||
1.40% Sr. Unsec. Nts., 2/13/15 |
403,000 | 404,215 | ||||||
3.875% Sr. Unsec. Nts., 3/15/231 |
425,000 | 392,755 |
15 OPPENHEIMER CORE BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Metals & Mining Continued |
||||||||
Glencore Canada Corp.: |
||||||||
5.375% Sr. Unsec. Unsub. Nts., 6/1/15 |
$ | 245,000 | $ | 258,248 | ||||
6.00% Sr. Unsec. Unsub. Nts., 10/15/15 |
463,000 | 499,567 | ||||||
|
|
|||||||
2,510,010 | ||||||||
Paper & Forest Products0.4% |
||||||||
Georgia-Pacific LLC, 3.734% Sr. Unsec. Nts., 7/15/231 |
306,000 | 299,034 | ||||||
International Paper Co., 6% Sr. Unsec. Unsub. Nts., 11/15/41 |
308,000 | 330,275 | ||||||
|
|
|||||||
629,309 | ||||||||
Telecommunication Services2.8% |
||||||||
Diversified Telecommunication Services2.3% |
||||||||
AT&T, Inc., 6.30% Sr. Unsec. Unsub. Nts., 1/15/38 |
318,000 | 344,745 | ||||||
British Telecommunications plc, 9.625% Sr. Unsec. Nts., 12/15/30 |
264,000 | 391,864 | ||||||
CenturyLink, Inc., 5.625% Sr. Unsec. Unsub. Nts., 4/1/20 |
374,000 | 366,988 | ||||||
Frontier Communications Corp., 8.50% Sr. Unsec. Nts., 4/15/20 |
344,000 | 381,840 | ||||||
Koninklijke KPN NV, 7% Sr. Sub. Nts., 3/28/731,2 |
382,000 | 384,894 | ||||||
MetroPCS Wireless, Inc., 6.25% Sr. Unsec. Unsub. Nts., 4/1/211 |
426,000 | 429,727 | ||||||
Telecom Italia Capital SA, 7.721% Sr. Unsec. Unsub. Nts., 6/4/38 |
386,000 | 373,426 | ||||||
Telefonica Emisiones SAU, 7.045% Sr. Unsec. Unsub. Nts., 6/20/36 |
283,000 | 301,756 | ||||||
Verizon Communications, Inc.: |
||||||||
6.40% Sr. Unsec. Nts., 2/15/38 |
195,000 | 215,370 | ||||||
6.55% Sr. Unsec. Nts., 9/15/43 |
583,000 | 660,385 | ||||||
|
|
|||||||
3,850,995 | ||||||||
Wireless Telecommunication Services0.5% |
||||||||
America Movil SAB de CV, 4.375% Sr. Unsec. Unsub. Nts., 7/16/42 |
334,000 | 275,314 | ||||||
CC Holdings GS V LLC/Crown Castle GS III Corp., 3.849% Sr. Sec. Nts., 4/15/23 |
227,000 | 205,178 | ||||||
Rogers Communications, Inc., 5.45% Sr. Unsec. Nts., 10/1/437 |
114,000 | 113,384 | ||||||
Vodafone Group plc, 4.375% Sr. Unsec. Unsub. Nts., 2/19/43 |
121,000 | 105,588 | ||||||
|
|
|||||||
699,464 | ||||||||
Utilities1.7% |
||||||||
Electric Utilities1.3% |
||||||||
Edison International, 3.75% Sr. Unsec. Unsub. Nts., 9/15/17 |
438,000 | 464,233 | ||||||
Electricite de France SA, 5.25% Jr. Sub. Perpetual Bonds1,2,8 |
360,000 | 341,139 | ||||||
Exelon Generation Co. LLC, 4.25% Sr. Unsec. Unsub. Nts., 6/15/22 |
230,000 | 226,914 | ||||||
ITC Holdings Corp., 5.30% Sr. Unsec. Nts., 7/1/43 |
179,000 | 177,189 | ||||||
Jersey Central Power & Light Co., 4.70% Sr. Unsec. Nts., 4/1/241 |
198,000 | 200,982 | ||||||
PPL Capital Funding, Inc., 3.50% Sr. Unsec. Unsub. Nts., 12/1/22 |
329,000 | 311,941 | ||||||
PPL WEM Holdings plc, 5.375% Sr. Unsec. Unsub. Nts., 5/1/211 |
429,000 | 467,606 | ||||||
|
|
|||||||
2,190,004 | ||||||||
Energy Traders0.3% |
||||||||
TransAlta Corp., 5.75% Sr. Unsec. Nts., 12/15/13 |
455,000 | 459,233 | ||||||
Multi-Utilities0.1% |
||||||||
CMS Energy Corp., 5.05% Sr. Unsec. Unsub. Nts., 3/15/22 |
155,000 | 166,376 | ||||||
|
|
|||||||
Total Corporate Bonds and Notes (Cost $64,939,007) |
65,503,820 |
16 OPPENHEIMER CORE BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Principal Amount | Value | |||||||
Shares | ||||||||
Investment Company14.9% |
||||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.09%12,13 |
$ | 23,251,561 | $ | 23,251,561 | ||||
Total Investments, at Value |
132.2 | % | 206,575,364 | |||||
Liabilities in Excess of Other Assets |
(32.2 | )% | (50,294,814 | ) | ||||
|
|
|
|
|||||
Net Assets |
100.0 | % | $ | 156,280,550 | ||||
|
|
|
|
Footnotes to Statement of Investments
1. | Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $26,190,757 or 16.76% of the Funds net assets as of September 30, 2013. |
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 30, 2013 was $702,973, which represents 0.45% of the Funds net assets. See accompanying Notes. Information concerning restricted securities is as follows: |
Security |
Acquisition Date |
Cost | Value | Unrealized Appreciation/ (Depreciation) |
||||||||||||
Capital Lease Funding Securitization LP, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 1997-CTL1, Cl. IO, 0%, 6/22/24 |
4/21/97 | $ | 389,638 | $ | 88,408 | $ | (301,230 | ) | ||||||||
Lehman Structured Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 2002-GE1, Cl. A, 2.514%, 7/26/24 |
1/28/02 | 86,735 | 77,549 | (9,186 | ) | |||||||||||
Morgan Stanley Reremic Trust, Collateralized Mtg. Obligations, Series 2012-R3, Cl. 1B, 2.346%, 11/26/36 |
10/24/12 | 238,558 | 257,028 | 18,470 | ||||||||||||
NC Finance Trust, Series 1999-I, Cl. D, 3.405%, 1/25/29 |
8/10/10 | 3,281,116 | 219,051 | (3,062,065 | ) | |||||||||||
Santander Drive Auto Receivables Trust, Series 2011-S2A, Cl. D, 3.35%, 6/15/17 |
5/19/11-4/9/13 | $ | 60,595 | $ | 60,937 | $ | 342 | |||||||||
|
|
|
|
|
|
|||||||||||
$ | 4,056,642 | $ | 702,973 | $ | (3,353,669 | ) | ||||||||||
|
|
|
|
|
|
4. | Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $3,654,719 or 2.34% of the Funds net assets as of September 30, 2013. |
5. | Interest rate is less than 0.0005% |
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 $214,092 or 0.14% of the Funds net assets as of September 30, 2013. |
17 OPPENHEIMER CORE BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Statement of Investments Continued
7. | All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after September 30, 2013. See accompanying Notes. |
8. | 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. |
9. | 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. |
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. | 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 $270,216. See accompanying Notes. |
12. | Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 30, 2013, 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 31, 2012 |
Gross Additions |
Gross Reductions |
Shares September 30, 2013 |
|||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E |
28,238,653 | 44,120,948 | 49,108,040 | 23,251,561 |
Value | Income | |||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E |
$ | 23,251,561 | $ | 21,332 |
13. | Rate shown is the 7-day yield as of September 30, 2013. |
Futures Contracts as of September 30, 2013:
Description |
Exchange | Buy/Sell | Expiration Date | Number of Contracts |
Unrealized Appreciation (Depreciation) |
|||||||||||||||
U.S. Treasury Long Bonds |
CBT | Sell | 12/19/13 | 40 | $ | (26,757 | ) | |||||||||||||
U.S. Treasury Nts., 2 yr. |
CBT | Sell | 12/31/13 | 69 | (20,518 | ) | ||||||||||||||
U.S. Treasury Nts., 5 yr. |
CBT | Sell | 12/31/13 | 89 | (122,102 | ) | ||||||||||||||
U.S. Treasury Nts., 10 yr. |
CBT | Sell | 12/19/13 | 13 | (1,547 | ) | ||||||||||||||
U.S. Treasury Ultra Bonds |
CBT | Buy | 12/19/13 | 54 | 232,058 | |||||||||||||||
|
|
|||||||||||||||||||
$ | 61,134 | |||||||||||||||||||
|
|
Glossary:
Exchange Abbreviations
CBT Chicago Board of Trade
18 OPPENHEIMER CORE BOND FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited
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 30, 2013, 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 |
$ | 73,089,910 | ||
Sold securities |
21,335,560 |
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.
Credit Risk. The Fund invests in high-yield, non-investment-grade bonds, which may be subject to a greater degree of credit risk. Credit risk relates to the ability of the issuer to meet interest or principal payments or both as they become due. The Fund may acquire securities that have missed an interest payment, and is not obligated to dispose of securities whose issuers or underlying obligors subsequently miss an interest payment. Information concerning securities not accruing interest as of September 30, 2013 is as follows:
19 OPPENHEIMER CORE BOND FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
Cost |
$ | 3,281,1166 | ||
Market Value |
$ | 219,051 | ||
Market Value as a % of Net Assets |
0.14 | % |
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 the investment adviser of IMMF, and the Sub-Adviser provides investment and related advisory services to 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
20 OPPENHEIMER CORE BOND FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
Securities Valuation (Continued)
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
21 OPPENHEIMER CORE BOND FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
Securities Valuation (Continued)
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 30, 2013 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 |
$ | | $ | 23,361,671 | $ | | $ | 23,361,671 | ||||||||
Mortgage-Backed Obligations |
| 90,736,538 | 296,600 | 91,033,138 | ||||||||||||
U.S. Government Obligations |
| 3,425,174 | | 3,425,174 | ||||||||||||
Corporate Bonds and Notes |
| 65,503,820 | | 65,503,820 | ||||||||||||
Investment Company |
23,251,561 | | | 23,251,561 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Investments, at Value |
23,251,561 | 183,027,203 | 296,600 | 206,575,364 | ||||||||||||
Other Financial Instruments: |
||||||||||||||||
Variation Margin Receivable |
3,058 | | | 3,058 | ||||||||||||
|
|
|
|
|
|
|
|
|||||||||
Total Assets |
$ | 23,254,619 | $ | 183,027,203 | $ | 296,600 | $ | 206,578,422 | ||||||||
|
|
|
|
|
|
|
|
|||||||||
Liabilities Table |
||||||||||||||||
Other Financial Instruments: |
||||||||||||||||
Variation Margin Payble |
$ | (20,730 | ) | $ | | $ | | $ | (20,730 | ) | ||||||
|
|
|
|
|
|
|
|
|||||||||
Total Liabilities |
$ | (20,730 | ) | $ | | $ | | $ | (20,730 | ) | ||||||
|
|
|
|
|
|
|
|
22 OPPENHEIMER CORE BOND FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
Securities Valuation (Continued)
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.
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 currency exchange contracts, credit default swaps, interest rate swaps, total return swaps, variance 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. These instruments 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. Such contracts may be entered into through a bilateral over-the-counter (OTC) transaction, or through a securities or futures exchange and cleared through a clearinghouse.
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.
23 OPPENHEIMER CORE BOND FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
Risk Exposures and the Use of Derivative Instruments (Continued)
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 due to unanticipated changes in the market risk factors and the overall market. 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. 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. Some derivatives have the potential for unlimited loss, regardless of the size of the Funds initial investment.
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.
The Funds actual exposures to these market risk factors and associated risks during the period are discussed in further detail, by derivative type, below.
Futures Contracts
A futures contract is a commitment to buy or sell a specific amount of a commodity, 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 and options thereon are generally entered into on a regulated futures exchange and cleared through a clearinghouse associated with the exchange.
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 in an account registered in the futures commission merchants name. Subsequent payments (variation margin) are paid to or from the futures commission merchant each day equal to the daily changes in the contract value. Such payments are recorded as unrealized gains and losses. Should the Fund fail to make requested variation margin payments, the futures commission merchant can gain access to the initial margin to satisfy the Funds payment obligations.
Futures contracts are reported on a schedule following the Statement of Investments. Securities held by a futures commission merchant to cover initial margin requirements on open futures contracts are noted in the Statement of Investments. Cash held by a futures commission merchant 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.
24 OPPENHEIMER CORE BOND FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
Risk Exposures and the Use of Derivative Instruments (Continued)
During the period ended September 30, 2013, the Fund had an ending monthly average market value of $9,394,491 and $31,978,641 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.
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, the price or volatility of asset or non-asset references, or the occurrence of a credit event, over a specified period. Swaps can be executed in a bi-lateral privately negotiated arrangement with a dealer in an OTC transaction (OTC swaps) or executed on a regulated market. Certain swaps, regardless of the venue of their execution, are required to be cleared through a clearinghouse (cleared swaps). Swap contracts may include interest rate, equity, debt, index, total return, credit default, currency, and volatility swaps.
Swap contracts are reported on a schedule following the Statement of Investments. Daily changes in the value of cleared swaps are reported as variation margin receivable or payable on the Statement of Assets and Liabilities in the annual and semiannual reports. The values of OTC 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. 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, if any, 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 rate or asset. Swap contracts are typically more attractively priced compared to similar investments in related cash securities because they isolate the risk to one market risk factor and eliminate the other market risk factors. Investments in cash securities (for instance bonds) have exposure to multiple risk factors (credit and interest rate risk). Because swaps have embedded leverage, they can expose the Fund to substantial risk in the isolated market risk factor.
Credit Default Swap Contracts. A credit default swap is a contract that enables an investor to buy or sell protection against a defined-issuer credit event, such as the issuers failure to make timely payments of interest or principal on a debt security, bankruptcy or restructuring. The Fund may enter into credit default swaps either by buying or selling protection on a corporate issuer, sovereign issuer, or a basket or index of issuers (the reference asset).
The buyer of protection pays a periodic fee to the seller of protection based on the notional amount of 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
25 OPPENHEIMER CORE BOND FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
Risk Exposures and the Use of Derivative Instruments (Continued)
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 swap less the market value of specified debt securities issued by the reference asset. Upon exercise of the contract the difference between such value and the notional amount is recorded as realized gain (loss) and is included on the Statement of Operations in the annual and semiannual reports.
The Fund has purchased credit protection through credit default swaps to decrease exposure to the credit risk of individual issuers and/or indexes of issuers.
For the period ended September 30, 2013, the Fund had ending monthly average notional amounts of $740,000 credit default swaps to buy protection.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
Counterparty Credit Risk. Derivative positions are subject to the risk that the counterparty will not fulfill its obligation to the Fund. The Fund intends to enter into derivative transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities in the annual and semiannual reports. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
The Funds risk of loss from counterparty credit risk on exchange-traded derivatives cleared through a clearinghouse and for cleared swaps is generally considered lower than as compared to OTC derivatives. However, counterparty credit risk exists with respect to initial and variation margin deposited/paid by the Fund that is held in futures commission merchant, broker and/or clearinghouse accounts for such exchange-traded derivatives and for cleared swaps.
With respect to cleared swaps, such transactions will be submitted for clearing, and if cleared, will be held in accounts at futures commission merchants or brokers that are members of clearinghouses. While brokers, futures commission merchants and clearinghouses are required to segregate customer margin from their own assets, in the event that a broker, futures commission merchant or clearinghouse becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker, futures commission merchant or clearinghouse for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the brokers, futures commission merchants or clearinghouses customers, potentially resulting in losses to the Fund.
There is the risk that a broker, futures commission merchant or clearinghouse will decline to clear a transaction on the Funds behalf, and the Fund may be required to pay a termination fee to the executing broker with whom the Fund initially enters into the transaction. Clearinghouses may also be permitted to terminate cleared swaps at any time. The Fund is also subject to the risk that the broker or futures commission merchant will improperly use the Funds assets deposited/paid as initial or variation margin to satisfy payment obligations of another customer. In the event of a default by another customer of the broker or futures commission merchant, the Fund might not receive its variation margin payments from the clearinghouse, due to the manner in which variation margin payments are aggregated for all customers of the broker/futures commission merchant.
26 OPPENHEIMER CORE BOND FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
Risk Exposures and the Use of Derivative Instruments (Continued)
Collateral and margin requirements differ by type of derivative. Margin requirements are established by the broker, futures commission merchant or clearinghouse for exchange-traded and cleared derivatives, including cleared swaps. Brokers, futures commission merchants and clearinghouses can ask for margin in excess of the regulatory minimum, or increase the margin amount, in certain circumstances.
For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund, if any, is reported separately on the Statement of Assets and Liabilities in the annual and semiannual reports as cash pledged as collateral. Non-cash collateral pledged by the Fund, if any, is noted in the Statement of Investments. Generally, the amount of collateral due from or to a party must exceed a minimum transfer amount threshold (e.g. $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance.
Restricted Securities
As of September 30, 2013, investments in securities included issues that are restricted. A restricted security may have a contractual restriction on its resale and is valued under methods approved by the Board of Trustees as reflecting fair value. Securities that are restricted are marked with an applicable footnote on the Statement of Investments. Restricted securities are reported on a schedule following the Statement of Investments.
Federal Taxes
The approximate aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of September 30, 2013 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 |
$ | 208,860,341 | ||
Federal tax cost of other investments |
(25,337,706 | ) | ||
|
|
|||
Total federal tax cost |
$ | 183,522,635 | ||
|
|
|||
Gross unrealized appreciation |
$ | 5,508,849 | ||
Gross unrealized depreciation |
(7,732,636 | ) | ||
|
|
|||
Net unrealized depreciation |
$ | (2,223,787 | ) | |
|
|
27 OPPENHEIMER CORE BOND FUND/VA
STATEMENT OF INVESTMENTS September 30, 2013 / Unaudited |
1 OPPENHEIMER GLOBAL FUND/VA
STATEMENT OF INVESTMENTS Unaudited / (Continued) |
2 OPPENHEIMER GLOBAL FUND/VA
STATEMENT OF INVESTMENTS Unaudited / (Continued) |
Footnotes to Statement of Investments
Strike price is reported in U.S. Dollars, except for those denoted in the following currency:
EUR | Euro |
1. Non-income producing security.
2. Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 30, 2013, 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 31, 2012 |
Gross Additions |
Gross Reductions |
Shares September 30, 2013 |
|||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E |
30,612,139 | 224,860,903 | 236,311,192 | 19,161,850 | ||||||||||||
Value | Income | |||||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E |
$ | 19,161,850 | $ | 10,572 |
3. Rate shown is the 7-day yield as of September 30, 2013.
Distribution of investments representing geographic holdings, as a percentage of total investments at value, is as follows:
Geographic Holdings | Value | Percent | ||||||
United States |
$ | 1,118,351,095 | 40.0% | |||||
Germany |
314,814,164 | 11.3 | ||||||
Japan |
249,542,862 | 8.9 | ||||||
France |
181,798,898 | 6.5 | ||||||
Switzerland |
151,285,155 | 5.4 | ||||||
Sweden |
136,209,134 | 4.9 | ||||||
Spain |
110,700,818 | 3.9 | ||||||
Brazil |
92,946,638 | 3.3 | ||||||
United Kingdom |
85,211,185 | 3.0 | ||||||
Netherlands |
78,587,440 | 2.8 | ||||||
India |
73,520,214 | 2.6 | ||||||
Italy |
61,392,339 | 2.2 | ||||||
Mexico |
54,504,399 | 2.0 | ||||||
Taiwan |
25,062,812 | 0.9 | ||||||
Ireland |
20,747,293 | 0.7 | ||||||
Finland |
15,821,734 | 0.6 | ||||||
Russia |
13,849,156 | 0.5 | ||||||
Denmark |
12,999,402 | 0.5 | ||||||
Belgium |
401,421 | 0.0 | ||||||
|
|
|||||||
Total |
$ | 2,797,746,159 | 100.0% | |||||
|
|
3 OPPENHEIMER GLOBAL FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited |
The Fund has changed its name to Oppenheimer Global Fund/VA from Oppenheimer Global Securities Fund/VA.
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 the investment adviser of IMMF, and the Sub-Adviser provides investment and related advisory services to 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 New York Stock Exchange (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
4 OPPENHEIMER GLOBAL FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued) |
Securities Valuation (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 occurred that would materially affect the value of the security the security is fair valued
5 OPPENHEIMER GLOBAL FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued) |
Securities Valuation (Continued)
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 GLOBAL FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued) |
Securities Valuation (Continued)
The table below categorizes amounts as of September 30, 2013 based on valuation input level:
Level 1 Unadjusted Quoted Prices |
Level 2 Other Significant |
Level 3 Significant Unobservable Inputs |
Value | |||||||||||||
Assets Table |
||||||||||||||||
Investments, at Value: |
||||||||||||||||
Common Stocks |
||||||||||||||||
Consumer Discretionary |
$ | 150,192,423 | $ | 280,978,285 | $ | | $ | 431,170,708 | ||||||||
Consumer Staples |
101,689,841 | 72,795,292 | | 174,485,133 | ||||||||||||
Energy |
20,236,019 | 74,602,214 | | 94,838,233 | ||||||||||||
Financials |
196,742,664 | 371,103,894 | | 567,846,558 | ||||||||||||
Health Care |
266,409,567 | 95,531,707 | | 361,941,274 | ||||||||||||
Industrials |
124,316,695 | 238,813,156 | | 363,129,851 | ||||||||||||
Information Technology |
407,912,853 | 287,287,476 | | 695,200,329 | ||||||||||||
Materials |
| 27,584,296 | | 27,584,296 | ||||||||||||
Telecommunication Services |
| 46,166,746 | | 46,166,746 | ||||||||||||
Utilities |
| 15,821,734 | | 15,821,734 | ||||||||||||
Rights, Warrants and Certificates |
399,447 | | | 399,447 | ||||||||||||
Investment Company |
19,161,850 | | | 19,161,850 | ||||||||||||
|
|
|||||||||||||||
Total Assets |
$ | 1,287,061,359 | $ | 1,510,684,800 | $ | | $ | 2,797,746,159 | ||||||||
|
|
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 out of Level 1* | Transfers into Level 2* | |||||||||
|
||||||||||
Assets Table |
||||||||||
Investments, at Value: |
||||||||||
Commons Stocks |
||||||||||
Consumer Discretionary |
$ | (56,375,412 | ) | $ | 56,375,412 | |||||
Consumer Staples |
(29,739,726 | ) | 29,739,726 | |||||||
Financials |
(79,568,248 | ) | 79,568,248 | |||||||
Health Care |
(43,061,629 | ) | 43,061,629 | |||||||
Industrials |
(57,122,804 | ) | 57,122,804 | |||||||
Information Technology |
(121,877,094 | ) | 121,877,094 | |||||||
Materials |
(25,410,199 | ) | 25,410,199 | |||||||
|
|
|||||||||
Total Assets |
$ | (413,155,112 | ) | $ | 413,155,112 | |||||
|
|
*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.
Federal Taxes
The approximate aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of September 30, 2013 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 |
$ | 1,652,076,466 | ||
|
|
|||
Gross unrealized appreciation |
$ | 1,193,856,107 | ||
Gross unrealized depreciation |
(48,186,414) | |||
|
|
|||
Net unrealized appreciation |
$ | 1,145,669,693 | ||
|
|
7 OPPENHEIMER GLOBAL FUND/VA
STATEMENT OF INVESTMENTS September 30, 2013 / Unaudited |
1 OPPENHEIMER MAIN STREET FUND/VA
STATEMENT OF INVESTMENTS Unaudited / (Continued) |
Footnotes to Statement of Investments
1. Non-income producing security.
2. Rate shown is the 7-day yield as of September 30, 2013.
3. Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 30, 2013, 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 31, 2012 |
Gross Additions |
Gross Reductions |
Shares September 30, 2013 |
|||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E |
24,937,150 | 265,565,244 | 276,647,178 | 13,855,216 | ||||||||||||
Value | Income | |||||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E |
$ | 13,855,216 | $ | 12,851 |
2 OPPENHEIMER MAIN STREET FUND/VA
NOTES TO STATEMENT OF INVESTMENTS 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 the investment adviser of IMMF, and the Sub-Adviser provides investment and related advisory services to 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 New York Stock Exchange (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
3 OPPENHEIMER MAIN STREET FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued) |
Securities Valuation (Continued)
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 and the Funds Board or (ii) as determined in good faith by the Managers Valuation Committee. The Valuation
4 OPPENHEIMER MAIN STREET FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued) |
Securities Valuation (Continued)
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.
5 OPPENHEIMER MAIN STREET FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued) |
Securities Valuation (Continued)
The table below categorizes amounts as of September 30, 2013 based on valuation input level:
Level 1 Unadjusted Quoted Prices |
Level 2 Other Significant Observable Inputs |
Level 3 Significant Inputs |
Value | |||||||||||||
|
||||||||||||||||
Assets Table |
||||||||||||||||
Investments, at Value: |
||||||||||||||||
Common Stocks |
||||||||||||||||
Consumer Discretionary |
$ | 130,498,423 | $ | | $ | | $ | 130,498,423 | ||||||||
Consumer Staples |
97,741,208 | 24,183,471 | | 121,924,679 | ||||||||||||
Energy |
125,546,605 | | | 125,546,605 | ||||||||||||
Financials |
269,312,909 | | | 269,312,909 | ||||||||||||
Health Care |
233,176,395 | 14,207,339 | | 247,383,734 | ||||||||||||
Industrials |
148,411,423 | | | 148,411,423 | ||||||||||||
Information Technology |
289,769,358 | | | 289,769,358 | ||||||||||||
Materials |
43,043,987 | | | 43,043,987 | ||||||||||||
Telecommunication Services |
9,148,099 | | | 9,148,099 | ||||||||||||
Utilities |
9,786,832 | | | 9,786,832 | ||||||||||||
Investment Company |
13,855,216 | | | 13,855,216 | ||||||||||||
|
|
|||||||||||||||
Total Assets |
$ | 1,370,290,455 | $ | 38,390,810 | $ | | $ | 1,408,681,265 | ||||||||
|
|
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 out of Level 1* | Transfers into Level 2* | |||||||
|
||||||||
Assets Table |
||||||||
Investments, at Value: |
||||||||
Commons Stocks |
||||||||
Consumer Staples |
$ | (5,364,390) | $ | 5,364,390 | ||||
|
|
|||||||
Total Assets |
$ | (5,364,390) | $ | 5,364,390 | ||||
|
|
*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.
Federal Taxes
The approximate aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of September 30, 2013 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 |
$ | 976,053,252 | ||
|
|
|||
Gross unrealized appreciation |
$ | 434,593,096 | ||
Gross unrealized depreciation |
(1,965,083) | |||
|
|
|||
Net unrealized appreciation |
$ | 432,628,013 | ||
|
|
6 OPPENHEIMER MAIN STREET FUND/VA
STATEMENT OF INVESTMENTS September 30, 2013 / Unaudited |
1 OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
STATEMENT OF INVESTMENTS Unaudited / (Continued) |
2 OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
STATEMENT OF INVESTMENTS Unaudited / (Continued) |
Footnotes to Statement of Investments |
1. Non-income producing security. |
2. Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 30, 2013, 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 31, 2012 |
Gross Additions |
Gross Reductions |
Shares September 30, 2013 |
|||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E |
13,103,742 | 291,750,952 | 294,632,073 | 10,222,621 | ||||||||||||
Value | Income | |||||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E |
$ | 10,222,621 | $ | 22,627 |
3. Rate shown is the 7-day yield as of September 30, 2013. |
3 OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited |
The Fund has changed its name to Oppenheimer Main Street Small Cap Fund/VA from Oppenheimer Main Street Small- & Mid-Cap Fund/VA.
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 the investment adviser of IMMF, and the Sub-Adviser provides investment and related advisory services to 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
4 OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued) |
Securities Valuation (Continued)
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 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
5 OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued) |
Securities Valuation (Continued)
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 30, 2013 based on valuation input level:
6 OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued) |
Securities Valuation (Continued)
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 |
$ | 131,460,262 | $ | | $ | | $ | 131,460,262 | ||||||||
Consumer Staples |
32,404,843 | | | 32,404,843 | ||||||||||||
Energy |
75,786,712 | | | 75,786,712 | ||||||||||||
Financials |
256,239,492 | | | 256,239,492 | ||||||||||||
Health Care |
126,262,848 | | | 126,262,848 | ||||||||||||
Industrials |
197,827,505 | | | 197,827,505 | ||||||||||||
Information Technology |
159,779,310 | | | 159,779,310 | ||||||||||||
Materials |
89,088,956 | | | 89,088,956 | ||||||||||||
Utilities |
5,960,004 | | | 5,960,004 | ||||||||||||
Investment Company |
10,222,621 | | | 10,222,621 | ||||||||||||
|
|
|||||||||||||||
Total Assets |
$ | 1,085,032,553 | $ | | $ | | $ | 1,085,032,553 | ||||||||
|
|
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.
Federal Taxes
The approximate aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of September 30, 2013 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 |
$ | 796,944,164 | ||
|
|
|||
Gross unrealized appreciation |
$ | 301,248,598 | ||
Gross unrealized depreciation |
(13,160,209) | |||
|
|
|||
Net unrealized appreciation |
$ | 288,088,389 | ||
|
|
7 OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
STATEMENT OF INVESTMENTS September 30, 2013 / Unaudited
|
Maturity Date* | Final Legal Maturity Date** |
Principal Amount |
Value | |||||||
Certificates of Deposit31.3% |
||||||||||
Yankee Certificates of Deposit31.3% |
||||||||||
Bank of Montreal, Chicago, 0.05% |
10/1/13 | 10/1/13 | $6,600,000 | $ | 6,600,000 | |||||
Bank of Nova Scotia, Houston TX: |
||||||||||
0.22% |
11/13/13 | 11/13/13 | 1,200,000 | 1,200,000 | ||||||
0.23% |
10/7/13 | 10/7/13 | 1,000,000 | 1,000,000 | ||||||
Bank of Tokyo-Mitsubishi UFJ NY: |
||||||||||
0.11%1 |
10/7/13 | 10/7/13 | 4,500,000 | 4,500,000 | ||||||
0.11%1 |
10/7/13 | 10/7/13 | 1,200,000 | 1,199,978 | ||||||
BNP Paribas, New York: |
||||||||||
0.22% |
1/13/14 | 1/13/14 | 3,000,000 | 3,000,000 | ||||||
0.74% |
1/15/14 | 1/15/14 | 2,250,000 | 2,250,000 | ||||||
DnB Bank ASA NY: |
||||||||||
0.185% |
1/13/14 | 1/13/14 | 3,000,000 | 3,000,000 | ||||||
0.21% |
1/3/14 | 1/3/14 | 1,000,000 | 1,000,000 | ||||||
Nordea Bank Finland plc, New York: |
||||||||||
0.03% |
10/3/13 | 10/3/13 | 2,000,000 | 2,000,000 | ||||||
0.22% |
11/18/13 | 11/18/13 | 1,000,000 | 1,000,000 | ||||||
0.23% |
11/15/13 | 11/15/13 | 6,000,000 | 6,000,000 | ||||||
Rabobank Nederland NV, New York: |
||||||||||
0.292%2 |
11/25/13 | 8/26/14 | 5,000,000 | 5,000,000 | ||||||
0.341%2 |
1/7/14 | 10/7/14 | 1,500,000 | 1,500,000 | ||||||
Royal Bank of Canada, New York: |
||||||||||
0.29%2 |
10/24/13 | 6/24/14 | 3,000,000 | 3,000,000 | ||||||
0.31%2 |
10/1/13 | 2/3/14 | 2,000,000 | 2,000,000 | ||||||
Sumitomo Mutsui Bank NY: |
||||||||||
0.07% |
10/3/13 | 10/3/13 | 4,400,000 | 4,400,000 | ||||||
0.10% |
10/1/13 | 10/1/13 | 5,000,000 | 5,000,000 | ||||||
Toronto Dominion Bank, New York, 0.26% |
1/6/14 | 1/6/14 | 2,000,000 | 2,000,000 | ||||||
Wells Fargo Bank NA: |
||||||||||
0.248% |
10/1/13 | 5/1/14 | 2,500,000 | 2,500,000 | ||||||
0.252%2 |
10/7/13 | 9/5/14 | 2,500,000 | 2,500,000 | ||||||
Total Certificates of Deposit (Cost $60,649,978) |
60,649,978 | |||||||||
Direct Bank Obligations11.3% |
||||||||||
BNP Paribas, Canada, 0.07% |
10/1/13 | 10/1/13 | 1,700,000 | 1,700,000 | ||||||
DnB Bank ASA: |
||||||||||
0.185%3 |
11/29/13 | 11/29/13 | 2,300,000 | 2,299,302 | ||||||
0.205%3 |
12/16/13 | 12/16/13 | 3,000,000 | 2,998,702 | ||||||
Svenska Handelsbanken, Inc.: |
||||||||||
0.24%3 |
2/24/14 | 2/24/14 | 2,500,000 | 2,497,567 | ||||||
0.24%3 |
2/20/14 | 2/20/14 | 5,000,000 | 4,995,267 | ||||||
Westpac Banking Corp.: |
||||||||||
0.32%1,2,3 |
10/9/13 | 1/9/14 | 5,400,000 | 5,400,000 | ||||||
0.34%2,3 |
10/1/13 | 10/31/13 | 2,000,000 | 2,000,099 | ||||||
Total Direct Bank Obligations (Cost $21,890,937) |
21,890,937 | |||||||||
Short-Term Notes/Commercial Paper53.2% |
||||||||||
Banks2.3% |
||||||||||
Bank of Nova Scotia, New York, 0.17% |
1/21/14 | 1/21/14 | 3,000,000 | 2,998,414 |
1 OPPENHEIMER MONEY FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
|
Maturity Date* | Final Legal Maturity Date** |
Principal Amount |
Value | |||||||
Banks Continued |
||||||||||
HSBC USA, Inc., 0.21% |
11/6/13 | 11/6/13 | $1,500,000 | $ | 1,499,685 | |||||
4,498,099 | ||||||||||
Diversified Financial Services4.6% |
||||||||||
General Electric Capital Corp.: |
||||||||||
0.23% |
11/25/13 | 11/25/13 | 5,000,000 | 4,998,243 | ||||||
0.23% |
10/28/13 | 10/28/13 | 2,000,000 | 1,999,655 | ||||||
0.24% |
1/17/14 | 1/17/14 | 2,000,000 | 1,998,560 | ||||||
8,996,458 | ||||||||||
Insurance2.1% |
||||||||||
Prudential Funding LLC, 0.07% |
10/3/13 | 10/3/13 | 4,000,000 | 3,999,984 | ||||||
Leasing & Factoring5.9% |
||||||||||
American Honda Finance Corp.: |
||||||||||
0.28%1,2 |
12/5/13 | 12/5/13 | 1,000,000 | 1,000,000 | ||||||
0.288%1,2 |
10/17/13 | 7/17/14 | 2,000,000 | 2,000,000 | ||||||
0.296%1,2 |
11/8/13 | 11/8/13 | 1,500,000 | 1,500,000 | ||||||
Toyota Motor Credit Corp.: |
||||||||||
0.219% |
10/31/13 | 2/25/14 | 2,500,000 | 2,500,000 | ||||||
0.25% |
2/28/14 | 2/28/14 | 1,900,000 | 1,898,021 | ||||||
0.301% |
10/25/13 | 10/25/13 | 2,500,000 | 2,499,500 | ||||||
11,397,521 | ||||||||||
Municipal1.1% |
||||||||||
San Antonio, TX Industrial Development Authority Revenue Bonds, Tindall Corp. Project, 0.24%2 |
10/7/13 | 10/7/13 | 2,100,000 | 2,100,000 | ||||||
Personal Products0.7% |
||||||||||
Reckitt Benckiser Treasury Services plc, 0.291%3 |
6/25/14 | 6/25/14 | 1,300,000 | 1,297,204 | ||||||
Receivables Finance17.0% |
||||||||||
Alpine Securitization Corp.: |
||||||||||
0.14% |
10/2/13 | 10/2/13 | 2,000,000 | 1,999,992 | ||||||
0.14% |
10/11/13 | 10/11/13 | 2,700,000 | 2,699,895 | ||||||
0.14% |
10/9/13 | 10/9/13 | 1,000,000 | 999,969 | ||||||
Barton Capital Corp.: |
||||||||||
0.10%3 |
10/7/13 | 10/7/13 | 2,000,000 | 1,999,967 | ||||||
0.199%3 |
10/30/13 | 3/27/14 | 2,000,000 | 2,000,000 | ||||||
0.20%3 |
11/7/13 | 11/7/13 | 1,000,000 | 999,979 | ||||||
Gemini Securitization Corp., 0.10%3 |
10/1/13 | 10/1/13 | 3,600,000 | 3,600,000 | ||||||
Gotham Funding Corp.: |
||||||||||
0.11%3 |
10/1/13 | 10/1/13 | 1,500,000 | 1,500,000 | ||||||
0.15%3 |
10/25/13 | 10/25/13 | 2,282,000 | 2,281,772 | ||||||
Jupiter Securitization Co. LLC: |
||||||||||
0.24%3 |
12/30/13 | 12/30/13 | 5,000,000 | 4,997,000 | ||||||
0.26%3 |
10/1/13 | 10/1/13 | 1,000,000 | 1,000,000 | ||||||
Market Street Funding LLC, 0.18%3 |
10/22/13 | 10/22/13 | 3,350,000 | 3,349,648 | ||||||
Mont Blanc Capital Corp., 0.15%3 |
10/9/13 | 10/9/13 | 2,630,000 | 2,629,912 | ||||||
Old Line Funding Corp.: |
||||||||||
0.25%3 |
12/18/13 | 12/18/13 | 1,000,000 | 999,458 | ||||||
0.25%3 |
10/21/13 | 10/21/13 | 2,000,000 | 1,999,722 | ||||||
33,057,314 |
2 OPPENHEIMER MONEY FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
|
Maturity Date* | Final Legal Maturity Date** |
Principal Amount |
Value | |||||||
Special Purpose Financial19.6% |
||||||||||
Anglesea Funding LLC: |
||||||||||
0.20%1 |
10/3/13 | 10/3/13 | $1,000,000 | $ | 999,989 | |||||
0.20%1 |
10/2/13 | 10/2/13 | 1,000,000 | 999,994 | ||||||
Collateralized Commercial Paper II Co. LLC, 0.30%1 |
1/27/14 | 1/27/14 | 2,000,000 | 1,998,033 | ||||||
Concord Minutemen Cap. Corp. LLC: |
||||||||||
0.21% |
10/8/13 | 10/8/13 | 2,300,000 | 2,299,906 | ||||||
0.21% |
10/16/13 | 10/16/13 | 2,400,000 | 2,399,790 | ||||||
0.21% |
10/10/13 | 10/10/13 | 1,000,000 | 999,948 | ||||||
0.21% |
11/4/13 | 11/4/13 | 1,000,000 | 999,802 | ||||||
0.21% |
11/5/13 | 11/5/13 | 2,400,000 | 2,399,510 | ||||||
Crown Point Capital Co.: |
||||||||||
0.19% |
11/4/13 | 11/4/13 | 995,000 | 994,821 | ||||||
0.21% |
10/22/13 | 10/22/13 | 7,800,000 | 7,799,045 | ||||||
FCAR Owner Trust I, 0.20% |
11/1/13 | 11/1/13 | 2,000,000 | 1,999,656 | ||||||
FCAR Owner Trust II, 0.17% |
10/8/13 | 10/8/13 | 1,000,000 | 999,967 | ||||||
Govoco, Inc., 0.08%3 |
10/1/13 | 10/1/13 | 3,000,000 | 3,000,000 | ||||||
Legacy Capital LLC: |
||||||||||
0.12% |
10/3/13 | 10/3/13 | 2,500,000 | 2,499,983 | ||||||
0.21% |
11/4/13 | 11/4/13 | 2,000,000 | 1,999,603 | ||||||
Lexington Parker Capital Co. LLC, 0.21%3 |
11/4/13 | 11/4/13 | 3,000,000 | 2,999,405 | ||||||
Ridgefield Funding Co. LLC, 0.272% |
10/8/13 | 1/8/14 | 2,500,000 | 2,500,000 | ||||||
37,889,452 | ||||||||||
Total Short-Term Notes/Commercial Paper (Cost $103,236,032) |
103,236,032 | |||||||||
U.S. Government Obligations4.2% |
||||||||||
U.S. Treasury Nts.: |
||||||||||
0.25% |
2/28/14 | 2/28/14 | 1,000,000 | 1,000,254 | ||||||
0.50% |
10/15/13 | 10/15/13 | 2,500,000 | 2,500,286 | ||||||
1.00% |
1/15/14 | 1/15/14 | 1,500,000 | 1,503,507 | ||||||
1.75% |
1/31/14 | 1/31/14 | 1,000,000 | 1,005,151 | ||||||
2.375% |
8/31/14 | 8/31/14 | 2,000,000 | 2,040,155 | ||||||
Total U.S. Government Obligations (Cost $8,049,353) |
8,049,353 | |||||||||
Total Investments, at Value (Cost $193,826,300) |
100.1% | 193,826,300 | ||||||||
Liabilities in Excess of Other Assets |
(0.1) | (159,322 | ) | |||||||
Net Assets |
100.0% | $ | 193,666,978 |
Footnotes to Statement of Investments
Short-term notes and direct bank obligations are generally traded on a discount basis; the interest rate shown is the discount rate received by the Fund at the time of purchase. Other securities normally bear interest at the rates shown.
* The Maturity Date represents the date used to calculate the 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.
3 OPPENHEIMER MONEY FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
|
Footnotes to Statement of Investments Continued
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 $19,597,994 or 10.12% of the Funds net assets as of September 30, 2013.
2. Represents the current interest rate for a variable or increasing rate security.
3. Security issued in an exempt transaction without registration under the Securities Act of 1933. Such securities amount to $54,845,004 or 28.32% of the Funds net assets, and have been determined to be liquid pursuant to guidelines adopted by the Board of Trustees.
4 OPPENHEIMER MONEY FUND/VA
NOTES TO STATEMENT OF INVESTMENTS 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 at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. If amortized cost is determined not to approximate market value, the fair value of the portfolio securities will be determined under procedures approved by the Funds Board of Trustees. If a market value or price cannot be determined for a security using the methodologies described above, or if, in the good faith opinion of the Manager, the market value or price obtained does not constitute a readily available market quotation, or a significant event has occurred that would materially affect the value of the security the security is fair valued either (i) by a standardized fair valuation methodology applicable to the security type or the significant event as previously approved by the Valuation Committee and the 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 |
5 OPPENHEIMER MONEY FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
|
Securities Valuation (Continued)
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 30, 2013 based on valuation input level: |
Level 1 Unadjusted Quoted Prices |
Level 2 Other Significant |
Level 3 Significant Unobservable Inputs |
Value | |||||||||||||
Assets Table |
||||||||||||||||
Investments, at Value: |
||||||||||||||||
Certificates of Deposit |
$ | | $ | 60,649,978 | $ | | $ | 60,649,978 | ||||||||
Direct Bank Obligations |
| 21,890,937 | | 21,890,937 | ||||||||||||
Short-Term Notes/Commercial Paper |
| 103,236,032 | | 103,236,032 | ||||||||||||
U.S. Government Obligations |
| 8,049,353 | | 8,049,353 | ||||||||||||
Total Assets |
$ | | $ | 193,826,300 | $ | | $ | 193,826,300 |
6 OPPENHEIMER MONEY FUND/VA
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||||||
Asset-Backed Securities4.0% |
||||||||||||
Ally Auto Receivables Trust, Automobile Receivables Nts., Series 2012-A, Cl. D, 3.15%, 10/15/181 | $ | 2,125,000 | $ | 2,208,007 | ||||||||
Ally Master Owner Trust, Automobile Receivable Nts., Series 2012-3, Cl. D, 2.532%, 7/15/172 | 1,200,000 | 1,203,635 | ||||||||||
American Credit Acceptance Receivables Trust 2012-2, Automobile Receivable Nts., Series 2012-2, Cl. D, 5.91%, 7/15/193 |
2,100,000 | 2,146,473 | ||||||||||
American Credit Acceptance Receivables Trust 2012-3, Automobile Receivable Nts., Series 2012-3, Cl. C, 2.78%, 9/17/183 |
230,000 | 229,644 | ||||||||||
American Credit Acceptance Receivables Trust 2013-2, Automobile Receivable Nts., Series 2013-2, Cl. C, 3.96%, 5/15/193 |
2,051,000 | 2,058,458 | ||||||||||
AmeriCredit Automobile Receivables Trust 2012-1, Automobile Receivables-Backed Nts., Series 2012-1, Cl. D, 4.72%, 3/8/18 |
8,055,000 | 8,491,742 | ||||||||||
AmeriCredit Automobile Receivables Trust 2012-3, Automobile Receivables-Backed Nts.: Series 2012-3, Cl. D, 3.03%, 7/9/18 |
2,625,000 | 2,668,781 | ||||||||||
Series 2012-3, Cl. E, 4.46%, 11/8/193 | 360,000 | 372,823 | ||||||||||
AmeriCredit Automobile Receivables Trust 2012-4, Automobile Receivables-Backed Nts., Series 2012-4, Cl. D, 2.68%, 10/9/18 | 1,190,000 | 1,192,533 | ||||||||||
AmeriCredit Automobile Receivables Trust 2013-1, Automobile Receivables-Backed Nts.: Series 2013-1, Cl. D, 2.09%, 2/8/19 | 425,000 | 414,450 | ||||||||||
Series 2013-1, Cl. E, 2.64%, 7/8/203 | 2,385,000 | 2,303,905 | ||||||||||
AmeriCredit Automobile Receivables Trust 2013-2, Automobile Receivables-Backed Nts.: Series 2013-2, Cl. D, 2.42%, 5/8/19 | 675,000 | 661,615 | ||||||||||
Series 2013-2, Cl. E, 3.41%, 10/8/203 | 1,055,000 | 1,046,278 | ||||||||||
AmeriCredit Automobile Receivables Trust 2013-3, Automobile Receivables-Backed Nts.: Series 2013-3, Cl. D, 3%, 7/8/19 | 440,000 | 437,764 | ||||||||||
Series 2013-3, Cl. E, 3.74%, 12/8/203 | 1,995,000 | 1,993,838 | ||||||||||
Axius European CLO SA, Collateralized Debt Obligations, Series 2007-1X, Cl. E, 4.803%, 11/15/232 | 212,712 | EUR | 265,907 |
1 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||||||
Capital Auto Receivables Asset Trust 2013-1, Automobile Receivables Nts., Series 2013-1, Cl. D, 2.19%, 9/20/21 | $ | 275,000 | $ | 269,016 | ||||||||
CarMax Auto Owner Trust 2012-2, Automobile Receivables Nts., Series 2012-2, Cl. D, 3.02%, 11/15/18 | 1,200,000 | 1,222,976 | ||||||||||
CPS Auto Trust, Automobile Receivable Nts., Series 2012-C, Cl. A, 1.82%, 12/16/193 | 159,439 | 160,343 | ||||||||||
Credit Acceptance Auto Loan Trust, Automobile Receivable Nts., Series 2012-2A, Cl. B, 2.21%, 9/15/203 | 100,000 | 100,544 | ||||||||||
DT Auto Owner Trust 2012-2, Automobile Receivable Nts.: Series 2012-2, Cl. C, 2.72%, 4/17/173 |
690,000 | 695,662 | ||||||||||
Series 2012-2, Cl. D, 4.35%, 3/15/193 | 2,245,000 | 2,318,176 | ||||||||||
DT Auto Owner Trust 2013-1A, Automobile Receivable Nts., Series 2013-1A, Cl. D, 3.74%, 5/15/203 | 2,920,000 | 2,927,453 | ||||||||||
DT Auto Owner Trust 2013-2A, Automobile Receivable Nts., Series 2013-2A, Cl. D, 4.18%, 6/15/203 | 675,000 | 675,813 | ||||||||||
Exeter Automobile Receivables Trust, Automobile Receivable Nts.: Series 2012-2A, Cl. B, 2.22%, 12/15/173 |
875,000 | 868,457 | ||||||||||
Series 2012-2A, Cl. C, 3.06%, 7/16/183 | 1,100,000 | 1,079,194 | ||||||||||
Series 2013-2A, Cl. C, 4.35%, 1/15/193 | 635,000 | 640,735 | ||||||||||
First Investors Auto Owner Trust 2012-1A, Automobile Receivables Nts., Series 2012-1A, Cl. D, 5.65%, 4/15/183 | 285,000 | 300,089 | ||||||||||
Ford Credit Floorplan Master Owner Trust A, Automobile Receivable Nts., Series 2013-3, Cl. D, 1.74%, 6/15/17 | 240,000 | 240,483 | ||||||||||
Halcyon Structured Asset Management European CLO Deferrable Sec. Nts.: Series 2006-IIX, Cl. E, 4.19%, 1/25/232 |
1,405,000 | EUR | 1,642,062 | |||||||||
Series 2007-IX, Cl. E, 4.134%, 7/24/232 | 706,933 | EUR | 849,389 | |||||||||
Ice 1 Em CLO Ltd./Ice 1 Em CLO Corp., Sr. Sec. Sub. Term Nts.: Series 2007-1A, Cl. B, 2.096%, 8/15/221,2 |
7,870,000 | 6,886,250 | ||||||||||
Series 2007-1A, Cl. C, 3.396%, 8/15/221,2 | 5,270,000 | 4,558,550 | ||||||||||
Series 2007-1A, Cl. D, 5.396%, 8/15/221,2 | 5,270,000 | 4,558,550 |
2 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||||||
Santander Drive Auto Receivables Trust 2011-S1A, Automobile Receivables Nts., Series 2011-S1A, Cl. D, 3.10%, 5/15/173 |
$ | 2,042 | $ | 2,044 | ||||||||
Santander Drive Auto Receivables Trust 2012-2, Automobile Receivables Nts., Series 2012-2, Cl. D, 3.87%, 2/15/18 |
545,000 | 562,319 | ||||||||||
Santander Drive Auto Receivables Trust 2012-3, Automobile Receivables Nts.: Series 2012-3, Cl. C, 3.01%, 4/16/18 |
5,830,000 | 5,987,081 | ||||||||||
Series 2012-3, Cl. D, 3.64%, 5/15/18 | 7,770,000 | 7,932,987 | ||||||||||
Santander Drive Auto Receivables Trust 2012-4, Automobile Receivables Nts., Series 2012-4, Cl. D, 3.50%, 6/15/18 |
3,510,000 | 3,589,716 | ||||||||||
Santander Drive Auto Receivables Trust 2012-5, Automobile Receivables Nts.: Series 2012-5, Cl. C, 2.70%, 8/15/18 |
2,180,000 | 2,195,089 | ||||||||||
Series 2012-5, Cl. D, 3.30%, 9/17/18 | 3,160,000 | 3,217,577 | ||||||||||
Santander Drive Auto Receivables Trust 2012-AA, Automobile Receivables Nts., Series 2012-AA, Cl. D, 2.46%, 12/17/183 |
825,000 | 810,469 | ||||||||||
Santander Drive Auto Receivables Trust 2013-1, Automobile Receivables Nts., Series 2013-1, Cl. D, 2.27%, 1/15/19 |
920,000 | 900,088 | ||||||||||
Santander Drive Auto Receivables Trust 2013-2, Automobile Receivables Nts., Series 2013-2, Cl. D, 2.57%, 3/15/19 |
1,110,000 | 1,085,803 | ||||||||||
Santander Drive Auto Receivables Trust 2013-3, Automobile Receivables Nts., Series 2013-3, Cl. D, 2.42%, 4/15/19 |
950,000 | 911,570 | ||||||||||
Santander Drive Auto Receivables Trust 2013-4, Automobile Receivables Nts., Series 2013-4, Cl. D, 3.92%, 1/15/20 |
1,695,000 | 1,717,038 | ||||||||||
Santander Drive Auto Receivables Trust 2013-A, Automobile Receivables Nts., Series 2013-A, Cl. C, 3.12%, 10/15/193 |
1,195,000 | 1,229,770 | ||||||||||
SLM Student Loan Trust, Student Loan Receivables, Series 2005-B, Cl. B, 0.654%, 6/15/392 | 2,026,150 | 1,584,591 | ||||||||||
SNAAC Auto Receivables Trust, Automobile Receivable Nts.: Series 2012-1A, Cl. B, 3.11%, 6/15/173 |
525,000 | 529,728 | ||||||||||
Series 2012-1A, Cl. C, 4.38%, 6/15/173 | 595,000 | 609,046 | ||||||||||
Series 2013-1A, Cl. B, 2.09%, 7/16/18 | 200,000 | 199,236 | ||||||||||
Series 2013-1A, Cl. C, 3.07%, 8/15/18 | 220,000 | 218,604 | ||||||||||
Theseus European CLO SA, Asset-Backed Securities, Series 2006-1X, Cl. E, 4.343%, 8/27/222 | 1,490,000 | EUR | 1,890,296 |
3 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||||
United Auto Credit Securitization Trust 2012-1, Automobile Receivables Nts.: Series 2012-1, Cl. B, 1.87%, 9/15/15 |
$ | 335,000 | $ | 334,928 | ||||||
Series 2012-1, Cl. C, 2.52%, 3/15/16 | 2,665,000 | 2,663,536 | ||||||||
Series 2012-1, Cl. D, 3.12%, 3/15/18 | 1,690,000 | 1,689,012 | ||||||||
United Auto Credit Securitization Trust 2013-1, Automobile Receivables Nts.: Series 2013-1, Cl. B, 1.74%, 4/15/163 |
360,000 | 359,434 | ||||||||
Series 2013-1, Cl. C, 2.22%, 12/15/173 | 230,000 | 229,532 | ||||||||
Series 2013-1, Cl. D, 2.90%, 12/15/173 | 440,000 | 439,108 | ||||||||
Total Asset-Backed Securities (Cost $98,945,188) |
|
98,578,197
|
| |||||||
Corporate Loans1.7% |
||||||||||
Affinion Group, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B, 6.50%, 10/9/162,4 | 1,245,696 | 1,211,051 | ||||||||
Atlas Energy LP, Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B, 6.50%, 7/31/192 | 1,065,001 | 1,075,651 | ||||||||
Autoparts Holdings Ltd., Sr. Sec. Credit Facilities 1st Lien Term Loan, 6.50%, 7/29/172 | 1,022,935 | 1,005,994 | ||||||||
BJS Wholesale Club, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 9.75%, 3/26/202 | 1,330,000 | 1,355,492 | ||||||||
Blue Coat Systems, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 9.50%, 6/28/202 | 895,000 | 901,713 | ||||||||
Brock Holdings III, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 8.25%, 3/16/182 | 775,000 | 787,271 | ||||||||
Caesars Entertainment Operating Co., Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B6, 5.429%, 1/28/182,4 |
2,508,271 | 2,278,608 | ||||||||
Catalent Pharma Solutions, Inc., Sr. Sec. Credit Facilities Term Loan, 6.50%, 12/31/172 | 1,265,000 | 1,269,744 | ||||||||
Clear Channel Capital I LLC, Extended Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche D, 6.929%, 1/30/192,4 |
3,738,532 | 3,462,815 | ||||||||
Clear Channel Communications, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B, 3.829%, 1/29/162,4 | 976,487 | 923,390 | ||||||||
Deltek, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 10%, 10/10/192 | 2,050,000 | 2,068,792 |
4 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||||
Entegra Holdings LLC, Sr. Sec. Credit Facilities 3rd Lien Term Loan, Tranche B, 3.64%, 10/19/152,5 | $ | 7,280,065 | $ | 4,222,438 | ||||||
Hallertau SPC, Sr. Sec. Credit Facilities Term Loan, 7.94%, 8/15/146 | 12,143,750 | 5,683,275 | ||||||||
iStar Financial, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche A2, 7%, 3/19/172,4 | 1,023,694 | 1,054,405 | ||||||||
JG Wentworth, Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B, 9%, 2/8/192 | 383,326 | 386,441 | ||||||||
Lonestar Intermediate Super Holdings LLC, Sr. Sec. Credit Facilities Term Loan, 11%, 9/2/192 | 1,555,000 | 1,628,863 | ||||||||
NFR Energy LLC, Sr. Sec. Credit Facilities 2nd Lien Term Loan, 8.75%, 12/31/182 | 1,250,000 | 1,256,250 | ||||||||
NTELOS, Inc., Sr. Sec. Credit Facilities 1st Lien Term Loan, Tranche B, 5.75%, 11/9/192 | 1,215,813 | 1,205,555 | ||||||||
Nuveen Investments, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 6.50%, 2/28/192 | 2,475,000 | 2,467,780 | ||||||||
OneLink Communications/San Juan Cable LLC, Sr. Sec. Credit Facilities 2nd Lien Term Loan, 10%, 6/11/182 | 1,885,000 | 1,901,494 | ||||||||
Quicksilver Resources, Inc., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 7%, 6/21/192 | 3,040,000 | 2,929,800 | ||||||||
Revel Entertainment, Inc., Sr. Sec. Credit Facilities 1st Lien Exit Term Loan, 13.775%, 5/20/182,5 | 1,345,280 | 1,278,016 | ||||||||
TWCC Holding Corp., Sr. Sec. Credit Facilities 2nd Lien Term Loan, 7%, 6/26/202 | 2,430,000 | 2,499,863 | ||||||||
Total Corporate Loans (Cost $41,951,811) |
|
42,854,701
|
| |||||||
Mortgage-Backed Obligations24.7% |
||||||||||
Government Agency7.5% |
||||||||||
FHLMC/FNMA/FHLB/Sponsored7.4% |
||||||||||
Federal Home Loan Mortgage Corp.: 5%, 9/15/33 |
716,707 | 777,977 | ||||||||
5.50%, 9/1/39 | 871,279 | 954,127 | ||||||||
6%, 5/15/18-11/15/21 | 239,640 | 259,174 | ||||||||
6.50%, 3/15/18-8/15/32 | 982,627 | 1,088,292 | ||||||||
7%, 10/1/31-10/1/37 | 203,433 | 226,341 | ||||||||
7.50%, 1/1/32 | 506,782 | 595,007 |
5 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued |
||||||||
Federal Home Loan Mortgage Corp., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: | ||||||||
Series 1360, Cl. PZ, 7.50%, 9/15/22 | $ | 553,483 | $ | 629,216 | ||||
Series 151, Cl. F, 9%, 5/15/21 | 13,266 | 14,807 | ||||||
Series 1674, Cl. Z, 6.75%, 2/15/24 | 398,158 | 449,412 | ||||||
Series 1897, Cl. K, 7%, 9/15/26 | 971,736 | 1,110,610 | ||||||
Series 2043, Cl. ZP, 6.50%, 4/15/28 | 390,947 | 446,291 | ||||||
Series 2106, Cl. FG, 0.632%, 12/15/282 | 664,137 | 666,971 | ||||||
Series 2122, Cl. F, 0.632%, 2/15/292 | 17,630 | 17,706 | ||||||
Series 2148, Cl. ZA, 6%, 4/15/29 | 474,624 | 531,368 | ||||||
Series 2195, Cl. LH, 6.50%, 10/15/29 | 291,652 | 330,513 | ||||||
Series 2326, Cl. ZP, 6.50%, 6/15/31 | 37,433 | 42,683 | ||||||
Series 2344, Cl. FP, 1.132%, 8/15/312 | 188,037 | 191,910 | ||||||
Series 2368, Cl. PR, 6.50%, 10/15/31 | 151,502 | 172,844 | ||||||
Series 2412, Cl. GF, 1.132%, 2/15/322 | 314,991 | 321,484 | ||||||
Series 2449, Cl. FL, 0.732%, 1/15/322 | 213,452 | 215,256 | ||||||
Series 2451, Cl. FD, 1.182%, 3/15/322 | 116,816 | 119,407 | ||||||
Series 2453, Cl. BD, 6%, 5/15/17 | 40,366 | 42,752 | ||||||
Series 2461, Cl. PZ, 6.50%, 6/1/32 | 558,446 | 635,803 | ||||||
Series 2464, Cl. FI, 1.182%, 2/15/322 | 97,865 | 99,866 | ||||||
Series 2470, Cl. AF, 1.182%, 3/15/322 | 200,427 | 204,874 | ||||||
Series 2470, Cl. LF, 1.182%, 2/15/322 | 100,151 | 102,198 | ||||||
Series 2471, Cl. FD, 1.182%, 3/15/322 | 146,878 | 149,892 | ||||||
Series 2477, Cl. FZ, 0.732%, 6/15/312 | 407,906 | 411,302 | ||||||
Series 2500, Cl. FD, 0.682%, 3/15/322 | 17,123 | 17,227 | ||||||
Series 2517, Cl. GF, 1.182%, 2/15/322 | 87,076 | 88,856 | ||||||
Series 2526, Cl. FE, 0.582%, 6/15/292 | 29,876 | 29,937 | ||||||
Series 2551, Cl. FD, 0.582%, 1/15/332 | 13,103 | 13,132 | ||||||
Series 2668, Cl. AZ, 4%, 9/1/18 | 79,334 | 83,118 | ||||||
Series 2676, Cl. KY, 5%, 9/15/23 | 1,712,270 | 1,878,167 | ||||||
Series 2707, Cl. QE, 4.50%, 11/1/18 | 266,979 | 281,632 | ||||||
Series 3025, Cl. SJ, 24.082%, 8/15/352 | 256,877 | 402,478 | ||||||
Series 3465, Cl. HA, 4%, 7/1/17 | 39,808 | 40,613 | ||||||
Series 3617, Cl. DC, 4%, 7/1/27 | 119,655 | 121,949 | ||||||
Series 3822, Cl. JA, 5%, 6/1/40 | 62,217 | 65,932 | ||||||
Series 3848, Cl. WL, 4%, 4/1/40 | 467,373 | 499,267 | ||||||
Series 3917, Cl. BA, 4%, 6/1/38 | 405,928 | 423,819 | ||||||
Series 4221, Cl. HJ, 1.50%, 7/1/23 | 464,989 | 462,394 | ||||||
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 192, Cl. IO, 12.876%, 2/1/287 | 13,056 | 2,745 | ||||||
Series 205, Cl. IO, 15.643%, 9/1/297 | 79,262 | 12,050 | ||||||
Series 2074, Cl. S, 56.191%, 7/17/287 | 20,935 | 4,359 | ||||||
Series 2079, Cl. S, 71.171%, 7/17/287 | 37,807 | 7,973 | ||||||
Series 2136, Cl. SG, 70.79%, 3/15/297 | 995,354 | 191,253 |
6 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued |
||||||||
Series 2399, Cl. SG, 61.414%, 12/15/267 | $ | 532,620 | $ | 103,223 | ||||
Series 243, Cl. 6, 0%, 12/15/327,8 | 193,607 | 40,293 | ||||||
Series 2437, Cl. SB, 71.156%, 4/15/327 | 1,749,283 | 355,643 | ||||||
Series 2526, Cl. SE, 33%, 6/15/297 | 37,508 | 7,726 | ||||||
Series 2795, Cl. SH, 16.935%, 3/15/247 | 818,331 | 112,185 | ||||||
Series 2802, Cl. AS, 0%, 4/15/337,8 | 54,528 | 1,744 | ||||||
Series 2920, Cl. S, 51.77%, 1/15/357 | 361,701 | 71,122 | ||||||
Series 2922, Cl. SE, 8.675%, 2/15/357 | 62,152 | 10,913 | ||||||
Series 3201, Cl. SG, 8.362%, 8/15/367 | 333,283 | 62,327 | ||||||
Series 3397, Cl. GS, 13.064%, 12/15/377 | 262,348 | 44,476 | ||||||
Series 3424, Cl. EI, 0%, 4/15/387,8 | 191,417 | 25,435 | ||||||
Series 3450, Cl. BI, 12.953%, 5/15/387 | 433,762 | 78,399 | ||||||
Series 3606, Cl. SN, 6.305%, 12/15/397 | 130,447 | 16,872 | ||||||
Series 3659, Cl. IE, 0%, 3/1/197,8 | 750,169 | 57,935 | ||||||
Series 3685, Cl. EI, 0%, 3/1/197,8 | 616,347 | 42,578 | ||||||
Federal Home Loan Mortgage Corp., Mtg.-Linked Global Debt Securities, 2.06%, 1/15/22 | 868,125 | 877,193 | ||||||
Federal National Mortgage Assn.: 2.50%, 10/1/284 |
6,745,000 | 6,785,048 | ||||||
2.66%, 10/1/362 | 3,032,057 | 3,219,638 | ||||||
3.50%, 10/1/43-11/1/434 | 40,295,000 | 41,013,532 | ||||||
4.50%, 10/1/28-10/1/434 | 28,520,000 | 30,451,860 | ||||||
5%, 2/25/18-7/25/33 | 3,038,702 | 3,258,517 | ||||||
5%, 10/1/434 | 2,410,000 | 2,613,721 | ||||||
5.50%, 4/25/21-5/1/36 | 527,262 | 574,581 | ||||||
6%, 10/25/16-1/25/19 | 191,857 | 202,327 | ||||||
6%, 10/1/434 | 4,305,000 | 4,709,267 | ||||||
6.50%, 4/25/17-1/1/34 | 1,282,487 | 1,443,329 | ||||||
7%, 11/1/17-6/25/34 | 1,476,116 | 1,696,203 | ||||||
7.50%, 2/1/27-3/25/33 | 1,732,100 | 2,025,014 | ||||||
8.50%, 7/1/32 | 2,287 | 2,668 | ||||||
Federal National Mortgage Assn., 15 yr.: 3%, 10/1/284 |
3,975,000 | 4,116,609 | ||||||
3.50%, 11/1/284 | 24,810,000 | 26,100,894 | ||||||
4%, 10/1/284 | 2,365,000 | 2,509,856 | ||||||
Federal National Mortgage Assn., 30 yr., 4%, 10/1/434 | 14,970,000 | 15,706,804 | ||||||
Federal National Mortgage Assn., Gtd. Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: Trust 1999-54, Cl. LH, 6.50%, 11/25/29 |
256,879 | 288,040 | ||||||
Trust 2001-51, Cl. OD, 6.50%, 10/25/31 | 146,597 | 163,639 |
7 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued |
||||||||
Trust 2001-69, Cl. PF, 1.179%, 12/25/312 | $ | 226,886 | $ | 231,527 | ||||
Trust 2001-80, Cl. ZB, 6%, 1/25/32 | 266,766 | 295,227 | ||||||
Trust 2002-12, Cl. PG, 6%, 3/25/17 | 130,654 | 137,738 | ||||||
Trust 2002-29, Cl. F, 1.179%, 4/25/322 | 104,294 | 106,464 | ||||||
Trust 2002-60, Cl. FH, 1.179%, 8/25/322 | 209,493 | 213,884 | ||||||
Trust 2002-64, Cl. FJ, 1.179%, 4/25/322 | 32,116 | 32,784 | ||||||
Trust 2002-68, Cl. FH, 0.684%, 10/18/322 | 70,087 | 70,536 | ||||||
Trust 2002-84, Cl. FB, 1.179%, 12/25/322 | 471,221 | 481,026 | ||||||
Trust 2002-9, Cl. PC, 6%, 3/25/17 | 128,672 | 135,582 | ||||||
Trust 2002-9, Cl. PR, 6%, 3/25/17 | 157,553 | 166,014 | ||||||
Trust 2002-90, Cl. FH, 0.679%, 9/25/322 | 263,649 | 265,378 | ||||||
Trust 2003-11, Cl. FA, 1.179%, 9/25/322 | 471,232 | 481,037 | ||||||
Trust 2003-112, Cl. AN, 4%, 11/1/18 | 167,693 | 175,844 | ||||||
Trust 2003-116, Cl. FA, 0.579%, 11/25/332 | 45,227 | 45,283 | ||||||
Trust 2003-119, Cl. FK, 0.679%, 5/25/182 | 991,619 | 995,062 | ||||||
Trust 2004-101, Cl. BG, 5%, 1/25/20 | 558,067 | 583,850 | ||||||
Trust 2004-25, Cl. PC, 5.50%, 1/1/34 | 146,032 | 157,104 | ||||||
Trust 2005-109, Cl. AH, 5.50%, 12/25/25 | 2,120,856 | 2,346,221 | ||||||
Trust 2005-31, Cl. PB, 5.50%, 4/25/35 | 560,000 | 636,871 | ||||||
Trust 2005-71, Cl. DB, 4.50%, 8/25/25 | 318,094 | 344,610 | ||||||
Trust 2006-11, Cl. PS, 23.911%, 3/25/362 | 208,582 | 323,760 | ||||||
Trust 2006-46, Cl. SW, 23.543%, 6/25/362 | 376,149 | 588,884 | ||||||
Trust 2007-109, Cl. NF, 0.729%, 12/25/372 | 497,232 | 500,274 | ||||||
Trust 2008-14, Cl. BA, 4.25%, 3/1/23 | 80,893 | 85,257 | ||||||
Trust 2009-114, Cl. AC, 2.50%, 12/1/23 | 144,950 | 147,166 | ||||||
Trust 2009-36, Cl. FA, 1.119%, 6/25/372 | 152,681 | 154,153 | ||||||
Trust 2009-70, Cl. TL, 4%, 8/1/19 | 917,112 | 959,190 | ||||||
Trust 2011-122, Cl. EA, 3%, 11/1/29 | 346,614 | 355,959 | ||||||
Trust 2011-122, Cl. EC, 1.50%, 1/1/20 | 422,272 | 420,406 | ||||||
Trust 2011-15, Cl. DA, 4%, 3/1/41 | 331,404 | 350,747 | ||||||
Trust 2011-3, Cl. KA, 5%, 4/1/40 | 427,875 | 469,222 | ||||||
Trust 2011-6, Cl. BA, 2.75%, 6/1/20 | 451,632 | 461,692 | ||||||
Trust 2012-20, Cl. FD, 0.579%, 3/25/422 | 1,027,751 | 1,026,510 |
8 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued |
||||||||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: Trust 2001-61, Cl. SH, 26.322%, 11/18/317 |
$ | 114,275 | $ | 20,226 | ||||
Trust 2001-63, Cl. SD, 31.073%, 12/18/317 | 31,829 | 6,222 | ||||||
Trust 2001-68, Cl. SC, 21.293%, 11/25/317 | 20,141 | 3,984 | ||||||
Trust 2001-81, Cl. S, 25.506%, 1/25/327 | 24,517 | 5,071 | ||||||
Trust 2002-28, Cl. SA, 35.954%, 4/25/327 | 18,376 | 3,547 | ||||||
Trust 2002-38, Cl. SO, 45.326%, 4/25/327 | 108,679 | 19,351 | ||||||
Trust 2002-48, Cl. S, 31.446%, 7/25/327 | 27,623 | 5,465 | ||||||
Trust 2002-52, Cl. SL, 34.447%, 9/25/327 | 18,465 | 3,494 | ||||||
Trust 2002-56, Cl. SN, 33.029%, 7/25/327 | 37,958 | 7,517 | ||||||
Trust 2002-77, Cl. IS, 41.434%, 12/18/327 | 185,156 | 37,748 | ||||||
Trust 2002-77, Cl. SH, 37.221%, 12/18/327 | 38,695 | 8,022 | ||||||
Trust 2002-9, Cl. MS, 27.93%, 3/25/327 | 34,245 | 7,034 | ||||||
Trust 2003-13, Cl. IO, 10.509%, 3/25/337 | 334,655 | 77,207 | ||||||
Trust 2003-26, Cl. DI, 11.813%, 4/25/337 | 263,622 | 52,340 | ||||||
Trust 2003-33, Cl. SP, 27.601%, 5/25/337 | 206,801 | 37,400 | ||||||
Trust 2003-38, Cl. SA, 0%, 3/25/237,8 | 234,574 | 21,076 | ||||||
Trust 2003-4, Cl. S, 29.599%, 2/25/337 | 63,394 | 12,386 | ||||||
Trust 2004-56, Cl. SE, 13.122%, 10/25/337 | 1,013,706 | 170,936 | ||||||
Trust 2005-12, Cl. SC, 11.216%, 3/25/357 | 31,065 | 6,663 | ||||||
Trust 2005-14, Cl. SE, 38.757%, 3/25/357 | 1,076,667 | 181,969 | ||||||
Trust 2005-40, Cl. SA, 47.62%, 5/25/357 | 957,060 | 166,111 | ||||||
Trust 2005-40, Cl. SB, 62.85%, 5/25/357 | 1,474,746 | 256,188 | ||||||
Trust 2005-52, Cl. JH, 11.244%, 5/25/357 | 507,579 | 92,893 | ||||||
Trust 2005-63, Cl. SA, 50.044%, 10/25/317 | 55,966 | 12,662 | ||||||
Trust 2006-90, Cl. SX, 99.999%, 9/25/367 | 1,010,201 | 185,743 |
9 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||
FHLMC/FNMA/FHLB/Sponsored Continued |
||||||||
Trust 2007-88, Cl. XI, 30.099%, 6/25/377 |
$ | 1,487,686 | $ | 198,990 | ||||
Trust 2008-55, Cl. SA, 1.574%, 7/25/387 | 152,416 | 23,241 | ||||||
Trust 2009-8, Cl. BS, 2.421%, 2/25/247 | 270,138 | 24,519 | ||||||
Trust 2010-95, Cl. DI, 0%, 11/1/207,8 | 965,124 | 78,658 | ||||||
Trust 2012-40, Cl. PI, 3.821%, 4/1/417 | 1,811,411 | 340,954 | ||||||
Trust 214, Cl. 2, 43.216%, 3/1/237 | 230,529 | 34,389 | ||||||
Trust 221, Cl. 2, 46.705%, 5/1/237 | 28,635 | 4,272 | ||||||
Trust 254, Cl. 2, 35.879%, 1/1/247 | 454,627 | 68,577 | ||||||
Trust 2682, Cl. TQ, 99.999%, 10/15/337 | 374,101 | 65,845 | ||||||
Trust 2981, Cl. BS, 99.999%, 5/15/357 | 666,965 | 108,229 | ||||||
Trust 301, Cl. 2, 3.925%, 4/1/297 | 87,667 | 18,717 | ||||||
Trust 313, Cl. 2, 19.948%, 6/1/317 | 825,311 | 224,640 | ||||||
Trust 319, Cl. 2, 2.829%, 2/1/327 | 409,736 | 108,575 | ||||||
Trust 321, Cl. 2, 9.431%, 4/1/327 | 120,855 | 31,710 | ||||||
Trust 324, Cl. 2, 0.092%, 7/1/327 | 121,739 | 31,889 | ||||||
Trust 328, Cl. 2, 0%, 12/1/327,8 | 263,807 | 52,836 | ||||||
Trust 331, Cl. 5, 0%, 2/1/337,8 | 470,349 | 90,663 | ||||||
Trust 332, Cl. 2, 0%, 3/1/337,8 | 2,095,334 | 341,512 | ||||||
Trust 334, Cl. 12, 0%, 3/1/337,8 | 397,236 | 74,281 | ||||||
Trust 339, Cl. 15, 0%, 8/1/337,8 | 1,232,794 | 202,351 | ||||||
Trust 345, Cl. 9, 0%, 1/1/347,8 | 326,403 | 56,042 | ||||||
Trust 351, Cl. 10, 0%, 4/1/347,8 | 237,255 | 37,762 | ||||||
Trust 351, Cl. 8, 0%, 4/1/347,8 | 399,365 | 63,518 | ||||||
Trust 356, Cl. 10, 0%, 6/1/357,8 | 299,403 | 48,345 | ||||||
Trust 356, Cl. 12, 0%, 2/1/357,8 | 147,650 | 23,826 | ||||||
Trust 362, Cl. 13, 0%, 8/1/357,8 | 192,733 | 32,772 | ||||||
181,758,225 | ||||||||
GNMA/Guaranteed0.1% |
||||||||
Government National Mortgage Assn.: 1.625%, 12/9/252 |
4,288 | 4,461 | ||||||
7%, 3/29/28-7/29/28 | 173,114 | 194,196 | ||||||
7.50%, 3/1/27 | 10,355 | 11,227 | ||||||
8%, 11/29/25-5/29/26 | 34,916 | 35,288 | ||||||
Government National Mortgage Assn. , Gtd. Real Estate Mtg. Investment Conduit Pass-Through Certificates: Series 1999-32, Cl. ZB, 8%, 9/1/29 |
712,184 | 844,005 | ||||||
Series 2000-12, Cl. ZA, 8%, 2/16/30 | 1,614,079 | 1,902,569 | ||||||
Government National Mortgage Assn. , Interest-Only Stripped Mtg.-Backed Security: Series 1998-6, Cl. SA, 57.023%, 3/16/287 |
49,561 | 10,428 |
10 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||
GNMA/Guaranteed Continued |
||||||||
Series 2007-17, Cl. AI, 16.867%, 4/16/377 | $ | 439,618 | $ | 83,313 | ||||
Series 2011-52, Cl. HS, 8.867%, 4/16/417 | 744,578 | 186,977 | ||||||
3,272,464 | ||||||||
Non-Agency17.2% |
||||||||
Commercial13.2% |
||||||||
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 | 2,331,337 | ||||||
Banc of America Commercial Mortgage Trust 2006-3, Commercial Mtg. Pass-Through Certificates, Series 2006-3, Cl. AM, 6.055%, 7/10/442 | 4,242,000 | 4,373,430 | ||||||
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 | 6,414,885 | ||||||
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 | 8,683,466 | ||||||
Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2008-1, Cl. AM, 6.438%, 2/10/512 |
3,415,000 | 3,721,047 | ||||||
BCAP LLC Trust, Mtg. Pass-Through Certificates: Series 2012-RR2, Cl. 5A2, 2.708%, 3/1/362,3 |
7,665,772 | 6,116,903 | ||||||
Series 2012-RR2, Cl. 6A3, 2.444%, 9/1/352,3 | 640,355 | 652,155 | ||||||
Series 2012-RR6, Cl. 1A5, 2.366%, 11/1/362,3 | 431,395 | 435,907 | ||||||
Bear Stearns ARM Trust 2007-4, Mtg. Pass-Through Certificates, Series 2007-4, Cl. 22A1, 5.201%, 6/1/472 | 704,695 | 618,876 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2006-PWR13, Commercial Mtg. Pass-Through Certificates, Series 2006-PWR13, Cl. AJ, 5.611%, 9/1/41 | 8,145,000 | 8,183,469 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2007-PWR17, Commercial Mtg. Pass-Through Certificates, Series 2007-PWR17, Cl. AJ, 6.082%, 6/1/502 | 7,400,000 | 7,034,277 |
11 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||
Commercial Continued |
||||||||
Bear Stearns Commercial Mortgage Securities Trust 2007-T26, Commercial Mtg. Pass-Through Certificates, Series 2007-T26, Cl. AJ, 5.566%, 1/1/452 | $ | 6,183,000 | $ | 5,972,577 | ||||
CHL Mortgage Pass-Through Trust 2005-17, Mtg. Pass-Through Certificates, Series 2005-17, Cl. 1A8, 5.50%, 9/1/35 |
2,073,083 | 2,071,449 | ||||||
CHL Mortgage Pass-Through Trust 2005-HYB8, Mtg. Pass-Through Certificates, Series 2005-HYB8, Cl. 4A1, 4.517%, 12/20/352 | 125,885 | 104,462 | ||||||
CHL Mortgage Pass-Through Trust 2007-J3, Mtg. Pass-Through Certificates, Series 2007-J3, Cl. A9, 6%, 7/1/37 |
5,165,437 | 4,271,822 | ||||||
Citigroup Commercial Mortgage Trust 2008-C7, Commercial Mtg. Pass-Through Certificates, Series 2008-C7, Cl. AM, 6.336%, 12/1/492 | 4,270,000 | 4,699,974 | ||||||
Citigroup Commercial Mortgage Trust 2013-GC11, Commercial Mtg. Pass-Through Certificates, Series 2013-GC11, Cl. D, 4.607%, 4/1/232,3 | 3,125,000 | 2,649,013 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2012-8, Mtg. Pass-Through Certificates, Series 2012-8, Cl. 1A1, 2.674%, 10/1/352,3 |
1,016,640 | 1,021,775 | ||||||
Citigroup Mortgage Loan Trust, Inc., Re-Securitized Mtg.-Backed Certificates, Series 2009-8, Cl. 7A2, 2.642%, 3/25/362,3 |
10,474,197 | 8,904,184 | ||||||
Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates: Series 2012-CR4, Cl. D, 4.731%, 10/1/452,3 |
3,505,000 | 3,084,729 | ||||||
Series 2012-CR5, Cl. E, 4.48%, 12/1/452 |
2,970,000 | 2,568,466 | ||||||
Series 2013-CR6, Cl. D, 4.316%, 3/1/462 |
1,525,000 | 1,278,784 | ||||||
Series 2013-CR7, Cl. D, 4.501%, 3/1/462,3 |
3,245,000 | 2,711,249 | ||||||
Series 2013-CR9, Cl. D, 4.403%, 7/10/452 |
2,685,000 | 2,251,069 | ||||||
Series 2013-LC13, Cl. C, 5.049%, 8/1/462 |
1,155,000 | 1,156,083 | ||||||
Series 2013-LC13, Cl. D, 5.049%, 8/1/462 |
2,314,000 | 2,037,225 | ||||||
Countrywide Alternative Loan Trust 2006-J2, Mtg. Pass-Through Certificates, Series 2006-J2, Cl. A7, 6%, 4/1/36 |
524,274 | 449,686 |
12 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||
Commercial Continued |
||||||||
Credit Suisse First Boston Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates, Series 2005-C6, Cl. AJ, 5.23%, 12/1/40 | $ | 600,000 | $ | 638,246 | ||||
CSMC Mortgage-Backed Trust 2006-C1, Mtg. Pass-Through Certificates, Series 2006-C1, Cl. AJ, 5.567%, 2/1/392 |
9,720,000 | 10,491,161 | ||||||
DBUBS Mortgage Trust, Commercial Mtg. Pass-Through Certificates: Series 2011-LC1, Cl. E, 5.729%, 11/1/462,3 |
3,620,000 | 3,523,518 | ||||||
Series 2011-LC2A, Cl. D, 5.626%, 7/1/442,3 |
5,170,000 | 5,044,173 | ||||||
Deutsche Alt-B Securities, Inc., Mtg. Pass-Through Certificates: Series 2006-AB2, Cl. A1, 5.885%, 6/25/36 |
104,193 | 78,882 | ||||||
Series 2006-AB4, Cl. A1A, 6.005%, 10/25/36 |
505,052 | 379,959 | ||||||
Deutsche Mortgage & Asset Receiving, Commercial Mtg. Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security: Series 2010-C1, Cl. XPA, 5.024%, 7/1/463,7 |
4,981,774 | 218,232 | ||||||
Series 2012-CR5, Cl. XA, 3.858%, 12/1/457 |
3,540,151 | 390,040 | ||||||
Deutsche Mortgage Securities, Inc., Re-Securitized Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Series 2013-RS1, Cl. 1A2, 6/28/471,2,4 | 5,060,145 | 3,744,507 | ||||||
EverBank Mortgage Loan Trust, Commercial Mtg. Pass-Through Certificates, Series 2013-1, Cl. A1, 2.25%, 4/1/43 |
1,203,890 | 1,109,340 | ||||||
First Horizon Alternative Mortgage Securities Trust 2005-FA8, Mtg. Pass-Through Certificates, Series 2005-FA8, Cl. 1A6, 0.829%, 11/25/352 |
4,398,922 | 3,345,117 | ||||||
First Horizon Alternative Mortgage Securities Trust 2005-FA9, Mtg. Pass-Through Certificates, Series 2005-FA9, Cl. A4A, 5.50%, 12/1/35 |
1,658,735 | 1,470,216 | ||||||
First Horizon Alternative Mortgage Securities Trust 2007-FA2, Mtg. Pass-Through Certificates, Series 2007-FA2, Cl. 1A1, 5.50%, 4/1/37 |
1,287,758 | 954,558 |
13 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||
Commercial Continued |
||||||||
First Horizon Alternative Mortgage Securities Trust 2007-FA4, Mtg. Pass-Through Certificates, Series 2007-FA4, Cl. 1A6, 6.25%, 8/1/372 | $ | 5,089,755 | $ | 4,386,367 | ||||
FREMF Mortgage Trust 2013-K25, Commercial Mtg. Pass-Through Certificates, Series 2013-K25, Cl. C, 3.742%, 11/1/452 |
2,850,000 | 2,365,825 | ||||||
FREMF Mortgage Trust 2013-K26, Commercial Mtg. Pass-Through Certificates, Series 2013-K26, Cl. C, 3.723%, 12/1/402,3 |
1,040,000 | 859,711 | ||||||
FREMF Mortgage Trust 2013-K27, Commercial Mtg. Pass-Through Certificates, Series 2013-K27, Cl. C, 3.617%, 1/1/462,3 |
1,630,000 | 1,329,148 | ||||||
FREMF Mortgage Trust 2013-K28, Commercial Mtg. Pass-Through Certificates, Series 2013-K28, Cl. C, 3.614%, 3/1/232,3 |
1,605,000 | 1,309,381 | ||||||
FREMF Mortgage Trust 2013-K29, Commercial Mtg. Pass-Through Certificates, Series 2013-K29, Cl. C, 3.601%, 5/1/462,3 |
2,655,000 | 2,146,368 | ||||||
FREMF Mortgage Trust 2013-K30, Commercial Mtg. Pass-Through Certificates, Series 2013-K30, Cl. C, 3.666%, 6/1/452,3 |
2,490,000 | 1,980,138 | ||||||
FREMF Mortgage Trust 2013-K712, Commercial Mtg. Pass-Through Certificates, Series 2013-K712, Cl. C, 3.483%, 5/1/452,3 |
2,655,000 | 2,366,429 | ||||||
FREMF Mortgage Trust 2013-K713, Commercial Mtg. Pass-Through Certificates, Series 2013-K713, Cl. C, 3.274%, 4/25/202,3 |
740,000 | 629,621 | ||||||
GE Commercial Mortgage Corp., Commercial Mtg. Pass-Through Certificates, Series 2005-C4, Cl. AJ, 5.489%, 11/1/452 |
6,510,000 | 6,307,376 | ||||||
Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2006-GG7, Commercial Mtg. Pass-Through Certificates, Series 2006-GG7, Cl. AJ, 6.056%, 7/10/382 | 8,205,000 | 8,004,572 |
14 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||
Commercial Continued |
||||||||
Greenwich Capital Commercial Funding Corp./Commercial Mortgage Trust 2007-GG11, Commercial Mtg. Pass-Through Certificates, Series 2007-GG11, Cl. AM, 5.867%, 12/1/49 | $ | 5,550,000 | $ | 6,058,957 | ||||
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 | 5,321,821 | ||||||
GS Mortgage Securities Corp. II, Commercial Mtg. Obligations, Series 2011-GC3, Cl. D, 5.728%, 3/1/442,3 |
4,085,000 | 4,002,405 | ||||||
GSR Mortgage Loan Trust 2005-AR4, Mtg. Pass-Through Certificates, Series 2005-AR4, Cl. 6A1, 5.25%, 7/1/35 | 47,858 | 47,592 | ||||||
IndyMac Index Mortgage Loan Trust 2005-AR23, Mtg. Pass-Through Certificates, Series 2005-AR23, Cl. 6A1, 4.706%, 11/1/352 |
1,127,357 | 934,096 | ||||||
JPMBB Commercial Mortgage Securities Trust 2013-C14, Commercial Mtg. Pass-Through Certificates, Series 2013-C14, Cl. D, 4.713%, 8/1/462 | 2,500,000 | 2,142,480 | ||||||
JPMorgan Chase Commercial Mortgage Securities Corp., Commercial Mtg. Pass-Through Certificates: Series 2006-LDP7, Cl. AJ, 6.056%, 4/1/452 |
3,495,000 | 3,506,960 | ||||||
Series 2006-LDP8, Cl. AJ, 5.48%, 5/1/452 | 8,425,000 | 8,719,909 | ||||||
Series 2007-CB15, Cl. AJ, 5.502%, 6/1/47 | 8,281,000 | 7,581,454 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2006-CIBC16, Commercial Mtg. Pass-Through Certificates, Series 2006-CIBC16, Cl. AJ, 5.623%, 5/1/45 | 2,695,000 | 2,523,543 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2007-CB19, Commercial Mtg. Pass-Through Certificates, Series 2007-CB19, Cl. AM, 5.895%, 2/1/492 | 5,850,000 | 6,281,438 | ||||||
JPMorgan Chase Commercial Mortgage Securities Trust 2013-C10, Commercial Mtg. Pass-Through Certificates, Series 2013-C10, Cl. D, 4.30%, 12/15/472 | 3,420,000 | 2,806,871 | ||||||
JPMorgan Mortgage Trust 2006-A7, Mtg. Pass-Through Certificates, Series 2006-A7, Cl. 2A2, 2.728%, 1/1/372 | 234,724 | 199,976 |
15 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||
Commercial Continued |
||||||||
JPMorgan, Re-Securitized Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Series 2009-5, Cl. 1A2, 2.613%, 7/1/362,3 | $ | 5,216,151 | $ | 3,991,879 | ||||
LB-UBS Commercial Mortgage Trust 2006-C3, Commercial Mtg. Pass-Through Certificates, Series 2006-C3, Cl. AJ, 5.72%, 3/11/39 |
4,350,000 | 4,346,990 | ||||||
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 | 6,412,396 | ||||||
LB-UBS Commercial Mortgage Trust 2008-C1, Commercial Mtg. Pass-Through Certificates, Series 2008-C1, Cl. AM, 6.32%, 4/11/412 |
2,610,000 | 2,936,858 | ||||||
Lehman Structured Securities Corp., Mtg.-Backed Security, 6%, 5/1/29 | 1,156 | 232 | ||||||
Merrill Lynch Mortgage Trust 2006-C1, Commercial Mtg. Pass-Through Certificates, Series 2006-C1, Cl. AJ, 5.872%, 5/1/392 |
6,860,000 | 6,965,455 | ||||||
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 | 5,645,962 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6, Commercial Mtg. Pass-Through Certificates, Series 2012-C6, Cl. E, 4.82%, 11/1/452,3 | 2,290,000 | 2,010,984 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7, Commercial Mtg. Pass-Through Certificates, Series 2013-C7, Cl. D, 4.444%, 2/1/462 | 4,250,000 | 3,535,892 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C8, Commercial Mtg. Pass-Through Certificates, Series 2013-C8, Cl. D, 4.312%, 12/1/482 | 2,020,000 | 1,690,274 | ||||||
Morgan Stanley Capital I Trust 2006-HQ10, Commercial Mtg. Pass-Through Certificates, Series 2006-HQ10, Cl. AJ, 5.39%, 11/1/41 |
3,975,000 | 3,963,160 | ||||||
Morgan Stanley Capital I Trust 2007-HQ11, Commercial Mtg. Pass-Through Certificates, Series 2007-HQ11, Cl. AJ, 5.51%, 2/1/44 |
2,115,000 | 2,241,111 |
16 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||
Commercial Continued |
||||||||
Morgan Stanley Capital I Trust 2007-IQ13, Commercial Mtg. Pass-Through Certificates, Series 2007-IQ13, Cl. AM, 5.406%, 3/1/44 |
$ | 765,000 | $ | 821,322 | ||||
Morgan Stanley Capital I Trust 2007-IQ15, Commercial Mtg. Pass-Through Certificates, Series 2007-IQ15, Cl. AM, 6.107%, 6/1/492 |
5,875,000 | 6,323,759 | ||||||
Morgan Stanley Capital I Trust, Commercial Mtg. Pass-Through Certificates, Series 2006-HQ10, Cl. AM, 5.36%, 11/1/41 | 8,500,000 | 9,339,931 | ||||||
Morgan Stanley, Re-Securitized Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Series 2012-R3, Cl. 1A, 2.366%, 11/1/362,3 | 42,072 | 41,594 | ||||||
RALI Series 2005-QA4 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2005-QA4, Cl. A32, 3.222%, 4/25/352 | 87,026 | 12,032 | ||||||
Residential Asset Securitization Trust 2006-A12, Mtg. Pass-Through Certificates, Series 2006-A12, Cl. 1A, 6.25%, 11/1/36 | 564,817 | 435,222 | ||||||
Sequoia Mortgage Trust, Mtg. Pass-Through Certificates, Series 2012-2, Cl. A2, 3.50%, 4/1/42 | 228,547 | 230,237 | ||||||
STARM Mortgage Loan Trust 2007-1, Mtg. Pass-Through Certificates, Series 2007-1, Cl. 2A1, 5.74%, 2/1/372 | 6,541,157 | 5,433,759 | ||||||
Structured Adjustable Rate Mortgage Loan Trust 2004-10, Commercial Mtg. Pass-Through Certificates, Series 2004-10, Cl. 2A, 2.426%, 8/1/342 | 7,075,657 | 6,828,186 | ||||||
Structured Adjustable Rate Mortgage Loan Trust 2006-4, Commercial Mtg. Pass-Through Certificates, Series 2006-4, Cl. 6A, 5.168%, 5/1/362 | 1,864,503 | 1,570,762 | ||||||
Structured Adjustable Rate Mortgage Loan Trust 2007-6, Mtg. Pass-Through Certificates, Series 2007-6, Cl. 3A1, 4.689%, 7/1/372 |
5,493,254 | 4,512,362 | ||||||
UBS-Barclays Commercial Mortgage Trust 2012-C2, Commercial Mtg. Pass-Through Certificates, Series 2012-C2, Cl. E, 5.049%, 5/1/632,3 |
1,415,000 | 1,232,751 |
17 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||
Commercial Continued |
||||||||
UBS-Barclays Commercial Mortgage Trust 2013-C5, Commercial Mtg. Pass-Through Certificates, Series 2013-C5, Cl. D, 4.232%, 3/1/462 |
$ | 4,200,000 | $ | 3,446,184 | ||||
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 | 4,802,794 | ||||||
Wachovia Bank Commercial Mortgage Trust 2006-C25, Commercial Mtg. Pass-Through Certificates, Series 2006-C25, Cl. AJ, 5.915%, 5/1/432 | 5,315,000 | 5,467,232 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-OA3 Trust, Mtg. Pass-Through Certificates, Series 2007-OA3, Cl. 5A, 2.204%, 4/1/472 |
608,443 | 403,042 | ||||||
Wells Fargo Mortgage-Backed Securities 2004-W Trust, Mtg. Pass-Through Certificates, Series 2004-W, Cl. B2, 2.701%, 11/1/342 |
162,503 | 6,633 | ||||||
Wells Fargo Mortgage-Backed Securities 2005-AR1 Trust, Mtg. Pass-Through Certificates, Series 2005-AR1, Cl. 1A1, 2.611%, 2/1/352 |
2,849,546 | 2,848,041 | ||||||
Wells Fargo Mortgage-Backed Securities 2005-AR15 Trust, Mtg. Pass-Through Certificates, Series 2005-AR15, Cl. 1A6, 2.613%, 9/1/352 |
5,804,414 | 5,439,526 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-8 Trust, Mtg. Pass-Through Certificates, Series 2006-8, Cl. A15, 6%, 7/1/36 |
3,271,921 | 3,124,646 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR7 Trust, Mtg. Pass-Through Certificates, Series 2006-AR7, Cl. 2A4, 2.616%, 5/1/362 |
2,253,907 | 2,082,693 | ||||||
Wells Fargo Mortgage-Backed Securities 2007-AR3 Trust, Mtg. Pass-Through Certificates, Series 2007-AR3, Cl. A4, 5.699%, 4/1/372 |
1,501,866 | 1,428,280 | ||||||
WFRBS Commercial Mortgage Trust 2011-C3, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2011-C3, Cl. XA, 3.332%, 3/1/447 | 5,927,471 | 423,144 | ||||||
WFRBS Commercial Mortgage Trust 2012-C10, Commercial Mtg. Pass-Through Certificates, Series 2012-C10, Cl. D, 4.609%, 12/1/452,3 |
1,165,000 | 1,012,988 |
18 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||
Commercial Continued |
||||||||
WFRBS Commercial Mortgage Trust 2012-C7, Commercial Mtg. Pass-Through Certificates, Series 2012-C7, Cl. E, 5.004%, 6/1/452,3 |
$ | 2,040,000 | $ | 1,806,543 | ||||
WFRBS Commercial Mortgage Trust 2012-C8, Commercial Mtg. Pass-Through Certificates, Series 2012-C8, Cl. D, 5.042%, 8/1/452,3 |
2,275,000 | 2,047,863 | ||||||
WFRBS Commercial Mortgage Trust 2013-C11, Commercial Mtg. Pass-Through Certificates, Series 2013-C11, Cl. D, 4.324%, 3/1/452,3 |
1,168,000 | 966,587 | ||||||
WFRBS Commercial Mortgage Trust 2013-C15, Commercial Mtg. Pass-Through Certificates, Series 2013-C15, Cl. D, 4.636%, 8/1/462 |
3,150,000 | 2,672,906 | ||||||
325,500,898 | ||||||||
Multifamily0.8% |
||||||||
Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates, Series 2006-2, Cl. AJ, 5.959%, 5/1/452 |
4,295,000 | 4,521,778 | ||||||
CHL Mortgage Pass-Through Trust 2006-20, Mtg. Pass-Through Certificates, Series 2006-20, Cl. 1A17, 5.75%, 2/1/37 |
1,940,630 | 1,701,736 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2006-AR3, Mtg. Pass-Through Certificates, Series 2006-AR3, Cl. 1A2A, 5.458%, 6/1/362 |
4,313,452 | 3,992,527 | ||||||
Countrywide Alternative Loan Trust 2006-24CB, Mtg. Pass-Through Certificates, Series 2006-24CB, Cl. A12, 5.75%, 6/1/36 |
1,643,933 | 1,336,979 | ||||||
JPMorgan Mortgage Trust 2007-A3, Mtg. Pass-Through Certificates, Series 2007-A3, Cl. 3A2M, 4.807%, 5/1/372 | 3,351,341 | 3,174,411 | ||||||
Wells Fargo Mortgage-Backed Securities 2005-AR15 Trust, Mtg. Pass-Through Certificates, Series 2005-AR15, Cl. 1A2, 2.613%, 9/1/352 |
308,791 | 300,298 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR2 Trust, Mtg. Pass-Through Certificates, Series 2006-AR2, Cl. 2A3, 2.642%, 3/1/362 |
4,703,165 | 4,663,305 | ||||||
19,691,034 |
19 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||
Residential3.2% |
||||||||
Argent Securities Trust 2004-W8, Asset-Backed Pass-Through Certificates, Series 2004-W8, Cl. A2, 1.139%, 5/25/342 | $ | 848,365 | $ | 817,165 | ||||
Banc of America Commercial Mortgage, Inc., Commercial Mtg. Pass-Through Certificates: Series 2007-1, Cl. 1A3, 6%, 1/1/37 |
1,731,159 | 1,529,280 | ||||||
Series 2007-4, Cl. AM, 6.001%, 2/1/512 | 4,760,000 | 5,226,927 | ||||||
Banc of America Funding 2007-C Trust, Mtg. Pass-Through Certificates, Series 2007-C, Cl. 1A4, 5.405%, 5/1/362 | 1,564,171 | 1,525,832 | ||||||
Bear Stearns ARM Trust 2004-2, Mtg. Pass-Through Certificates, Series 2004-2, Cl. 12A2, 2.739%, 5/1/342 | 2,032,381 | 1,982,531 | ||||||
CHL Mortgage Pass-Through Trust 2005-29, Mtg. Pass-Through Certificates, Series 2005-29, Cl. A1, 5.75%, 12/1/35 | 4,251,687 | 3,909,898 | ||||||
CHL Mortgage Pass-Through Trust 2005-J4, Mtg. Pass-Through Certificates, Series 2005-J4, Cl. A7, 5.50%, 11/1/35 | 1,478,808 | 1,516,320 | ||||||
CHL Mortgage Pass-Through Trust 2006-6, Mtg. Pass-Through Certificates, Series 2006-6, Cl. A3, 6%, 4/1/36 | 359,122 | 332,027 | ||||||
CHL Mortgage Pass-Through Trust 2007-15, Mtg. Pass-Through Certificates, Series 2007-15, Cl. 1A29, 6.25%, 9/1/37 | 3,210,123 | 2,953,021 | ||||||
CHL Mortgage Pass-Through Trust 2007-HY3, Mtg. Pass-Through Certificates, Series 2007-HY3, Cl. 1A1, 2.758%, 6/1/472 | 1,813,102 | 1,595,767 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2005-2, Mtg. Pass-Through Certificates, Series 2005-2, Cl. 1A3, 2.69%, 5/1/352 | 1,949,601 | 1,933,860 | ||||||
Citigroup Mortgage Loan Trust, Inc. 2005-3, Mtg. Pass-Through Certificates, Series 2005-3, Cl. 2A4, 2.86%, 8/1/352 | 3,649,334 | 3,115,221 | ||||||
Citigroup, Inc./Deutsche Bank 2007-CD4 Commercial Mortgage Trust, Commercial Mtg. Pass-Through Certificates, Series 2007-CD4, Cl. AMFX, 5.366%, 12/1/49 | 8,565,000 | 8,650,620 | ||||||
Countrywide Alternative Loan Trust 2006-43CB, Mtg. Pass-Through Certificates, Series 2006-43CB, Cl.1A10, 6%, 2/1/37 |
7,583,445 | 6,048,654 |
20 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||
Residential Continued |
||||||||
Countrywide Alternative Loan Trust 2007-19, Mtg. Pass-Through Certificates, Series 2007-19, Cl. 1A4, 6%, 8/1/37 | $ | 1,987,089 | $ | 1,567,320 | ||||
Countrywide Home Loans, Asset-Backed Certificates, Series 2005-16, Cl. 2AF2, 5.071%, 5/1/362 | 512,313 | 507,628 | ||||||
CSMC Mortgage-Backed Trust 2007-3, Mtg. Pass-Through Certificates, Series 2007-3, Cl. 2A10, 6%, 4/1/37 | 1,897,951 | 1,645,529 | ||||||
CWABS Asset-Backed Certificates Trust 2006-25, Asset-Backed Certificates, Series 2006-25, Cl. 2A2, 0.299%, 6/25/472 | 549,916 | 549,079 | ||||||
CWHEQ Revolving Home Equity Loan Trust, Asset-Backed Certificates: Series 2005-G, Cl. 2A, 0.412%, 12/15/352 |
131,147 | 100,533 | ||||||
Series 2006-H, Cl. 2A1A, 0.332%, 11/15/362 | 58,700 | 32,864 | ||||||
GSR Mortgage Loan Trust 2006-5F, Mtg. Pass-Through Certificates, Series 2006-5F, Cl. 2A1, 6%, 6/1/36 | 454,098 | 443,954 | ||||||
Home Equity Mortgage Trust 2005-1, Mtg. Pass-Through Certificates, Series 2005-1, Cl. M6, 5.863%, 6/1/35 | 1,042,985 | 1,068,570 | ||||||
JPMorgan Alternative Loan Trust 2006-S4, Mtg. Pass-Through Certificates, Series 2006-S4, Cl. A6, 5.71%, 12/1/36 | 254,497 | 238,643 | ||||||
Mastr Asset-Backed Securities Trust 2006-WMC3, Mtg. Pass-Through Certificates, Series 2006-WMC3, Cl. A3, 0.279%, 8/25/362 | 1,089,687 | 486,453 | ||||||
Merrill Lynch Mortgage Investors Trust 2006-3, Mtg. Pass-Through Certificates, Series MLCC 2006-3, Cl. 2A1, 2.378%, 10/25/362 | 1,323,712 | 1,265,457 | ||||||
NC Finance Trust, Series 1999-I, Cl. D, 3.405%, 1/25/291,6 | 66,744 | 4,338 | ||||||
RALI Series 2006-QS13 Trust, Mtg. Asset-Backed Pass-Through Certificates: Series 2006-QS13, Cl. 1A5, 6%, 9/25/36 |
1,481,268 | 1,158,711 | ||||||
Series 2006-QS13, Cl. 1A8, 6%, 9/1/36 | 29,609 | 23,161 | ||||||
RALI Series 2007-QS6 Trust, Mtg. Asset-Backed Pass-Through Certificates, Series 2007-QS6, Cl. A28, 5.75%, 4/25/37 | 698,479 | 557,711 |
21 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||
Residential Continued |
||||||||
Residential Asset Securitization Trust 2005-A14, Mtg. Pass-Through Certificates, Series 2005-A14, Cl. A1, 5.50%, 12/1/35 | $ | 2,838,315 | $ | 2,566,053 | ||||
Residential Asset Securitization Trust 2005-A15, Mtg. Pass-Through Certificates, Series 2005-A15, Cl. 1A4, 5.75%, 2/1/36 | 3,028,949 | 2,745,064 | ||||||
Residential Asset Securitization Trust 2005-A6CB, Mtg. Pass-Through Certificates, Series 2005-A6CB, Cl. A7, 6%, 6/1/35 | 3,673,469 | 3,541,043 | ||||||
Terwin Mortgage Trust, Home Equity Asset-Backed Securities, Series 2006-4SL, Cl. A1, 2.244%, 5/1/372,3,9 | 151,268 | 71,613 | ||||||
WaMu Mortgage Pass-Through Certificates 2005-AR12 Trust, Mtg. Pass-Through Certificates, Series 2007-AR12, Cl. 1A8, 2.373%, 10/1/352 | 1,963,571 | 1,861,911 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY1 Trust, Mtg. Pass-Through Certificates: Series 2007-HY1, Cl. 4A1, 2.539%, 2/1/372 |
10,650,862 | 9,202,409 | ||||||
Series 2007-HY1, Cl. 5A1, 2.489%, 2/1/372 | 6,488,367 | 5,307,108 | ||||||
WaMu Mortgage Pass-Through Certificates 2007-HY5 Trust, Mtg. Pass-Through Certificates, Series 2007-HY5, Cl. 3A1, 4.891%, 5/1/372 | 759,124 | 723,792 | ||||||
Wells Fargo Mortgage-Backed Securities 2005-9 Trust, Mtg. Pass-Through Certificates, Series 2005-9, Cl. 2A6, 5.25%, 10/25/35 | 304,650 | 314,446 | ||||||
Wells Fargo Mortgage-Backed Securities 2006-AR14 Trust, Mtg. Pass-Through Certificates, Series 2006-AR14, Cl. 1A2, 5.589%, 10/1/362 | 2,408,931 | 2,325,426 | ||||||
79,445,939 | ||||||||
Total Mortgage-Backed Obligations (Cost $595,066,038)
|
|
609,668,560
|
| |||||
U.S. Government Obligations9.3% |
||||||||
Federal Home Loan Mortgage Corp. Nts.: 0.875%, 3/7/18 |
8,718,000 | 8,528,514 | ||||||
1.375%, 5/1/20 | 11,644,000 | 11,102,170 | ||||||
2.375%, 1/13/22 | 1,113,000 | 1,085,740 | ||||||
Federal National Mortgage Assn. Nts.: 0.375%, 7/5/16 |
844,000 | 837,102 | ||||||
1.25%, 1/30/17 | 1,406,000 | 1,422,924 |
22 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||||||
U.S. Government Obligations Continued |
||||||||||||
1.375%, 11/15/16 | $ | 2,250,000 | $ | 2,289,229 | ||||||||
1.625%, 11/27/184 | 4,786,000 | 4,772,939 | ||||||||||
1.875%, 9/18/18 | 4,187,000 | 4,239,266 | ||||||||||
U.S. Treasury Bills: 0.03%, 10/10/13 |
605,000 | 604,995 | ||||||||||
0.063%, 10/31/1310 | 18,250,000 | 18,249,544 | ||||||||||
0.016%, 11/14/13 | 225,000 | 224,994 | ||||||||||
0.048%, 11/7/1311 | 11,675,000 | 11,674,743 | ||||||||||
0.007%, 12/12/13 | 1,680,000 | 1,679,983 | ||||||||||
U.S. Treasury Bonds, STRIPS, 4.833%, 2/15/1612 | 2,116,000 | 2,094,362 | ||||||||||
U.S. Treasury Nts., 0.25%, 7/31/1511 | 160,700,000 | 160,602,777 | ||||||||||
Total U.S. Government Obligations (Cost $229,527,308)
|
|
229,409,282
|
| |||||||||
Foreign Government Obligations24.1% |
||||||||||||
Angola0.2% |
||||||||||||
Angola (Republic of) Sr. Unsec. Nts., 7%, 8/16/19 | 3,655,000 | 3,933,694 | ||||||||||
Australia0.5% |
||||||||||||
New South Wales Treasury Corp. Sr. Unsec. Nts., Series 19, 6%, 4/1/19 | 460,000 | AUD | 478,357 | |||||||||
Queensland Treasury Corp. Nts.: Series 21, 6%, 6/14/21 |
3,960,000 | AUD | 4,144,274 | |||||||||
Series 22, 6%, 7/21/22 | 195,000 | AUD | 200,286 | |||||||||
Series 33, 6.50%, 3/14/33 | 2,770,000 | AUD | 2,909,698 | |||||||||
Queensland Treasury Corp. Sr. Unsec. Nts., Series 19, 6.25%, 6/14/19 | 580,000 | AUD | 610,088 | |||||||||
Victoria Treasury Corp., Series 1224, 5.50%, 12/17/24 | 540,000 | AUD | 542,561 | |||||||||
Victoria Treasury Corp. Nts., 5.50%, 11/17/26 | 2,525,000 | AUD | 2,514,784 | |||||||||
Western Australia Treasury Corp. Unsec. Nts., 7%, 10/15/19 | 220,000 | AUD | 237,944 | |||||||||
|
11,637,992
|
| ||||||||||
Belgium0.2% |
||||||||||||
Belgium (Kingdom of) Bonds: Series 58, 3.75%, 9/28/20 |
2,955,000 | EUR | 4,480,872 | |||||||||
Series 60, 4.25%, 3/28/41 | 150,000 | EUR | 227,468 | |||||||||
|
4,708,340
|
| ||||||||||
Bolivia0.0% |
||||||||||||
Bolivia (Plurinational State of) Unsec. Bonds, 4.875%, 10/29/22 | 360,000 | 327,150 | ||||||||||
Brazil3.3% |
||||||||||||
Brazil (Federative Republic of) Letra Tesouro Nacional Nts.: 9.073%, 1/1/1412 |
57,310,000 | BRR | 25,268,582 | |||||||||
9.371%, 7/1/1412 | 42,775,000 | BRR | 18,000,723 |
23 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||||||
Brazil Continued |
||||||||||||
Brazil (Federative Republic of) Nota Do Tesouro Nacional Nts.: 9.762%, 1/1/14 |
15,580,000 | BRR | $ | 7,031,214 | ||||||||
9.762%, 1/1/17 | 13,765,000 | BRR | 6,004,970 | |||||||||
9.762%, 1/1/21 | 27,720,000 | BRR | 11,612,235 | |||||||||
13.505%, 5/15/4513 | 2,845,000 | BRR | 3,013,824 | |||||||||
Series NTNB, 13.288%, 8/15/5013 | 2,640,000 | BRR | 2,781,293 | |||||||||
Brazil (Federative Republic of) Nota Do Tesouro Nacional Unsec. Bonds, 9.762%, 1/1/18 | 10,795,000 | BRR | 4,652,273 | |||||||||
Brazil (Federative Republic of) Sr. Unsec. Unsub. Nts., 4.875%, 1/22/21 | 1,707,000 | 1,841,426 | ||||||||||
Brazil Minas SPE Sec. Bonds, 5.333%, 2/15/283 | 1,720,000 | 1,664,100 | ||||||||||
|
81,870,640
|
| ||||||||||
Canada0.1% |
||||||||||||
Canada (Government of) Nts., 3.75%, 6/1/19 | 2,145,000 | CAD | 2,276,068 | |||||||||
Canada (Government of) Treasury Bills, 1.042%, 12/5/1312 | 960,000 | CAD | 930,372 | |||||||||
|
3,206,440
|
| ||||||||||
Colombia0.4% |
||||||||||||
Colombia (Republic of) Sr. Nts., 7.375%, 3/18/19 | 2,665,000 | 3,240,640 | ||||||||||
Colombia (Republic of) Sr. Unsec. Bonds, 6.125%, 1/18/41 | 430,000 | 471,925 | ||||||||||
Colombia (Republic of) Sr. Unsec. Nts.: 4%, 2/26/24 |
1,490,000 | 1,463,925 | ||||||||||
Series B, 7%, 5/4/22 | 4,397,000,000 | COP | 2,329,410 | |||||||||
Series B, 10%, 7/24/24 | 399,000,000 | COP | 260,504 | |||||||||
Colombia (Republic of) Unsec. Bonds, 8.125%, 5/21/24 | 970,000 | 1,257,363 | ||||||||||
Colombia (Republic of) Unsec. Nts., 7.375%, 1/27/17 | 620,000 | 724,780 | ||||||||||
|
9,748,547
|
| ||||||||||
Costa Rica0.0% |
||||||||||||
Costa Rica (Republic of) Sr. Unsec. Bonds, 4.375%, 4/30/253 | 240,000 | 210,600 | ||||||||||
Croatia0.2% |
||||||||||||
Croatia (Republic of) Unsec. Nts.: 5.50%, 4/4/233 |
2,865,000 | 2,757,563 | ||||||||||
6.25%, 4/27/173 | 1,420,000 | 1,495,714 | ||||||||||
6.375%, 3/24/213 | 700,000 | 726,425 | ||||||||||
6.75%, 11/5/193 | 685,000 | 733,806 | ||||||||||
|
5,713,508
|
|
24 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||||||
Denmark0.1% |
||||||||||||
Denmark (Kingdom of) Bonds, 4%, 11/15/19 | 6,445,000 | DKK | $ | 1,365,526 | ||||||||
Dominican Republic0.1% |
||||||||||||
Banco De Reservas De La Republica Dominicana Bonds, 7%, 2/1/233 | 1,090,000 | 1,040,950 | ||||||||||
Dominican Republic Sr. Unsec. Bonds, 5.875%, 4/18/243 | 1,210,000 | 1,128,325 | ||||||||||
|
2,169,275
|
| ||||||||||
Finland0.1% |
||||||||||||
Finland (Republic of) Sr. Unsec. Nts., 1.50%, 4/15/233 | 875,000 | EUR | 1,132,582 | |||||||||
Finland (Republic of) Unsec. Bonds, 1.625%, 9/15/22 | 600,000 | EUR | 793,725 | |||||||||
|
1,926,307
|
| ||||||||||
France0.3% |
||||||||||||
France (Republic of) Bonds: 2.75%, 10/25/27 |
745,000 | EUR | 990,726 | |||||||||
3.75% 10/25/19 | 1,380,000 | EUR | 2,120,452 | |||||||||
4.50%, 4/25/41 | 1,740,000 | EUR | 2,824,971 | |||||||||
France (Republic of) Unsec. Nts., 2.25%, 10/25/22 | 1,915,000 | EUR | 2,600,766 | |||||||||
|
8,536,915
|
| ||||||||||
Germany0.6% |
||||||||||||
Germany (Federal Republic of) Bonds, 2.50%, 7/4/44 | 1,065,000 | EUR | 1,411,754 | |||||||||
Germany (Federal Republic of) Unsec. Bonds: 0.25%, 4/13/18 |
2,895,000 | EUR | 3,842,719 | |||||||||
1.50%, 5/15/23 | 3,545,000 | EUR | 4,696,557 | |||||||||
Series 153, 4%, 10/11/13 | 3,075,000 | EUR | 4,163,035 | |||||||||
|
14,114,065
|
| ||||||||||
Guatemala0.0% |
||||||||||||
Guatemala (Republic of) Sr. Unsec. Bonds, 4.875%, 2/13/283 | 1,190,000 | 1,094,800 | ||||||||||
Hungary1.9% |
||||||||||||
Hungary Bonds: 6.75%, 11/24/17 |
486,000,000 | HUF | 2,364,623 | |||||||||
Series 19/A, 6.50%, 6/24/19 | 510,000,000 | HUF | 2,466,385 | |||||||||
Series 20/A, 7.50%, 11/12/20 | 280,000,000 | HUF | 1,429,150 | |||||||||
Series 23A, 6%, 11/24/23 | 555,200,000 | HUF | 2,563,819 | |||||||||
Hungary Sr. Unsec. Bonds, 7.625%, 3/29/41 | 135,000 | 145,125 | ||||||||||
Hungary Sr. Unsec. Nts., 5.75%, 6/11/18 | 330,000 | EUR | 468,763 |
25 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||||||
Hungary Continued |
||||||||||||
Hungary Sr. Unsec. Unsub. Nts., 6.375%, 3/29/21 | $ | 3,215,000 | $ | 3,436,031 | ||||||||
Hungary Treasury Bills: 3.522%, 4/30/1412 |
2,468,000,000 | HUF | 10,997,978 | |||||||||
3.559%, 1/8/1412 | 823,000,000 | HUF | 3,725,692 | |||||||||
Series 3M, 3.538%, 12/27/1312 | 588,000,000 | HUF | 2,651,999 | |||||||||
Series 12M, 3.512%, 3/5/1412 | 1,176,000,000 | HUF | 5,293,598 | |||||||||
Hungary Unsec. Bonds: 5.375%, 2/21/23 |
2,365,000 | 2,311,788 | ||||||||||
5.50%, 12/20/18 | 1,244,000,000 | HUF | 5,766,056 | |||||||||
Series 16/D, 5.50%, 12/22/16 | 442,000,000 | HUF | 2,076,284 | |||||||||
|
45,697,291
|
| ||||||||||
Indonesia0.3% |
||||||||||||
Indonesia (Republic of) Sr. Unsec. Bonds: 4.875%, 5/5/213 |
2,005,000 | 1,994,975 | ||||||||||
5.375%, 10/17/233 | 2,260,000 | 2,260,000 | ||||||||||
Indonesia (Republic of) Sr. Unsec. Nts.: 4%, 11/21/183 |
2,145,000 | 2,086,013 | ||||||||||
11.625%, 3/4/193 | 445,000 | 595,744 | ||||||||||
Indonesia (Republic of) Unsec. Nts., 6.125%, 3/15/193 | 1,335,000 | 1,398,413 | ||||||||||
|
8,335,145
|
| ||||||||||
Italy0.6% |
||||||||||||
Italy (Republic of) Bonds: 4%, 9/1/20 |
1,600,000 | EUR | 2,200,060 | |||||||||
4.50%, 3/1/19 | 3,730,000 | EUR | 5,300,457 | |||||||||
5%, 3/1/22 | 300,000 | EUR | 429,719 | |||||||||
5%, 9/1/40 | 1,200,000 | EUR | 1,609,134 | |||||||||
Series EU, 1.129%, 10/15/172 | 730,000 | EUR | 935,853 | |||||||||
Italy (Republic of) Sr. Unsec. Nts., 4.50%, 6/8/15 | 141,000,000 | JPY | 1,500,552 | |||||||||
Italy (Republic of) Treasury Bills, 0.4461%, 10/31/13 | 440,000 | EUR | 595,036 | |||||||||
Italy (Republic of) Treasury Bonds: 3.50%, 11/1/17 |
645,000 | EUR | 887,217 | |||||||||
4.75%, 5/1/17 | 805,000 | EUR | 1,157,088 | |||||||||
4.75%, 9/1/44 | 600,000 | EUR | 765,893 | |||||||||
|
15,381,009
|
| ||||||||||
Ivory Coast0.2% |
||||||||||||
Ivory Coast Bonds, 5.75%, 12/31/32 | 5,625,000 | 4,992,188 |
26 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||||||
Japan1.1% |
||||||||||||
Japan Bonds: 10 yr., 1.10%, 3/20/21 |
491,000,000 | JPY | $ | 5,223,472 | ||||||||
10 yr., Series 329, 0.80%, 6/20/23 | 89,000,000 | JPY | 916,574 | |||||||||
20 yr., Series 112, 2.10%, 6/20/29 | 421,000,000 | JPY | 4,814,857 | |||||||||
20 yr., Series 134, 1.80%, 3/20/32 | 267,000,000 | JPY | 2,849,994 | |||||||||
30 yr., 2%, 3/20/42 | 522,000,000 | JPY | 5,673,016 | |||||||||
30 yr., Series 39, 1.90%, 6/20/43 | 30,000,000 | JPY | 318,546 | |||||||||
Japan Sr. Unsec. Bonds: Series 38, 1.80%, 3/20/43 |
90,000,000 | JPY | 934,913 | |||||||||
Series 143, 1.60%, 3/20/33 | 411,000,000 | JPY | 4,213,880 | |||||||||
Series 328, 0.60%, 3/20/23 | 299,000,000 | JPY | 3,027,415 | |||||||||
Japan Sr. Unsec. Nts., 2.30%, 3/19/18 | 395,000 | CAD | 380,677 | |||||||||
|
28,353,344
|
| ||||||||||
Kazakhstan0.0% |
||||||||||||
Development Bank of Kazakhstan Sr. Unsec. Bonds, 4.125%, 12/10/223 | 770,000 | 714,175 | ||||||||||
Korea, Republic of South0.0% |
||||||||||||
Korea Housing Finance Corp. Sec. Nts., 1.625%, 9/15/183 | 790,000 | 746,370 | ||||||||||
Latvia0.0% |
||||||||||||
Latvia (Republic of) Sr. Unsec. Nts., 5.25%, 6/16/213 | 930,000 | 1,010,213 | ||||||||||
Lithuanua0.2% |
||||||||||||
Lithuania (Republic of) Sr. Unsec. Bonds, 6.625%, 2/1/223 | 1,840,000 | 2,164,300 | ||||||||||
Lithuania (Republic of) Sr. Unsec. Nts., 6.125%, 3/9/213 | 1,990,000 | 2,281,038 | ||||||||||
|
4,445,338
|
| ||||||||||
Malaysia0.4% |
||||||||||||
Central Bank of Malaysia Treasury Bills: Series 0213, 2.975%, 1/9/1412 |
7,790,000 | MYR | 2,370,289 | |||||||||
Series 0413, 2.974%, 1/16/1412 | 15,580,000 | MYR | 4,737,830 | |||||||||
Series 2513, 2.953%, 12/5/1312 | 3,895,000 | MYR | 1,188,757 | |||||||||
Malaysia (Government of) Sr. Unsec. Bonds, Series 1/06, 4.262%, 9/15/16 | 2,435,000 | MYR | 764,571 | |||||||||
|
9,061,447
|
| ||||||||||
Mexico5.3% |
||||||||||||
United Mexican States Bonds: 7.50%, 4/8/33 |
325,000 | 414,375 | ||||||||||
Series M, 5%, 6/15/172 | 41,100,000 | MXN | 3,202,594 | |||||||||
Series M, 6.50%, 6/9/222 | 83,700,000 | MXN | 6,636,679 | |||||||||
Series M20, 7.50%, 6/3/272 | 51,700,000 | MXN | 4,331,946 | |||||||||
Series M10, 7.75%, 12/14/17 | 22,135,000 | MXN | 1,891,994 | |||||||||
Series MI10, 8%, 12/19/13 | 237,800,000 | MXN | 18,355,591 |
27 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||||||
MexicoContinued | ||||||||||||
Series M20, 8.50%, 5/31/292 | 40,740,000 | MXN | $ | 3,641,196 | ||||||||
United Mexican States Nts., 6.75%, 9/27/34 | 855,000 | 1,017,450 | ||||||||||
United Mexican States Treasury Bills: 3.67%, 3/20/1412 |
235,000,000 | MXN | 17,649,551 | |||||||||
3.777%, 12/11/1312 | 308,300,000 | MXN | 23,387,179 | |||||||||
3.803%, 11/14/1312 | 56,355,000 | MXN | 4,286,071 | |||||||||
3.81%, 10/31/1312 | 142,655,000 | MXN | 10,864,754 | |||||||||
3.826%, 10/3/1312 | 156,600,000 | MXN | 11,960,199 | |||||||||
3.982%, 11/7/1312 | 63,900,000 | MXN | 4,858,441 | |||||||||
3.99%, 2/6/1412 | 39,700,000 | MXN | 2,994,325 | |||||||||
3.993%, 1/23/1412 | 31,600,000 | MXN | 2,386,845 | |||||||||
United Mexican States Unsec. Bonds: 3.646%, 3/6/1412 |
127,470,000 | MXN | 9,586,130 | |||||||||
Series M, 7%, 6/19/142 | 38,800,000 | MXN | 3,046,726 | |||||||||
|
130,512,046
|
| ||||||||||
Morocco0.1% |
||||||||||||
Morocco (Kingdom of) Sr. Unsec. Nts., 4.25%, 12/11/223 | 1,405,000 | 1,285,856 | ||||||||||
Nigeria0.3% |
||||||||||||
Nigeria (Federal Republic of) Sr. Unsec. Bonds, 5.125%, 7/12/183 | 865,000 | 880,138 | ||||||||||
Nigeria (Federal Republic of) Treasury Bills: 11.235%, 1/23/1412 |
166,000,000 | NGN | 993,894 | |||||||||
11.835%, 10/24/1312 | 42,000,000 | NGN | 258,630 | |||||||||
11.851%, 10/10/1312 | 32,000,000 | NGN | 198,290 | |||||||||
Nigeria (Federal Republic of) Treasury Bonds: 7%, 10/23/19 |
214,000,000 | NGN | 994,796 | |||||||||
16%, 6/29/19 | 219,000,000 | NGN | 1,507,030 | |||||||||
16.39%, 1/27/22 | 231,000,000 | NGN | 1,657,643 | |||||||||
|
6,490,421
|
| ||||||||||
Panama0.1% |
||||||||||||
Panama (Republic of) Bonds: 6.70%, 1/26/36 |
1,105,000 | 1,267,988 | ||||||||||
8.875%, 9/30/27 | 480,000 | 663,600 | ||||||||||
9.375%, 4/1/29 | 480,000 | 687,600 | ||||||||||
|
2,619,188
|
| ||||||||||
Paraguay0.0% |
||||||||||||
Paraguay (Republic of) Sr. Unsec. Bonds, 4.625%, 1/25/233 | 380,000 | 348,650 | ||||||||||
Peru0.3% |
||||||||||||
El Fondo MIVIVIENDA SA, 3.50% Unsec. Nts., 1/31/233 | 1,110,000 | 968,475 |
28 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||||||
Peru (Republic of) Sr. Unsec. Bonds, 8.20%, 8/12/263 | 6,795,000 | PEN | $ | 2,974,527 | ||||||||
Peru (Republic of) Sr. Unsec. Nts.: 6.55%, 3/14/37 |
875,000 | 1,039,063 | ||||||||||
7.84%, 8/12/203 | 6,380,000 | PEN | 2,657,585 | |||||||||
|
7,639,650
|
| ||||||||||
Philippines0.2% |
||||||||||||
Philippines (Republic of the) Sr. Unsec. Bonds, 6.375%, 1/15/32 | 1,600,000 | 1,880,000 | ||||||||||
Philippines (Republic of the) Sr. Unsec. Unsub. Bonds, 6.375%, 10/23/34 | 1,590,000 | 1,878,188 | ||||||||||
|
3,758,188
|
| ||||||||||
Poland0.4% |
||||||||||||
Poland (Republic of) Bonds: Series 0415, 5.50%, 4/25/15 |
2,200,000 | PLZ | 730,825 | |||||||||
Series 1017, 5.25%, 10/25/17 | 3,050,000 | PLZ | 1,033,324 | |||||||||
Poland (Republic of) Sr. Unsec. Bonds, 3%, 3/17/23 | 1,130,000 | 1,037,905 | ||||||||||
Poland (Republic of) Sr. Unsec. Nts.: 5%, 3/23/22 |
1,085,000 | 1,169,630 | ||||||||||
5.125%, 4/21/21 | 1,875,000 | 2,043,750 | ||||||||||
Poland (Republic of) Unsec. Bonds, Series 429, 5.75%, 4/25/29 | 9,460,000 | PLZ | 3,364,808 | |||||||||
|
9,380,242
|
| ||||||||||
Portugal0.1% |
||||||||||||
Portugal (Republic of) Sr. Unsec. Bonds, 4.10%, 4/15/37 | 760,000 | EUR | 710,710 | |||||||||
Portugal (Republic of) Sr. Unsec. Nts., 4.75%, 6/14/19 | 140,000 | EUR | 175,188 | |||||||||
Portugal (Republic of) Sr. Unsec. Unsub. Bonds., 4.35%, 10/16/17 | 2,200,000 | EUR | 2,820,032 | |||||||||
|
3,705,930
|
| ||||||||||
Romania0.1% |
||||||||||||
Romania Sr. Unsec. Bonds, 6.75%, 2/7/223 | 1,960,000 | 2,242,142 | ||||||||||
Russia1.7% |
||||||||||||
AHML Finance Ltd. Unsec. Nts., 7.75%, 2/13/183 | 44,700,000 | RUR | 1,349,077 | |||||||||
Russian Federation Bonds: 7.50%, 3/15/182 |
138,400,000 | RUR | 4,419,839 | |||||||||
7.50%, 2/27/192 | 183,000,000 | RUR | 5,832,855 | |||||||||
7.60%, 4/14/212 | 196,000,000 | RUR | 6,254,772 | |||||||||
Russian Federation Sr. Unsec. Bonds: 5.875%, 9/16/433 |
905,000 | 938,938 | ||||||||||
Series 6211, 7%, 1/25/232 | 317,300,000 | RUR | 9,694,829 |
29 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||||||
Russian Federation Sr. Unsec. Nts., 4.875%, 9/16/233 | $ | 1,335,000 | $ | 1,368,375 | ||||||||
Russian Federation Unsec. Bonds: Series 9, 7.90%, 3/18/212 |
33,200,000 | RUR | 1,030,279 | |||||||||
Series 6209, 7.60%, 7/20/222 | 140,700,000 | RUR | 4,466,150 | |||||||||
Vnesheconombank Sr. Unsec. Bonds, Series 18, 8.55%, 9/17/322 | 36,100,000 | RUR | 1,138,657 | |||||||||
Vnesheconombank Via VEB Finance plc, Sr. Unsec. Unsub. Nts., 5.45%, 11/22/173 | 1,535,000 | 1,636,464 | ||||||||||
Vnesheconombank Via VEB Finance plc Sr. Unsec. Unsub. Nts., 6.902%, 7/9/203 | 2,880,000 | 3,168,144 | ||||||||||
Vnesheconombank via VEB Finance plc, Sr. Unsec. Nts., 5.375%, 2/13/173 | 1,345,000 | 1,427,045 | ||||||||||
|
42,725,424
|
| ||||||||||
Rwanda0.1% |
||||||||||||
Rwanda (Republic of) Sr. Unsec. Bonds, 6.625%, 5/2/233 | 1,640,000 | 1,447,300 | ||||||||||
Serbia0.1% |
||||||||||||
Serbia (Republic of) Sr. Unsec. Nts., 5.25%, 11/21/173 | 1,080,000 | 1,077,300 | ||||||||||
Serbia (Republic of) Treasury Bills: 9.824%, 1/30/1412 |
38,000,000 | RSD | 436,534 | |||||||||
10.004%, 6/12/1412 | 151,000,000 | RSD | 1,668,450 | |||||||||
|
3,182,284
|
| ||||||||||
Singapore0.0% |
||||||||||||
Singapore (Republic of) Sr. Unsec. Bonds, 2.375%, 4/1/17 | 730,000 | SGD | 617,178 | |||||||||
South Africa1.1% |
||||||||||||
South Africa (Republic of) Bonds: Series R208, 6.75%, 3/31/21 |
106,055,000 | ZAR | 10,185,146 | |||||||||
Series R213, 7%, 2/28/31 | 30,838,000 | ZAR | 2,644,075 | |||||||||
Series R207, 7.25%, 1/15/20 | 91,930,000 | ZAR | 9,153,537 | |||||||||
South Africa (Republic of) Sr. Unsec. Bonds, 5.875%, 9/16/25 | 1,335,000 | 1,407,424 | ||||||||||
South Africa (Republic of) Sr. Unsec. Nts., 5.875%, 5/30/22 | 290,000 | 314,650 | ||||||||||
South Africa (Republic of) Unsec. Bonds, Series 2023, 7.75%, 2/28/23 | 24,300,000 | ZAR | 2,437,781 | |||||||||
|
26,142,613
|
| ||||||||||
Spain0.1% |
||||||||||||
Comunidad De Madrid Sr. Unsec. Nts., 4.30%, 9/15/26 | 1,630,000 | EUR | 1,963,700 | |||||||||
Instituto de Credito Oficial Sr. Unsec. Nts., 5%, 5/15/15 | 2,200,000 | NOK | 368,532 |
30 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||||||
Spain (Kingdom of) Sr. Unsec. Bonds, 4.50%, 1/31/18 | 550,000 | EUR | $ | 793,998 | ||||||||
|
3,126,230
|
| ||||||||||
Sri Lanka0.1% |
||||||||||||
Sri Lanka (Democratic Socialist Republic of) Sr. Unsec. Bonds, 5.875%, 7/25/223 | 895,000 | 827,875 | ||||||||||
Sri Lanka (Democratic Socialist Republic of) Sr. Unsec. Nts.: 6.25%, 10/4/203 |
990,000 | 968,963 | ||||||||||
6.25% 7/27/213 | 1,875,000 | 1,804,688 | ||||||||||
|
3,601,526
|
| ||||||||||
Tanzania0.1% |
||||||||||||
Tanzania (United Republic of) Sr. Unsec. Nts., 6.392%, 3/8/202 | 1,510,000 | 1,566,625 | ||||||||||
Thailand0.5% |
||||||||||||
Thailand (Kingdom of) Sr. Unsec. Bonds: 3.58%, 12/17/27 |
146,200,000 | THB | 4,410,197 | |||||||||
3.625%, 6/16/23 | 143,600,000 | THB | 4,501,217 | |||||||||
3.65%, 12/17/21 | 92,100,000 | THB | 2,919,520 | |||||||||
|
11,830,934
|
| ||||||||||
The Netherlands0.1% |
||||||||||||
Netherlands (Kingdom of the) Bonds: 4%, 7/15/19 |
1,120,000 | EUR | 1,743,232 | |||||||||
4%, 1/15/37 | 400,000 | EUR | 656,508 | |||||||||
|
2,399,740
|
| ||||||||||
Turkey1.3% |
||||||||||||
Turkey (Republic of) Bonds: 6.875%, 3/17/36 |
615,000 | 655,898 | ||||||||||
9%, 3/5/14 | 16,685,000 | TRY | 8,325,774 | |||||||||
9%, 3/8/17 | 14,275,000 | TRY | 7,154,990 | |||||||||
Turkey (Republic of) Sr. Unsec. Nts., 5.625%, 3/30/21 | 1,105,000 | 1,153,620 | ||||||||||
Turkey (Republic of) Unsec. Bonds: 5%, 5/13/152 |
15,660,000 | TRY | 7,345,288 | |||||||||
5.828%, 2/11/1513 | 2,305,000 | TRY | 1,545,760 | |||||||||
6.25%, 9/26/22 | 1,740,000 | 1,875,285 | ||||||||||
7.10%, 3/8/232 | 5,740,000 | TRY | 2,507,636 | |||||||||
Series 5Y, 6.30%, 2/14/182 | 4,445,000 | TRY | 2,005,702 | |||||||||
|
32,569,953
|
| ||||||||||
United Arab Emirates0.1% |
||||||||||||
Emirates of Dubai Sr. Unsec. International Bonds, 5.591%, 6/22/21 | 1,810,000 | 1,959,325 |
31 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||||||
United Kingdom0.4% |
| |||||||||||
United Kingdom Treasury Bonds: 3.75%, 9/7/21 |
3,080,000 | GBP | $ | 5,521,677 | ||||||||
4%, 9/7/16 |
1,215,000 | GBP | 2,150,519 | |||||||||
4.25%, 12/7/55 |
450,000 | GBP | 853,531 | |||||||||
4.75%, 12/7/38 |
1,120,000 | GBP | 2,224,923 | |||||||||
|
10,750,650
|
| ||||||||||
Uruguay0.1% |
||||||||||||
Uruguay (Oriental Rupublic of) Sr. Unsec. Nts., 4.50%, 8/14/24 | 2,490,000 | 2,533,575 | ||||||||||
Venezuela0.6% |
||||||||||||
Venezuela (Republic of) Bonds: 9%, 5/7/23 |
4,005,000 | 3,270,083 | ||||||||||
13.625%, 8/15/18 | 355,000 | 386,950 | ||||||||||
Venezuela (Republic of) Nts., 8.25%, 10/13/24 | 2,930,000 | 2,219,475 | ||||||||||
Venezuela (Republic of) Sr. Unsec. Unsub. Nts., 12.75%, 8/23/22 | 1,340,000 | 1,341,340 | ||||||||||
Venezuela (Republic of) Unsec. Bonds: 7%, 3/31/38 |
2,085,000 | 1,370,888 | ||||||||||
7.65%, 4/21/25 | 2,840,000 | 2,059,000 | ||||||||||
Venezuela (Republic of) Unsec. Nts., 13.625%, 8/15/183 | 3,570,000 | 3,748,500 | ||||||||||
|
14,396,236
|
| ||||||||||
Total Foreign Government Obligations (Cost $619,642,306) |
|
596,132,225
|
| |||||||||
Corporate Bonds and Notes31.6% |
||||||||||||
Consumer Discretionary4.3% |
||||||||||||
Auto Components0.6% |
||||||||||||
Affinia Group, Inc., 7.75% Sr. Unsec. Nts., 5/1/213 | 1,640,000 | 1,689,200 | ||||||||||
Continental Rubber of America Corp., 4.50% Sr. Sec. Nts., 9/15/193 | 510,000 | 534,480 | ||||||||||
GKN Holdings plc, 6.75% Sr. Unsec. Unsub. Nts., 10/28/19 | 595,000 | GBP | 1,095,914 | |||||||||
Goodyear Tire & Rubber Co. (The), 8.25% Sr. Unsec. Unsub. Nts., 8/15/20 | 3,385,000 | 3,799,663 | ||||||||||
Lear Corp., 4.75% Sr. Unsec. Nts., 1/15/233 | 1,710,000 | 1,594,575 | ||||||||||
Servus Luxembourg Holding SCA, 7.75% Sr. Sec. Nts., 6/15/183 | 670,000 | EUR | 924,719 | |||||||||
Visteon Corp., 6.75% Sr. Unsec. Nts., 4/15/19 | 3,559,000 | 3,799,233 | ||||||||||
13,437,784 | ||||||||||||
Automobiles0.2% |
||||||||||||
Ford Motor Co., 7.45% Bonds, 7/16/31 |
1,025,000 | 1,254,093 |
32 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||||||
Automobiles Continued |
| |||||||||||
Jaguar Land Rover plc: 5.625% Sr. Unsec. Nts., 2/1/233 |
$ | 1,295,000 | $ | 1,272,338 | ||||||||
7.75% Sr. Unsec. Bonds, 5/15/183 | 500,000 | 542,500 | ||||||||||
8.25% Sr. Nts., 3/15/203 | 245,000 | GBP | 442,840 | |||||||||
3,511,771 | ||||||||||||
Diversified Consumer Services0.1% |
||||||||||||
Monitronics International, Inc., 9.125% Sr. Unsec. Nts., 4/1/20 | 1,285,000 | 1,352,463 | ||||||||||
ServiceMaster Co.: 7% Sr. Unsec. Unsub. Nts., 8/15/20 |
455,000 | 432,250 | ||||||||||
8% Sr. Unsec. Unsub. Nts., 2/15/20 | 1,565,000 | 1,557,175 | ||||||||||
3,341,888 | ||||||||||||
Hotels, Restaurants & Leisure0.9% |
||||||||||||
Boyd Gaming Corp., 9.125% Sr. Unsec. Nts., 12/1/18 | 2,295,000 | 2,507,288 | ||||||||||
Burger King Corp., 9.875% Sr. Unsec. Unsub. Nts., 10/15/18 | 1,105,000 | 1,245,888 | ||||||||||
HOA Restaurants Group LLC/HOA Finance Corp., 11.25% Sr. Sec. Nts., 4/1/173 | 2,075,000 | 2,126,875 | ||||||||||
Isle of Capri Casinos, Inc., 7.75% Sr. Unsec. Unsub. Nts., 3/15/19 | 2,290,000 | 2,415,950 | ||||||||||
Landrys, Inc., 9.375% Sr. Unsec. Nts., 5/1/203 | 2,290,000 | 2,427,400 | ||||||||||
MCE Finance Ltd., 5% Sr. Unsec. Nts., 2/15/213 | 1,625,000 | 1,564,063 | ||||||||||
MGM Resorts International: 6.625% Sr. Unsec. Unsub. Nts., 12/15/21 | 1,595,000 | 1,652,819 | ||||||||||
6.75% Sr. Unsec. Nts., 10/1/20 | 1,515,000 | 1,594,538 | ||||||||||
MTR Gaming Group, Inc., 11.50% Sec. Nts., 8/1/19 | 1,170,825 | 1,290,835 | ||||||||||
Penn National Gaming, Inc., 8.75% Sr. Unsec. Sub. Nts., 8/15/19 | 1,985,000 | 2,183,500 | ||||||||||
PNK Finance Corp., 6.375% Sr. Unsec. Nts., 8/1/213 | 1,670,000 | 1,711,750 | ||||||||||
Premier Cruise Ltd., 11% Sr. Nts., 3/15/081,6 | 250,000 | | ||||||||||
Sugarhouse HSP Gaming Prop Mezz LP/Sugarhouse HSP Gaming Finance Corp., 6.375% Sr. Sec. Nts., 6/1/213 | 1,250,000 | 1,200,000 | ||||||||||
Viking Cruises Ltd., 8.50% Sr. Nts., 10/15/223 | 930,000 | 1,034,625 | ||||||||||
22,955,531 | ||||||||||||
Household Durables0.2% |
||||||||||||
Arcelik AS, 5% Sr. Unsec. Nts., 4/3/233 | 635,000 | 548,481 |
33 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||||
Household Durables Continued |
||||||||||
Beazer Homes USA, Inc., 9.125% Sr. Unsec. Nts., 5/15/19 | $ | 2,280,000 | $ | 2,416,800 | ||||||
K Hovnanian Enterprises, Inc., 9.125% Sec. Nts., 11/15/203 | 1,100,000 | 1,196,250 | ||||||||
Taylor Morrison Communities, Inc./Monarch Communities, Inc., 5.25% Sr. Unsec. Nts., 4/15/213 | 1,050,000 | 981,750 | ||||||||
5,143,281 | ||||||||||
Media1.4% |
||||||||||
Belo (A.H.) Corp., 7.75% Sr. Unsec. Unsub. Debs., 6/1/27 | 3,132,000 | 3,335,580 | ||||||||
CCO Holdings LLC/CCO Holdings Capital Corp., 5.75% Sr. Unsec. Nts., 9/1/233 | 1,615,000 | 1,538,288 | ||||||||
Cinemark USA, Inc., 5.125% Sr. Unsec. Nts., 12/15/22 | 615,000 | 579,638 | ||||||||
Cumulus Media Holdings, Inc., 7.75% Sr. Unsec. Unsub. Nts., 5/1/19 | 1,220,000 | 1,271,850 | ||||||||
DISH DBS Corp.: 5.875% Sr. Unsec. Nts., 7/15/22 |
1,675,000 | 1,658,250 | ||||||||
6.75% Sr. Unsec. Nts., 6/1/21 | 835,000 | 881,969 | ||||||||
7.875% Sr. Unsec. Nts., 9/1/19 | 2,135,000 | 2,444,575 | ||||||||
DreamWorks Animation SKG, Inc., 6.875% Sr. Unsec. Unsub. Nts., 8/15/203 | 1,260,000 | 1,313,550 | ||||||||
Gannett Co., Inc., 5.125% Sr. Unsec. Nts., 7/15/203 | 1,070,000 | 1,053,950 | ||||||||
Globo Comunicacao e Participacoes SA, 5.307% Sr. Unsec. Unsub. Nts., 5/11/223 | 515,000 | 520,150 | ||||||||
Gray Television, Inc., 7.50% Sr. Unsec. Nts., 10/1/20 | 2,305,000 | 2,408,725 | ||||||||
Igloo Holdings Corp., 8.25% Sr. Unsec. Nts., 12/15/171,5 | 2,879,000 | 2,952,774 | ||||||||
LIN Television Corp., 6.375% Sr. Unsec. Nts., 1/15/21 | 1,195,000 | 1,200,975 | ||||||||
Myriad International Holdings BV, 6% Sr. Unsec. Nts., 7/18/203 | 730,000 | 770,150 | ||||||||
Nexstar Broadcasting, Inc., 6.875% Sr. Unsec. Nts., 11/15/203 | 1,165,000 | 1,191,213 | ||||||||
Sinclair Television Group, Inc.: 5.375% Sr. Unsec. Nts., 4/1/21 |
1,235,000 | 1,179,425 | ||||||||
6.125% Sr. Unsec. Nts., 10/1/22 | 2,410,000 | 2,403,975 | ||||||||
Unitymedia Hessen GmbH & Co. KG/Unitymedia NRW GmbH, 7.50% Sr. Sec. Nts., 3/15/19 | 830,000 | 900,550 | ||||||||
Univision Communications, Inc., 7.875% Sr. Sec. Nts., 11/1/203 | 2,935,000 | 3,224,831 | ||||||||
UPCB Finance V Ltd., 7.25% Sr. Sec. Nts., 11/15/213 | 1,600,000 | 1,752,000 | ||||||||
UPCB Finance VI Ltd., 6.875% Sr. Sec. Nts., 1/15/223 | 2,380,000 | 2,534,700 | ||||||||
35,117,118 |
34 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||||||
Multiline Retail0.2% |
||||||||||||
Burlington Coat Factory Warehouse Corp., 10% Sr. Unsec. Nts., 2/15/19 | $ | 415,000 | $ | 463,763 | ||||||||
Burlington Holdings LLC/Burlington Holding Finance, Inc., 9% Sr. Unsec. Nts., 2/15/183,5 | 3,100,000 | 3,200,750 | ||||||||||
J.C. Penney Corp., Inc., 6.375% Sr. Unsec. Unsub. Nts., 10/15/36 | 1,590,000 | 1,116,975 | ||||||||||
4,781,488 | ||||||||||||
Specialty Retail0.5% |
||||||||||||
BC Mountain LLC/BC Mountain Finance, Inc., 7% Sr. Unsec. Nts., 2/1/213 | 3,240,000 | 3,231,900 | ||||||||||
Claires Stores, Inc.: 7.75% Sr. Unsec. Nts., 6/1/203 |
1,250,000 | 1,228,125 | ||||||||||
8.875% Sr. Sec. Nts., 3/15/19 | 1,555,000 | 1,671,625 | ||||||||||
Hot Topic, Inc., 9.25% Sr. Sec. Nts., 6/15/213 | 1,435,000 | 1,481,638 | ||||||||||
Michaels FinCo Holdings LLC/Michaels FinCo., Inc., 7.50% Sr. Unsec. Nts., 8/1/183 | 2,530,000 | 2,574,275 | ||||||||||
Party City Holdings, Inc., 8.875% Sr. Unsec. Nts, 8/1/203 | 2,265,000 | 2,446,200 | ||||||||||
12,633,763 | ||||||||||||
Textiles, Apparel & Luxury Goods0.2% |
||||||||||||
Levi Strauss & Co., 7.75% Sr. Unsec. Unsub. Nts., 5/15/18 | 145,000 | EUR | 209,699 | |||||||||
Quiksilver, Inc./QS Wholesale, Inc.: 7.875% Sr. Sec. Nts., 8/1/183 |
1,060,000 | 1,110,350 | ||||||||||
10% Sr. Unsec. Nts., 8/1/203 | 1,060,000 | 1,120,950 | ||||||||||
SIWF Merger Sub, Inc./Springs Industries, Inc., 6.25% Sr. Sec. Nts., 6/1/213 | 1,250,000 | 1,228,125 | ||||||||||
3,669,124 | ||||||||||||
Consumer Staples0.9% |
||||||||||||
Beverages0.0% |
||||||||||||
Coca-Cola Icecek AS, 4.75% Sr. Unsec. Nts., 10/1/183,4 | 870,000 | 879,551 | ||||||||||
Food & Staples Retailing0.1% |
||||||||||||
BI-LO LLC/BI-LO Finance Corp., 8.625% Sr. Unsec. Nts., 9/15/183,5 | 1,225,000 | 1,249,500 | ||||||||||
US Foods, Inc., 8.50% Sr. Sec. Nts., 6/30/19 | 1,585,000 | 1,678,119 | ||||||||||
2,927,619 |
35 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||||
Food Products0.6% |
| |||||||||
American Seafoods Group LLC, 10.75% Sr. Sub. Nts., 5/15/163 | $ | 2,770,000 | $ | 2,894,650 | ||||||
ARAMARK Corp., 5.75% Sr. Unsec. Nts., 3/15/203 | 1,615,000 | 1,639,225 | ||||||||
ASG Consolidated LLC, 15% Sr. Nts., 5/15/173,5 | 2,599,749 | 2,658,243 | ||||||||
BFF International Ltd., 7.25% Sr. Unsec. Unsub. Nts., 1/28/203 | 155,000 | 172,050 | ||||||||
BRF SA, 5.875% Sr. Unsec. Unsub. Nts., 6/6/223 | 385,000 | 384,038 | ||||||||
Bumble Bee Acquisition Corp., 9% Sr. Sec. Nts., 12/15/173 | 2,942,000 | 3,199,425 | ||||||||
Chiquita Brands International, Inc., 7.875% Sr. Sec. Nts., 2/1/213 | 1,460,000 | 1,554,900 | ||||||||
MHP SA, 8.25% Sr. Unsec. Nts., 4/2/203 | 1,545,000 | 1,236,309 | ||||||||
Wells Enterprises, Inc., 6.75% Sr. Sec. Nts., 2/1/203 | 1,140,000 | 1,165,650 | ||||||||
14,904,490 | ||||||||||
Household Products0.1% |
||||||||||
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Luxembourg SA: 5.75% Sr. Sec. Nts., 10/15/20 |
1,540,000 | 1,553,475 | ||||||||
9% Sr. Unsec. Unsub. Nts., 4/15/19 | 1,285,000 | 1,355,675 | ||||||||
2,909,150 | ||||||||||
Tobacco0.1% |
||||||||||
Vector Group Ltd., 7.75% Sr. Sec. Nts., 2/15/21 | 1,145,000 | 1,190,800 | ||||||||
Energy5.5% | ||||||||||
Energy Equipment & Services0.7% |
||||||||||
Drill Rigs Holdings, Inc., 6.50% Sr. Sec. Nts., 10/1/173 | 2,310,000 | 2,396,625 | ||||||||
Exterran Partners LP/EXLP Finance Corp., 6% Sr. Unsec. Nts., 4/1/213 | 725,000 | 706,875 | ||||||||
Forbes Energy Services Ltd., 9% Sr. Unsec. Nts., 6/15/19 | 745,000 | 752,450 | ||||||||
Hornbeck Offshore Services, Inc., 5.875% Sr. Unsec. Nts., 4/1/20 | 2,160,000 | 2,192,400 | ||||||||
Odebrecht Offshore Drilling Finance Ltd., 6.75% Sr. Sec. Nts., 10/1/223 | 1,850,000 | 1,900,875 | ||||||||
Offshore Group Investment Ltd.: 7.125% Sr. Sec. Nts., 4/1/23 |
1,495,000 | 1,465,100 | ||||||||
7.50% Sr. Sec. Nts., 11/1/19 | 2,120,000 | 2,241,900 | ||||||||
Pacific Drilling SA, 5.375% Sr. Sec. Nts., 6/1/203 | 1,265,000 | 1,236,538 |
36 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||||
Energy Equipment & Services Continued |
||||||||||
Precision Drilling Corp., 6.625% Sr. Unsec. Nts., 11/15/20 | $ | 2,590,000 | $ | 2,751,875 | ||||||
QGOG Constellation SA, 6.25% Sr. Unsec. Nts., 11/9/193 | 1,380,000 | 1,314,450 | ||||||||
Seadrill Ltd., 5.625% Sr. Unsec. Nts., 9/15/173 | 1,100,000 | 1,116,500 | ||||||||
18,075,588 | ||||||||||
Oil, Gas & Consumable Fuels4.8% |
||||||||||
Access Midstream Partners LP/ACMP Finance Corp., 4.875% Sr. Unsec. Unsub. Nts., 5/15/23 | 785,000 | 741,825 | ||||||||
Alliance Oil Co. Ltd., 9.875% Sr. Unsec. Nts., 3/11/153 | 2,295,000 | 2,461,388 | ||||||||
Alpha Natural Resources, Inc., 6% Sr. Unsec. Unsub. Nts., 6/1/19 | 1,055,000 | 886,200 | ||||||||
Antero Resources Finance Corp., 6% Sr. Unsec. Nts., 12/1/20 | 740,000 | 751,100 | ||||||||
Arch Coal, Inc., 7.25% Sr. Unsec. Unsub. Nts., 6/15/21 | 1,065,000 | 812,063 | ||||||||
Atlas Pipeline Partners LP/Atlas Pipeline Finance Corp.: 5.875% Sr. Unsec. Nts., 8/1/233 |
1,280,000 | 1,209,600 | ||||||||
6.625% Sr. Nts., 10/1/203 | 720,000 | 738,000 | ||||||||
Bill Barrett Corp., 7.625% Sr. Unsec. Unsub. Nts., 10/1/19 | 1,160,000 | 1,189,000 | ||||||||
BreitBurn Energy Partners LP/BreitBurn Finance Corp.: 7.875% Sr. Unsec. Nts., 4/15/22 |
490,000 | 491,225 | ||||||||
8.625% Sr. Unsec. Nts., 10/15/20 | 3,175,000 | 3,365,500 | ||||||||
Chaparral Energy, Inc., 9.875% Sr. Unsec. Nts., 10/1/20 | 650,000 | 734,500 | ||||||||
Chesapeake Energy Corp., 5.75% Sr. Unsec. Nts., 3/15/23 | 1,425,000 | 1,435,688 | ||||||||
Chesapeake Midstream Partners LP/CHKM Finance Corp., 6.125% Sr. Unsec. Unsub. Nts., 7/15/22 | 1,640,000 | 1,693,300 | ||||||||
Cimarex Energy Co., 5.875% Sr. Unsec. Unsub. Nts., 5/1/22 | 1,700,000 | 1,725,500 | ||||||||
Cloud Peak Energy Resources LLC/Cloud Peak Energy Finance Corp., 8.50% Sr. Unsec. Unsub. Nts., 12/15/19 | 485,000 | 526,225 | ||||||||
CNOOC Curtis Funding No 1 Pty Ltd., 4.50% Sr. Unsec. Unsub. Nts., 10/3/231,4 | 1,280,000 | 1,291,674 | ||||||||
Denbury Resources, Inc., 4.625% Sr. Unsec. Sub. Nts., 7/15/23 | 1,040,000 | 956,800 | ||||||||
Ecopetrol SA, 7.625% Sr. Unsec. Unsub. Nts., 7/23/19 | 315,000 | 374,063 |
37 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||||
Oil, Gas & Consumable Fuels Continued |
| |||||||||
Empresa Nacional del Petroleo, 4.75% Sr. Unsec. Unsub. Nts., 12/6/213 | $ | 1,215,000 | $ | 1,201,472 | ||||||
EP Energy LLC/Everest Acquisition Finance, Inc., 7.75% Sr. Unsec. Nts., 9/1/22 | 2,450,000 | 2,670,500 | ||||||||
Gaz Capital SA: 8.146% Sr. Sec. Nts., 4/11/183 |
3,050,000 | 3,549,590 | ||||||||
8.625% Sr. Sec. Nts., 4/28/343 | 2,345,000 | 2,814,000 | ||||||||
9.25% Sr. Unsec. Unsub. Nts., 4/23/193 | 4,630,000 | 5,718,976 | ||||||||
Gazprom OAO Via Gaz Capital SA, 4.95% Sr. Unsec. Nts., 7/19/223 | 4,930,000 | 4,775,938 | ||||||||
Gazprom Via Gaz Capital SA, 5.999% Sr. Unsec. Nts., 1/23/213 | 580,000 | 609,725 | ||||||||
Genesis Energy LP/Genesis Energy Finance Corp., 5.75% Sr. Unsec. Unsub. Nts., 2/15/21 | 945,000 | 930,825 | ||||||||
Halcon Resources Corp., 8.875% Sr. Unsec. Unsub. Nts., 5/15/21 | 2,720,000 | 2,801,600 | ||||||||
Hiland Partners LP/Hiland Partners Finance Corp., 7.25% Sr. Nts., 10/1/203 | 695,000 | 728,013 | ||||||||
Inergy Midstream LP/Finance Corp., 6% Sr. Unsec. Nts., 12/15/203 | 495,000 | 493,763 | ||||||||
KMG Finance Sub BV, 9.125% Sr. Unsec. Unsub. Nts., 7/2/183 | 905,000 | 1,112,019 | ||||||||
Kodiak Oil & Gas Corp., 5.50% Sr. Unsec. Nts., 1/15/213 | 1,275,000 | 1,259,063 | ||||||||
LBC Tank Terminals Holding Netherlands BV, 6.875% Sr. Unsec. Nts., 5/15/231 | 630,000 | 636,300 | ||||||||
Linn Energy LLC/Linn Energy Finance Corp., 8.625% Sr. Unsec. Nts., 4/15/20 | 3,555,000 | 3,692,756 | ||||||||
Lukoil International Finance BV: 4.563% Sr. Unsec. Nts., 4/24/233 |
605,000 | 564,314 | ||||||||
7.25% Sr. Unsec. Unsub. Nts., 11/5/193 | 1,330,000 | 1,517,929 | ||||||||
MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 4.50% Sr. Unsec. Unsub. Nts., 7/15/23 | 2,340,000 | 2,217,150 | ||||||||
MEG Energy Corp.: 6.50% Sr. Unsec. Nts., 3/15/213 |
5,005,000 | 5,067,563 | ||||||||
7% Sr. Unsec. Nts., 3/31/243,4 | 575,000 | 579,313 | ||||||||
Memorial Production Partners LP/Memorial Production Finance Corp., 7.625% Sr. Unsec. Nts., 5/1/21 | 740,000 | 719,650 | ||||||||
Midstates Petroleum Co., Inc./Midstates Petroleum Co. LLC, 9.25% Sr. Unsec. Nts., 6/1/213 | 1,270,000 | 1,260,475 |
38 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||||||
Oil, Gas & Consumable Fuels Continued |
||||||||||||
Murray Energy Corp., 8.625% Sr. Sec. Nts., 6/15/213 | $ | 635,000 | $ | 639,763 | ||||||||
Navios Maritime Acquisition Corp., 8.625% Sr. Sec. Nts., 11/1/17 | 890,000 | 927,825 | ||||||||||
Novatek OAO via Novatek Finance Ltd.: 4.422% Sr. Unsec. Nts., 12/13/223 |
3,350,000 | 3,082,000 | ||||||||||
7.75% Unsec. Nts., 2/21/173 | 20,260,000 | RUR | 623,548 | |||||||||
Oasis Petroleum, Inc., 6.875% Sr. Unsec. Nts., 1/15/23 | 1,110,000 | 1,182,150 | ||||||||||
Odebrecht Drilling Norbe VIII/IX Ltd., 6.35% Sr. Sec. Nts., 6/30/213 | 239,575 | 244,965 | ||||||||||
Pacific Rubiales Energy Corp., 5.125% Sr. Unsec. Nts., 3/28/233 | 1,295,000 | 1,167,119 | ||||||||||
Pemex Project Funding Master Trust: 5.75% Sr. Unsec. Unsub. Nts., 3/1/18 |
800,000 | 890,000 | ||||||||||
6.625% Unsec. Unsub. Bonds, 6/15/35 | 1,270,000 | 1,347,483 | ||||||||||
Pertamina Persero PT, 4.875% Sr. Unsec. Unsub. Nts., 5/3/223 | 1,070,000 | 971,025 | ||||||||||
Petroleos de Venezuela SA: 5.125% Sr. Unsec. Nts., 10/28/16 |
1,010,000 | 815,575 | ||||||||||
8.50% Sr. Nts., 11/2/173 | 4,190,000 | 3,806,615 | ||||||||||
12.75% Sr. Unsec. Nts., 2/17/223 | 2,350,000 | 2,303,000 | ||||||||||
Petroleos Mexicanos: 1.95% Sr. Unsec. Nts., 12/20/22 |
175,750 | 175,049 | ||||||||||
2% Sr. Unsec. Nts., 12/20/22 | 869,250 | 867,727 | ||||||||||
3.50% Sr. Unsec. Unsub. Nts., 1/30/23 | 2,940,000 | 2,679,728 | ||||||||||
4.875% Sr. Unsec. Unsub. Nts., 1/18/24 | 3,940,000 | 3,949,850 | ||||||||||
5.50% Sr. Unsec. Unsub. Nts., 6/27/44 | 185,000 | 168,852 | ||||||||||
6% Sr. Unsec. Unsub. Nts., 3/5/20 | 3,635,000 | 4,053,025 | ||||||||||
6.50% Sr. Unsec. Unsub. Nts., 6/2/41 | 1,475,000 | 1,535,839 | ||||||||||
8% Unsec. Unsub. Nts., 5/3/19 | 2,145,000 | 2,600,813 | ||||||||||
Petroleum Co. of Trinidad & Tobago Ltd.: 6% Sr. Unsec. Unsub. Nts., 5/8/223 |
195,000 | 209,138 | ||||||||||
9.75% Sr. Unsec. Nts., 8/14/193 | 515,000 | 664,350 | ||||||||||
Petronas Capital Ltd., 7.875% Nts., 5/22/223 | 1,030,000 | 1,312,728 | ||||||||||
Range Resources Corp., 5% Sr. Unsec. Sub. Nts., 8/15/22 | 995,000 | 967,638 | ||||||||||
Reliance Industries Ltd., 5.875% Sr. Unsec. Perpetual Bonds3,14 | 680,000 | 557,600 | ||||||||||
Rentech Nitrogen Partners LP/Rentech Nitrogen Finance Corp., 6.50% Sec. Nts., 4/15/213 | 1,050,000 | 1,034,250 | ||||||||||
Rosetta Resources, Inc., 5.625% Sr. Unsec. Unsub. Nts., 5/1/21 | 740,000 | 706,700 | ||||||||||
Sabine Pass Liquefaction LLC: 5.625% Sr. Sec. Nts., 2/1/213 |
1,230,000 | 1,210,013 |
39 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||||||
Oil, Gas & Consumable Fuels Continued |
||||||||||||
5.625% Sr. Sec. Nts., 4/15/233 | $ | 1,020,000 | $ | 983,025 | ||||||||
Samson Investment Co., 10.25% Sr. Unsec. Nts., 2/15/203 | 1,355,000 | 1,443,075 | ||||||||||
Sanchez Energy Corp., 7.75% Sr. Unsec. Nts., 6/15/213 | 740,000 | 725,200 | ||||||||||
SandRidge Energy, Inc.: 7.50% Sr. Unsec. Unsub. Nts., 2/15/23 |
635,000 | 631,825 | ||||||||||
7.50% Sr. Unsec. Unsub. Nts., 3/15/21 | 640,000 | 649,600 | ||||||||||
Schahin II Finance Co. SPV Ltd., 5.875% Sr. Sec. Unsub. Nts., 9/25/223 | 2,466,850 | 2,362,009 | ||||||||||
Sibur Securities Ltd., 3.914% Sr. Unsec. Nts., 1/31/183 | 1,470,000 | 1,403,850 | ||||||||||
SM Energy Co., 6.50% Sr. Unsec. Unsub. Nts., 1/1/23 | 1,170,000 | 1,199,250 | ||||||||||
Tengizchevroil LLP, 6.124% Nts., 11/15/143 | 422,045 | 432,596 | ||||||||||
Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.875% Sr. Unsec. Nts., 10/1/20 | 485,000 | 486,213 | ||||||||||
Western Refining, Inc., 6.25% Sr. Unsec. Unsub. Nts., 4/1/21 | 1,250,000 | 1,231,250 | ||||||||||
118,546,846 | ||||||||||||
Financials7.0% |
||||||||||||
Capital Markets0.9% |
||||||||||||
American Capital Ltd., 6.50% Sr. Unsec. Nts., 9/15/183 | 1,315,000 | 1,334,725 | ||||||||||
Cantor Commercial Real Estate Co. LP/CCRE Finance, 7.75% Sr. Unsec. Nts., 2/15/183,4 | 1,880,000 | 1,922,300 | ||||||||||
Deutsche Bank AG, 4.296% Unsec. Sub. Nts., 5/24/28 | 670,000 | 606,533 | ||||||||||
Deutsche Bank Capital Trust, 4.901% Unsec. Sub. Perpetual Bonds2,3,14 | 610,000 | 541,375 | ||||||||||
Nationstar Mortgage LLC/Nationstar Capital Corp.: 6.50% Sr. Unsec. Nts., 8/1/18 |
430,000 | 434,300 | ||||||||||
6.50% Sr. Unsec. Unsub. Nts., 7/1/21 | 510,000 | 490,875 | ||||||||||
7.875% Sr. Unsec. Nts., 10/1/20 | 1,655,000 | 1,733,613 | ||||||||||
10.875% Sr. Unsec. Nts., 4/1/15 | 1,295,000 | 1,355,477 | ||||||||||
Nuveen Investments, Inc., 9.50% Sr. Unsec. Nts., 10/15/203 | 1,545,000 | 1,517,963 | ||||||||||
Pinafore LLC/Pinafore, Inc., 9% Sec. Nts., 10/1/18 | 1,473,000 | 1,612,935 | ||||||||||
Prospect Medical Holdings, Inc., 8.375% Sr. Sec. Nts., 5/1/193 | 1,100,000 | 1,160,500 | ||||||||||
Red de Carreteras de Occidente SAPIB de CV, 9% Sr. Sec. Nts., 6/10/283 | 23,700,000 | MXN | 1,615,008 |
40 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||||||
Capital Markets Continued |
||||||||||||
Springleaf Finance Corp., 6.90% Nts., Series J, 12/15/17 | $ | 2,460,000 | $ | 2,583,000 | ||||||||
UBS AG (Jersey Branch): 4.28% Jr. Sub. Perpetual Nts.14 |
195,000 | EUR | 266,755 | |||||||||
7.152% Jr. Sub. Perpetual Bonds14 | 125,000 | EUR | 187,074 | |||||||||
7.25% Unsec. Sub. Nts., 2/22/22 | 2,300,000 | 2,476,008 | ||||||||||
US Coatings Acquisition, Inc./Flash Dutch 2 BV, 7.375% Sr. Unsec. Nts., 5/1/213 | 1,045,000 | 1,097,250 | ||||||||||
Verso Paper Holdings LLC/Verso Paper, Inc., 11.75% Sr. Sec. Nts., 1/15/19 | 1,165,000 | 1,208,688 | ||||||||||
22,144,379 | ||||||||||||
Commercial Banks3.8% |
||||||||||||
Akbank TAS, 7.50% Sr. Unsec. Nts., 2/5/183 | 4,310,000 | TRY | 1,950,547 | |||||||||
Alfa Bank/Alfa Bond Issuance plc, 7.875% Nts., 9/25/173 | 1,720,000 | 1,901,838 | ||||||||||
Banco ABC Brasil SA, 8.50% Sr. Unsec. Nts., 3/28/161 | 1,080,000 | BRR | 437,351 | |||||||||
Banco Bilbao Vizcaya Argentaria SA, 9% Jr. Sub. Perpetual Bonds14 | 50,000 | 49,558 | ||||||||||
Banco BMG SA: 8.875% Unsec. Sub. Nts., 8/5/203 |
530,000 | 500,850 | ||||||||||
9.15% Nts., 1/15/163 | 978,000 | 1,017,120 | ||||||||||
9.95% Unsec. Unsub. Nts., 11/5/193 | 1,395,000 | 1,381,050 | ||||||||||
Banco de Costa Rica, 5.25% Sr. Unsec. Nts., 8/12/183 | 1,105,000 | 1,122,128 | ||||||||||
Banco del Estado de Chile: 3.875% Sr. Unsec. Nts., 2/8/223 |
700,000 | 680,794 | ||||||||||
4.125% Sr. Unsec. Nts., 10/7/203 | 1,180,000 | 1,201,193 | ||||||||||
Banco do Brasil SA (Cayman), 9.25% Jr. Sub. Perpetual Bonds3,14 | 4,715,000 | 5,021,475 | ||||||||||
Banco do Estado do Rio Grande do Sul SA, 7.375% Sub Nts., 2/2/223 | 4,330,000 | 4,302,938 | ||||||||||
Banco Santander Brasil SA (Cayman Islands), 8% Sr. Unsec. Unsub. Nts., 3/18/163 | 1,850,000 | BRR | 776,294 | |||||||||
Banco Santander Mexico SA, 4.125% Sr. Unsec. Nts., 11/9/223 | 1,745,000 | 1,605,400 | ||||||||||
Bancolombia SA, 5.125% Unsec. Sub. Nts., 9/11/22 | 2,675,000 | 2,454,313 | ||||||||||
Bank of Scotland plc: 4.875% Sr. Sec. Nts., 12/20/24 |
245,000 | GBP | 448,929 | |||||||||
4.875% Sr. Sec. Unsub. Nts., 11/8/16 | 140,000 | GBP | 250,484 | |||||||||
Barclays Bank plc: 4.75% Jr. Sub. Perpetual Bonds14 |
400,000 | EUR | 430,731 |
41 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||||||
Commercial Banks Continued | ||||||||||||
6% Jr. Sub. Perpetual Bonds14 | 1,530,000 | GBP | $ | 2,235,430 | ||||||||
14% Jr. Sub. Perpetual Bonds14 | 780,000 | GBP | 1,698,246 | |||||||||
BBVA Banco Continental SA, 5% Sr. Unsec. Nts., 8/26/223 | 1,125,000 | 1,082,813 | ||||||||||
BNP Paribas SA: 5.945% Jr. Sub. Perpetual Bonds14 |
1,505,000 | GBP | 2,406,246 | |||||||||
7.195% Jr. Sub. Perpetual Bonds3,14 | 400,000 | 403,500 | ||||||||||
BPCE SA, 9% Jr. Sub. Perpetual Bonds14 | 2,090,000 | EUR | 3,008,132 | |||||||||
Caixa Economica Federal, 4.50% Sr. Unsec. Nts., 10/3/183,4 | 1,730,000 | 1,716,506 | ||||||||||
CIT Group, Inc.: 4.25% Sr. Unsec. Nts., 8/15/17 |
405,000 | 414,113 | ||||||||||
5% Sr. Unsec. Nts., 8/15/22 | 1,740,000 | 1,708,283 | ||||||||||
Commerzbank AG, 8.125% Unsec. Nts., 9/19/233 | 805,000 | 823,113 | ||||||||||
Corp Financiera de Desarrollo SA, 4.75% Sr. Unsec. Nts., 2/8/223 | 1,185,000 | 1,152,413 | ||||||||||
Corp Group Banking SA, 6.75% Sr. Unsec. Nts., 3/15/233 | 1,725,000 | 1,474,875 | ||||||||||
Credit Agricole SA, 8.375% Jr. Sub. Perpetual Bonds3,14 | 2,850,000 | 3,131,438 | ||||||||||
Danske Bank AS, 5.684% Jr. Sub. Perpetual Bonds14 | 1,430,000 | GBP | 2,315,040 | |||||||||
EUROFIMA, 6.25% Bonds, 12/28/18 | 935,000 | AUD | 946,216 | |||||||||
European Investment Bank: 6% Sr. Unsec. Nts., 8/6/20 |
1,125,000 | AUD | 1,128,385 | |||||||||
6.50% Sr. Unsec. Nts., 8/7/19 | 565,000 | AUD | 582,355 | |||||||||
Export-Import Bank of India, 4% Sr. Unsec. Nts., 1/14/23 | 460,000 | 394,174 | ||||||||||
Grupo Aval Ltd., 4.75% Sr. Unsec. Nts., 9/26/223 | 1,525,000 | 1,372,500 | ||||||||||
ICICI Bank Ltd., 6.375% Bonds, 4/30/222,3 | 945,000 | 883,575 | ||||||||||
LBG Capital No. 1 plc, 11.04% Unsec. Sub. Nts., 3/19/20 | 2,316,000 | GBP | 4,366,547 | |||||||||
LBG Capital No.1 plc, 7.869% Sec. Sub. Nts., 8/25/20 | 265,000 | GBP | 455,603 | |||||||||
Lloyds TSB Bank plc, 6% Sr. Sec. Nts., 2/8/29 | 385,000 | GBP | 780,723 | |||||||||
Rabobank Capital Funding Trust IV, 5.556% Perpetual Bonds3,14 | 375,000 | GBP | 609,033 | |||||||||
RBS Capital Trust III, 5.512% Jr. Sub. Perpetual Bonds14 | 2,515,000 | 2,332,663 | ||||||||||
Royal Bank of Scotland NV: 3.37% Sub. Nts., 5/17/18 |
275,000 | AUD | 224,853 | |||||||||
3.37% Sub. Nts., Series FRN, 5/17/18 | 340,000 | AUD | 278,000 | |||||||||
Royal Bank of Scotland plc (The): 2.375% Sr. Unsec. Sub. Nts., 11/2/15 |
85,000 | CHF | 94,028 | |||||||||
13.125% Unsec. Sub. Nts., 3/19/22 | 370,000 | AUD | 412,489 |
42 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||||||
Commercial Banks Continued |
| |||||||||||
Sberbank of Russia Via SB Capital SA: 5.125% Sub. Nts., 10/29/223 |
$ | 1,365,000 | $ | 1,279,961 | ||||||||
5.40% Sr. Unsec. Nts., 3/24/17 |
790,000 | 843,325 | ||||||||||
6.125% Sr. Nts., 2/7/223 |
2,100,000 | 2,205,000 | ||||||||||
Scottish Widows plc, 5.125% Jr. Sub. Perpetual Bonds14 |
470,000 | GBP | 736,158 | |||||||||
Societe Generale SA, 5.922% Jr. Sub. Perpetual Bonds3,14 |
2,225,000 | 2,280,972 | ||||||||||
Stadshypotek AB, 6% Sec. Unsub. Bonds, 6/21/17 |
5,385,000 | SEK | 950,143 | |||||||||
Standard Chartered plc, 5.20% Unsec. Sub. Nts., 1/26/243 |
260,000 | 261,857 | ||||||||||
Turkiye Halk Bankasi AS, 4.875% Sr. Unsec. Nts., 7/19/173 |
1,490,000 | 1,497,450 | ||||||||||
Turkiye Is Bankasi AS: 3.875% Sr. Unsec. Nts., 11/7/173 |
590,000 | 568,613 | ||||||||||
5.097% Unsec. Nts., 11/6/1312 |
13,100,000 | TRY | 6,433,886 | |||||||||
6% Sub. Nts., 10/24/223 |
1,680,000 | 1,541,400 | ||||||||||
7.293% Unsec. Nts., 10/9/1312 |
3,895,000 | TRY | 1,924,738 | |||||||||
Turkiye Sise ve Cam Fabrikalari AS, 4.25% Sr. Unsec. Nts., 5/9/203 |
595,000 | 517,055 | ||||||||||
Turkiye Vakiflar Bankasi Tao, 3.75% Sr. Unsec. Nts., 4/15/183 |
2,025,000 | 1,893,375 | ||||||||||
VTB Bank OJSC Via VTB Capital SA, 6% Sr. Unsec. Nts., 4/12/173 |
900,000 | 949,500 | ||||||||||
VTB Capital SA: 6.465% Sr. Sec. Unsub. Nts., 3/4/153 |
630,000 | 666,275 | ||||||||||
6.875% Sr. Sec. Nts., 5/29/183 |
1,585,000 | 1,707,838 | ||||||||||
Yapi ve Kredi Bankasi AS: 5.50% Unsec. Sub. Nts., 12/6/223 |
2,155,000 | 1,853,300 | ||||||||||
6.75% Sr. Unsec. Nts., 2/8/173 |
1,245,000 | 1,307,561 | ||||||||||
|
|
|||||||||||
93,382,692 | ||||||||||||
Consumer Finance0.5% |
||||||||||||
Ahern Rentals, Inc., 9.50% Sr. Sec. Nts., 6/15/183 |
1,460,000 | 1,543,950 | ||||||||||
Ally Financial, Inc., 7.50% Sr. Unsec. Unsub. Nts., 9/15/20 |
1,405,000 | 1,584,138 | ||||||||||
Cash America International, Inc., 5.75% Sr. Unsec. Nts., 5/15/183 |
2,920,000 | 2,847,000 | ||||||||||
Community Choice Financial, Inc., 10.75% Sr. Sec. Nts., 5/1/19 |
540,000 | 477,900 | ||||||||||
JSC Astana Finance, 9.16% Nts., 3/14/126 |
7,200,000 | 409,500 | ||||||||||
Milestone Aviation Group LLC, 8.625% Sr. Unsec. Nts., 12/15/173 |
1,380,000 | 1,459,350 |
43 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||||||
Consumer Finance Continued |
||||||||||||
SLM Corp., 7.25% Sr. Unsec. Unsub. Nts., 1/25/22 |
1,130,000 | $ | 1,155,425 | |||||||||
Speedy Cash, Inc., 10.75% Sr. Sec. Nts., 5/15/183 |
1,930,000 | 2,040,975 | ||||||||||
TMX Finance LLC/TitleMax Finance Corp., 8.50% Sr. Sec. Nts., 9/15/183 |
1,910,000 | 2,005,500 | ||||||||||
|
|
|||||||||||
13,523,738 | ||||||||||||
Diversified Financial Services0.9% |
||||||||||||
AG Spring Finance Ltd., 7.50% Sr. Sec. Nts., 6/1/183 |
280,000 | EUR | 386,374 | |||||||||
Autopistas del Nordeste Cayman Ltd., 9.39% Nts., 4/15/243 |
2,447,787 | 2,381,207 | ||||||||||
AyT Cedulas Cajas X Fondo de Titulizacion, 3.75% Sec. Nts., 6/30/25 |
140,000 | EUR | 153,577 | |||||||||
Banco BTG Pactual SA (Cayman): 4% Sr. Unsec. Nts., 1/16/203 |
2,380,000 | 2,136,050 | ||||||||||
5.75% Unsec. Sub. Nts., 9/28/223 |
1,205,000 | 1,090,525 | ||||||||||
Banco Invex SA, 31.938% Mtg.-Backed Certificates, Series 062U, 3/13/346,13 |
4,830,531 | MXN | 244,244 | |||||||||
Brazil Loan Trust 1, 5.477% Sr. Sec. Nts., 7/24/233 |
1,395,000 | 1,422,900 | ||||||||||
Cedulas TDA 6 Fondo de Titulizacion de Activos, 3.875% Sec. Nts., 5/23/25 |
140,000 | EUR | 154,659 | |||||||||
CNG Holdings, Inc., 9.375% Sr. Sec. Nts., 5/15/203 |
420,000 | 390,600 | ||||||||||
European Investment Bank, 5% Sr. Unsec. Nts., 8/22/22 |
700,000 | AUD | 654,052 | |||||||||
Export Credit Bank of Turkey, 5.875% Sr. Unsec. Nts., 4/24/193 |
3,240,000 | 3,333,150 | ||||||||||
ING Verzekeringen NV, 6.375% Unsec. Sub. Nts., 5/7/27 |
1,645,000 | EUR | 2,312,354 | |||||||||
Jefferies Finance LLC/JFIN Co-Issuer Corp., 7.375% Sr. Unsec. Nts., 4/1/203 |
1,715,000 | 1,706,425 | ||||||||||
Jefferies LoanCore LLC/JLC Finance Corp., 6.875% Sr. Unsec. Nts., 6/1/203 |
1,685,000 | 1,659,725 | ||||||||||
JPMorgan Hipotecaria su Casita: 8.448% Sec. Nts., 8/26/351,13 |
5,808,600 | MXN | 39,701 | |||||||||
30.266% Mtg.-Backed Certificates, Series 06U, 9/25/3513 |
1,270,549 | MXN | 154,961 | |||||||||
Magyar Export-Import Bank RT, 5.50% Sr. Unsec. Nts., 2/12/183 |
1,240,000 | 1,253,950 | ||||||||||
National Savings Bank, 8.875% Sr. Unsec. Nts., 9/18/183 |
915,000 | 940,734 | ||||||||||
Spencer Spirit Holdings, Inc., 9% Sr. Unsec. Nts., 5/1/183,5 |
1,685,000 | 1,651,300 | ||||||||||
|
|
|||||||||||
22,066,488 |
44 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||||
Insurance0.3% |
| |||||||||
Assicurazioni Generali SpA, 7.75% Unsec. Sub. Nts., 12/12/42 |
55,000 | EUR | $ | 80,638 | ||||||
Aviva plc, 6.125% Jr. Sub. Perpetual Bonds14 |
1,415,000 | GBP | 2,280,448 | |||||||
AXA SA, 6.379% Sub. Perpetual Bonds3,14 |
530,000 | 512,113 | ||||||||
Hockey Merger Sub 2, Inc., 7.875% Sr. Unsec. Nts., 10/1/213,4 |
655,000 | 659,094 | ||||||||
Patriot Merger Corp., 9% Sr. Unsec. Nts., 7/15/213 |
850,000 | 879,750 | ||||||||
Swiss Re Capital I LP, 6.854% Jr. Sub. Perpetual Bonds3,14 |
2,123,000 | 2,229,562 | ||||||||
Swiss Reinsurance Co. via ELM BV: 3.96% Jr. Sub. Perpetual Bonds2,14 |
125,000 | AUD | 106,603 | |||||||
7.635% Jr. Sub. Perpetual Bonds14 |
55,000 | AUD | 52,755 | |||||||
|
|
|||||||||
6,800,963 | ||||||||||
Real Estate Investment Trusts (REITs)0.3% |
||||||||||
DuPont Fabros Technology LP, 5.875% Sr. Unsec. Nts., 9/15/213 |
1,535,000 | 1,542,675 | ||||||||
FelCor Escrow Holdings LLC, 6.75% Sr. Sec. Nts., 6/1/19 |
1,175,000 | 1,245,500 | ||||||||
Felcor Lodging LP, 5.625% Sr. Sec. Nts., 3/1/23 |
1,250,000 | 1,170,313 | ||||||||
Geo Group, Inc. (The), 5.125% Sr. Unsec. Nts., 4/1/233 |
1,615,000 | 1,485,800 | ||||||||
iStar Financial, Inc., 4.875% Sr. Unsec. Unsub. Nts., 7/1/18 |
1,055,000 | 1,028,625 | ||||||||
OMEGA Healthcare Investors, Inc., 6.75% Sr. Unsec. Nts., 10/15/22 |
1,130,000 | 1,220,400 | ||||||||
|
|
|||||||||
7,693,313 | ||||||||||
Real Estate Management & Development0.3% | ||||||||||
BR Malls International Finance Ltd., 8.50% Perpetual Bonds3,14 |
990,000 | 984,431 | ||||||||
Country Garden Holdings Co. Ltd., 7.50% Sr. Unsec. Unsub. Nts., 12/31/233 |
2,255,000 | 2,181,713 | ||||||||
Realogy Corp.: 7.625% Sr. Sec. Nts., 1/15/203 |
2,535,000 | 2,839,200 | ||||||||
9% Sr. Sec. Nts., 1/15/203 |
865,000 | 1,003,400 | ||||||||
Techem GmbH, 6.125% Sr. Sec. Nts., 10/1/193 |
745,000 | EUR | 1,088,503 | |||||||
|
|
|||||||||
8,097,247 | ||||||||||
Health Care1.3% |
||||||||||
Biotechnology0.1% |
| |||||||||
Grifols SA, 8.25% Sr. Sec. Nts., 2/1/18 |
995,000 | 1,073,356 |
45 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||||||
Biotechnology Continued |
||||||||||||
Universal Hospital Services, Inc., 7.625% Sr. Sec. Nts, 8/15/20 |
$ | 1,570,000 | $ | 1,628,875 | ||||||||
|
|
|||||||||||
2,702,231 | ||||||||||||
Health Care Equipment & Supplies0.3% |
||||||||||||
Accellent, Inc., 10% Sr. Unsec. Sub. Nts., 11/1/17 |
690,000 | 638,250 | ||||||||||
Alere, Inc.: 7.25% Sr. Unsec. Unsub. Nts., 7/1/18 |
1,270,000 | 1,377,950 | ||||||||||
8.625% Sr. Unsec. Sub. Nts., 10/1/18 |
152,298 | 164,863 | ||||||||||
Biomet, Inc.: 6.50% Sr. Unsec. Sub. Nts., 10/1/20 |
630,000 | 641,813 | ||||||||||
6.50% Sr. Unsec. Unsub. Nts., 8/1/20 |
2,090,000 | 2,168,375 | ||||||||||
ConvaTec Healthcare ESA, 10.875% Sr. Unsec. Nts., 12/15/183 |
540,000 | EUR | 827,336 | |||||||||
Hologic, Inc., 6.25% Sr. Unsec. Unsub. Nts., 8/1/20 |
185,000 | 193,556 | ||||||||||
Kinetic Concepts, Inc./KCI USA, Inc., 10.50% Sec. Nts., 11/1/18 |
1,840,000 | 2,040,100 | ||||||||||
|
|
|||||||||||
8,052,243 | ||||||||||||
Health Care Providers & Services0.7% |
||||||||||||
Acadia Healthcare Co., Inc., 6.125% Sr. Unsec. Nts., 3/15/213 |
440,000 | 446,600 | ||||||||||
CHS/Community Health Systems, Inc., 7.125% Sr. Unsec. Unsub. Nts., 7/15/20 |
970,000 | 980,913 | ||||||||||
DaVita HealthCare Partners, Inc., 5.75% Sr. Unsec. Unsub. Nts., 8/15/22 |
895,000 | 889,406 | ||||||||||
Fresenius Medical Care US Finance II, Inc.: 5.625% Sr. Unsec. Nts., 7/31/193 |
805,000 | 843,238 | ||||||||||
5.875% Sr. Unsec. Nts., 1/31/223 |
405,000 | 417,150 | ||||||||||
Gentiva Health Services, Inc., 11.50% Sr. Unsec. Unsub. Nts., 9/1/18 |
1,370,000 | 1,428,225 | ||||||||||
HCA, Inc., 7.50% Sr. Unsec. Unsub. Nts., 2/15/22 |
1,740,000 | 1,914,000 | ||||||||||
Health Management Associates, Inc., 7.375% Sr. Unsec. Nts., 1/15/20 |
855,000 | 941,034 | ||||||||||
HealthSouth Corp.: 7.75% Sr. Unsec. Nts., 9/15/22 |
845,000 | 910,488 | ||||||||||
8.125% Sr. Unsec. Unsub. Nts., 2/15/20 |
549,000 | 600,469 | ||||||||||
Kindred Healthcare, Inc., 8.25% Sr. Unsec. Nts., 6/1/19 |
1,885,000 | 2,016,950 | ||||||||||
Multiplan, Inc., 9.875% Sr. Nts., 9/1/183 |
1,390,000 | 1,542,900 | ||||||||||
Select Medical Corp., 6.375% Sr. Unsec. Nts., 6/1/213 |
1,055,000 | 1,004,888 | ||||||||||
Tenet Healthcare Corp., 6% Sr. Sec. Nts., 10/1/203 |
1,030,000 | 1,055,106 | ||||||||||
Vanguard Health Holding Co. II LLC/Vanguard Holding Co. II, Inc., 8% Sr. Nts., 2/1/18 |
1,970,000 | 2,088,200 | ||||||||||
|
|
|||||||||||
17,079,567 |
46 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||
Life Sciences Tools & Services0.1% |
| |||||||
Jaguar Holding Co./Jaguar Merger Sub, Inc., 9.50% Sr. Unsec. Nts., 12/1/193 |
$ | 990,000 | $ | 1,117,463 | ||||
Pharmaceuticals0.1% |
||||||||
Valeant Pharmaceuticals International, Inc., 6.875% Sr. Unsec. Nts., 12/1/183 |
955,000 | 1,014,688 | ||||||
Warner Chilcott Co. LLC/Warner Chilcott Finance LLC, 7.75% Sr. Unsec. Nts., 9/15/18 |
1,005,000 | 1,097,963 | ||||||
|
|
|||||||
2,112,651 | ||||||||
Industrials3.9% |
||||||||
Aerospace & Defense0.9% |
||||||||
BE Aerospace, Inc., 6.875% Sr. Nts., 10/1/20 |
1,080,000 | 1,185,300 | ||||||
DynCorp International, Inc., 10.375% Sr. Unsec. Nts., 7/1/17 |
4,180,000 | 4,326,300 | ||||||
Embraer SA, 5.15% Sr. Unsec. Unsub. Nts., 6/15/22 |
800,000 | 778,000 | ||||||
Erickson Air-Crane, Inc., 8.25% Sr. Sec. Nts., 5/1/203 |
2,902,000 | 2,854,843 | ||||||
FGI Operating Co. LLC/FGI Finance, Inc., 7.875% Sr. Sec. Nts., 5/1/203 |
2,560,000 | 2,675,200 | ||||||
GenCorp, Inc., 7.125% Sec. Nts., 3/15/213 |
3,235,000 | 3,404,838 | ||||||
Huntington Ingalls Industries, Inc., 7.125% Sr. Unsec. Unsub. Nts., 3/15/21 |
1,785,000 | 1,932,263 | ||||||
Kratos Defense & Security Solutions, Inc., 10% Sr. Sec. Nts., 6/1/17 |
1,137,000 | 1,242,173 | ||||||
Schaeffler Finance BV, 8.50% Sr. Sec. Nts., 2/15/193 |
1,940,000 | 2,172,800 | ||||||
TransDigm, Inc., 7.75% Sr. Unsec. Sub. Nts., 12/15/18 |
1,125,000 | 1,203,750 | ||||||
Triumph Group, Inc., 8.625% Sr. Unsec. Nts., 7/15/18 |
650,000 | 708,500 | ||||||
|
|
|||||||
22,483,967 | ||||||||
Air Freight & Logistics0.2% |
||||||||
Air Medical Group Holdings, Inc., 9.25% Sr. Sec. Nts., 11/1/18 |
897,000 | 968,760 | ||||||
SPL Logistics Escrow LLC/SPL Logistics Finance Corp., 8.875% Sr. Sec. Nts., 8/1/201 |
2,560,000 | 2,694,400 | ||||||
|
|
|||||||
3,663,160 | ||||||||
Airlines0.2% |
||||||||
Air Canada, 6.75% Sr. Sec. Nts., 10/1/193 |
1,100,000 | 1,095,875 | ||||||
Emirates Airline, 4.50% Sr. Unsec. Nts., 2/28/253 |
2,910,000 | 2,619,000 |
47 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||||||
Airlines Continued |
|
|||||||||||
US Airways 2011-1 Class A Pass-Through Trust, 7.125% Sec. Certificates, 10/22/23 |
$ | 1,256,516 | $ | 1,379,026 | ||||||||
|
|
|||||||||||
5,093,901 | ||||||||||||
Building Products0.2% |
||||||||||||
Nortek, Inc., 8.50% Sr. Unsec. Nts., 4/15/21 |
1,770,000 | 1,933,725 | ||||||||||
Ply Gem Industries, Inc.: 8.25% Sr. Sec. Nts., 2/15/18 |
1,163,000 | 1,250,225 | ||||||||||
9.375% Sr. Unsec. Nts., 4/15/17 |
1,755,000 | 1,860,300 | ||||||||||
|
|
|||||||||||
5,044,250 | ||||||||||||
Commercial Services & Supplies0.5% |
||||||||||||
Affinion Group, Inc., 7.875% Sr. Unsec. Nts., 12/15/18 |
3,020,000 | 2,408,450 | ||||||||||
Cenveo Corp., 8.875% Sec. Nts., 2/1/18 |
720,000 | 720,000 | ||||||||||
First Data Corp., 6.75% Sr. Sec. Nts., 11/1/203 |
2,340,000 | 2,433,600 | ||||||||||
R.R. Donnelley & Sons Co., 7.875% Sr. Unsec. Unsub. Nts., 3/15/21 |
1,190,000 | 1,282,225 | ||||||||||
STHI Holding Corp., 8% Sec. Nts., 3/15/183 |
995,000 | 1,077,088 | ||||||||||
Tervita Corp., 8% Sr. Sec. Nts., 11/15/183 |
1,220,000 | 1,230,675 | ||||||||||
West Corp., 8.625% Sr. Unsec. Nts., 10/1/18 |
2,285,000 | 2,496,363 | ||||||||||
|
|
|||||||||||
11,648,401 | ||||||||||||
Construction & Engineering0.3% |
||||||||||||
Andrade Gutierrez International SA, 4% Sr. Unsec. Nts., 4/30/183 |
1,135,000 | 1,069,738 | ||||||||||
IIRSA Norte Finance Ltd., 8.75% Sr. Nts., 5/30/241 |
3,410,502 | 3,990,287 | ||||||||||
OAS Investments GmbH, 8.25% Sr. Nts., 10/19/193 |
815,000 | 825,188 | ||||||||||
Odebrecht Finance Ltd., 8.25% Sr. Unsec. Nts., 4/25/183 |
1,130,000 | BRR | 424,763 | |||||||||
|
|
|||||||||||
6,309,976 | ||||||||||||
Electrical Equipment0.1% |
||||||||||||
General Cable Corp., 5.75% Sr. Unsec. Unsub. Nts., 10/1/223 |
1,240,000 | 1,193,500 | ||||||||||
Orion Engineered Carbons Bondco GmbH, 10% Sr. Sec. Nts., 6/15/181 |
751,500 | EUR | 1,133,686 | |||||||||
|
|
|||||||||||
2,327,186 | ||||||||||||
Industrial Conglomerates0.1% |
||||||||||||
GE Capital Australia Funding Pty Ltd., 7% Bonds, 10/8/15 |
625,000 | AUD | 622,211 | |||||||||
Hutchison Whampoa Europe Finance 13 Ltd., 3.75% Jr. Sub. Perpetual Bonds14 |
110,000 | EUR | 141,559 |
48 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||||||
Industrial Conglomerates Continued |
|
|||||||||||
KOC Holding AS, 3.50% Sr. Unsec. Nts., 4/24/203 |
$ | 1,870,000 | $ | 1,606,330 | ||||||||
|
|
|||||||||||
2,370,100 | ||||||||||||
Machinery0.6% |
||||||||||||
Actuant Corp., 5.625% Sr. Unsec. Unsub. Nts., 6/15/22 |
1,205,000 | 1,211,025 | ||||||||||
ArvinMeritor, Inc., 10.625% Sr. Unsec. Nts., 3/15/18 |
1,115,000 | 1,209,775 | ||||||||||
Cleaver-Brooks, Inc., 8.75% Sr. Sec. Nts., 12/15/193 |
1,620,000 | 1,755,675 | ||||||||||
CNH Capital LLC, 6.25% Sr. Unsec. Nts., 11/1/16 |
670,000 | 740,350 | ||||||||||
Manitowoc Co., Inc. (The), 8.50% Sr. Unsec. Nts., 11/1/20 |
2,890,000 | 3,229,575 | ||||||||||
Navistar International Corp., 8.25% Sr. Unsec. Nts., 11/1/21 |
965,000 | 981,888 | ||||||||||
Terex Corp., 6% Sr. Unsec. Nts., 5/15/21 |
2,725,000 | 2,769,281 | ||||||||||
Thermadyne Holdings Corp., 9% Sr. Sec. Nts., 12/15/17 |
2,060,000 | 2,229,950 | ||||||||||
Xerium Technologies, Inc., 8.875% Sr. Unsec. Nts., 6/15/18 |
1,580,000 | 1,627,400 | ||||||||||
|
|
|||||||||||
15,754,919 | ||||||||||||
Marine0.0% |
||||||||||||
Navios Maritime Holdings, Inc./Navios Maritime Finance U.S., Inc., 8.875% Sr. Sec. Nts., 11/1/17 |
725,000 | 761,250 | ||||||||||
Professional Services0.1% |
||||||||||||
FTI Consulting, Inc., 6% Sr. Unsec. Unsub. Nts., 11/15/22 |
2,565,000 | 2,558,588 | ||||||||||
Road & Rail0.3% |
||||||||||||
Avis Budget Car Rental LLC/Avis Budget Finance, 5.50% Sr. Unsec. Unsub. Nts., 4/1/23 |
1,680,000 | 1,562,400 | ||||||||||
Kazakhstan Temir Zholy Finance BV, 6.375% Sr. Unsec. Nts., 10/6/203 |
860,000 | 946,000 | ||||||||||
Kenan Advantage Group, Inc. (The), 8.375% Sr. Unsec. Nts., 12/15/181 |
1,510,000 | 1,591,163 | ||||||||||
REFER Rede Ferroviaria Nacional, 4% Sr. Unsec. Unsub. Nts., 3/16/15 |
540,000 | EUR | 701,318 | |||||||||
Transnet SOC Ltd., 4% Sr. Unsec. Nts., 7/26/223 |
520,000 | 461,500 | ||||||||||
Ukraine Railways via Shortline plc, 9.50% Unsec. Nts., 5/21/183 |
310,000 | 249,550 | ||||||||||
Western Express, Inc., 12.50% Sr. Sec. Nts., 4/15/153 |
4,775,000 | 2,769,500 | ||||||||||
|
|
|||||||||||
8,281,431 |
49 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||||||
Trading Companies & Distributors0.4% |
||||||||||||
Air Lease Corp., 4.75% Sr. Unsec. Unsub. Nts., 3/1/20 |
$ | 880,000 | $ | 869,000 | ||||||||
HD Supply, Inc., 7.50% Sr. Unsec. Nts., 7/15/203 |
3,255,000 | 3,381,131 | ||||||||||
International Lease Finance Corp.: 3.875% Sr. Unsec. Unsub. Nts., 4/15/18 |
1,255,000 | 1,214,997 | ||||||||||
8.75% Sr. Unsec. Unsub. Nts., 3/15/17 |
1,847,000 | 2,128,668 | ||||||||||
United Rentals North America, Inc., 7.375% Sr. Unsec. Nts., 5/15/20 |
1,125,000 | 1,217,813 | ||||||||||
|
|
|||||||||||
8,811,609 | ||||||||||||
Information Technology1.1% |
||||||||||||
Communications Equipment0.1% |
||||||||||||
Avaya, Inc., 7% Sr. Sec. Nts., 4/1/193 |
1,305,000 | 1,226,700 | ||||||||||
ViaSat, Inc., 6.875% Sr. Unsec. Unsub. Nts., 6/15/20 |
1,166,000 | 1,215,555 | ||||||||||
|
|
|||||||||||
2,442,255 | ||||||||||||
Computers & Peripherals0.0% |
||||||||||||
Denali Borrower LLC/Denali Finance Corp., 5.625% Sr. Sec. Nts., 10/15/203,4 |
1,230,000 | 1,200,788 | ||||||||||
Electronic Equipment, Instruments & Components0.1% |
||||||||||||
Anixter, Inc., 5.625% Sr. Unsec. Nts., 5/1/19 |
980,000 | 1,014,300 | ||||||||||
Belden, Inc., 5.50% Sr. Unsec. Sub. Nts., 9/1/223 |
1,245,000 | 1,207,650 | ||||||||||
|
|
|||||||||||
2,221,950 | ||||||||||||
Internet Software & Services0.3% |
||||||||||||
Cerved Group SpA, 6.375% Sr. Sec. Nts., 1/15/203 |
790,000 | EUR | 1,095,471 | |||||||||
EarthLink, Inc., 7.375% Sr. Sec. Nts., 6/1/203 |
3,160,000 | 3,096,800 | ||||||||||
Equinix, Inc., 4.875% Sr. Unsec. Nts., 4/1/20 |
1,220,000 | 1,189,500 | ||||||||||
IAC/InterActiveCorp, 4.75% Sr. Unsec. Unsub. Nts., 12/15/22 |
1,255,000 | 1,160,875 | ||||||||||
|
|
|||||||||||
6,542,646 | ||||||||||||
IT Services0.3% |
||||||||||||
Ceridian Corp., 11.25% Sr. Unsec. Nts., 11/15/15 |
335,000 | 340,025 | ||||||||||
First Data Corp.: 8.25% Sec. Nts., 1/15/213 |
1,410,000 | 1,462,875 | ||||||||||
10.625% Sr. Unsec. Nts., 6/15/213 |
730,000 | 744,600 | ||||||||||
12.625% Sr. Unsec. Nts., 1/15/21 |
1,126,000 | 1,244,230 | ||||||||||
iPayment, Inc., 10.25% Sr. Unsec. Nts., 5/15/18 |
6,685,000 | 4,813,200 | ||||||||||
|
|
|||||||||||
8,604,930 |
50 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||
Semiconductors & Semiconductor Equipment0.2% |
||||||||
Freescale Semiconductor, Inc.: 9.25% Sr. Sec. Nts., 4/15/183 |
$ | 2,250,000 | $ | 2,446,875 | ||||
10.75% Sr. Unsec. Nts., 8/1/20 |
1,988,000 | 2,221,590 | ||||||
|
|
|||||||
4,668,465 | ||||||||
Software0.1% |
||||||||
BMC Software Finance, Inc., 8.125% Sr. Unsec. Nts., 7/15/213 |
1,085,000 | 1,131,113 | ||||||
Infor US, Inc., 9.375% Sr. Unsec. Nts., 4/1/19 |
485,000 | 544,413 | ||||||
|
|
|||||||
1,675,526 | ||||||||
Materials2.8% |
||||||||
Chemicals0.6% |
||||||||
ADS Waste Holdings, Inc., 8.25% Sr. Nts., 10/1/203 |
385,000 | 408,100 | ||||||
Braskem Finance Ltd.: 5.375% Sr. Unsec. Nts., 5/2/223 |
2,030,000 | 1,903,125 | ||||||
5.75% Sr. Unsec. Nts., 4/15/213 |
1,630,000 | 1,605,550 | ||||||
Hexion U.S. Finance Corp./Hexion Nova Scotia Finance ULC, 8.875% Sr. Sec. Nts., 2/1/18 |
680,000 | 707,200 | ||||||
Hexion US Finance Corp., 6.625% Sr. Sec. Nts., 4/15/20 |
875,000 | 879,375 | ||||||
Huntsman International LLC, 4.875% Sr. Unsec. Unsub. Nts., 11/15/20 |
220,000 | 209,550 | ||||||
Ineos Finance plc, 8.375% Sr. Sec. Bonds, 2/15/193 |
1,045,000 | 1,156,031 | ||||||
INEOS Group Holdings SA, 6.125% Sr. Unsec. Nts., 8/15/183 |
1,050,000 | 1,029,000 | ||||||
Mexichem SAB de CV, 4.875% Sr. Unsec. Nts., 9/19/223 |
1,365,000 | 1,327,463 | ||||||
Momentive Performance Materials, Inc., 8.875% Sr. Sec. Nts., 10/15/20 |
1,160,000 | 1,223,800 | ||||||
PetroLogistics LP/PetroLogistics Finance Corp., 6.25% Sr. Unsec. Nts., 4/1/203 |
420,000 | 412,650 | ||||||
PQ Corp., 8.75% Sr. Sec. Nts., 5/1/183 |
1,140,000 | 1,219,800 | ||||||
Trinseo Materials Operating SCA/Trinseo Materials Finance, Inc., 8.75% Sr. Sec. Nts., 2/1/193 |
1,140,000 | 1,137,150 | ||||||
|
|
|||||||
13,218,794 | ||||||||
Construction Materials0.6% |
||||||||
Building Materials Corp. of America, 6.75% Sr. Nts., 5/1/213 |
1,975,000 | 2,128,063 | ||||||
CEMEX Espana Luxembourg, 9.875% Sr. Sec. Nts., 4/30/193 |
3,005,000 | 3,380,625 |
51 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||||||
Construction Materials Continued |
||||||||||||
CEMEX Espana SA, 9.25% Sr. Sec. Nts., 5/12/203 | $ | 3,280,000 | $ | 3,542,400 | ||||||||
CEMEX Finance LLC, 9.375% Sr. Sec. Nts., 10/12/223 | 1,990,000 | 2,189,000 | ||||||||||
Cemex SAB de CV: 6.50% Sr. Sec. Nts., 12/10/193 |
1,560,000 | 1,540,500 | ||||||||||
7.25% Sr. Sec. Nts., 1/15/213,4 | 1,675,000 | 1,672,906 | ||||||||||
HeidelbergCement Finance BV, 8% Sr. Unsec. Unsub. Nts., 1/31/17 | 360,000 | EUR | 568,652 | |||||||||
Lafarge SA, 5.375% Sr. Unsec. Unsub. Nts., 6/26/17 | 395,000 | EUR | 576,570 | |||||||||
|
|
|||||||||||
15,598,716 | ||||||||||||
Containers & Packaging0.5% |
||||||||||||
Ardagh Packaging Finance plc/Ardagh MP Holdings USA, Inc., 7% Sr. Unsec. Nts., 11/15/203 | 2,205,000 | 2,127,825 | ||||||||||
Berry Plastics Corp., 9.75% Sec. Nts., 1/15/21 | 1,580,000 | 1,832,800 | ||||||||||
Consolidated Container Co. LLC/Consolidated Container Capital, Inc., 10.125% Sr. Unsec. Nts., 7/15/203 | 590,000 | 634,250 | ||||||||||
Crown Americas LLC/Crown Americas Capital Corp. IV, 4.50% Sr. Unsec. Nts., 1/15/233 | 2,815,000 | 2,589,800 | ||||||||||
Polymer Group, Inc., 7.75% Sr. Sec. Nts., 2/1/19 | 1,540,000 | 1,653,575 | ||||||||||
Sealed Air Corp.: 5.25% Sr. Unsec. Nts., 4/1/233 |
1,620,000 | 1,543,050 | ||||||||||
6.50% Sr. Unsec. Nts., 12/1/203 | 1,445,000 | 1,520,863 | ||||||||||
Smurfit Kappa Acquisitions, 7.75% Sr. Sec. Nts., 11/15/193 | 770,000 | EUR | 1,134,968 | |||||||||
|
|
|||||||||||
13,037,131 | ||||||||||||
Metals & Mining1.0% |
||||||||||||
Aleris International, Inc.: 7.625% Sr. Unsec. Nts., 2/15/18 |
2,655,000 | 2,791,069 | ||||||||||
7.875% Sr. Unsec. Unsub. Nts., 11/1/20 | 2,550,000 | 2,645,625 | ||||||||||
Alrosa Finance SA, 7.75% Nts., 11/3/203 | 3,570,000 | 3,981,264 | ||||||||||
Consolidated Minerals Ltd., 8.875% Sr. Sec. Nts., 5/1/163 | 1,070,000 | 1,088,725 | ||||||||||
CSN Islands XI Corp., 6.875% Sr. Unsec. Nts., 9/21/193 | 770,000 | 800,800 | ||||||||||
Evraz Group SA, 6.50% Sr. Unsec. Nts., 4/22/203 | 1,515,000 | 1,400,436 | ||||||||||
Ferrexpo Finance plc, 7.875% Sr. Unsec. Bonds, 4/7/163 | 1,675,000 | 1,524,250 |
52 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||||||
Metals & Mining Continued |
||||||||||||
FMG Resources Pty Ltd., 6.875% Sr. Unsec. Unsub. Nts., 2/1/183 | $ | 1,060,000 | $ | 1,111,675 | ||||||||
Gerdau Holdings, Inc., 7% Sr. Unsec. Nts., 1/20/203 | 305,000 | 326,350 | ||||||||||
Gerdau Trade, Inc., 5.75% Sr. Unsec. Nts., 1/30/213 | 815,000 | 802,775 | ||||||||||
JMC Steel Group, Inc., 8.25% Sr. Unsec. Nts., 3/15/183 | 205,000 | 198,850 | ||||||||||
Metalloinvest Finance Ltd., 5.625% Unsec. Nts., 4/17/203 | 1,140,000 | 1,107,225 | ||||||||||
Mexico Generadora de Energia S de RL, 5.50% Sr. Sec. Nts., 12/6/323 | 1,270,000 | 1,146,175 | ||||||||||
Novelis, Inc., 8.75% Sr. Unsec. Nts., 12/15/20 | 1,285,000 | 1,416,713 | ||||||||||
Samarco Mineracao SA, 4.125% Sr. Unsec. Nts., 11/1/223 | 960,000 | 837,600 | ||||||||||
Severstal OAO Via Steel Capital SA, 4.45% Sr. Unsec. Nts., 3/19/183 | 785,000 | 770,281 | ||||||||||
Vedanta Resources plc, 6% Sr. Unsec. Nts., 1/31/193 | 1,255,000 | 1,198,525 | ||||||||||
Walter Energy, Inc.: 9.50% Sr. Sec. Nts., 10/15/19 |
880,000 | 914,100 | ||||||||||
9.875% Sr. Unsec. Unsub. Nts., 12/15/203 | 1,420,000 | 1,246,050 | ||||||||||
|
|
|||||||||||
25,308,488 | ||||||||||||
Paper & Forest Products0.1% |
||||||||||||
Catalyst Paper Corp., 11% Sr. Sec. Nts., 10/30/175 | 1,993,571 | 1,176,207 | ||||||||||
NewPage Corp., 11.375% Sr. Sec. Nts., 12/31/146 | 3,620,097 | | ||||||||||
|
|
|||||||||||
1,176,207 | ||||||||||||
Telecommunication Services2.8% |
||||||||||||
Diversified Telecommunication Services1.6% |
||||||||||||
Activision Blizzard, Inc., 5.625% Sr. Unsec. Unsub. Nts., 9/15/213 | 655,000 | 657,456 | ||||||||||
Brasil Telecom SA, 9.75% Sr. Unsec. Nts., 9/15/163 | 2,550,000 | BRR | 1,013,419 | |||||||||
Cequel Communications Escrow 1 LLC/Cequel Escrow Capital Corp., 6.375% Sr. Nts., 9/15/203 | 5,325,000 | 5,458,125 | ||||||||||
Colombia Telecomunicaciones SA ESP, 5.375% Sr. Unsec. Nts., 9/27/223 | 560,000 | 516,600 | ||||||||||
Fairpoint Communications, Inc., 8.75% Sr. Sec. Nts., 8/15/193 | 3,600,000 | 3,681,000 | ||||||||||
Frontier Communications Corp., 7.625% Sr. Unsec. Unsub. Nts., 4/15/24 | 1,615,000 | 1,623,075 | ||||||||||
Intelsat Jackson Holdings SA: 5.50% Sr. Unsec. Nts., 8/1/233 |
1,055,000 | 991,700 | ||||||||||
7.25% Sr. Unsec. Nts., 10/15/20 | 1,460,000 | 1,565,850 |
53 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||||||
Diversified Telecommunication Services Continued |
||||||||||||
Intelsat Luxembourg SA, 7.75% Sr. Unsec. Nts., 6/1/213 | $ | 2,095,000 | $ | 2,176,181 | ||||||||
Koninklijke KPN NV, 6.125% Jr. Sub. Perpetual Bonds14 | 860,000 | EUR | 1,192,829 | |||||||||
Level 3 Communications, Inc., 8.875% Sr. Unsec. Unsub. Nts., 6/1/19 | 1,935,000 | 2,080,125 | ||||||||||
Level 3 Financing, Inc., 9.375% Sr. Unsec. Unsub. Nts., 4/1/19 | 765,000 | 847,238 | ||||||||||
MetroPCS Wireless, Inc.: 6.25% Sr. Unsec. Unsub. Nts., 4/1/213 |
1,610,000 | 1,624,088 | ||||||||||
6.625% Sr. Unsec. Nts., 11/15/20 | 2,490,000 | 2,589,600 | ||||||||||
Portugal Telecom International Finance BV, 5.625% Sr. Unsec. Unsub. Nts., 2/8/16 | 530,000 | EUR | 752,861 | |||||||||
Telecom Italia SpA, 7.75% Unsec. Sub. Nts., 3/20/73 | 2,335,000 | EUR | 3,156,600 | |||||||||
Telefonica Chile SA, 3.875% Sr. Unsec. Nts., 10/12/223 | 1,080,000 | 964,551 | ||||||||||
Telefonica Emisiones SAU, 3.987% Sr. Unsec. Unsub. Nts., 1/23/23 | 575,000 | EUR | 757,894 | |||||||||
Telemar Norte Leste SA, 5.50% Sr. Unsec. Nts., 10/23/203 | 4,255,000 | 3,786,950 | ||||||||||
Verizon Communications, Inc., 6.55% Sr. Unsec. Unsub. Nts., 9/15/43 | 130,000 | 147,256 | ||||||||||
Wind Acquisition Finance SA, 7.25% Sr. Sec. Nts., 2/15/183 | 2,535,000 | 2,636,400 | ||||||||||
Windstream Corp., 6.375% Sr. Unsec. Nts., 8/1/23 | 1,045,000 | 961,400 | ||||||||||
|
|
|||||||||||
39,181,198 | ||||||||||||
Wireless Telecommunication Services1.2% |
||||||||||||
America Movil SAB de CV: 6.45% Sr. Unsec. Nts., 12/5/22 |
22,780,000 | MXN | 1,637,910 | |||||||||
8.46% Sr. Unsec. Unsub. Bonds, 12/18/36 | 14,700,000 | MXN | 1,099,385 | |||||||||
Digicel Group Ltd., 8.25% Sr. Unsec. Nts., 9/30/203 | 610,000 | 634,400 | ||||||||||
Digicel Ltd., 6% Sr. Unsec. Nts., 4/15/213 | 1,150,000 | 1,083,875 | ||||||||||
Millicom International Cellular SA, 4.75% Sr. Unsec. Nts., 5/22/203 | 875,000 | 815,938 | ||||||||||
MTS International Funding Ltd.: 5% Sr. Unsec. Nts., 5/30/233 |
1,145,000 | 1,056,263 | ||||||||||
8.625% Sr. Unsec. Nts., 6/22/203 | 1,855,000 | 2,177,306 | ||||||||||
SBA Telecommunications, Inc., 5.75% Sr. Unsec. Unsub. Nts., 7/15/20 | 785,000 | 783,038 | ||||||||||
Sprint Capital Corp., 6.875% Sr. Unsec. Nts., 11/15/28 | 3,075,000 | 2,759,813 |
54 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||||||
Wireless Telecommunication Services Continued |
||||||||||||
Sprint Nextel Corp., 9% Sr. Unsec. Nts., 11/15/183 | $ | 1,045,000 | $ | 1,227,875 | ||||||||
Vimpel Communications, Inc.: 8.85% Sr. Unsec. Nts., 3/8/222 |
12,300,000 | RUR | 386,483 | |||||||||
8.85% Sr. Unsec. Nts., 3/8/222 | 13,700,000 | RUR | 430,473 | |||||||||
Vimpel Communications/VIP Finance Ireland Ltd. OJSC: 7.748% Sec. Nts., 2/2/213 | 2,140,000 | 2,311,200 | ||||||||||
9.125% Sr. Unsec. Nts., 4/30/183 | 4,520,000 | 5,254,500 | ||||||||||
VimpelCom, 7.504% Sr. Unsec. Unsub. Nts., 3/1/223 | 4,930,000 | 5,207,313 | ||||||||||
VimpelCom Holdings BV: 5.95% Sr. Unsec. Unsub. Nts., 2/13/233 |
2,400,000 | 2,281,584 | ||||||||||
9% Sr. Unsec. Nts., 2/13/18 | 47,100,000 | RUR | 1,462,358 | |||||||||
|
|
|||||||||||
30,609,714 | ||||||||||||
Utilities2.0% |
||||||||||||
Electric Utilities1.2% |
||||||||||||
Dubai Electricity & Water Authority, 7.375% Sr. Unsec. Unsub. Nts., 10/21/203,4 | 5,120,000 | 6,016,000 | ||||||||||
EDP Finance BV, 6% Sr. Unsec. Unsub. Nts., 2/2/183 | 1,055,000 | 1,094,563 | ||||||||||
Electricite de France SA, 5.25% Jr. Sub. Perpetual Bonds2,3,14 | 2,100,000 | 1,989,977 | ||||||||||
Empresas Publicas de Medellin ESP, 8.375% Sr. Unsec. Unsub. Nts., 2/1/213 | 2,227,465,000 | COP | 1,225,854 | |||||||||
Enel SpA, 8.75% Unsec. Sub. Nts., 9/24/733 | 575,000 | 589,375 | ||||||||||
Eskom Holdings Ltd., 5.75% Sr. Unsec. Bonds, 1/26/213 | 540,000 | 540,000 | ||||||||||
Iberdrola International BV, 5.75% Jr. Sub. Perpetual Bonds14 | 820,000 | EUR | 1,120,431 | |||||||||
Israel Electric Corp. Ltd.: 6.70% Sr. Unsec. Nts., 2/10/173 |
1,885,000 | 2,025,838 | ||||||||||
7.25% Nts., 1/15/193 | 8,830,000 | 9,670,545 | ||||||||||
9.375% Sr. Sec. Nts., 1/28/203 | 425,000 | 509,700 | ||||||||||
National Power Corp., 5.875% Unsec. Unsub. Bonds, 12/19/16 |
109,600,000 | PHP | 2,716,338 | |||||||||
Perusahaan Listrik Negara PT, 5.50% Sr. Unsec. Nts., 11/22/213 | 1,055,000 | 1,012,800 | ||||||||||
|
|
|||||||||||
28,511,421 | ||||||||||||
Energy Traders0.5% |
||||||||||||
AES Corp. (The): 7.375% Sr. Unsec. Unsub. Nts., 7/1/21 |
1,045,000 | 1,154,725 | ||||||||||
8% Sr. Unsec. Unsub. Nts., 10/15/17 | 1,100,000 | 1,270,500 |
55 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||||||
Energy Traders Continued |
||||||||||||
Calpine Corp.: 7.50% Sr. Sec. Nts., 2/15/213 |
$ | 1,026,000 | $ | 1,095,255 | ||||||||
7.875% Sr. Sec. Nts., 1/15/233 | 995,000 | 1,052,213 | ||||||||||
Colbun SA, 6% Sr. Unsec. Nts., 1/21/203 | 2,150,000 | 2,308,831 | ||||||||||
Dynegy, Inc., 5.875% Sr. Unsec. Nts., 6/1/233 | 420,000 | 384,300 | ||||||||||
Energy Future Intermediate Holding Co. LLC/EFIH Finance, Inc.: 10% Sr. Sec. Nts., 12/1/203 |
1,840,000 | 1,941,200 | ||||||||||
11.75% Sec. Nts., 3/1/223 | 1,715,000 | 1,937,950 | ||||||||||
Instituto Costarricense de Electricidad, 6.95% Sr. Unsec. Nts., 11/10/213 | 190,000 | 196,175 | ||||||||||
NRG Energy, Inc., 6.625% Sr. Unsec. Nts., 3/15/23 | 1,455,000 | 1,433,175 | ||||||||||
Perusahaan Listrik Negara PT, 5.25% Sr. Unsec. Nts., 10/24/423 | 315,000 | 236,250 | ||||||||||
Power Sector Assets & Liabilities Management Corp., 7.39% Sr. Gtd. Unsec. Nts., 12/2/243 | 335,000 | 403,675 | ||||||||||
13,414,249 | ||||||||||||
Gas Utilities0.2% | ||||||||||||
AmeriGas Finance LLC/AmeriGas Finance Corp., 6.75% Sr. Unsec. Nts., 5/20/20 | 2,595,000 | 2,770,163 | ||||||||||
Empresa de Energia de Bogota SA ESP, 6.125% Sr. Unsec. Unsub. Nts., 11/10/213 | 1,145,000 | 1,176,488 | ||||||||||
Gas Natural de Lima y Callao SA, 4.375% Sr. Unsec. Nts., 4/1/233 | 710,000 | 644,325 | ||||||||||
Transportadora de Gas Internacional SA ESP, 5.70% Sr. Unsec. Nts., 3/20/223 | 585,000 | 589,388 | ||||||||||
5,180,364 | ||||||||||||
Multi-Utilities0.1% | ||||||||||||
Eskom Holdings SOC Ltd., 6.75% Sr. Unsec. Nts., 8/6/233 | 1,845,000 | 1,905,332 | ||||||||||
Veolia Environnement SA, 4.44% Unsec. Perpetual Bonds2,14 | 850,000 | EUR | 1,125,487 | |||||||||
3,030,819 | ||||||||||||
Total Corporate Bonds and Notes (Cost $790,840,051) | 779,531,166 |
56 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Shares | Value | |||||||||||
Preferred Stocks0.1% |
||||||||||||
Ally Financial, Inc., 7% Cum., Series G, Non-Vtg. (Cost $3,049,853) |
3,287 | $ | 3,140,934 | |||||||||
Common Stocks0.2% |
||||||||||||
American Media, Inc. 15 |
219,796 | 2,527,654 | ||||||||||
Arco Capital Corp. Ltd. 1,15 |
690,638 | | ||||||||||
Catalyst Paper Corp. 15 |
154,233 | 178,183 | ||||||||||
Global Aviation Holdings, Inc. 15 |
400 | | ||||||||||
NewPage Corp. 15 |
15,700 | 1,373,750 | ||||||||||
Nortek, Inc. 15 |
24,095 | 1,655,567 | ||||||||||
Premier Holdings Ltd. 15 |
18,514 | | ||||||||||
Revel Entertainment 15 |
19,163 | 440,749 | ||||||||||
Wallace Theater Holdings, Inc. 1,15 |
1,525 | 15,296 | ||||||||||
Total Common Stocks (Cost $13,802,296) |
6,191,199 | |||||||||||
Units | ||||||||||||
Rights, Warrants and Certificates0.0% |
||||||||||||
MediaNews Group, Inc. Wts., Strike Price $48.72, Exp. 3/19/17 15 (Cost $6,331,150) | 22,685 | | ||||||||||
Principal Amount |
||||||||||||
Structured Securities1.1% |
||||||||||||
Citigroup Global Markets Holdings, Inc., Colombia (Republic of) Credit Linked Nts., Series 2, 10%, 7/25/24 | 1,549,000,000 | COP | 1,011,329 | |||||||||
Credit Suisse First Boston International, Moitk Total Return Linked Nts., 21%, 3/30/116 |
53,910,000 | RUR | | |||||||||
Credit Suisse First Boston, Inc. (Nassau Branch), Russian Specialized Construction & Installation Administration Total Return Linked Nts., 13%, 5/24/106 | 97,250,000 | RUR | | |||||||||
Deutsche Bank AG: Coriolanus Ltd. Sec. Credit Linked Bonds, Series 128, 3.006%, 5/6/253,12 |
1,627,846 | 1,209,676 | ||||||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.061%, 5/6/253,12 |
2,074,127 | 1,541,314 | ||||||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.10%, 5/6/253,12 |
1,790,677 | 1,330,678 | ||||||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.134%, 5/6/253,12 |
1,600,639 | 1,189,458 | ||||||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.187%, 5/6/253,12 |
1,992,926 | 1,480,972 | ||||||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.239%, 5/6/253,12 |
2,274,622 | 1,690,305 | ||||||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.266%, 5/6/253,12 |
1,817,157 | 1,350,356 | ||||||||||
Coriolanus Ltd. Sec. Credit Linked Bonds, 3.343%, 5/6/253,12 |
1,708,050 | 1,269,277 | ||||||||||
Coriolanus Ltd. Sec. Credit Linked Nts., 17.954%, 12/31/171,13 |
12,850,000 | BRR | 7,894,491 | |||||||||
Opic Reforma I Credit Linked Nts., Cl. 2A, 7.455%, 5/22/151,2 |
697,693 | MXN | 50,205 |
57 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Principal Amount |
Value | |||||||||
Opic Reforma I Credit Linked Nts., Cl. 2B, 7.455%, 5/22/151,2 |
1,220,632 | MXN | $ | 87,835 | ||||||
Opic Reforma I Credit Linked Nts., Cl. 2C, 7.455%, 5/22/151,2 |
18,404,162 | MXN | 1,324,335 | |||||||
Opic Reforma I Credit Linked Nts., Cl. 2D, 7.455%, 5/22/151,2 |
1,341,270 | MXN | 96,516 | |||||||
Opic Reforma I Credit Linked Nts., Cl. 2E, 7.455%, 5/22/151,2 |
974,458 | MXN | 70,120 | |||||||
Opic Reforma I Credit Linked Nts., Cl. 2F, 7.455%, 5/22/151,2 |
622,337 | MXN | 44,782 | |||||||
Opic Reforma I Credit Linked Nts., Cl. 2G, 7.455%, 5/22/151,2 | 114,609 | MXN | 8,247 | |||||||
Goldman Sachs Capital Markets LP, Colombia (Republic of) Credit Linked Nts., Cl. B, 10%, 7/30/243 | 4,250,000,000 | COP | 2,774,788 | |||||||
Goldman Sachs Group, Inc. (The), United Mexican States Credit Linked Nts., 9.05%, 2/8/371,12 | 315,000,000 | MXN | 2,168,265 | |||||||
LB Peru Trust II Certificates, Series 1998-A, 0%, 2/28/166,12 | 2,994 | 2,998 | ||||||||
Morgan Stanley, Russian Federation Total Return Linked Bonds, Series 007, Cl. VR, 5%, 8/22/34 | 47,440,873 | RUR | 733,896 | |||||||
Total Structured Securities (Cost $33,239,439) |
27,329,843 |
Counterparty | Exercise Price |
Expiration Date |
Contracts | |||||||||||||||||||||
Over-the-Counter Options Purchased0.2% |
| |||||||||||||||||||||||
AUD Currency Call15 |
BOFA | 95.500 | JPY | 8/4/14 | 1,395,000 | AUD | 23,077 | |||||||||||||||||
AUD Currency Call15 |
GSCO-OT | 102.000 | JPY | 9/10/14 | 1,970,000 | AUD | 11,656 | |||||||||||||||||
BRR Currency Call15 |
CITNA-B | 2.200 | BRR | 10/15/13 | 27,500,000 | BRR | 98,683 | |||||||||||||||||
BRR Currency Call15 |
BOFA | 2.240 | BRR | 11/1/13 | 76,675,000 | BRR | 672,329 | |||||||||||||||||
BRR Currency Call15 |
GSCO-OT | 2.210 | BRR | 12/23/13 | 155,605,000 | BRR | 1,326,825 | |||||||||||||||||
HUF Currency Call15 |
CITNA-B | 217.700 | HUF | 11/1/13 | 4,975,000,000 | HUF | 193,179 | |||||||||||||||||
HUF Currency Call15 |
BOFA | 218.300 | HUF | 11/4/13 | 4,993,000,000 | HUF | 232,923 | |||||||||||||||||
INR Curency Call15 |
GSCO-OT | 65.250 | INR | 9/3/14 | 82,500,000 | INR | 36,300 | |||||||||||||||||
INR Currency Call15 |
GSCO-OT | 65.000 | INR | 9/2/14 | 82,500,000 | INR | 34,198 |
58 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Counterparty | Exercise Price |
Expiration Date |
Contracts Value | |||||||||||||||||||||
iShares iBoxx High Yield Corporate Bond Exchange Traded Fund Call15 |
GSCO-OT | 93.000 | USD | 12/20/13 | 6,663 | USD | $ | 244,925 | ||||||||||||||||
iShares iBoxx High Yield Corporate Bond Exchange Traded Fund Call15 |
DEU | 92.000 | USD | 12/20/13 | 2,218 | USD | 141,199 | |||||||||||||||||
iShares iBoxx High Yield Corporate Bond Exchange Traded Fund Call15 |
DEU | 94.000 | USD | 12/20/13 | 4,460 | USD | 59,832 | |||||||||||||||||
iShares iBoxx High Yield Corporate Bond Exchange Traded Fund Call15 |
GSCO-OT | 94.000 | USD | 12/20/13 | 4,465 | USD | 85,289 | |||||||||||||||||
JPY Currency Call15 |
GSCO-OT | 95.500 | JPY | 10/18/13 | 187,500,000 | JPY | 4,108 | |||||||||||||||||
JPY Currency Put15 |
GSCO-OT | 108.000 | JPY | 5/22/15 | 650,000,000 | JPY | 122,259 | |||||||||||||||||
MXN Currency Call15 |
DEU | 12.650 | MXN | 10/15/13 | 99,500,000 | MXN | 10,177 | |||||||||||||||||
MXN Currency Call15 |
MSCO | 12.430 | MXN | 10/18/13 | 146,850,000 | MXN | 5,090 | |||||||||||||||||
MXN Currency Call15 |
GSCO-OT | 12.430 | MXN | 10/18/13 | 146,850,000 | MXN | 5,090 | |||||||||||||||||
MXN Currency Call15 |
DEU | 12.460 | MXN | 10/31/13 | 427,000,000 | MXN | 50,155 | |||||||||||||||||
MXN Currency Call15 |
BOFA | 12.360 | MXN | 10/31/13 | 282,000,000 | MXN | 20,766 | |||||||||||||||||
MXN Currency Call15 |
CITNA-B | 12.380 | MXN | 11/1/13 | 282,975,000 | MXN | 24,291 | |||||||||||||||||
MXN Currency Call15 |
CITNA-B | 12.460 | MXN | 11/1/13 | 284,700,000 | MXN | 34,318 | |||||||||||||||||
MXN Currency Call15 |
GSCO-OT | 12.680 | MXN | 12/23/13 | 107,100,000 | MXN | 77,809 | |||||||||||||||||
MXN Currency Call15 |
GSCO-OT | 13.000 | MXN | 9/29/14 | 17,000,000 | MXN | 46,768 | |||||||||||||||||
MYR Currency Call15 |
BAC | 3.170 | MYR | 11/1/13 | 95,100,000 | MYR | 151,948 | |||||||||||||||||
MYR Currency Call15 |
JPM | 3.180 | MYR | 11/1/13 | 108,840,000 | MYR | 186,281 | |||||||||||||||||
PLZ Currency Call15 |
DEU | 3.090 | PLZ | 11/1/13 | 70,700,000 | PLZ | 195,037 | |||||||||||||||||
PLZ Currency Call15 |
BOFA | 3.080 | PLZ | 11/4/13 | 70,370,000 | PLZ | 166,664 |
59 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Counterparty | Exercise Price |
Expiration Date |
Contracts | Value | ||||||||||||||||||||||||
RUR Currency Call15 |
JPM | 32.640 | RUR | 11/1/13 | 1,305,000,000 | RUR | 505,648 | |||||||||||||||||||||
RUR Currency Call15 |
BOFA | 32.380 | RUR | 11/1/13 | 555,500,000 | RUR | 148,096 | |||||||||||||||||||||
RUR Currency Call15 |
BAC | 32.470 | RUR | 11/1/13 | 742,700,000 | RUR | 227,504 | |||||||||||||||||||||
TRY Currency Call15 |
GSCOOT | 1.910 | TRY | 10/9/13 | 7,435,000 | TRY | 113 | |||||||||||||||||||||
TRY Currency Call15 |
GSCOOT | 1.890 | TRY | 10/22/13 | 7,445,000 | TRY | 636 | |||||||||||||||||||||
TRY Currency Call15 |
JPM | 1.910 | TRY | 11/1/13 | 54,465,000 | TRY | 24,937 | |||||||||||||||||||||
TRY Currency Call15 |
FIB | 1.910 | TRY | 11/4/13 | 54,490,000 | TRY | 29,445 | |||||||||||||||||||||
ZAR Currency Call15 |
MSCO | 9.580 | ZAR | 11/1/13 | 218,900,000 | ZAR | 65,504 | |||||||||||||||||||||
ZAR Currency Call15 |
JPM | 9.610 | ZAR | 11/4/13 | 219,800,000 | ZAR | 84,386 | |||||||||||||||||||||
ZAR Currency Call15 |
BOFA | 9.310 | ZAR | 11/29/13 | 79,000,000 | ZAR | 17,700 | |||||||||||||||||||||
Total Over-the-Counter Options Purchased (Cost $8,981,200) |
|
5,365,145 |
Counterparty | Buy/Sell Protection |
Reference Asset |
Fixed Rate |
Expiration Date |
Notional Amount |
|||||||||||||||||||||||||||
Over-the-Counter Credit Default Swaptions Purchased0.0%
|
|
|||||||||||||||||||||||||||||||
Credit Default Swap maturing 6/20/18 Call | BOFA | Sell |
|
iTraxx Europe Senior |
|
1.000 | % | 10/17/13 | 9,290,000 | EUR | 52,214 | |||||||||||||||||||||
Credit Default Swap maturing 6/20/18 Call | JPM | Sell | CDX.NA.HY.20 | 5.000 | 12/19/13 | 685,000 | 3,379 | |||||||||||||||||||||||||
Total Over-the-Counter Credit Default Swaptions Purchased (Cost $56,877) |
|
$ | 55,593 |
Counterparty | Pay/ Receive Floating Rate |
Floating Rate |
Fixed Rate |
Expiration Date |
Notional Amount |
|||||||||||||||||||||||
Over-the-Counter Interest Rate Swaptions Purchased0.2%
|
|
|||||||||||||||||||||||||||
Interest Rate Swap maturing 7/27/46 Call |
BOFA | Receive | |
Three- Month USD BBA LIBOR |
|
3.890 | % | 7/26/16 | $ | 6,860,000 | 815,212 |
60 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Counterparty | Pay/Receive Floating Rate |
Floating Rate |
Fixed Rate |
Expiration Date |
Notional Amount |
|||||||||||||||||||||||
Interest Rate Swap maturing 8/4/46 Call | BOFA | Receive | |
Three- Month USD BBA LIBOR |
|
4.860 | 8/3/16 | 1,395,000 | 68,606 | |||||||||||||||||||
Interest Rate Swap maturing 10/8/23 Call | BOFA | Pay | |
Three- Month CAD BA CDOR |
|
2.083 | 10/9/13 | 15,740,000 | CAD | | ||||||||||||||||||
Interest Rate Swap maturing 10/21/18 Call | BOFA | Pay | |
Three- Month USD BBA LIBOR |
|
1.398 | 10/18/13 | 81,985,000 | 32,451 | |||||||||||||||||||
Interest Rate Swap maturing 2/5/19 Call | BOFA | Pay | |
Three- Month USD BBA LIBOR |
|
1.858 | 2/4/14 | 22,010,000 | 268,375 | |||||||||||||||||||
Interest Rate Swap maturing 11/20/23 Call | BAC | Receive | |
Three- Month USD BBA LIBOR |
|
2.183 | 11/19/13 | 2,850,000 | 166,215 |
Counterparty | Pay/Receive Floating Rate |
Floating Rate |
Fixed Rate |
Expiration Date |
Notional Amount |
Value | ||||||||||||||||||||||||||
Interest Rate Swap maturing 4/27/47 Call | BAC | Receive | |
Three- Month USD BBA LIBOR |
|
3.480 | % | 4/26/17 | 5,040,000 | $ | 919,596 | |||||||||||||||||||||
Interest Rate Swap maturing 1/25/46 Call | BAC | Receive | |
Six-Month GBP BBA LIBOR |
|
3.540 | 1/26/16 | 1,325,000 | GBP | 168,047 | ||||||||||||||||||||||
Interest Rate Swap maturing 5/30/33 Call | BAC | Receive | |
Six-Month GBP BBA LIBOR |
|
3.990 | 5/31/23 | 1,235,000 | GBP | 104,617 | ||||||||||||||||||||||
Interest Rate Swap maturing 7/20/20 Call | BAC | Pay | |
Six-Month GBP BBA LIBOR |
|
2.270 | 7/21/15 | 4,160,000 | GBP | 81,066 | ||||||||||||||||||||||
Interest Rate Swap maturing 6/20/21 Call | BAC | Pay | |
Six-Month GBP BBA LIBOR |
|
2.618 | 6/21/16 | 5,420,000 | GBP | 128,517 | ||||||||||||||||||||||
Interest Rate Swap maturing 2/12/18 Call | BAC | Pay | |
Three- Month USD BBA LIBOR |
|
2.362 | 2/7/14 | 33,325,000 | 220,349 | |||||||||||||||||||||||
Interest Rate Swap maturing 1/16/16 Call | GSCOI | Receive | |
Three- Month USD BBA LIBOR |
|
1.750 | 3/14/14 | 230,200,000 | 42,264 | |||||||||||||||||||||||
Interest Rate Swap maturing 12/4/45 Call | GSCO-OT | Receive | |
Six-Month GBP BBA LIBOR |
|
3.275 | 12/7/15 | 1,320,000 | GBP | 214,709 | ||||||||||||||||||||||
Interest Rate Swap maturing 1/22/44 Call | GSCOI | Receive | |
Three- Month USD BBA LIBOR |
|
4.320 | 1/17/14 | 9,615,000 | 227,219 | |||||||||||||||||||||||
Interest Rate Swap maturing 3/7/16 Call | JPM | Receive | |
Three- Month USD BBA LIBOR |
|
1.160 | 3/6/14 | 69,820,000 | 45,199 | |||||||||||||||||||||||
Interest Rate Swap maturing 11/19/23 Call | JPM | Receive | |
Three- Month USD BBA LIBOR |
|
2.256 | 11/18/13 | 2,640,000 | 136,589 | |||||||||||||||||||||||
Interest Rate Swap maturing 10/21/18 Call | JPM | Pay | |
Three- Month USD BBA LIBOR |
|
1.395 | 10/18/13 | 27,330,000 | 10,314 |
61 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Counterparty | Pay/Receive Floating Rate |
Floating Rate |
Fixed Rate |
Expiration Date |
Notional Amount |
Value | ||||||||||||||||||||||||||
Interest Rate Swap maturing 10/11/17 Call | JPM | Pay | |
Three- Month USD BBA LIBOR |
|
2.014 | 10/10/13 | 6,575,000 | 17,697 | |||||||||||||||||||||||
Interest Rate Swap maturing 1/26/19 Call | UBS | Pay | |
Six-Month EUR EURIBOR |
|
1.545 | 1/25/17 | 11,220,000 | EUR | 97,720 | ||||||||||||||||||||||
Total Over-the-Counter Interest Rate Swaptions Purchased (Cost $4,299,083) |
|
$ | 3,764,762 |
Shares | ||||||||
Investment Companies7.8% |
||||||||
Oppenheimer Institutional Money Market Fund, Cl. E, 0.09% 16,17 |
86,895,069 | 86,895,069 | ||||||
Oppenheimer Master Event-Linked Bond Fund, LLC 16 |
4,827,322 | 65,271,396 | ||||||
Oppenheimer Master Loan Fund, LLC 16 |
212,114 | 2,936,038 | ||||||
Oppenheimer Short Duration Fund, Cl. Y 16 |
3,704,360 | 37,117,692 | ||||||
Total Investment Companies (Cost $190,260,981) |
192,220,195 |
Total Investments, at Value (Cost $2,635,993,581) |
105.0 | % | $ | 2,594,241,802 | ||||
Liabilities in Excess of Other Assets |
(5.0 | ) | (124,595,613 | ) | ||||
Net Assets |
100.0 | % | $ | 2,469,646,189 | ||||
|
||||||||
Footnotes to Statement of Investments
Principal amount is reported in U.S. Dollars, except for those denoted in the following currencies:
AUD | Australian Dollar | |
BRR | Brazilian Real | |
CAD | Canadian Dollar | |
CHF | Swiss Franc | |
COP | Colombian Peso | |
DKK | Danish Krone | |
EUR | Euro | |
GBP | British Pound Sterling | |
HUF | Hungarian Forint | |
JPY | Japanese Yen | |
MXN | Mexican Nuevo Peso | |
MYR | Malaysian Ringgit | |
NGN | Nigeria Naira | |
NOK | Norwegian Krone | |
PEN | Peruvian New Sol | |
PHP | Philippines Peso |
62 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
PLZ | Polish Zloty | |
RSD | Serbian Dinar | |
RUR | Russian Ruble | |
SEK | Swedish Krona | |
SGD | Singapore Dollar | |
THB | Thai Bhat | |
TRY | New Turkish Lira | |
ZAR | South African Rand |
1. Restricted security. The aggregate value of restricted securities as of September 30, 2013 was $48,487,630, which represents 1.96% of the Funds net assets. See accompanying Notes. Information concerning restricted securities is as follows:
Security | Acquisition Dates |
Cost | Value | Unrealized Appreciation (Depreciation) |
||||||||||||
Ally Auto Receivables Trust, Automobile Receivables Nts., Series 2012-A, Cl. D, 3.15%, 10/15/18 | 6/8/12 | $ | 2,110,379 | $ | 2,208,007 | $97,628 | ||||||||||
Arco Capital Corp. Ltd. | 6/28/13 | | | | ||||||||||||
Banco ABC Brasil SA, 8.50% Sr. Unsec. Nts., 3/28/16 | 3/22/13 | 537,247 | 437,351 | (99,896 | ) | |||||||||||
CNOOC Curtis Funding No 1 Pty Ltd., 4.50% Sr. Unsec. Unsub. Nts., 10/3/23 | 9/26/13 | 1,280,000 | 1,291,674 | 11,674 | ||||||||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Nts., 17.954%, 12/31/17 | 9/19/07 | 5,969,120 | 7,894,491 | 1,925,371 | ||||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2A, 7.455%, 5/22/15 | 5/21/08 | 67,269 | 50,205 | (17,064 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2B, 7.455%, 5/22/15 | 6/12/08 | 117,680 | 87,835 | (29,845 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2C, 7.455%, 5/22/15 | 6/18/08 | 1,785,486 | 1,324,335 | (461,151 | ) |
63 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Security | Acquisition Dates |
Cost | Value | Unrealized Appreciation (Depreciation) |
||||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2D, 7.455%, 5/22/15 | 7/8/08 | 130,028 | 96,516 | (33,512 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2E, 7.455%, 5/22/15 | 7/15/08 | 94,626 | 70,120 | (24,506 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2F, 7.455%, 5/22/15 | 8/8/08 | 61,263 | 44,782 | (16,481 | ) | |||||||||||
Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2G, 7.455%, 5/22/15 | 8/22/08 | 11,304 | 8,247 | (3,057 | ) | |||||||||||
Deutsche Mortgage Securities, Inc., Re-Securitized Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Series 2013-RS1, Cl. 1A2, 0%, 6/28/47 | 9/23/13 | 3,744,507 | 3,744,507 | | ||||||||||||
Goldman Sachs Group, Inc. (The), United Mexican States Credit Linked Nts., 9.05%, 2/8/37 | 9/12/12 | 3,694,699 | 2,168,265 | (1,526,434 | ) | |||||||||||
Ice 1 Em CLO Ltd./Ice 1 Em CLO Corp., Sr. Sec. Sub. Term Nts., Series 2007-1A, Cl. B, 2.096%, 8/15/22 | 11/6/07 | 7,095,966 | 6,886,250 | (209,716 | ) | |||||||||||
Ice 1 Em CLO Ltd./Ice 1 Em CLO Corp., Sr. Sec. Sub. Term Nts., Series 2007-1A, Cl. C, 3.396%, 8/15/22 | 6/8/07 | 5,270,000 | 4,558,550 | (711,450 | ) | |||||||||||
Ice 1 Em CLO Ltd./Ice 1 Em CLO Corp., Sr. Sec. Sub. Term Nts., Series 2007-1A, Cl. D, 5.396%, 8/15/22 | 6/8/07 | 5,270,000 | 4,558,550 | (711,450 | ) | |||||||||||
Igloo Holdings Corp., 8.25% Sr. Unsec. Nts., 12/15/17 | |
12/13/12- 12/14/12 |
|
2,870,788 | 2,952,774 | 81,986 | ||||||||||
IIRSA Norte Finance Ltd., 8.75% Sr. Nts., 5/30/24 | |
8/3/06- 7/24/07 |
|
3,622,459 | 3,990,287 | 367,828 | ||||||||||
JPMorgan Hipotecaria su Casita, 8.448% Sec. Nts., 8/26/35 | 3/21/07 | 526,714 | 39,701 | (487,013 | ) | |||||||||||
Kenan Advantage Group, Inc. (The), 8.375% Sr. Unsec. Nts., 12/15/18 | |
12/7/12- 3/15/13 |
|
1,535,658 | 1,591,163 | 55,505 | ||||||||||
LBC Tank Terminals Holding Netherlands BV, 6.875%Sr. Unsec. Nts., 5/15/23 | 5/8/13 | 630,000 | 636,300 | 6,300 | ||||||||||||
NC Finance Trust, Series 1999-I, Cl. D, 3.405%, 1/25/29 | 8/10/10 | 66,025 | 4,338 | (61,687 | ) | |||||||||||
Orion Engineered Carbons Bondco GmbH, 10% Sr. Sec. Nts., 6/15/18 | |
8/8/13- 8/19/13 |
|
1,119,835 | 1,133,686 | 13,851 | ||||||||||
Premier Cruise Ltd., 11% Sr. Nts., 3/15/08 | 3/6/98 | 242,675 | | (242,675 | ) | |||||||||||
SPL Logistics Escrow LLC/SPL Logistics Finance Corp., 8.875% Sr. Sec. Nts., 8/1/20 | 7/24/12 | 2,560,000 | 2,694,400 | 134,400 | ||||||||||||
Wallace Theater Holdings, Inc. | 3/28/13 | 15 | 15,296 | 15,281 | ||||||||||||
$ | 50,413,743 | $ | 48,487,630 | $ | (1,926,113 | ) | ||||||||||
|
||||||||||||||||
2. Represents the current interest rate for a variable or increasing rate security.
3. Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $593,805,754 or 24.03% of the Funds net assets as of September 30, 2013.
4. All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after September 30, 2013. See accompanying Notes.
5. Interest or dividend is paid-in-kind, when applicable.
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.
64 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
7. 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 $6,349,753 or 0.26% of the Funds net assets as of September 30, 2013.
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. 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.
10. 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 $2,499,938. See accompanying Notes.
11. 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 $4,144,030. See accompanying Notes.
12. | Zero coupon bond reflects effective yield on the date of purchase. |
13. Denotes an inflation-indexed security: coupon or principal are indexed to a consumer price index.
14. This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. Rate reported represents the current interest rate for this variable rate security.
15. | Non-income producing security. |
16. Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 30, 2013, 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 31, |
Gross Additions |
Gross Reductions |
Shares September 30, |
|||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E |
34,093,630 | 786,772,415 | 733,970,976 | 86,895,069 | ||||||||||||
Oppenheimer Master Event-Linked Bond Fund, LLC |
4,827,322 | - | - | 4,827,322 | ||||||||||||
Oppenheimer Master Loan Fund, LLC |
25,357,850 | - | 25,145,736 | 212,114 | ||||||||||||
Oppenheimer Short Duration Fund, Cl. Y |
1,010,027 | 2,694,333 | - | 3,704,360 |
Value | Income | Realized Gain (Loss) |
||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E |
$ | 86,895,069 | $ | 40,046 | $ | - | ||||||
Oppenheimer Master Event-Linked Bond Fund, LLC |
65,271,396 | 3,895,632 | a | (54,365) | a | |||||||
Oppenheimer Master Loan Fund, LLC |
2,936,038 | 6,237,384 | b | 5,547,250 | b | |||||||
Oppenheimer Short Duration Fund, Cl. Y |
37,117,692 | 50,021 | - | |||||||||
|
|
|||||||||||
$ | 192,220,195 | $ | 10,223,083 | $ | 5,492,885 | |||||||
|
|
a. Represents the amount allocated to the Fund from Oppenheimer Master Event-Linked Bond Fund, LLC.
b. Represents the amount allocated to the Fund from Oppenheimer Master Loan Fund, LLC.
65 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
17. Rate shown is the 7-day yield as of September 30, 2013.
Distribution of investments representing geographic holdings, as a percentage of total investments at value, is as follows:
Geographic Holdings | Value | Percent | ||||||
United States |
$ | 1,569,682,887 | 60.5 | % | ||||
Mexico |
174,100,859 | 6.7 | ||||||
Brazil |
139,406,528 | 5.4 | ||||||
Russia |
108,842,249 | 4.2 | ||||||
Turkey |
58,480,521 | 2.3 | ||||||
Hungary |
47,377,343 | 1.8 | ||||||
United Kingdom |
33,770,565 | 1.3 | ||||||
South Africa |
29,987,185 | 1.2 | ||||||
Japan |
28,479,711 | 1.1 | ||||||
Peru |
25,574,522 | 1.0 | ||||||
France |
23,971,350 | 0.9 | ||||||
Germany |
23,744,145 | 0.9 | ||||||
Colombia |
23,226,927 | 0.9 | ||||||
Italy |
22,939,493 | 0.9 | ||||||
Venezuela |
21,321,426 | 0.8 | ||||||
Supranational |
19,314,358 | 0.7 | ||||||
Canada |
16,300,819 | 0.6 | ||||||
The Netherlands |
13,926,277 | 0.5 | ||||||
Australia |
13,873,125 | 0.5 | ||||||
Israel |
12,206,083 | 0.5 | ||||||
Thailand |
11,830,934 | 0.5 | ||||||
Malaysia |
10,712,404 | 0.4 | ||||||
United Arab Emirates |
10,594,325 | 0.4 | ||||||
Indonesia |
10,555,220 | 0.4 | ||||||
Luxembourg |
10,341,114 | 0.4 | ||||||
Poland |
9,741,943 | 0.4 | ||||||
Chile |
7,831,716 | 0.3 | ||||||
Philippines |
6,878,201 | 0.3 | ||||||
Spain |
6,822,079 | 0.3 | ||||||
Nigeria |
6,490,421 | 0.3 | ||||||
Portugal |
6,254,672 | 0.2 | ||||||
Croatia |
5,713,508 | 0.2 | ||||||
Belgium |
5,344,640 | 0.2 | ||||||
Switzerland |
5,318,757 | 0.2 | ||||||
China |
5,037,450 | 0.2 | ||||||
Ivory Coast |
4,992,188 | 0.2 | ||||||
Dominican Republic |
4,550,482 | 0.2 | ||||||
Sri Lanka |
4,542,260 | 0.2 | ||||||
India |
4,521,085 | 0.2 | ||||||
Lithuanua |
4,445,338 | 0.2 | ||||||
Angola |
3,933,694 | 0.2 | ||||||
Denmark |
3,680,566 | 0.1 | ||||||
Kazakhstan |
3,614,290 | 0.1 |
66 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Geographic Holdings | Value | Percent | ||||||
Serbia |
3,182,284 | 0.1 | ||||||
Ukraine |
3,010,109 | 0.1 | ||||||
Panama |
2,619,188 | 0.1 | ||||||
Uruguay |
2,533,575 | 0.1 | ||||||
Greece |
2,396,625 | 0.1 | ||||||
Romania |
2,242,142 | 0.1 | ||||||
Finland |
1,926,307 | 0.1 | ||||||
Jamaica |
1,718,275 | 0.1 | ||||||
Tanzania |
1,566,625 | 0.1 | ||||||
Costa Rica |
1,528,903 | 0.1 | ||||||
Rwanda |
1,447,300 | 0.1 | ||||||
Morocco |
1,285,856 | 0.1 | ||||||
Ireland |
1,134,968 | | ||||||
Norway |
1,116,500 | | ||||||
Guatemala |
1,094,800 | | ||||||
Latvia |
1,010,213 | | ||||||
Sweden |
950,143 | | ||||||
Trinidad & Tobago |
873,488 | | ||||||
Korea, Republic of South |
746,370 | | ||||||
Singapore |
617,178 | | ||||||
Paraguay |
348,650 | | ||||||
Bolivia |
327,150 | | ||||||
European Union |
149,934 | | ||||||
Hong Kong |
141,559 | | ||||||
|
|
|||||||
Total |
$2,594,241,802 | 100.0 | % | |||||
|
|
Forward Currency Exchange Contracts as of September 30, 2013: |
|
|||||||||||||||||||||||||||
Counterparty |
|
Settlement Month(s) |
|
|
Currency Purchased (000s) |
|
|
Currency Sold (000s) |
|
|
Unrealized Appreciation |
|
|
Unrealized Depreciation |
| |||||||||||||
BAC |
10/2013 | 3,260,000 | COP | 1,701 | USD | $8,436 | $- | |||||||||||||||||||||
BAC |
11/2013 | 7,600 | EUR | 10,013 | USD | 270,735 | - | |||||||||||||||||||||
BAC |
11/2013 | 9,020 | PLZ | 2,878 | USD | 360 | - | |||||||||||||||||||||
BAC |
10/2013 | 54,900 | RUR | 1,693 | USD | 5 | - | |||||||||||||||||||||
BAC |
12/2013 | 380 | TRY | 184 | USD | 2,022 | - | |||||||||||||||||||||
BAC |
1/2014 | 6,561 | USD | 14,880 | BRR | - | 9,674 | |||||||||||||||||||||
BAC |
11/2013 | 1,699 | USD | 1,310 | EUR | - | 73,275 | |||||||||||||||||||||
BAC |
11/2013 | 604 | USD | 59,000 | JPY | 12,333 | 8,404 | |||||||||||||||||||||
BAC |
10/2013 | 11,406 | USD | 37,200 | MYR | 18,358 | 4,778 | |||||||||||||||||||||
BAC |
|
10/2013- 12/2013 |
|
8,000 | USD | 265,760 | RUR | 2,124 | 141,123 | |||||||||||||||||||
BAC |
12/2013 | 13,603 | USD | 28,190 | TRY | - | 190,745 | |||||||||||||||||||||
BAC |
10/2013 | 6,852 | USD | 70,760 | ZAR | - | 188,099 | |||||||||||||||||||||
BAC |
11/2013 | 16,684 | USD | 155,880 | ZAR | 1,264,993 | - | |||||||||||||||||||||
BAC |
|
10/2013- 12/2013 |
|
44,340 | ZAR | 4,443 | USD | 39,081 | 86,952 |
67 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Counterparty |
|
Settlement Month(s) |
|
|
Currency Purchased (000s) |
|
|
Currency Sold (000s) |
|
|
Unrealized Appreciation |
|
|
Unrealized Depreciation |
| |||||||||||||
BNP |
12/2013 | 2,900 | TRY | 1,377 | USD | 41,892 | - | |||||||||||||||||||||
BNP |
11/2013 | 1,692 | USD | 1,120 | GBP | - | 120,787 | |||||||||||||||||||||
BNP |
12/2013 | 2,629 | USD | 588,000 | HUF | - | 28,184 | |||||||||||||||||||||
BNP |
|
12/2013- 3/2014 |
|
23,944 | USD | 312,600 | MXN | 270,764 | - | |||||||||||||||||||
BOA |
|
10/2013- 12/2013 |
|
712,192,000 | IDR | 6,554 | USD | - | 392,890 | |||||||||||||||||||
BOA |
11/2013 | 1,505,000 | JPY | 14,940 | USD | 375,861 | - | |||||||||||||||||||||
BOA |
11/2013 | 3,173,000 | KRW | 2,949 | USD | - | 5,680 | |||||||||||||||||||||
BOA |
10/2013 | 17,535 | MYR | 5,395 | USD | - | 21,754 | |||||||||||||||||||||
BOA |
11/2013 | 316,000 | THB | 10,156 | USD | - | 85,860 | |||||||||||||||||||||
BOA |
11/2013 | 310 | USD | 350 | AUD | - | 15,471 | |||||||||||||||||||||
BOA |
1/2014 | 19,514 | USD | 44,940 | BRR | - | 329,335 | |||||||||||||||||||||
BOA |
10/2013 | 539 | USD | 281,000 | CLP | - | 15,205 | |||||||||||||||||||||
BOA |
11/2013 | 1,838 | USD | 21,134,000 | IDR | 27,796 | - | |||||||||||||||||||||
BOA |
11/2013 | 55,384 | USD | 5,414,000 | JPY | 285,763 | - | |||||||||||||||||||||
BOA |
|
10/2013- 6/2014 |
|
45,272 | USD | 584,770 | MXN | 882,619 | 51,435 | |||||||||||||||||||
BOA |
10/2013 | 3,884 | USD | 10,310 | PEN | 196,933 | - | |||||||||||||||||||||
BOA |
10/2013 | 3,054 | USD | 123,000 | PHP | 227,649 | - | |||||||||||||||||||||
BOA |
10/2013 | 5,682 | USD | 18,210 | PLZ | - | 137,862 | |||||||||||||||||||||
BOA |
10/2013 | 4,117 | USD | 137,180 | RUR | - | 91,948 | |||||||||||||||||||||
BOA |
10/2013 | 3,980 | USD | 7,880 | TRY | 101,006 | - | |||||||||||||||||||||
BOA |
|
10/2013- 12/2013 |
|
8,531 | USD | 84,820 | ZAR | 130,657 | - | |||||||||||||||||||
BOA |
12/2013 | 38,710 | ZAR | 4,002 | USD | - | 182,415 | |||||||||||||||||||||
CITNA-B |
11/2013 | 420 | CAD | 410 | USD | - | 2,948 | |||||||||||||||||||||
CITNA-B |
10/2013 | 126,000 | CLP | 249 | USD | - | 886 | |||||||||||||||||||||
CITNA-B |
10/2013 | 3,029,000 | COP | 1,639 | USD | - | 50,697 | |||||||||||||||||||||
CITNA-B |
12/2013 | 3,265,000 | KRW | 3,027 | USD | - | 3,640 | |||||||||||||||||||||
CITNA-B |
11/2013 | 9,121 | USD | 9,595 | AUD | 207,989 | 2,859 | |||||||||||||||||||||
CITNA-B |
12/2013 | 2,031 | USD | 3,875,000 | COP | 12,873 | - | |||||||||||||||||||||
CITNA-B |
1/2014 | 22,904 | USD | 17,285 | EUR | 433 | 487,895 | |||||||||||||||||||||
CITNA-B |
|
11/2013- 1/2014 |
|
15,006 | USD | 9,735 | GBP | - | 742,370 | |||||||||||||||||||
CITNA-B |
|
11/2013- 3/2014 |
|
29,230 | USD | 386,800 | MXN | 172,605 | 177,102 | |||||||||||||||||||
CITNA-B |
10/2013 | 5,645 | USD | 18,310 | PLZ | - | 206,768 | |||||||||||||||||||||
CITNA-B |
11/2013 | 3,174 | USD | 100,000 | THB | - | 12,349 | |||||||||||||||||||||
CITNA-B |
10/2013 | 5,620 | USD | 56,600 | ZAR | 10,037 | - | |||||||||||||||||||||
CITNA-B |
11/2013 | 47,750 | ZAR | 4,607 | USD | 115,894 | - | |||||||||||||||||||||
DEU |
10/2013 | 3,970 | PEN | 1,421 | USD | 8,482 | 9,444 | |||||||||||||||||||||
DEU |
2/2014 | 29,157 | USD | 21,730 | EUR | - | 252,998 | |||||||||||||||||||||
DEU |
2/2014 | 1,878 | USD | 1,210 | GBP | - | 78,880 |
68 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Counterparty |
|
Settlement Month(s) |
|
|
Currency Purchased (000s) |
|
|
Currency Sold (000s) |
|
|
Unrealized Appreciation |
|
|
Unrealized Depreciation |
| |||||||||||||
DEU |
11/2013 | 729 | USD | 2,400 | PLZ | - | 36,439 | |||||||||||||||||||||
DEU |
11/2013 | 1,502 | USD | 15,450 | ZAR | - | 26,024 | |||||||||||||||||||||
DEU |
11/2013 | 990 | ZAR | 98 | USD | - | 701 | |||||||||||||||||||||
FIB |
11/2013 | 50,470 | PLZ | 15,775 | USD | 330,683 | - | |||||||||||||||||||||
FIB |
|
11/2013- 2/2014 |
|
897 | USD | 945 | CAD | - | 17,594 | |||||||||||||||||||
FIB |
11/2013 | 6,008 | USD | 19,220 | PLZ | - | 125,931 | |||||||||||||||||||||
GSCO-OT |
10/2013 | 423,000 | CLP | 816 | USD | 17,924 | - | |||||||||||||||||||||
GSCO-OT |
11/2013 | 429,000 | JPY | 4,313 | USD | 53,013 | - | |||||||||||||||||||||
GSCO-OT |
|
11/2013- 9/2014 |
|
5,819 | USD | 6,460 | AUD | 88 | 181,676 | |||||||||||||||||||
GSCO-OT |
7/2014 | 56,668 | USD | 133,205 | BRR | 14,285 | 140,926 | |||||||||||||||||||||
GSCO-OT |
|
11/2013- 12/2013 |
|
34,488 | USD | 25,815 | EUR | - | 441,078 | |||||||||||||||||||
GSCO-OT |
9/2014 | 1,258 | USD | 90,200 | INR | - | 71,829 | |||||||||||||||||||||
GSCO-OT |
10/2014 | 458 | USD | 6,200 | MXN | - | 1,804 | |||||||||||||||||||||
HSBC |
3/2014 | 8,115 | USD | 16,685 | TRY | 89,343 | - | |||||||||||||||||||||
JPM |
10/2013 | 947,000 | COP | 497 | USD | - | 75 | |||||||||||||||||||||
JPM |
12/2013 | 23,311,000 | IDR | 2,093 | USD | - | 129,934 | |||||||||||||||||||||
JPM |
11/2013 | 3,259,000 | KRW | 3,026 | USD | - | 3,021 | |||||||||||||||||||||
JPM |
10/2013 | 9,450 | MYR | 2,953 | USD | - | 57,636 | |||||||||||||||||||||
JPM |
12/2013 | 16,440 | PLZ | 5,321 | USD | - | 76,899 | |||||||||||||||||||||
JPM |
11/2013 | 74,000 | THB | 2,315 | USD | 43,525 | - | |||||||||||||||||||||
JPM |
12/2013 | 13,360 | TRY | 6,805 | USD | - | 267,701 | |||||||||||||||||||||
JPM |
11/2013 | 40,812 | USD | 92,095 | BRR | - | 375,911 | |||||||||||||||||||||
JPM |
10/2013 | 3,516 | USD | 6,488,000 | COP | 114,335 | - | |||||||||||||||||||||
JPM |
4/2014 | 5,755 | USD | 1,293,000 | HUF | - | 41,273 | |||||||||||||||||||||
JPM |
1/2014 | 1,838 | USD | 21,599,000 | IDR | 25,668 | - | |||||||||||||||||||||
JPM |
11/2013 | 983 | USD | 97,000 | JPY | 2,876 | 6,994 | |||||||||||||||||||||
JPM |
10/2013 | 10,688 | USD | 132,000 | MXN | 632,854 | - | |||||||||||||||||||||
JPM |
10/2013 | 9,141 | USD | 29,865 | MYR | - | 3,686 | |||||||||||||||||||||
JPM |
|
10/2013- 12/2013 |
|
26,792 | USD | 901,740 | RUR | - | 781,318 | |||||||||||||||||||
JPM |
5/2014 | 3,845 | USD | 116,400 | THB | 169,187 | - | |||||||||||||||||||||
JPM |
|
10/2013- 12/2013 |
|
26,781 | USD | 51,745 | TRY | 1,348,686 | - | |||||||||||||||||||
MSCO |
11/2013 | 101,430 | MXN | 7,735 | USD | 43,087 | 54,975 | |||||||||||||||||||||
MSCO |
10/2013 | 5,350 | PEN | 1,935 | USD | - | 21,267 | |||||||||||||||||||||
MSCO |
7/2014 | 5,755 | USD | 13,300 | BRR | 119,685 | - | |||||||||||||||||||||
MSCO |
|
11/2013- 1/2014 |
|
3,304 | USD | 2,480 | EUR | 498 | 52,418 | |||||||||||||||||||
MSCO |
11/2013 | 1,980 | USD | 1,270 | GBP | - | 75,122 | |||||||||||||||||||||
MSCO |
|
10/2013- 4/2014 |
|
17,350 | USD | 3,938,000 | HUF | - | 455,061 | |||||||||||||||||||
MSCO |
|
10/2013- 12/2013 |
|
43,911 | USD | 564,400 | MXN | 1,047,701 | 115,986 |
69 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Counterparty |
|
Settlement Month(s) |
|
|
Currency Purchased (000s) |
|
|
Currency Sold (000s) |
|
|
Unrealized Appreciation |
|
|
Unrealized Depreciation |
| |||||||||||||
MSCO |
11/2013 | 161 | USD | 1,040 | SEK | - | 825 | |||||||||||||||||||||
MSCO |
10/2013 | 102,810 | ZAR | 9,984 | USD | 244,393 | - | |||||||||||||||||||||
NOM |
12/2013 | 960 | EUR | 1,300 | USD | - | 560 | |||||||||||||||||||||
NOM |
11/2013 | 966,000 | JPY | 9,583 | USD | 247,577 | - | |||||||||||||||||||||
NOM |
11/2013 | 21,480 | MYR | 6,689 | USD | - | 120,814 | |||||||||||||||||||||
NOM |
11/2013 | 64,100 | THB | 2,054 | USD | 3,575 | 15,532 | |||||||||||||||||||||
NOM |
11/2013 | 7,580 | USD | 24,025 | MYR | 233,323 | - | |||||||||||||||||||||
RBSC |
11/2013 | 455 | CHF | 473 | USD | 29,956 | - | |||||||||||||||||||||
RBSC |
11/2013 | 10,270,000 | KRW | 9,223 | USD | 297,478 | - | |||||||||||||||||||||
RBSC |
11/2013 | 680 | NOK | 115 | USD | - | 2,124 | |||||||||||||||||||||
RBSC |
11/2013 | 15,240 | PLZ | 4,770 | USD | 93,553 | - | |||||||||||||||||||||
RBSC |
11/2013 | 340 | SEK | 51 | USD | 1,397 | - | |||||||||||||||||||||
RBSC |
11/2013 | 66 | USD | 375 | DKK | - | 1,764 | |||||||||||||||||||||
RBSC |
12/2013-3/2014 | 15,317 | USD | 3,461,000 | HUF | - | 303,354 | |||||||||||||||||||||
RBSC |
10/2013 | 2,289 | USD | 21,640 | ZAR | 136,044 | - | |||||||||||||||||||||
|
|
|||||||||||||||||||||||||||
Total unrealized appreciation and depreciation | $ | 10,028,434 | $ | 8,218,964 | ||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||
Futures Contracts as of September 30, 2013: |
|
|||||||||||||||||
Description | Exchange | Buy/Sell | |
Expiration Date |
|
|
Number of Contracts |
|
|
Unrealized Appreciation (Depreciation) |
| |||||||
Australian Treasury Bonds, 10 yr. |
SFE | Sell | 12/16/13 | 80 | $ | (178,731 | ) | |||||||||||
Euro-Bundesobligation |
EUX | Sell | 12/6/13 | 20 | (63,873 | ) | ||||||||||||
U.S. Long Bonds |
CBT | Buy | 12/19/13 | 705 | 2,417,437 | |||||||||||||
U.S. Long Bonds |
CBT | Sell | 12/19/13 | 228 | (256,181 | ) | ||||||||||||
U.S. Treasury Nts., 2 yr. |
CBT | Sell | 12/31/13 | 169 | (79,824 | ) | ||||||||||||
U.S. Treasury Nts., 5 yr. |
CBT | Buy | 12/31/13 | 324 | 107,396 | |||||||||||||
U.S. Treasury Nts., 5 yr. |
CBT | Sell | 12/31/13 | 1,457 | (2,043,673 | ) | ||||||||||||
U.S. Treasury Nts., 10 yr. |
CBT | Buy | 12/19/13 | 91 | 123,926 | |||||||||||||
U.S. Treasury Nts., 10 yr. |
CBT | Sell | 12/19/13 | 91 | (143,892 | ) | ||||||||||||
U.S. Treasury Ultra Bonds |
CBT | Buy | 12/19/13 | 197 | 850,652 | |||||||||||||
United Kingdom Long Gilt |
LIF | Sell | 12/27/13 | 25 | (56,658 | ) | ||||||||||||
|
|
|||||||||||||||||
$ | 676,579 | |||||||||||||||||
|
|
70 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Over-the-Counter Written Options as of September 30, 2013: | ||||||||||||||||||||||||||
Description | Counterparty | Exercise Price |
Expiration Date |
Number of Contracts |
Premiums Received |
Value | ||||||||||||||||||||
AUD Currency Put | GSCO-OT | 70.000 | JPY | 8/4/14 | (1,395,000 | ) | AUD | $ | 15,678 | $ | (9,517 | ) | ||||||||||||||
AUD Currency Put | BOFA | 70.080 | JPY | 9/10/14 | (1,970,000 | ) | AUD | 17,706 | (17,048 | ) | ||||||||||||||||
BRR Currency Call | GSCO-OT | 2.133 | BRR | 12/23/13 | (150,315,000 | ) | BRR | 487,070 | (534,096 | ) | ||||||||||||||||
BRR Currency Put | CITNA-B | 2.460 | BRR | 10/15/13 | (30,750,000 | ) | BRR | 102,125 | (371 | ) | ||||||||||||||||
France (Republic of) Bonds, 2.75%, 10/25/27 Put | JPM | 98.875 | EUR | 10/22/13 | (1,325,000 | ) | EUR | 49,408 | (22,685 | ) | ||||||||||||||||
INR Currency Put | GSCO-OT | 100.000 | INR | 9/3/14 | (126,500,000 | ) | INR | 22,897 | (4,048 | ) | ||||||||||||||||
INR Currency Put | GSCO-OT | 98.320 | INR | 9/2/14 | (124,800,000 | ) | INR | 25,016 | (4,666 | ) | ||||||||||||||||
iShares iBoxx High Yield Corporate Bond Exchange Traded Fund Put | GSCO-OT | 91.000 | USD | 12/20/13 | (446 | ) | USD | 149,410 | (99,363 | ) | ||||||||||||||||
iShares iBoxx High Yield Corporate Bond Exchange Traded Fund Put | DEU | 90.000 | USD | 12/20/13 | (1,336 | ) | USD | 402,995 | (231,383 | ) | ||||||||||||||||
iShares iBoxx High Yield Corporate Bond Exchange Traded Fund Put | GSCO-OT | 89.000 | USD | 12/20/13 | (444 | ) | USD | 135,420 | (61,303 | ) | ||||||||||||||||
iShares iBoxx High Yield Corporate Bond Exchange Traded Fund Put | DEU | 89.000 | USD | 12/20/13 | (889 | ) | USD | 264,470 | (121,178 | ) | ||||||||||||||||
iShares iBoxx High Yield Corporate Bond Exchange Traded Fund Put | DEU | 90.000 | USD | 12/20/13 | (446 | ) | USD | 139,375 | (77,928 | ) | ||||||||||||||||
JPY Currency Call1 | GSCO-OT | 90.000 | JPY | 5/22/15 | (542,000,000 | ) | JPY | 102,378 | (162,058 | ) | ||||||||||||||||
JPY Currency Put | GSCO-OT | 120.000 | JPY | 5/22/15 | (722,000,000 | ) | JPY | 122,138 | (35,804 | ) | ||||||||||||||||
JPY Currency Put | GSCO-OT | 100.00 | JPY | 10/18/13 | (196,500,000 | ) | JPY | 4,991 | (7,048 | ) | ||||||||||||||||
MXN Currency Call | GSCO-OT | 12.275 | MXN | 12/23/13 | (103,700,000 | ) | MXN | 50,857 | (25,246 | ) | ||||||||||||||||
MXN Currency Call | GSCO-OT | 12.250 | MXN | 9/29/14 | (16,000,000 | ) | MXN | 18,090 | (18,749 | ) | ||||||||||||||||
MXN Currency Put | GSCO-OT | 13.310 | MXN | 10/18/13 | (157,500,000 | ) | MXN | 119,397 | (93,446 | ) | ||||||||||||||||
MXN Currency Put | MSCO | 13.310 | MXN | 10/18/13 | (157,300,000 | ) | MXN | 122,023 | (93,328 | ) | ||||||||||||||||
MXN Currency Put | GSCO-OT | 15.750 | MXN | 9/29/14 | (20,600,000 | ) | MXN | 27,558 | (26,416 | ) | ||||||||||||||||
TRY Currency Put2 | GSCO-OT | 2.058 | TRY | 10/22/13 | (8,120,000 | ) | TRY | 29,875 | (27,725 | ) | ||||||||||||||||
TRY Currency Put | GSCO-OT | 2.115 | TRY | 10/9/13 | (8,250,000 | ) | TRY | 33,593 | (4,587 | ) | ||||||||||||||||
|
|
|||||||||||||||||||||||||
Total Over-the-Counter Written Options | $2,442,470 | $(1,678,033) | ||||||||||||||||||||||||
|
|
1. Knock-in option becomes eligible for exercise if at any time spot rates are less than or equal to 79.50 JPY per 1 USD.
2. Knock-in option becomes eligible for exercise if at any time spot rates are greater than or equal to 2.1645 TRY per 1 USD.
71 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Over-the-Counter Credit Default Swaps at September 30, 2013 are as follows:
|
Reference Entity | Swap Counterparty |
Buy/Sell Protection |
Fixed Rate |
Maturity Date |
Notional Amount (000s) |
Premiums Received/ (Paid) |
Value | |||||||||||||||||||||||||
Banco Bilbao Vizcaya Argentaria Senior Finance SAU | UBS | Sell | 3 | % | 12/20/17 | 125 | EUR | $ | 4,874 | $ | 5,545 | |||||||||||||||||||||
Banco Bilbao Vizcaya Argentaria Senior Finance SAU | UBS | Sell | 3 | 12/20/17 | 125 | EUR | 5,012 | 5,545 | ||||||||||||||||||||||||
Banco Santander SA | UBS | Sell | 3 | 9/20/17 | 250 | EUR | (901) | 13,203 | ||||||||||||||||||||||||
Ireland (Republic of) | GSCOI | Buy | 1 | 3/20/18 | 660 | USD | (27,725) | 8,648 | ||||||||||||||||||||||||
Ireland (Republic of) | GSCOI | Buy | 1 | 3/20/18 | 585 | EUR | (21,644) | (11,020) | ||||||||||||||||||||||||
Italy (Republic of) | GSCOI | Sell | 1 | 3/20/23 | 660 | USD | 105,519 | (97,619) | ||||||||||||||||||||||||
Peru (Republic of) | DEU | Buy | 1 | 9/20/18 | 2,575 | USD | (41,301) | 59,602 | ||||||||||||||||||||||||
Ukraine | JPM | Buy | 5 | 12/20/18 | 855 | USD | (172,626) | 189,323 | ||||||||||||||||||||||||
Ukraine | JPM | Buy | 5 | 12/20/18 | 855 | USD | (171,247) | 189,323 | ||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||||
Total Over-the-Counter Credit Default Swaps | $ | (320,039) | $ | 362,550 | ||||||||||||||||||||||||||||
|
|
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 | | BBB to BBB- | ||||||||||||
Investment Grade Sovereign Debt | 660,000 | USD | $ | BBB+ |
72 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
* 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.
Cleared Interest Rate Swaps at September 30, 2013: |
Exchange | Pay/Receive Floating Rate |
Floating Rate | Fixed Rate |
Maturity Date |
Notional Amount (000s) |
Value | ||||||||||||||||||||
CITI |
Receive | Three-Month USD BBA LIBOR | 2.855 | % | 9/20/23 | 2,980 | USD | $ | (25,223) | |||||||||||||||||
JPM |
Receive | Six-Month EUR EURIBOR | 1.435 | 9/5/18 | 21,955 | EUR | (340,792) | |||||||||||||||||||
JPM |
Receive | Six-Month EUR EURIBOR | 2.254 | 9/5/23 | 2,710 | EUR | (69,050) | |||||||||||||||||||
JPM |
Receive | Six-Month EUR EURIBOR | 2.253 | 9/6/23 | 14,355 | EUR | (362,554) | |||||||||||||||||||
JPM |
Receive | Three-Month USD BBA LIBOR | 1.859 | 3/6/17 | 73,270 | USD | (751,241) | |||||||||||||||||||
|
|
|||||||||||||||||||||||||
Total of Cleared Interest Rate Swaps | $ | (1,548,860) | ||||||||||||||||||||||||
|
|
Over-the-Counter Interest Rate Swaps at September 30, 2013: |
Counterparty | Pay/Receive Floating Rate |
Floating Rate | Fixed Rate |
Maturity Date |
Notional Amount (000s) |
Value | ||||||||||||||||||||||
BAC |
Pay | MXN TIIE BANXICO | 8.255 | % | 8/10/23 | 37,700 | MXN | $ | (14,058) | |||||||||||||||||||
BAC |
Pay | Three-Month SEK STIBOR SIDE | 2.175 | 5/10/23 | 5,000 | SEK | (34,273) | |||||||||||||||||||||
BAC |
Pay | Three-Month ZAR JIBAR SAFEX | 6.980 | 6/20/15 | 59,400 | ZAR | 25,718 | |||||||||||||||||||||
BOFA |
Pay | MXN TIIE BANXICO | 7.530 | 5/18/33 | 2,700 | MXN | (2,540) | |||||||||||||||||||||
BOFA |
Pay | Three-Month CAD BA CDOR | 1.660 | 5/9/16 | 6,635 | CAD | (21,674) | |||||||||||||||||||||
BOFA |
Pay | Three-Month CAD BA CDOR | 3.155 | 9/18/23 | 3,055 | CAD | 37,093 | |||||||||||||||||||||
GSCOI |
Pay | BZDI | 9.950 | 1/2/15 | 20,945 | BRR | 6,979 | |||||||||||||||||||||
GSCOI |
Pay | Six-Month JPY BBA LIBOR | 0.820 | 4/15/23 | 79,000 | JPY | 2,849 | |||||||||||||||||||||
GSCOI |
Pay | Three-Month SEK STIBOR SIDE | 1.565 | 5/3/18 | 19,000 | SEK | (64,861) |
73 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Counterparty | Pay/Receive Floating Rate |
Floating Rate | Fixed Rate |
Maturity Date |
Notional Amount (000s) |
Value | ||||||||||||||||||||||
GSCOI |
Pay | Three-Month ZAR JIBAR SAFEX | 7.000 | 6/20/15 | 91,500 | ZAR | 41,305 | |||||||||||||||||||||
GSCOI |
Pay | Three-Month ZAR JIBAR SAFEX | 7.950 | 6/22/16 | 64,600 | ZAR | 30,207 | |||||||||||||||||||||
GSCOI |
Pay | Three-Month ZAR JIBAR SAFEX | 7.850 | 6/25/16 | 62,400 | ZAR | 24,294 | |||||||||||||||||||||
GSCOI |
Pay | Three-Month ZAR JIBAR SAFEX | 7.638 | 8/3/16 | 155,900 | ZAR | 18,951 | |||||||||||||||||||||
HSBC |
Pay | MXN TIIE BANXICO | 7.775 | 7/28/23 | 38,600 | MXN | (58,385) | |||||||||||||||||||||
JPM |
Pay | MXN TIIE BANXICO | 7.340 | 5/17/33 | 2,700 | MXN | (6,750) | |||||||||||||||||||||
JPM |
Pay | Three-Month ZAR JIBAR SAFEX | 7.460 | 6/19/16 | 123,800 | ZAR | 7,976 | |||||||||||||||||||||
JPM |
Pay | Three-Month ZAR JIBAR SAFEX | 7.920 | 6/20/16 | 98,600 | ZAR | 46,282 | |||||||||||||||||||||
JPM |
Pay | Three-Month ZAR JIBAR SAFEX | 6.450 | 7/2/15 | 174,200 | ZAR | (11,569) | |||||||||||||||||||||
|
|
|||||||||||||||||||||||||||
Total of Over-the-Counter Interest Rate Swaps | $ | 27,544 | ||||||||||||||||||||||||||
|
|
Counterparty | Buy/Sell Protection |
Reference Asset | Fixed Rate |
Expiration Date |
Notional Amount (000s) |
Premium Received |
Value | |||||||||||||||||||||||||||
Over-the-Counter Credit Default Swaptions Written at September 30, 2013 |
| |||||||||||||||||||||||||||||||||
Credit Default Swap maturing 6/20/18 Call | BOFA | Sell | iTraxx Europe Senior Financials Series 19 Version 1 | 1.000 | % | 10/17/13 | 9,290 | EUR | $ | 18,378 | $ | (27,802) | ||||||||||||||||||||||
Credit Default Swap maturing 6/20/18 Call | JPM | Sell | iTraxx Europe Crossover Series 19 Version 1 | 5.000 | 11/21/13 | 1,310 | EUR | 14,435 | (3,938) | |||||||||||||||||||||||||
Credit Default Swap maturing 6/20/18 Call | JPM | Sell | CDX.NA.HY.20 | 5.000 | 12/19/13 | 685 | USD | 10,960 | (966) | |||||||||||||||||||||||||
Credit Default Swap maturing 6/20/18 Call | JPM | Sell | CDX.NA.HY.20 | 5.000 | 12/19/13 | 685 | USD | 10,446 | (17,799) | |||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||||||
Total Over-the-Counter Credit Default Swaptions Written | $ | 54,219 | $ | (50,505) | ||||||||||||||||||||||||||||||
|
|
74 |
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Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Counterparty | Pay/Receive Floating Rate |
Floating Rate | Fixed Rate |
Expiration Date |
Notional Amount (000s) |
Premium Received |
Value | |||||||||||||||||||||||||||
Over-the-Counter Interest Rate Swaptions Written at September 30, 2013 |
| |||||||||||||||||||||||||||||||||
Interest Rate Swap maturing 8/5/17 Call | BAC | Pay | Six-Month EUR EURIBOR | 1.490 | 8/4/15 | 37,220 | EUR | $ | 340,260 | $ | (355,475) | |||||||||||||||||||||||
Interest Rate Swap maturing 6/1/33 Call | BAC | Pay | Six-Month EUR EURIBOR | 3.117 | 5/31/23 | 1,345 | EUR | 118,392 | (127,079) | |||||||||||||||||||||||||
Interest Rate Swap maturing 10/20/23 Call | BAC | Pay | MXN TIIE BANXICO | 5.390 | 11/1/13 | 39,100 | MXN | 65,279 | (295,942) | |||||||||||||||||||||||||
Interest Rate Swap maturing 6/20/21 Call | BAC | Receive | Six-Month GBP BBA LIBOR | 2.118 | 6/21/16 | 5,420 | GBP | 143,319 | (56,039) | |||||||||||||||||||||||||
Interest Rate Swap maturing 6/20/21 Call | BAC | Pay | Six-Month GBP BBA LIBOR | 3.118 | 6/21/16 | 5,420 | GBP | 114,486 | (232,268) | |||||||||||||||||||||||||
Interest Rate Swap maturing 1/25/21 Call | BAC | Pay | Six-Month GBP BBA LIBOR | 2.295 | 1/26/16 | 4,765 | GBP | 178,161 | (319,308) | |||||||||||||||||||||||||
Interest Rate Swap maturing 7/20/20 Call | BAC | Receive | Six-Month GBP BBA LIBOR | 1.770 | 7/21/15 | 4,160 | GBP | 59,088 | (28,298) | |||||||||||||||||||||||||
Interest Rate Swap maturing 7/20/20 Call | BAC | Pay | Six-Month GBP BBA LIBOR | 2.770 | 7/21/15 | 4,160 | GBP | 83,867 | (138,971) | |||||||||||||||||||||||||
Interest Rate Swap maturing 1/14/19 Call | BAC | Receive | Six-Month GBP BBA LIBOR | 1.250 | 7/21/15 | 6,870 | GBP | 20,945 | (3,637) | |||||||||||||||||||||||||
Interest Rate Swap maturing 1/14/19 Call | BAC | Pay | Six-Month GBP BBA LIBOR | 2.000 | 7/21/15 | 6,870 | GBP | 67,842 | (70,428) | |||||||||||||||||||||||||
Interest Rate Swap maturing 4/27/22 Call | BAC | Pay | Three-Month USD BBA LIBOR | 3.100 | 4/26/17 | 20,415 | USD | 528,749 | (999,294) | |||||||||||||||||||||||||
Interest Rate Swap maturing 2/12/18 Call | BAC | Receive | Three-Month USD BBA LIBOR | 1.862 | 2/7/14 | 33,325 | USD | 74,981 | (57,593) | |||||||||||||||||||||||||
Interest Rate Swap maturing 12/9/18 Call | BAC | Receive | Three-Month USD BBA LIBOR | 1.950 | 12/6/13 | 39,720 | USD | 268,110 | (720,825) | |||||||||||||||||||||||||
Interest Rate Swap maturing 1/2/24 Call | BOFA | Pay | MXN TIIE BANXICO | 6.060 | 1/14/14 | 6,630 | MXN | 19,218 | (33,797) | |||||||||||||||||||||||||
Interest Rate Swap maturing 10/21/23 Call | BOFA | Receive | Three-Month USD BBA LIBOR | 3.070 | 10/18/13 | 17,255 | USD | 179,452 | (437,492) | |||||||||||||||||||||||||
Interest Rate Swap maturing 12/18/18 Call | BOFA | Pay | Three-Month USD BBA LIBOR | 2.403 | 12/17/13 | 33,000 | USD | 221,100 | (350,609) | |||||||||||||||||||||||||
Interest Rate Swap maturing 2/5/44 Call | BOFA | Receive | Three-Month USD BBA LIBOR | 3.760 | 2/4/14 | 5,500 | USD | 265,100 | (205,895) |
75 |
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Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Counterparty | Pay/Receive Floating Rate |
Floating Rate | Fixed Rate |
Expiration Date |
Notional Amount (000s) |
Premium Received |
Value | |||||||||||||||||||||||||||
Over-the-Counter Interest Rate Swaptions Written at September 30, 2013 Continued |
| |||||||||||||||||||||||||||||||||
Interest Rate Swap maturing 8/4/21 Call | BOFA | Pay | Three-Month USD BBA LIBOR | 4.860 | 8/3/16 | 5,515 | USD | 82,725 | (80,419) | |||||||||||||||||||||||||
Interest Rate Swap maturing 7/27/26 Call | BOFA | Pay | Three-Month USD BBA LIBOR | 3.960 | 7/26/16 | 14,750 | USD | 798,558 | (789,153) | |||||||||||||||||||||||||
Interest Rate Swap maturing 10/8/23 Call | BOFA | Pay | Three-Month CAD BA CDOR | 2.583 | 10/9/13 | 15,740 | CAD | 136,665 | (616,123) | |||||||||||||||||||||||||
Interest Rate Swap maturing 12/27/18 Call | GSCOI | Pay | Six-Month EUR EURIBOR | 2.055 | 12/23/13 | 6,810 | EUR | 53,548 | (34,129) | |||||||||||||||||||||||||
Interest Rate Swap maturing 1/16/16 Call | GSCOI | Pay | Three-Month USD BBA LIBOR | 2.000 | 3/14/14 | 230,200 | USD | 138,120 | (27,789) | |||||||||||||||||||||||||
Interest Rate Swap maturing 1/22/24 Call | GSCOI | Pay | Three-Month USD BBA LIBOR | 4.500 | 3/14/14 | 24,580 | USD | 245,800 | (133,620) | |||||||||||||||||||||||||
Interest Rate Swap maturing 12/4/20 Call | GSCO-OT | Pay | Six-Month GBP BBA LIBOR | 2.055 | 12/7/15 | 5,020 | GBP | 189,330 | (369,079) | |||||||||||||||||||||||||
Interest Rate Swap maturing 5/13/24 Call | JPM | Pay | Six-Month AUD BBR BBSW | 4.057 | 5/13/14 | 1,330 | AUD | 34,620 | (58,794) | |||||||||||||||||||||||||
Interest Rate Swap maturing 10/12/23 Call | JPM | Pay | MXN TIIE BANXICO | 6.750 | 12/24/13 | 6,200 | MXN | 13,405 | (13,405) | |||||||||||||||||||||||||
Interest Rate Swap maturing 10/19/23 Call | JPM | Pay | MXN TIIE BANXICO | 5.440 | 12/24/13 | 39,600 | MXN | 67,479 | (287,972) | |||||||||||||||||||||||||
Interest Rate Swap maturing 3/7/19 Call | JPM | Pay | Three-Month USD BBA LIBOR | 2.860 | 3/6/14 | 28,615 | USD | 228,920 | (63,870) | |||||||||||||||||||||||||
Interest Rate Swap maturing 1/26/27 Call | UBS | Pay | Six-Month EUR EURIBOR | 2.545 | 1/25/17 | 2,670 | EUR | 163,464 | (111,592) | |||||||||||||||||||||||||
Interest Rate Swap maturing 12/9/18 Call | UBS | Receive | Six-Month EUR EURIBOR | 1.650 | 12/6/13 | 3,935 | EUR | 41,554 | (94,254) | |||||||||||||||||||||||||
Interest Rate Swap maturing 3/7/24 Call | UBS | Receive | Six-Month EUR EURIBOR | 2.510 | 3/6/14 | 2,620 | EUR | 68,738 | (126,170) | |||||||||||||||||||||||||
Interest Rate Swap maturing 6/12/17 Call | UBS | Pay | Six-Month EUR EURIBOR | 1.320 | 6/11/15 | 9,630 | EUR | 90,615 | (88,980) | |||||||||||||||||||||||||
Interest Rate Swap maturing 12/5/18 Call | UBS | Receive | Six-Month GBP BBA LIBOR | 2.150 | 12/6/13 | 2,620 | GBP | 37,155 | (75,008) | |||||||||||||||||||||||||
Interest Rate Swap maturing 5/23/18 Call | UBS | Pay | Six-Month GBP BBA LIBOR | 1.545 | 12/6/13 | 2,675 | GBP | 35,371 | (89,071) | |||||||||||||||||||||||||
Interest Rate Swap maturing 11/5/23 Call | UBS | Pay | Three-Month USD BBA LIBOR | 3.408 | 11/4/13 | 4,185 | USD | 31,178 | (1,177) | |||||||||||||||||||||||||
|
|
|||||||||||||||||||||||||||||||||
Total Over-the-Counter Interest Rate Swaptions Written | $ | 5,205,594 | $ | (7,493,555) | ||||||||||||||||||||||||||||||
|
|
Glossary:
76 |
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Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Counterparty Abbreviations | ||||
BAC | Barclays Bank plc | |||
BOFA | Bank of America | |||
BNP | BNP Paribas | |||
CITNA-B | Citibank NA | |||
DEU | Deutsche Bank Securities, Inc. | |||
FIB | Credit Suisse International | |||
GSCO-OT | Goldman Sachs Bank USA | |||
GSCOI | Goldman Sachs International | |||
HSBC | HSBC Bank USA NA | |||
JPM | JPMorgan Chase Bank NA | |||
MSCO | Morgan Stanley Capital Services, Inc. | |||
NOM | Nomura Global Financial Products, Inc. | |||
RBSC | Royal Bank of Scotland plc (The) | |||
UBS | UBS AG | |||
Currency abbreviations indicate amounts reporting in currencies | ||||
AUD | Australian Dollar | |||
BRR | Brazilian Real | |||
CAD | Canadian Dollar | |||
CHF | Swiss Franc | |||
CLP | Chilean Peso | |||
COP | Colombian Peso | |||
DKK | Danish Krone | |||
EUR | Euro | |||
GBP | British Pound Sterling | |||
HUF | Hungarian Forint | |||
IDR | Indonesia Rupiah | |||
INR | Indian Rupee | |||
JPY | Japanese Yen | |||
KRW | South Korean Won | |||
MXN | Mexican Nuevo Peso | |||
MYR | Malaysian Ringgit | |||
NGN | Nigeria Naira | |||
NOK | Norwegian Krone | |||
PEN | Peruvian New Sol | |||
PHP | Philippines Peso | |||
PLZ | Polish Zloty | |||
RSD | Serbian Dinar | |||
RUR | Russian Ruble | |||
SEK | Swedish Krona | |||
SGD | Singapore Dollar | |||
THB | Thai Bhat | |||
TRY | New Turkish Lira | |||
ZAR | South African Rand | |||
Definitions | ||||
BA CDOR | Canada Bankers Acceptances Deposit Offering Rate |
77 |
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Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
British Bankers Association London | ||
BBA LIBOR | Interbank Offered Rate | |
BANXICO | Banco de Mexico | |
BZDI | Brazil Interbank Deposit Rate | |
CDX.NA.HY.20 | Markit CDX North American High Yield | |
EURIBOR | Euro Interbank Offered Rate | |
iTraxx Europe Senior Financials Series 19 |
Credit Default Swap Trading Index for a | |
Version 1 |
Specific Basket of Securities | |
Johannesburg Intgerbank Agreed Rate South | ||
JIBAR SAFEX | African Fututres Exchange | |
STIBOR SIDE | Stockholm Interbank Offered Rate | |
TIIE | Interbank Equilibrium Interest Rate | |
Exchange Abbreviations |
||
CBT | Chicago Board of Trade | |
CITI | Citigroup | |
JPM | JPMorgan Chase Bank NA | |
EUX | European Stock Exchanges | |
London Interantional Financial Futures and | ||
LIF | Options Exchange | |
SFE | Sydney Futures Exchange |
Notes to Consolidated Statement of Investments
Change in Method of Accounting. The accompanying financial statements reflect the financial position of the Fund and its Subsidiary and the results of operations on a consolidated basis. Prior to September 30, 2013, the Subsidiary was shown as an investment of the Fund on the Statement of Investments and the financial statements of the Subsidiary were presented along with the Fund. The staff of the Securities and Exchange Commission has recently commented on their preference to have wholly-owned Cayman investment funds consolidated into the parent funds financial statements. Management of the Fund implemented the change in policy because it is a more effective method of providing transparency into the Funds holdings and operations. Accordingly, as a result of the change in method of accounting, the Fund consolidates the assets and liabilities as well as the operations of the Subsidiary within its financial statements.
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
78 |
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Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
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 Consolidated Statement of in the annual and semiannual reports. The Fund records a realized gain or loss when a structured security is sold or matures.
Securities on a When-Issued or Delayed Delivery Basis. The Fund may purchase securities on a when-issued basis, and may purchase or sell securities on a delayed delivery basis. When-issued or delayed delivery refers to securities whose terms and indenture are available and for which a market exists, but which are not available for immediate delivery. Delivery and payment for securities that have been purchased by the Fund on a when-issued basis normally takes place within six months and possibly as long as two years or more after the trade date. During this period, such securities do not earn interest, are subject to market fluctuation and may increase or decrease in value prior to their delivery. The purchase of securities on a when-issued basis may increase the volatility of the 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 30, 2013, 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:
WhenIssued or Delayed Delivery Basis Transactions |
||||
Purchased securities |
$189,705,127 | |||
Sold securities |
42,279,420 |
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.
79 |
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Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Risks of entering into forward roll transactions include the potential inability of the counterparty to meet the terms of the agreement; the potential of the Fund to receive inferior securities at redelivery as compared to the securities sold to the counterparty; and counterparty credit risk.
Credit Risk. The Fund invests in high-yield, non-investment-grade bonds, which may be subject to a greater degree of credit risk. Credit risk relates to the ability of the issuer to meet interest or principal payments or both as they become due. The Fund may acquire securities that have missed an interest payment, and is not obligated to dispose of securities whose issuers or underlying obligors subsequently miss an interest payment. Information concerning securities not accruing interest as of September 30, 2013 is as follows:
Cost |
$ | 18,587,077 | ||
Market Value |
$ | 6,344,355 | ||
Market Value as a % of Net Assets |
0.26 | % |
Investment in Oppenheimer Global Strategic Income Fund/VA (Cayman) Ltd. The Fund may invest up to 25% of its total assets in Oppenheimer Global Strategic Income Fund/VA (Cayman) Ltd., a wholly-owned and controlled Cayman Islands subsidiary (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 financial statements have been consolidated and include accounts of the Fund and the Subsidiary. Accordingly, all inter-company transactions and balances have been eliminated.
The financial statements have been consolidated and include accounts of the Fund and the Subsidiary. Accordingly, all inter-company transactions and balances have been eliminated. At September 30, 2013, the Fund owned 15,000 shares with a market value of $1,401,566.
80 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (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 the investment adviser of IMMF, and the Sub-Adviser provides investment and related advisory services to IMMF. When applicable, the Funds investment in IMMF is included in the Consolidated 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.
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 Consolidated 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 New York Stock Exchange (theExchange), 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.
81 |
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Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Reported net realized gains and losses from foreign currency transactions arise from sales of portfolio securities, sales and maturities of short-term securities, sales of foreign currencies, exchange rate fluctuations between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized appreciation and depreciation on the translation of assets and liabilities denominated in foreign currencies arise from changes in the values of assets and liabilities, including investments in securities at fiscal period end, resulting from changes in exchange rates.
The effect of changes in foreign currency exchange rates on investments is separately identified from the fluctuations arising from changes in market values of securities held and reported with all other foreign currency gains and losses in the Funds Consolidated Statement of Operations in the annual and semiannual reports.
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
82 |
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Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
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.
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.
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Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (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. | |
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 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,
84 |
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Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
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 30, 2013 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 |
$ | | $ | 82,574,847 | $ | 16,003,350 | $ | 98,578,197 | ||||||||
Corporate Loans |
| 37,171,426 | 5,683,275 | 42,854,701 | ||||||||||||
Mortgage-Backed Obligations |
| 609,228,315 | 440,245 | 609,668,560 | ||||||||||||
U.S. Government Obligations |
| 229,409,282 | | 229,409,282 | ||||||||||||
Foreign Government Obligations |
| 596,132,225 | | 596,132,225 | ||||||||||||
Corporate Bonds and Notes |
| 774,189,377 | 5,341,789 | 779,531,166 | ||||||||||||
Preferred Stocks |
| 3,140,934 | | 3,140,934 | ||||||||||||
Common Stocks |
1,833,750 | 3,460,655 | 896,794 | 6,191,199 |
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Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Level 1 Unadjusted Quoted Prices |
Level 2 Other Significant Observable Inputs |
Level 3 Significant Unobservable Inputs |
Value | |||||||||||||
Rights, Warrants and Certificates | | | | | ||||||||||||
Structured Securities | | 14,848,153 | 12,481,690 | 27,329,843 | ||||||||||||
Over-the-Counter Options Purchased | | 5,365,145 | | 5,365,145 | ||||||||||||
Over-the-Counter Credit Default Swaptions Purchased | | 55,593 | | 55,593 | ||||||||||||
Over-the-Counter Interest Rate Swaptions Purchased | | 3,764,762 | | 3,764,762 | ||||||||||||
Investment Companies | 124,012,761 | 68,207,434 | | 192,220,195 | ||||||||||||
|
|
|||||||||||||||
Total Investments, at Value | 125,846,511 | 2,427,548,148 | 40,847,143 | 2,594,241,802 | ||||||||||||
Other Financial Instruments: | ||||||||||||||||
Swaps, at value | | 712,843 | | 712,843 | ||||||||||||
Variation margin receivable | 42,739 | | | 42,739 | ||||||||||||
Foreign currency exchange contracts | | 10,028,434 | | 10,028,434 | ||||||||||||
|
|
|||||||||||||||
Total Assets | $ | 125,889,250 | $ | 2,438,289,425 | $ | 40,847,143 | $ | 2,605,025,818 | ||||||||
|
|
|||||||||||||||
Liabilities Table | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Swaps, at value | $ | | $ | (1,871,609 | ) | $ | | $ | (1,871,609 | ) | ||||||
Options written, at value | | (1,678,033 | ) | | (1,678,033 | ) | ||||||||||
Variation margin payable | (237,147 | ) | | | (237,147 | ) | ||||||||||
Foreign currency exchange contracts | | (8,218,964 | ) | | (8,218,964 | ) | ||||||||||
Swaptions written, at value | | (7,544,060 | ) | | (7,544,060 | ) | ||||||||||
|
|
|||||||||||||||
Total Liabilities | $ | (237,147 | ) | $ | (19,312,666 | ) | $ | | $ | (19,549,813 | ) | |||||
|
|
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, Level 2 and Level 3. The Funds policy is to recognize transfers in and transfers out as of the beginning of the reporting period.
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Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Transfers into Level 1 |
Transfers into Level 2 |
Transfers out of Level 2 |
Transfers into Level 3 |
Transfers out of Level 3 |
||||||||||||||||
Assets Table |
||||||||||||||||||||
Investments, at Value: |
||||||||||||||||||||
Common Stocks |
$ | 143,954 | a | $ | 2,527,654 | bb | | $ | | $ | (2,671,608 | ) a,b | ||||||||
Corporate Bonds and Notes |
| 540,000 | b | (7,501,743 | ) | 7,501,743 | (540,000 | ) b | ||||||||||||
Structured Securities |
| 11,214,573 | b | (2,441,766 | ) c | 2,441,766 | c | (11,214,573 | ) b | |||||||||||
Total Assets |
$ | 143,954 | $ | 14,282,227 | $ | (9,943,509 | ) | $ | 9,943,509 | $ | (14,426,181 | ) |
a. Transferred from Level 3 to Level 1 due to the presence of a readily available unadjusted quoted market price.
b. Transferred from Level 3 to Level 2 due to the availability of market data for this security.
c. Transferred from Level 2 to Level 3 because of the lack of observable market data.
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 currency exchange contracts, credit default swaps, interest rate swaps, total return swaps, variance 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. These instruments 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. Such contracts may be entered into through a bilateral over-the-counter (OTC) transaction, or through a securities or futures exchange and cleared through a clearinghouse.
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.
87 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (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.
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 due to unanticipated changes in the market risk factors and the overall market. 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. 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. Some derivatives have the potential for unlimited loss, regardless of the size of the Funds initial investment.
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.
The Funds actual exposures to these market risk factors and associated risks during the period are discussed in further detail, by derivative type, below.
88 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Forward Currency Exchange Contracts
The Fund may enter into forward currency exchange contracts (forward contracts) for the purchase or sale of a foreign currency at a negotiated rate at a future date. Such contracts are traded in the OTC inter-bank currency dealer market.
Forward contracts are reported on a schedule following the Consolidated Statement of Investments. The unrealized appreciation (depreciation) is reported in the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports as a receivable (or payable) and in the Consolidated 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 Consolidated Statement of Operations in the annual and semiannual reports.
The Fund has entered into forward 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 contracts seek to increase exposure to foreign exchange rate risk.
The Fund has entered into forward 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 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 contracts seek to increase exposure to foreign exchange rate risk.
The Fund has entered into forward contracts with the obligation to sell specified foreign currencies in the future at a currently negotiated forward rate in order to decrease exposure to foreign exchange rate risk associated with foreign currency denominated securities held by the Fund.
During the period ended September 30, 2013, the Fund had daily average contract amounts on forward contracts to buy and sell of $256,416,420 and $740,361,986, respectively.
Additional associated risk to the Fund includes counterparty credit risk. Counterparty credit risk arises from the possibility that the counterparty to a forward contract will default and fail to perform its obligations to the Fund.
Futures Contracts
A futures contract is a commitment to buy or sell a specific amount of a commodity, 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 and options thereon are generally entered into on a regulated futures exchange and cleared through a clearinghouse associated with the exchange.
89 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
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 in an account registered in the futures commission merchants name. Subsequent payments (variation margin) are paid to or from the futures commission merchant each day equal to the daily changes in the contract value. Such payments are recorded as unrealized gains and losses. Should the Fund fail to make requested variation margin payments, the futures commission merchant can gain access to the initial margin to satisfy the Funds payment obligations.
Futures contracts are reported on a schedule following the Consolidated Statement of Investments. Securities held by a futures commission merchant to cover initial margin requirements on open futures contracts are noted in the Consolidated Statement of Investments. Cash held by a futures commission merchant 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 Consolidated Statement of Assets and Liabilities in the annual and semiannual reports. The net change in unrealized appreciation and depreciation is reported in the Consolidated Statement of Operations in the annual and semiannual reports. Realized gains (losses) are reported in the Consolidated Statement of Operations in the annual and semiannual reports at the closing or expiration of futures contracts.
The Fund has purchased futures contracts on various bonds and notes to increase exposure to interest rate risk.
The Fund has sold futures contracts on various bonds and notes to decrease exposure to interest rate risk.
The Fund has purchased futures contracts on various equity indexes to increase exposure to equity risk.
The Fund has sold futures contracts on various equity indexes to decrease exposure to equity risk.
The Fund has purchased futures contracts on various currencies to increase exposure to foreign exchange rate risk.
The Fund has sold futures contracts on various currencies to decrease exposure to foreign exchange rate 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.
During the period ended September 30, 2013, the Fund had an ending monthly average market value of $166,544,884 and $362,385,821 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
90 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
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, currency or other underlying financial instrument at a fixed price, upon exercise of the option.
Options can be traded through an exchange or through a privately negotiated arrangement with a dealer in an OTC transaction. Options traded through an exchange are generally cleared through a clearinghouse (such as The Options Clearing Corporation). 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 Consolidated 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 Consolidated Statement of Operations in the annual and semiannual reports.
The Fund has purchased call options on currencies to increase exposure to foreign exchange rate risk. A purchased call option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price.
The Fund has purchased put options on currencies to decrease exposure to foreign exchange rate risk. A purchased put option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price.
The Fund has purchased call options on treasury and/or euro futures to increase exposure to interest rate risk. A purchased call option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price.
The Fund has purchased put options on treasury and/or euro futures to decrease exposure to interest rate risk. A purchased put option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price.
During the period ended September 30, 2013, the Fund had an ending monthly average market value of $1,532,058 and $319,603 on purchased call options and purchased put options, respectively.
Options written, if any, are reported in a schedule following the Consolidated Statement of Investments and as a liability in the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports. Securities held in collateral accounts to cover potential obligations with respect to outstanding written options are noted in the Consolidated Statement of Investments.
91 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
The risk in writing a call option is that the market price of the security increases and if the option is exercised, the Fund must either purchase the security at a higher price for delivery or, if the Fund owns the underlying security, give up the opportunity for profit. 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.
The Fund has written put options on individual equity securities and/or equity indexes to increase exposure to equity risk. A written put option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price.
During the period ended September 30, 2013, the Fund had an ending monthly average market value of $416,842 and $970,170 on written call options and written put options, respectively.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
Written option activity for the period ended September 30, 2013 was as follows:
Call Options | Put Options | |||||||||||||||||
|
|
|
|
|||||||||||||||
Number of | Amount of | |
Number of | Amount of | ||||||||||||||
Contracts | Premiums | Contracts | Premiums | |||||||||||||||
|
|
|||||||||||||||||
Options outstanding as of |
||||||||||||||||||
December 31, 2012 |
1,635,535,942 | $ | 745,170 | 2,145,319,399 | $ | 979,485 | ||||||||||||
Options written |
68,283,430,439 | 7,661,425 | 68,183,757,737 | 10,040,701 |
92 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Call Options | Put Options | |||||||||||||||||
|
|
|
|
|||||||||||||||
Number of | Amount of | |
Number of | Amount of | ||||||||||||||
Contracts | Premiums | Contracts | Premiums | |||||||||||||||
|
|
|||||||||||||||||
Options closed or expired |
(49,257,921,381 | ) | (5,660,097 | ) | (30,422,908,575 | ) | (5,358,911 | ) | ||||||||||
Options exercised |
(19,849,030,000 | ) | (2,088,103 | ) | (38,349,155,000 | ) | (3,877,200 | ) | ||||||||||
|
|
|||||||||||||||||
Options outstanding as of |
||||||||||||||||||
September 30, 2013 |
812,015,000 | $ | 658,395 | 1,557,013,561 | $ | 1,784,075 | ||||||||||||
|
|
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, the price or volatility of asset or non-asset references, or the occurrence of a credit event, over a specified period. Swaps can be executed in a bi-lateral privately negotiated arrangement with a dealer in an OTC transaction (OTC swaps) or executed on a regulated market. Certain swaps, regardless of the venue of their execution, are required to be cleared through a clearinghouse (cleared swaps). Swap contracts may include interest rate, equity, debt, index, total return, credit default, currency, and volatility swaps.
Swap contracts are reported on a schedule following the Consolidated Statement of Investments. Daily changes in the value of cleared swaps are reported as variation margin receivable or payable on the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports. The values of OTC swap contracts are aggregated by positive and negative values and disclosed separately on the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports. The unrealized appreciation (depreciation) related to the change in the valuation of the notional amount of the swap is combined with the accrued interest due to (owed by) the Fund, if any, at termination or settlement. The net change in this amount during the period is included on the Consolidated 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 Consolidated Statement of Operations in the annual and semiannual reports.
Swap contract agreements are exposed to the market risk factor of the specific underlying reference rate or asset. Swap contracts are typically more attractively priced compared to similar investments in related cash securities because they isolate the risk to one market risk factor and eliminate the other market risk factors. Investments in cash securities (for instance bonds) have exposure to multiple risk factors (credit and interest rate risk). Because swaps have embedded leverage, they can expose the Fund to substantial risk in the isolated market risk factor.
Credit Default Swap Contracts. A credit default swap is a contract that enables an investor to buy or sell protection against a defined-issuer credit event, such as the issuers failure to make timely payments of interest or principal on a debt security, bankruptcy or restructuring. The Fund may enter into credit default swaps either by buying or selling protection on a corporate issuer, sovereign issuer, or a basket or index of issuers (the reference asset).
93 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
The buyer of protection pays a periodic fee to the seller of protection based on the notional amount of 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 swap less the market value of specified debt securities issued by the reference asset. Upon exercise of the contract the difference between such value and the notional amount is recorded as realized gain (loss) and is included on the Consolidated 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 issuers and/or indexes of issuers that are either unavailable or considered to be less attractive in the bond market.
The Fund has purchased credit protection through credit default swaps to decrease exposure to the credit risk of individual issuers and/or indexes of issuers.
The Fund has engaged in spread curve trades by simultaneously purchasing and selling protection through credit default swaps referenced to the same reference asset but with different maturities. Spread curve trades attempt to gain exposure to credit risk on a forward basis by realizing gains on the expected differences in spreads.
For the period ended September 30, 2013, the Fund had ending monthly average notional amounts of $22,884,383 and $15,315,417 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.
94 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Interest Rate Swap Contracts. An interest rate swap is an agreement between counterparties to exchange periodic payments based on interest rates. One cash flow stream will typically be a floating rate payment based upon a specified floating interest rate while the other is typically a fixed interest rate.
The Fund has entered into interest rate swaps in which it pays a floating interest rate and receives a fixed interest rate in order to increase exposure to interest rate risk. Typically, if relative interest rates rise, payments made by the Fund under a swap agreement will be greater than the payments received by the Fund.
The Fund has entered into interest rate swaps in which it pays a fixed interest rate and receives a floating interest rate in order to decrease exposure to interest rate risk. Typically, if relative interest rates rise, payments received by the Fund under the swap agreement will be greater than the payments made by the Fund.
For the period ended September 30, 2013, the Fund had ending monthly average notional amounts of $46,777,760 and $87,455,752 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 the value of asset or non-asset references. One cash flow is typically based on a non-asset reference (such as an interest rate) and the other on the total return of a reference asset (such as a security or a basket of securities or securities index). The total return of the reference asset typically includes appreciation or depreciation on the reference asset, plus any interest or dividend payments.
Total return swap contracts are exposed to the market risk factor of the specific underlying financial instrument or index. Total return swaps are less standard in structure than other types of swaps and can isolate and/or include multiple types of market risk factors including equity risk, credit risk, and interest rate risk.
The Fund has entered into total return swaps on various equity securities or indexes to increase exposure to equity risk. These equity risk related total return swaps require the Fund to pay a floating reference interest rate, and an amount equal to the negative price movement of securities or an index (expressed as a percentage) 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 (expressed as a percentage) multiplied by the notional amount of the contract and, in some cases, dividends paid on the securities.
95 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
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 (expressed as a percentage) multiplied by the notional amount of the contract and, in some cases, dividends paid on the securities. The Fund will receive payments of a floating reference interest rate and an amount equal to the negative price movement of the same securities or index (expressed as a percentage) multiplied by the notional amount of the contract.
For the period ended September 30, 2013, the Fund had ending monthly average notional amounts of $26,375,359 and $17,393,628 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.
As of September 30, 2013, the Fund had no such total return swap agreements outstanding.
Volatility Swap Contracts. A volatility swap is an agreement between counterparties to exchange periodic payments based on the measured volatility of a reference security, index, currency or other reference investment over a specified time frame. One cash flow is typically based on the realized volatility of the reference investment as measured by changes in its price or level over the specified time period while the other cash flow is based on a specified rate representing expected volatility for the reference investment at the time the swap is executed, or the measured volatility of a different reference investment over the specified time period. The appreciation or depreciation on a volatility swap will typically depend on the magnitude of the reference investments volatility, or size of the movements in its price, over the specified time period, 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.
Variance swaps are a type of volatility swap where counterparties agree to exchange periodic payments based on the measured variance (or the volatility squared) of a reference security, index, or other reference investment over a specified time period. At payment date, a net cash flow will be exchanged based on the difference between the realized variance of the reference investment over the specified time period and the specified rate representing expected variance for the reference investment at the time the swap is executed multiplied by the notional amount of the contract.
96 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
The Fund has entered into volatility swaps to increase exposure to the volatility risk of various reference investments. These types of volatility swaps require the Fund to pay the measured volatility and receive a fixed rate payment. 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 rate payment and receive the measured volatility. If the measured volatility of the related reference investment increases over the period, the swaps will appreciate in value. Conversely, if the measured volatility of the related reference investment decreases over the period, the swaps will depreciate in value.
For the period ended September 30, 2013, the Fund had ending monthly average notional amounts of $216,086 and $230,548 on volatility swaps which pay measured volatility and volatility swaps which receive measured volatility, respectively.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
As of September 30, 2013, the Fund had no such volatility swaps agreements outstanding.
Swaption Transactions
The Fund may enter into a swaption contract which grants the purchaser the right, but not the obligation, to enter into a swap transaction at preset terms detailed in the underlying agreement within a specified period of time. The purchaser pays a premium to the swaption writer who bears the risk of unfavorable changes in the preset terms on the underlying swap.
Purchased swaptions are reported as a component of investments in the Consolidated Statement of Investments and the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports. Written swaptions are reported on a schedule following the Consolidated Statement of Investments and their value is reported as a separate asset or liability line item in the Consolidated 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 Consolidated 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 Consolidated 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
97 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
counterparty credit risk prior to exercise 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 decreases 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 increases relative to the preset interest rate.
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 issuers and/ or indexes of issuers. A purchased swaption of this type becomes more valuable as the likelihood of a credit event on the reference asset decreases.
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 issuers and/or indexes of issuers. A purchased swaption of this type becomes more valuable as the likelihood of a credit event on the reference asset increases.
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 decreases 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 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 increases 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 issuers and/or indexes of issuers. A written swaption of this type becomes more valuable as the likelihood of a credit event on the reference asset decreases.
98 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
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 issuers and/or, indexes of issuers. A written swaption of this type becomes more valuable as the likelihood of a credit event on the reference asset increases.
During the period ended September 30, 2013, the Fund had an ending monthly average market value of $5,407,000 and $6,477,354 on purchased and written swaptions, respectively.
Written swaption activity for the period ended September 30, 2013 was as follows:
Call Swaptions | ||||||||
|
|
|||||||
Notional Amount |
Amount of Premiums |
|||||||
|
||||||||
Swaptions outstanding as of |
||||||||
December 31, 2012 |
253,267,387 | $ | 5,033,479 | |||||
Swaptions written |
2,619,010,000 | 19,312,478 | ||||||
Swaptions closed or expired |
(2,138,902,387) | (18,491,447) | ||||||
Swaptions exercised |
(43,535,000) | (594,697) | ||||||
|
|
|||||||
Swaptions outstanding as of September 30, 2013 |
689,840,000 | $ | 5,259,813 | |||||
|
|
Counterparty Credit Risk. Derivative positions are subject to the risk that the counterparty will not fulfill its obligation to the Fund. The Fund intends to enter into derivative transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction.
The Funds risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund. For OTC options purchased, the Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by the Fund should the counterparty fail to perform under the contracts. Options written by the Fund do not typically give rise to counterparty credit risk, as options written generally obligate the Fund and not the counterparty to perform.
To reduce counterparty risk with respect to OTC transactions, the Fund has entered into master netting arrangements, established within the Funds International Swap and Derivatives Association, Inc. (ISDA) master agreements, which allow the Fund to make (or to have an entitlement to receive) a single net payment in the event of default (close-out netting) for outstanding payables and receivables with respect to certain OTC positions in swaps, options, swaptions, and forward currency exchange contracts for each individual counterparty. 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 ISDA 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.
99 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
As of September 30, 2013 the Fund has required certain counterparties to post collateral of $4,249,321.
ISDA master agreements include credit related contingent features which allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event that, for example, the Funds net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA master agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
The Funds risk of loss from counterparty credit risk on exchange-traded derivatives cleared through a clearinghouse and for cleared swaps is generally considered lower than as compared to OTC derivatives. However, counterparty credit risk exists with respect to initial and variation margin deposited/paid by the Fund that is held in futures commission merchant, broker and/or clearinghouse accounts for such exchange-traded derivatives and for cleared swaps.
With respect to cleared swaps, such transactions will be submitted for clearing, and if cleared, will be held in accounts at futures commission merchants or brokers that are members of clearinghouses. While brokers, futures commission merchants and clearinghouses are required to segregate customer margin from their own assets, in the event that a broker, futures commission merchant or clearinghouse becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker, futures commission merchant or clearinghouse for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the brokers, futures commission merchants or clearinghouses customers, potentially resulting in losses to the Fund.
There is the risk that a broker, futures commission merchant or clearinghouse will decline to clear a transaction on the Funds behalf, and the Fund may be required to pay a termination fee to the executing broker with whom the Fund initially enters into the transaction. Clearinghouses may also be permitted to terminate cleared swaps at any time. The Fund is also subject to the risk that the broker or futures commission merchant will improperly use the Funds assets deposited/paid as initial or variation margin to satisfy payment obligations of another customer. In the event of a default by another customer of the broker or futures commission merchant, the Fund might not receive its variation margin payments from the clearinghouse, due to the manner in which variation margin payments are aggregated for all customers of the broker/futures commission merchant.
100 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
Oppenheimer Global Strategic Income Fund/VA | ||
CONSOLIDATED STATEMENT OF INVESTMENTS | September 30, 2013 (Unaudited) |
Collateral and margin requirements differ by type of derivative. Margin requirements are established by the broker, futures commission merchant or clearinghouse for exchange-traded and cleared derivatives, including cleared swaps. Brokers, futures commission merchants and clearinghouses can ask for margin in excess of the regulatory minimum, or increase the margin amount, in certain circumstances.
Collateral terms are contract specific for OTC derivatives. For derivatives traded under an ISDA master agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund or the counterparty.
For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund, if any, is reported separately on the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports as cash pledged as collateral. Non-cash collateral pledged by the Fund, if any, is noted in the Consolidated Statement of Investments. Generally, the amount of collateral due from or to a party must exceed a minimum transfer amount threshold (e.g. $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance.
Restricted Securities
As of September 30, 2013, 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 Consolidated Statement of Investments. Restricted securities are reported on a schedule following the Consolidated Statement of Investments.
Federal Taxes. The approximate aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of September 30, 2013 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 |
$ | 2,636,208,385 | ||
Federal tax cost of other investments |
(107,739,635) | |||
|
|
|||
Total federal tax cost |
$ | 2,528,468,750 | ||
|
|
|||
Gross unrealized appreciation |
$ | 65,487,063 | ||
Gross unrealized depreciation |
(109,891,076) | |||
|
|
|||
Net unrealized depreciation |
$ | (44,404,013) | ||
|
|
101 |
||
Oppenheimer Global Strategic Income Fund/VA | ||
STATEMENT OF INVESTMENTS September 30, 2013 / Unaudited |
1 OPPENHEIMER EQUITY INCOME FUND/VA
STATEMENT OF INVESTMENTS Unaudited / (Continued) |
2 OPPENHEIMER EQUITY INCOME FUND/VA
STATEMENT OF INVESTMENTS Unaudited / (Continued) |
3 OPPENHEIMER EQUITY INCOME FUND/VA
STATEMENT OF INVESTMENTS September 30, 2013 / Unaudited |
Footnotes to Statement of Investments
1. Non-income producing security.
2. All or a portion of the security position is held in segregated accounts and pledges to cover margin requirements with respect to outstanding written options. The aggregate market value of such securities is $83,102. See accompanying Notes.
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 $311,203 or 3.09% of the Funds net assets as of September 30, 2013.
4. Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended September 30, 2013, 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 31, 2012 |
Gross Additions |
Gross Reductions |
Shares September 30, 2013 |
|||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | 60,104 | 4,248,356 | 3,919,484 | 388,976 | ||||||||||||
Value | Income | |||||||||||||||
Oppenheimer Institutional Money Market Fund, Cl. E | $ | 388,976 | $ | 211 |
5. Rate shown is the 7-day yield as of September 30, 2013.
Exchange-Traded Options Written at September 30, 2013 |
Description | Exchange | Exercise Price |
Expiration Date |
Number of Contracts | Premiums Received | Value | ||||||||||||||
|
||||||||||||||||||||
Cisco Systems, Inc. Put |
NYS | USD | 24.000 | 10/19/13 | USD | (5) | $ | 205 | $ | (465) | ||||||||||
|
||||||||||||||||||||
D.R. Horton, Inc. Put |
NYS | USD | 19.000 | 10/19/13 | USD | (25) | 2,249 | (1,125) | ||||||||||||
|
||||||||||||||||||||
Domtar Corp. Put |
PHS | USD | 75.000 | 10/19/13 | USD | (5) | 810 | (475) | ||||||||||||
|
||||||||||||||||||||
Foot Locker, Inc. Put |
NYS | USD | 34.000 | 10/19/13 | USD | (5) | 680 | (445) | ||||||||||||
|
||||||||||||||||||||
Foot Locker, Inc. Put |
NYS | USD | 32.000 | 10/19/13 | USD | (5) | 392 | (100) | ||||||||||||
|
||||||||||||||||||||
Radian Group, Inc. Put |
NYS | USD | 13.000 | 11/16/13 | USD | (5) | 270 | (275) | ||||||||||||
|
||||||||||||||||||||
Regions Financial Corp. Put |
NYS | USD | 9.000 | 10/19/13 | USD | (5) | 80 | (50) | ||||||||||||
|
||||||||||||||||||||
Target Corp. Put |
NYS | USD | 65.000 | 10/19/13 | USD | (5) | 895 | (885) | ||||||||||||
|
|
|||||||||||||||||||
Total of Exchange-Traded Options Written |
|
$ | 5,581 | $ | (3,820) | |||||||||||||||
|
|
4 OPPENHEIMER EQUITY INCOME FUND/VA
STATEMENT OF INVESTMENTS Unaudited / (Continued) |
Footnotes to Statement of Investments (Continued)
Glossary: |
||||||
Exchange Abbreviations: |
||||||
NYS |
New York Stock Exchange |
|||||
PHS |
NASDAQ OMX PHLX |
5 OPPENHEIMER EQUITY INCOME FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited |
The Fund has changed its name to Oppenheimer Equity Income Fund/VA from Oppenheimer Value Fund/VA.
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 the investment adviser of IMMF, and the Sub-Adviser provides investment and related advisory services to 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 New York Stock Exchange (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
6 OPPENHEIMER EQUITY INCOME FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued) |
Securities Valuation (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
7 OPPENHEIMER EQUITY INCOME FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued) |
Securities Valuation (Continued)
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.
8 OPPENHEIMER EQUITY INCOME FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued) |
Securities Valuation (Continued)
The table below categorizes amounts as of September 30, 2013 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 |
$ | 1,076,987 | $ | | $ | | $ | 1,076,987 | ||||||||
Consumer Staples |
602,997 | | | 602,997 | ||||||||||||
Energy |
1,130,533 | | | 1,130,533 | ||||||||||||
Financials |
2,397,900 | | | 2,397,900 | ||||||||||||
Health Care |
742,825 | | | 742,825 | ||||||||||||
Industrials |
740,935 | | | 740,935 | ||||||||||||
Information Technology |
780,852 | | | 780,852 | ||||||||||||
Materials |
525,051 | | | 525,051 | ||||||||||||
Telecommunication Services |
558,569 | | | 558,569 | ||||||||||||
Utilities |
295,300 | | | 295,300 | ||||||||||||
Convertible Corporate Bonds and Notes |
| 622,837 | | 622,837 | ||||||||||||
Non-Convertible Corporate Bonds and Notes |
| 74,770 | | 74,770 | ||||||||||||
Preferred Stocks |
43,920 | 202,952 | | 246,872 | ||||||||||||
Investment Company |
388,976 | | | 388,976 | ||||||||||||
|
|
|||||||||||||||
Total Assets |
$ | 9,284,845 | $ | 900,559 | $ | | $ | 10,185,404 | ||||||||
|
|
|||||||||||||||
Liabilities Table |
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Other Financial Instruments: |
||||||||||||||||
Options written, at value |
$ | (3,820) | $ | | $ | | $ | (3,820) | ||||||||
|
|
|||||||||||||||
Total Liabilities |
$ | (3,820) | $ | | $ | | $ | (3,820) | ||||||||
|
|
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.
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 currency exchange contracts, credit default swaps, interest rate swaps, total return swaps, variance 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. These instruments 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. Such contracts may be entered into through a bilateral over-the-counter (OTC) transaction, or through a securities or futures exchange and cleared through a clearinghouse.
9 OPPENHEIMER EQUITY INCOME FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued) |
Risk Exposures and the Use of Derivative Instruments (Continued)
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.
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 due to unanticipated changes in the market risk factors and the overall market. 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. 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. Some derivatives have the potential for unlimited loss, regardless of the size of the Funds initial investment.
10 OPPENHEIMER EQUITY INCOME FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued) |
Risk Exposures and the Use of Derivative Instruments (Continued)
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.
The Funds actual exposures to these market risk factors and associated risks during the period are discussed in further detail, by derivative type, below.
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, currency or other underlying financial instrument at a fixed price, upon exercise of the option.
Options can be traded through an exchange or through a privately negotiated arrangement with a dealer in an OTC transaction. Options traded through an exchange are generally cleared through a clearinghouse (such as The Options Clearing Corporation). 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.
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 collateral 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 market price of the security increases and if the option is exercised, the Fund must either purchase the security at a higher price for delivery or, if the Fund owns the underlying security, give up the opportunity for profit. The risk in writing a put option is that the Fund may incur a loss if the market price of the security decreases and the option is exercised. The risk in buying an option is that the Fund pays a premium whether or not the option is exercised. The Fund also has the additional risk that there may be an illiquid market where the Fund is unable to close the contract.
The Fund has written put options on individual equity securities and/or equity indexes to increase exposure to equity risk. A written put option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price.
The Fund has written call options on individual equity securities and/or equity indexes to decrease exposure to equity risk. A written call option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price.
11 OPPENHEIMER EQUITY INCOME FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued) |
Risk Exposures and the Use of Derivative Instruments (Continued)
During the period ended September 30, 2013, the Fund had an ending monthly average market value of $535 and $646 on written call options and written put options, respectively.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
Written option activity for the period ended September 30, 2013 was as follows:
Call Options | Put Options | |||||||
|
| |||||||
Number of Contracts |
Amount of Premiums | Number of Contracts |
Amount of Premiums | |||||
| ||||||||
Options outstanding as of December 31, 2012 | | $ | | $ | ||||
Options written |
34 | 2,744 | 82 | 7,129 | ||||
Options closed or expired |
(30) | (2,468) | (17) | (1,061) | ||||
Options exercised |
(4) | (276) | (5) | (487) | ||||
| ||||||||
Options outstanding as of September 30, 2013 | | $ | 60 | $ 5,581 | ||||
|
Counterparty Credit Risk. Derivative positions are subject to the risk that the counterparty will not fulfill its obligation to the Fund. The Fund intends to enter into derivative transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities in the annual and semiannual reports. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
The Funds risk of loss from counterparty credit risk on exchange-traded derivatives cleared through a clearinghouse and for cleared swaps is generally considered lower than as compared to OTC derivatives. However, counterparty credit risk exists with respect to initial and variation margin deposited/paid by the Fund that is held in futures commission merchant, broker and/or clearinghouse accounts for such exchange-traded derivatives and for cleared swaps.
With respect to cleared swaps, such transactions will be submitted for clearing, and if cleared, will be held in accounts at futures commission merchants or brokers that are members of clearinghouses. While brokers, futures commission merchants and clearinghouses are required to segregate customer margin from their own assets, in the event that a broker, futures commission merchant or clearinghouse becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker, futures commission merchant or clearinghouse for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the brokers, futures commission merchants or clearinghouses customers, potentially resulting in losses to the Fund.
There is the risk that a broker, futures commission merchant or clearinghouse will decline to clear a transaction on the Funds behalf, and the Fund may be required to pay a termination fee to the executing broker with whom the Fund initially enters into the transaction. Clearinghouses may also be permitted to terminate cleared swaps at any time.
12 OPPENHEIMER EQUITY INCOME FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued) |
Risk Exposures and the Use of Derivative Instruments (Continued)
The Fund is also subject to the risk that the broker or futures commission merchant will improperly use the Funds assets deposited/paid as initial or variation margin to satisfy payment obligations of another customer. In the event of a default by another customer of the broker or futures commission merchant, the Fund might not receive its variation margin payments from the clearinghouse, due to the manner in which variation margin payments are aggregated for all customers of the broker/futures commission merchant.
Collateral and margin requirements differ by type of derivative. Margin requirements are established by the broker, futures commission merchant or clearinghouse for exchange-traded and cleared derivatives, including cleared swaps. Brokers, futures commission merchants and clearinghouses can ask for margin in excess of the regulatory minimum, or increase the margin amount, in certain circumstances.
For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund, if any, is reported separately on the Statement of Assets and Liabilities in the annual and semiannual reports as cash pledged as collateral. Non-cash collateral pledged by the Fund, if any, is noted in the Statement of Investments. Generally, the amount of collateral due from or to a party must exceed a minimum transfer amount threshold (e.g. $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance.
Federal Taxes
The approximate aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of September 30, 2013 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 |
$ | 9,687,691 | ||
Federal tax cost of other investments |
(5,581) | |||
|
|
|||
Total federal tax cost |
$ | 9,682,110 | ||
|
|
|||
Gross unrealized appreciation |
$ | 712,429 | ||
Gross unrealized depreciation |
(212,955) | |||
|
|
|||
Net unrealized appreciation |
$ | 499,474 | ||
|
|
13 OPPENHEIMER EQUITY INCOME 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 9/30/2013, 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: | 11/11/2013 |
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: | 11/11/2013 | |
By: | /s/ Brian W. Wixted | |
Brian W. Wixted | ||
Principal Financial Officer | ||
Date: | 11/11/2013 |
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: 11/11/2013 |
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: 11/11/2013 |