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)
Registrant’s telephone number, including area code: (303) 768-3200
Date of fiscal year end: December 31
Date of reporting period: 3/31/2014
Item 1. Schedule of Investments.
|
STATEMENT OF INVESTMENTS March 31, 2014 / 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 March 31, 2014, 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, 2013 |
Gross Additions |
Gross Reductions |
Shares March 31, 2014 |
|||||||||||||
| Oppenheimer Institutional Money Market Fund, Cl. E |
5,136,594 | 56,034,457 | 56,853,228 | 4,317,823 | ||||||||||||
| Value | Income | |||||||
| Oppenheimer Institutional Money Market Fund, Cl. E |
$ | 4,317,823 | $ | 1,518 | ||||
3. Rate shown is the 7-day yield as of March 31, 2014.
| 3 OPPENHEIMER DISCOVERY MID CAP GROWTH FUND/VA |
|
NOTES TO STATEMENT OF INVESTMENTS Unaudited | ||
Oppenheimer Discovery Mid Cap Growth Fund/VA (the “Fund”) is a separate series of Oppenheimer Variable Account Funds, a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended. The Fund’s investment objective is to seek capital appreciation. The Fund’s investment adviser is OFI Global Asset Management, Inc. (“OFI Global” or the “Manager”), a wholly-owned subsidiary of OFI. The Manager has entered into a sub-advisory agreement with OFI. Shares of the Fund are sold only to separate accounts of life insurance companies.
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 Fund’s investment in IMMF is included in the Statement of Investments. Shares of IMMF are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of IMMF’s Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in IMMF.
Securities Valuation
The Fund calculates the net asset value of its shares as of the close of the New York Stock Exchange (the “Exchange”), normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading.
The Fund’s Board has adopted procedures for the valuation of the Fund’s securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a “fair valuation” for any security for which market quotations are not “readily available.” The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
Valuation Methods and Inputs
Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or dealers.
The following methodologies are used to determine the market value or the fair value of the types of securities described below:
Securities traded on a registered U.S. securities exchange (including exchange-traded derivatives other than futures and futures options) are valued based on the last sale price of the security reported on the principal exchange on which it is traded, prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the current day’s closing “bid” and “asked” prices, and if not, at the current day’s closing bid price. A security of a foreign issuer traded on a foreign exchange, but not listed on a registered U.S. securities exchange, is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the third party pricing service used by the Manager, prior to the time when the Fund’s assets are valued. If the last sale price is unavailable, the security is valued at the most recent official closing price on the principal exchange on which it is traded. If the last sales price or official closing price for a foreign security is not available, the security is valued at the mean between the bid and asked price per the exchange or, if not available from the exchange, obtained from two dealers. If bid and asked prices are not available from either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of priority): (1) using a bid from the exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer.
Shares of a registered investment company that are not traded on an exchange are valued at that investment company’s net asset value per share.
Corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, event-linked bonds, loans, mortgage-backed securities, collateralized mortgage obligations, and asset-backed securities are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers who may use matrix pricing methods to determine the evaluated prices.
Short-term money market type debt securities with a remaining maturity of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. Short-term debt securities 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
| 4 OPPENHEIMER DISCOVERY MID CAP GROWTH FUND/VA |
|
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued | ||
Securities Valuation (Continued)
or the significant event as previously approved by the Valuation Committee and the Fund’s Board or (ii) as determined in good faith by the Manager’s Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. Fair value determinations by the Manager are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Those fair valuation standardized methodologies include, but are not limited to, valuing securities at the last sale price or initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be further adjusted for any discounts related to security-specific resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security.
To assess the continuing appropriateness of security valuations, the Manager, or its third party service provider who is subject to oversight by the Manager, regularly compares prior day prices, prices on comparable securities, and sale prices to the current day prices and challenges those prices exceeding certain tolerance levels with the third party pricing service or broker source. For those securities valued by fair valuations, whether through a standardized fair valuation methodology or a fair valuation determination, the Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available.
Classifications
Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Various data inputs are used in determining the value of each of the Fund’s investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards:
1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange)
2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.)
3) Level 3-significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset or liability).
The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities.
The table below categorizes amounts as of March 31, 2014 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 |
$ | 172,253,545 | $ | — | $ | — | $ | 172,253,545 | ||||||||
| Consumer Staples |
12,057,446 | — | — | 12,057,446 | ||||||||||||
| Energy |
33,474,896 | — | — | 33,474,896 | ||||||||||||
| Financials |
54,327,669 | — | — | 54,327,669 | ||||||||||||
| Health Care |
108,839,796 | — | — | 108,839,796 | ||||||||||||
| Industrials |
135,717,877 | — | — | 135,717,877 | ||||||||||||
| Information Technology |
177,582,761 | — | — | 177,582,761 | ||||||||||||
| Materials |
38,938,228 | — | — | 38,938,228 | ||||||||||||
| Telecommunication Services |
10,950,674 | — | — | 10,950,674 | ||||||||||||
| Investment Company |
4,317,823 | — | — | 4,317,823 | ||||||||||||
|
|
|
|||||||||||||||
| Total Assets |
$ | 748,460,715 | $ | — | $ | — | $ | 748,460,715 | ||||||||
|
|
|
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Currency contracts and forwards, if any, are reported at their unrealized appreciation/ depreciation at measurement date, which represents the change in the contract’s value from trade date. Futures, if any, are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.
Federal Taxes
The approximate aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of March 31, 2014 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 |
$ | 538,042,190 | ||
|
|
|
|||
| Gross unrealized appreciation |
$ | 216,100,143 | ||
| Gross unrealized depreciation |
(5,681,618 | ) | ||
|
|
|
|||
| Net unrealized appreciation |
$ | 210,418,525 | ||
|
|
|
| 5 OPPENHEIMER DISCOVERY MID CAP GROWTH FUND/VA |
| STATEMENT OF INVESTMENTS March 31, 2014 / 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 INTERNATIONAL SMALL COMPANY FUND |
| 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 |
Footnotes to Statement of Investments
1. Non-income producing security.
2. Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $36,931,375 or 13.29% of the Fund’s net assets as of March 31, 2014.
3. Represents the current interest rate for a variable or increasing rate security.
4. Restricted security. The aggregate value of restricted securities as of March 31, 2014 was $2,199,794, which represents 0.79% of the Fund’s net assets. See accompanying Notes. Information concerning restricted securities is as follows:
| Security | Acquisition Dates |
Cost | Value | Unrealized Appreciation |
||||||||||||
| Credit Acceptance Auto Loan Trust, Series 2013-2A, Cl. B, 2.26%, 10/15/21 |
10/22/13 | $ | 309,913 | $ | 312,711 | $ | 2,798 | |||||||||
| Morgan Stanley Re-Remic Trust, Series 2012-R3, Cl. 1B, 2.057%, 11/26/36 |
10/24/12-1/1/14 | 131,251 | 166,310 | 35,059 | ||||||||||||
| Rabobank Capital Funding Trust III, 5.254% Jr. Sub. Perpetual Bonds |
5/1/13-5/8/13 | 765,601 | 791,366 | 25,765 | ||||||||||||
| Rockies Express Pipeline LLC, 3.90% Sr. Unsec. Unsub. Nts., 4/15/15 |
11/10/10-9/5/13 | 455,863 | 458,540 | 2,677 | ||||||||||||
| ZFS Finance USA Trust V, 6.50% Jr. Sub. Nts., 5/9/37 |
11/20/13 | 462,188 | 470,867 | 8,679 | ||||||||||||
|
|
|
|||||||||||||||
| $ | 2,124,816 | $ | 2,199,794 | $ | 74,978 | |||||||||||
|
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|
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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 $2,414,597 or 0.87% of the Fund’s net assets as of March 31, 2014.
6. Interest rate is less than 0.0005%.
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 $114,814 or 0.04% of the Fund’s net assets as of March 31, 2014.
8. The current amortization rate of the security’s cost basis exceeds the future interest payments currently estimated to be received. Both the amortization rate and interest payments are contingent on future mortgage pre-payment speeds and are therefore subject to change.
9. All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after March 31, 2014. See accompanying Notes.
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 $226,262. See accompanying Notes.
11. 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.
12. Rate shown is the 7-day yield as of March 31, 2014.
| 9 OPPENHEIMER CAPITAL INCOME FUND/VA |
| STATEMENT OF INVESTMENTS Unaudited / Continued |
Footnotes to Statement of Investments (Continued)
13. Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended March 31, 2014, 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, 2013 |
Gross Additions |
Gross Reductions |
Shares March 31, 2014 |
|||||||||||||
| Oppenheimer Institutional Money Market Fund, Cl. E | 19,917,607 | — | — | 19,917,607 | ||||||||||||
| Value | Income | |||||||||||||||
| Oppenheimer Institutional Money Market Fund, Cl. E | $19,917,607 | $ | 3,962 | |||||||||||||
| Futures Contracts as of March 31, 2014 |
| |||||||||||||||||||||||
| Description | Exchange | Buy/Sell | Expiration Date | Number of Contracts |
Value | Unrealized Appreciation |
||||||||||||||||||
| United States Treasury Long Bonds | CBT | Buy | 6/19/14 | 61 | $ | 8,126,344 | $ | 74,000 | ||||||||||||||||
| United States Treasury Nts., 2 yr. | CBT | Sell | 6/30/14 | 105 | 23,054,063 | 25,543 | ||||||||||||||||||
| United States Treasury Nts., 5 yr. | CBT | Sell | 6/30/14 | 6 | 713,719 | 2,750 | ||||||||||||||||||
| United States Treasury Nts., 10 yr. | CBT | Sell | 6/19/14 | 2 | 247,000 | 2,599 | ||||||||||||||||||
| United States Treasury Ultra Bonds | CBT | Buy | 6/19/14 | 34 | 4,911,938 | 109,428 | ||||||||||||||||||
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| $ | 214,320 | |||||||||||||||||||||||
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Glossary:
| Exchange Abbreviations |
||
| CBT |
Chicago Board of Trade |
| 10 OPPENHEIMER CAPITAL INCOME FUND/VA |
| NOTES TO STATEMENT OF INVESTMENTS Unaudited |
Oppenheimer Capital Income Fund/VA (the “Fund”) is a separate series of Oppenheimer Variable Account Funds, a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended. The Fund’s investment objective is to seek total return. The Fund’s investment adviser is OFI Global Asset Management, Inc. (“OFI Global” or the “Manager”), a wholly-owned subsidiary of OFI. The Manager has entered into a sub-advisory agreement with OFI. Shares of the Fund are sold only to separate accounts of life insurance companies.
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 Fund’s investment in IMMF is included in the Statement of Investments. Shares of IMMF are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of IMMF’s Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in IMMF.
Securities on a When-Issued or Delayed Delivery Basis. The Fund may purchase securities on a “when-issued” basis, and may purchase or sell securities on a “delayed delivery” basis. “When-issued” or “delayed delivery” refers to securities whose terms and indenture are available and for which a market exists, but which are not available for immediate delivery. Delivery and payment for securities that have been purchased by the Fund on a when-issued basis normally takes place within six months and possibly as long as two years or more after the trade date. During this period, such securities do not earn interest, are subject to market fluctuation and may increase or decrease in value prior to their delivery. The purchase of securities on a when-issued basis may increase the volatility of the Fund’s net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. When the Fund engages in when-issued or delayed delivery transactions, it relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do so may cause the Fund to lose the opportunity to obtain or dispose of the security at a price and yield it considers advantageous. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase.
As of March 31, 2014, 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 |
$59,224,984 | |||
| Sold securities |
18,292,386 | |||
The Fund may enter into “forward roll” transactions with respect to mortgage-related securities. In this type of transaction, the Fund sells a mortgage-related security to a buyer and simultaneously agrees to repurchase a similar security (same type, coupon and maturity) at a later date at a set price. During the period between the sale and the repurchase, the Fund will not be entitled to receive interest and principal payments on the securities that have been sold. The Fund records the incremental difference between the forward purchase and sale of each forward roll as realized gain (loss) on investments or as fee income in the case of such transactions that have an associated fee in lieu of a difference in the forward purchase and sale price.
Forward roll transactions may be deemed to entail embedded leverage since the Fund purchases mortgage-related securities with extended settlement dates rather than paying for the securities under a normal settlement cycle. This embedded leverage increases the Fund’s market value of investments relative to its net assets which can incrementally increase the volatility of the Fund’s performance. Forward roll transactions can be replicated over multiple settlement periods.
Risks of entering into forward roll transactions include the potential inability of the counterparty to meet the terms of the agreement; the potential of the Fund to receive inferior securities at redelivery as compared to the securities sold to the counterparty; and counterparty credit risk.
Foreign Currency Translation. The Fund’s accounting records are maintained in U.S. dollars. The values of securities denominated in foreign currencies and amounts related to the purchase and sale of foreign securities and foreign investment income are translated into U.S. dollars as of the close of the 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 Fund’s Board has adopted procedures for the valuation of the Fund’s securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a “fair valuation” for any security for which market quotations are not “readily available.” The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
| 11 OPPENHEIMER CAPITAL INCOME FUND/VA |
| NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued |
Securities Valuation (Continued)
Valuation Methods and Inputs
Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or dealers.
The following methodologies are used to determine the market value or the fair value of the types of securities described below:
Securities traded on a registered U.S. securities exchange (including exchange-traded derivatives other than futures and futures options) are valued based on the last sale price of the security reported on the principal exchange on which it is traded, prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the current day’s closing “bid” and “asked” prices, and if not, at the current day’s closing bid price. A security of a foreign issuer traded on a foreign exchange, but not listed on a registered U.S. securities exchange, is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the third party pricing service used by the Manager, prior to the time when the Fund’s assets are valued. If the last sale price is unavailable, the security is valued at the most recent official closing price on the principal exchange on which it is traded. If the last sales price or official closing price for a foreign security is not available, the security is valued at the mean between the bid and asked price per the exchange or, if not available from the exchange, obtained from two dealers. If bid and asked prices are not available from either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of priority): (1) using a bid from the exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer.
Shares of a registered investment company that are not traded on an exchange are valued at that investment company’s net asset value per share.
Corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, event-linked bonds, loans, mortgage-backed securities, collateralized mortgage obligations, and asset-backed securities are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers who may use matrix pricing methods to determine the evaluated prices.
Short-term money market type debt securities with a remaining maturity of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. Short-term debt securities with a remaining maturity in excess of sixty days are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers.
Futures contracts and futures options traded on a commodities or futures exchange will be valued at the final settlement price or official closing price on the principal exchange as reported by such principal exchange at its trading session ending at, or most recently prior to, the time when the Fund’s assets are valued.
A description of the standard inputs that may generally be considered by the third party pricing vendors in determining their evaluated prices is provided below.
| Standard inputs generally considered by third-party pricing vendors |
||||
| Security Type | ||||
| 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 Fund’s Board or (ii) as determined in good faith by the Manager’s Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. Fair value determinations by the Manager are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Those fair valuation standardized methodologies include, but are not limited to, valuing securities at the last sale price or initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be further adjusted for any discounts related to security-specific resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security.
To assess the continuing appropriateness of security valuations, the Manager, or its third party service provider who is subject to oversight by the Manager, regularly compares prior day prices, prices on comparable securities, and sale prices to the current day prices and challenges those prices exceeding certain tolerance levels with the third party pricing service or broker source. For those securities valued by fair valuations, whether through a standardized fair valuation methodology or a fair valuation determination, the Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available.
| 12 OPPENHEIMER CAPITAL INCOME FUND/VA |
| NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued |
Securities Valuation (Continued)
Classifications
Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Various data inputs are used in determining the value of each of the Fund’s investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards:
1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange)
2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.)
3) Level 3-significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset or liability).
The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities.
The table below categorizes amounts as of March 31, 2014 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 |
$ | 12,618,479 | $ | — | $ | — | $ | 12,618,479 | ||||||||
| Consumer Staples |
5,862,820 | 2,276,861 | — | 8,139,681 | ||||||||||||
| Energy |
9,750,353 | — | — | 9,750,353 | ||||||||||||
| Financials |
16,265,933 | — | — | 16,265,933 | ||||||||||||
| Health Care |
12,432,105 | — | — | 12,432,105 | ||||||||||||
| Industrials |
11,937,568 | — | — | 11,937,568 | ||||||||||||
| Information Technology |
16,565,305 | — | — | 16,565,305 | ||||||||||||
| Materials |
3,626,803 | — | — | 3,626,803 | ||||||||||||
| Telecommunication Services |
1,498,645 | — | — | 1,498,645 | ||||||||||||
| Utilities |
1,723,977 | — | — | 1,723,977 | ||||||||||||
| Asset-Backed Securities |
— | 27,736,213 | — | 27,736,213 | ||||||||||||
| Mortgage-Backed Obligations |
— | 80,771,491 | — | 80,771,491 | ||||||||||||
| U.S. Government Obligations |
— | 11,316,859 | — | 11,316,859 | ||||||||||||
| Non-Convertible Corporate Bonds and Notes |
— | 76,174,270 | — | 76,174,270 | ||||||||||||
| Investment Company |
19,917,607 | — | — | 19,917,607 | ||||||||||||
| Total Investments, at Value |
112,199,595 | 198,275,694 | — | 310,475,289 | ||||||||||||
| Other Financial Instruments: |
||||||||||||||||
| Variation margin Receivable |
1,455 | — | — | 1,455 | ||||||||||||
| Total Assets |
$ | 112,201,050 | $ | 198,275,694 | $ | — | $ | 310,476,744 | ||||||||
| Liabilities Table |
||||||||||||||||
| Other Financial Instruments: |
||||||||||||||||
| Variation margin Payable |
$ | (36,764 | ) | $ | — | $ | — | $ | (36,764 | ) | ||||||
| Total Liabilities |
$ | (36,764 | ) | $ | — | $ | — | $ | (36,764 | ) | ||||||
Currency contracts and forwards, if any, are reported at their unrealized appreciation/ depreciation at measurement date, which represents the change in the contract’s value from trade date. Futures, if any, are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.
Risk Exposures and the Use of Derivative Instruments
The Fund’s investment objectives not only permit the Fund to purchase investment securities, they also allow the Fund to enter into various types of derivatives contracts, including, but not limited to, futures contracts, forward 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.
| 13 OPPENHEIMER CAPITAL INCOME FUND/VA |
| NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued |
Risk Exposures and the Use of Derivative Instruments (Continued)
Equity Risk. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market.
Foreign Exchange Rate Risk. Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency.
Interest Rate Risk. Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities.
Volatility Risk. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument’s price over a defined time period. Large increases or decreases in a financial instrument’s price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk.
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 Fund’s 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 Fund’s 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 Fund’s 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 merchant’s 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 Fund’s 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.
During the period ended March 31, 2014, the Fund had an ending monthly average market value of $15,033,523 and $18,815,910 on futures contracts purchased and sold, respectively.
Additional associated risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market where the Fund is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Fund’s securities.
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 Fund’s 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.
| 14 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 broker’s, futures commission merchant’s or clearinghouse’s 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 Fund’s 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 Fund’s 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 March 31, 2014, investments in securities included issues that are restricted. A restricted security may have a contractual restriction on its resale and is valued under methods approved by the Board of Trustees as reflecting fair value. Securities that are restricted are marked with an applicable footnote on the Statement of Investments. Restricted securities are reported on a schedule following the Statement of Investments.
Federal Taxes
The approximate aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of March 31, 2014 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 |
$ | 293,033,928 | ||
| Federal tax cost of other investments |
(11,190,820 | ) | ||
|
|
|
|||
| Total federal tax cost |
$ | 281,843,108 | ||
|
|
|
|||
| Gross unrealized appreciation |
$ | 20,578,909 | ||
| Gross unrealized depreciation |
(2,923,228 | ) | ||
|
|
|
|||
| Net unrealized appreciation |
$ | 17,655,681 | ||
|
|
|
| 15 OPPENHEIMER CAPITAL INCOME FUND/VA |
|
STATEMENT OF INVESTMENTS March 31, 2014 / Unaudited |
| 1 OPPENHEIMER CAPITAL APPRECIATION 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 March 31, 2014.
3. Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended March 31, 2014, 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, 2013 |
Gross Additions |
Gross Reductions |
Shares March 31, 2014 |
|||||||||||||
| Oppenheimer Institutional Money Market Fund, Cl. E | 3,644,176 | 57,812,517 | 56,031,892 | 5,424,801 | ||||||||||||
| Value | Income | |||||||||||||||
| Oppenheimer Institutional Money Market Fund, Cl. E |
$ | 5,424,801 | $ | 1,988 | ||||||||||||
| 2 OPPENHEIMER CAPITAL APPRECIATION FUND/VA |
|
NOTES TO STATEMENT OF INVESTMENTS Unaudited |
Oppenheimer Capital Appreciation Fund/VA (the “Fund”) is a separate series of Oppenheimer Variable Account Funds, a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended. The Fund’s investment objective is to seek capital appreciation. The Fund’s investment adviser is OFI Global Asset Management, Inc. (“OFI Global” or the “Manager”), a wholly-owned subsidiary of OFI. The Manager has entered into a sub-advisory agreement with OFI. Shares of the Fund are sold only to separate accounts of life insurance companies.
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 Fund’s investment in IMMF is included in the Statement of Investments. Shares of IMMF are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of IMMF’s Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in IMMF.
Foreign Currency Translation. The Fund’s accounting records are maintained in U.S. dollars. The values of securities denominated in foreign currencies and amounts related to the purchase and sale of foreign securities and foreign investment income are translated into U.S. dollars as of the close of the 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 Fund’s Board has adopted procedures for the valuation of the Fund’s securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a “fair valuation” for any security for which market quotations are not “readily available.” The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
Valuation Methods and Inputs
Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or dealers.
The following methodologies are used to determine the market value or the fair value of the types of securities described below:
Securities traded on a registered U.S. securities exchange (including exchange-traded derivatives other than futures and futures options) are valued based on the last sale price of the security reported on the principal exchange on which it is traded, prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the current day’s closing “bid” and “asked” prices, and if not, at the current day’s closing bid price. A security of a foreign issuer traded on a foreign exchange, but not listed on a registered U.S. securities exchange, is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the third party pricing service used by the Manager, prior to the time when the Fund’s assets are valued. If the last sale price is unavailable, the security is valued at the most recent official closing price on the principal exchange on which it is traded. If the last sales price or official closing price for a foreign security is not available, the security is valued at the mean between the bid and asked price per the exchange or, if not available from the exchange, obtained from two dealers. If bid and asked prices are not available from either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of priority): (1) using a bid from the exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer.
Shares of a registered investment company that are not traded on an exchange are valued at that investment company’s net asset value per share.
Corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, event-linked bonds, loans, mortgage-backed securities, collateralized mortgage obligations, and asset-backed securities are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers who may use matrix pricing methods to determine the evaluated prices.
Short-term money market type debt securities with a remaining maturity of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. Short-term debt securities with a remaining maturity in excess of sixty days are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers.
| 3 OPPENHEIMER CAPITAL APPRECIATION FUND/VA |
|
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued |
Securities Valuation (Continued)
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 Fund’s Board or (ii) as determined in good faith by the Manager’s Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. Fair value determinations by the Manager are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Those fair valuation standardized methodologies include, but are not limited to, valuing securities at the last sale price or initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be further adjusted for any discounts related to security-specific resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security.
To assess the continuing appropriateness of security valuations, the Manager, or its third party service provider who is subject to oversight by the Manager, regularly compares prior day prices, prices on comparable securities, and sale prices to the current day prices and challenges those prices exceeding certain tolerance levels with the third party pricing service or broker source. For those securities valued by fair valuations, whether through a standardized fair valuation methodology or a fair valuation determination, the Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available.
Classifications
Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Various data inputs are used in determining the value of each of the Fund’s investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards:
1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange)
2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.)
3) Level 3-significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset or liability).
The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities.
The table below categorizes amounts as of March 31, 2014 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 |
$ | 152,616,217 | $ | — | $ | — | $ | 152,616,217 | ||||||||
| Consumer Staples |
51,480,466 | 5,770,529 | — | 57,250,995 | ||||||||||||
| Energy |
48,692,696 | — | — | 48,692,696 | ||||||||||||
| Financials |
73,794,885 | — | — | 73,794,885 | ||||||||||||
| Health Care |
211,957,383 | 10,431,254 | — | 222,388,637 | ||||||||||||
| Industrials |
81,470,714 | — | — | 81,470,714 | ||||||||||||
| Information Technology |
271,434,160 | — | — | 271,434,160 | ||||||||||||
| Materials |
32,756,613 | — | — | 32,756,613 | ||||||||||||
| Investment Company |
5,424,801 | — | — | 5,424,801 | ||||||||||||
|
|
|
|||||||||||||||
| Total Assets |
$ | 929,627,935 | $ | 16,201,783 | $ | — | $ | 945,829,718 | ||||||||
|
|
|
|||||||||||||||
| 4 OPPENHEIMER CAPITAL APPRECIATION 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 contract’s value from trade date. Futures, if any, are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.
Federal Taxes
The approximate aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of March 31, 2014 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 |
$ | 680,256,290 | ||
|
|
|
|||
| Gross unrealized appreciation |
$ | 272,588,503 | ||
| Gross unrealized depreciation |
(7,015,075 | ) | ||
|
|
|
|||
| Net unrealized appreciation |
$ | 265,573,428 | ||
|
|
|
| 5 OPPENHEIMER CAPITAL APPRECIATION FUND/VA |
| STATEMENT OF INVESTMENTS March 31, 2014 / Unaudited |
| 1 OPPENHEIMER CORE BOND FUND/VA |
| STATEMENT OF INVESTMENTS Unaudited / Continued |
| 2 OPPENHEIMER CORE BOND FUND/VA |
| STATEMENT OF INVESTMENTS Unaudited / Continued |
| 3 OPPENHEIMER CORE BOND FUND/VA |
| STATEMENT OF INVESTMENTS Unaudited / Continued |
| 4 OPPENHEIMER CORE BOND FUND/VA |
| STATEMENT OF INVESTMENTS Unaudited / Continued |
| 5 OPPENHEIMER CORE BOND FUND/VA |
| STATEMENT OF INVESTMENTS Unaudited / Continued |
| 6 OPPENHEIMER CORE BOND FUND/VA |
| STATEMENT OF INVESTMENTS Unaudited / Continued |
| 7 OPPENHEIMER CORE BOND FUND/VA |
| STATEMENT OF INVESTMENTS Unaudited / Continued |
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 $29,391,036 or 19.42% of the Fund’s net assets as of March 31, 2014.
2. Restricted security. The aggregate value of restricted securities as of March 31, 2014 was $2,503,982, which represents 1.65% of the Fund’s net assets. See accompanying Notes. Information concerning restricted securities is as follows:
| Security | Acquisition Dates |
Cost | Value | Unrealized Appreciation/ (Depreciation) |
||||||||||||
| Capital Lease Funding Securitization LP, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 1997-CTL1, Cl. IO, 0%, 6/22/24 | 4/21/97 | $ | 376,518 | $ | 78,650 | $ | (297,868 | ) | ||||||||
| Credit Acceptance Auto Loan Trust, Series 2013-2A, Cl. B, 2.26%, 10/15/21 | 10/22/13 | 259,927 | 262,274 | 2,347 | ||||||||||||
| Lehman Structured Securities Corp., Series 2002- GE1, Cl. A, 2.514%, 7/26/24 | 1/28/02 | 78,643 | 69,947 | (8,696 | ) | |||||||||||
| Morgan Stanley Re-Remic Trust, Series 2012-R3, Cl. 1B, 2.057%, 11/26/36 | 10/24/12 | 240,202 | 300,526 | 60,324 | ||||||||||||
| NC Finance Trust, Series 1999-I, Cl. D, 8.75%, 1/25/29 | 8/10/10 | 3,281,116 | 220,736 | (3,060,380 | ) | |||||||||||
| Rabobank Capital Funding Trust III, 5.254% Jr. Sub. Perpetual Bonds | 5/1/13 | 679,967 | 702,851 | 22,884 | ||||||||||||
| Rockies Express Pipeline LLC, 3.90% Sr. Unsec. Unsub. Nts., 4/15/15 | 5/20/11 | 473,601 | 475,710 | 2,109 | ||||||||||||
| ZFS Finance USA Trust V, 6.50% Jr. Sub. Nts., 5/9/37 | 11/20/13 | 386,038 | 393,288 | 7,250 | ||||||||||||
|
|
|
|||||||||||||||
| $ | 5,776,012 | $ | 2,503,982 | $ | (3,272,030 | ) | ||||||||||
|
|
|
|||||||||||||||
3. Represents the current interest rate for a variable or increasing rate security.
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 $3,260,438 or 2.15% of the Fund’s net assets as of March 31, 2014.
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 $172,404 or less than 0.005% of the Fund’s net assets as of March 31, 2014.
| 8 OPPENHEIMER CORE BOND FUND/VA |
| STATEMENT OF INVESTMENTS Unaudited / Continued |
7. The current amortization rate of the security’s cost basis exceeds the future interest payments currently estimated to be received. Both the amortization rate and interest payments are contingent on future mortgage pre-payment speeds and are therefore subject to change.
8. All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after March 31, 2014. See accompanying Notes.
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. All or 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 $271,890. See accompanying Notes.
11. 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.
12. Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended March 31, 2014, 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, 2013 |
Gross Additions |
Gross Reductions |
Shares March 31, 2014 | |||||
| Oppenheimer Institutional Money Market Fund, Cl. E |
22,407,494 | 15,604,608 | 26,431,152 | 11,580,950 | ||||
| Value | Income | |||||||
| Oppenheimer Institutional Money Market Fund, Cl. E |
$ 11,580,950 | $ 3,477 | ||||||
13. Rate shown is the 7-day yield as of March 31, 2014.
| Futures Contracts as of March 31, 2014 |
| |||||||||||||||||||||||
| Description | Exchange | Buy/Sell | Expiration Date | Number of Contracts |
Value | Unrealized Appreciation |
||||||||||||||||||
| United States Treasury Long Bonds |
CBT | Sell | 6/19/14 | 5 | $ | 666,094 | $ | 2,463 | ||||||||||||||||
| United States Treasury Nts., 2 yr. |
CBT | Sell | 6/30/14 | 135 | 29,640,937 | 35,772 | ||||||||||||||||||
| United States Treasury Nts., 5 yr. |
CBT | Sell | 6/30/14 | 5 | 594,766 | 2,084 | ||||||||||||||||||
| United States Treasury Nts., 10 yr. |
CBT | Buy | 6/19/14 | 16 | 1,976,000 | 1,992 | ||||||||||||||||||
| United States Treasury Ultra Bonds |
CBT | Buy | 6/19/14 | 54 | 7,801,313 | 172,558 | ||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| $ | 214,869 | |||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
Glossary:
| Exchange Abbreviations |
||
| CBT |
Chicago Board of Trade |
| 9 OPPENHEIMER CORE BOND FUND/VA |
| NOTES TO STATEMENT OF INVESTMENTS Unaudited |
Oppenheimer Core Bond Fund/VA (the “Fund”) is a separate series of Oppenheimer Variable Account Funds, a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended. The Fund’s investment objective is to seek total return. The Fund’s investment adviser is OFI Global Asset Management, Inc. (“OFI Global” or the “Manager”), a wholly-owned subsidiary of OFI. The Manager has entered into a sub-advisory agreement with OFI. Shares of the Fund are sold only to separate accounts of life insurance companies.
Securities on a When-Issued or Delayed Delivery Basis. The Fund may purchase securities on a “when-issued” basis, and may purchase or sell securities on a “delayed delivery” basis. “When-issued” or “delayed delivery” refers to securities whose terms and indenture are available and for which a market exists, but which are not available for immediate delivery. Delivery and payment for securities that have been purchased by the Fund on a when- issued basis normally takes place within six months and possibly as long as two years or more after the trade date. During this period, such securities do not earn interest, are subject to market fluctuation and may increase or decrease in value prior to their delivery. The purchase of securities on a when- issued basis may increase the volatility of the Fund’s net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. When the Fund engages in when-issued or delayed delivery transactions, it relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do so may cause the Fund to lose the opportunity to obtain or dispose of the security at a price and yield it considers advantageous. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase.
As of March 31, 2014, 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 |
$47,503,185 | |||
| Sold securities |
15,420,746 | |||
The Fund may enter into “forward roll” transactions with respect to mortgage-related securities. In this type of transaction, the Fund sells a mortgage-related security to a buyer and simultaneously agrees to repurchase a similar security (same type, coupon and maturity) at a later date at a set price. During the period between the sale and the repurchase, the Fund will not be entitled to receive interest and principal payments on the securities that have been sold. The Fund records the incremental difference between the forward purchase and sale of each forward roll as realized gain (loss) on investments or as fee income in the case of such transactions that have an associated fee in lieu of a difference in the forward purchase and sale price.
Forward roll transactions may be deemed to entail embedded leverage since the Fund purchases mortgage-related securities with extended settlement dates rather than paying for the securities under a normal settlement cycle. This embedded leverage increases the Fund’s market value of investments relative to its net assets which can incrementally increase the volatility of the Fund’s performance. Forward roll transactions can be replicated over multiple settlement periods.
Risks of entering into forward roll transactions include the potential inability of the counterparty to meet the terms of the agreement; the potential of the Fund to receive inferior securities at redelivery as compared to the securities sold to the counterparty; and counterparty credit risk.
Credit Risk. The Fund invests in high-yield, non-investment-grade bonds, which may be subject to a greater degree of credit risk. Credit risk relates to the ability of the issuer to meet interest or principal payments or both as they become due. The Fund may acquire securities that have missed an interest payment, and is not obligated to dispose of securities whose issuers or underlying obligors subsequently miss an interest payment. Information concerning securities not accruing interest as of March 31, 2014 is as follows:
| Cost |
$3,281,116 | |||
| Market Value |
$220,736 | |||
| Market value as % of Net Assets |
0.15% |
Investment in Oppenheimer Institutional Money Market Fund. The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund (“IMMF”) to seek current income while preserving liquidity. IMMF is a registered open-end management investment company, regulated as a money market fund under the Investment Company Act of 1940, as amended. The Manager is the investment adviser of IMMF, and the Sub-Adviser provides investment and related advisory services to IMMF. When applicable, the Fund’s investment in IMMF is included in the Statement of Investments. Shares of IMMF are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of IMMF’s Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in IMMF.
Securities Valuation
The Fund calculates the net asset value of its shares as of the close of the New York Stock Exchange (the “Exchange”), normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading.
The Fund’s Board has adopted procedures for the valuation of the Fund’s securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a “fair valuation” for any security for which market quotations are not “readily available.” The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
| 10 OPPENHEIMER CORE BOND FUND/VA |
| NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued |
Securities Valuation (Continued)
Valuation Methods and Inputs
Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or dealers.
The following methodologies are used to determine the market value or the fair value of the types of securities described below:
Securities traded on a registered U.S. securities exchange (including exchange-traded derivatives other than futures and futures options) are valued based on the last sale price of the security reported on the principal exchange on which it is traded, prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the current day’s closing “bid” and “asked” prices, and if not, at the current day’s closing bid price. A security of a foreign issuer traded on a foreign exchange, but not listed on a registered U.S. securities exchange, is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the third party pricing service used by the Manager, prior to the time when the Fund’s assets are valued. If the last sale price is unavailable, the security is valued at the most recent official closing price on the principal exchange on which it is traded. If the last sales price or official closing price for a foreign security is not available, the security is valued at the mean between the bid and asked price per the exchange or, if not available from the exchange, obtained from two dealers. If bid and asked prices are not available from either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of priority): (1) using a bid from the exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer.
Shares of a registered investment company that are not traded on an exchange are valued at that investment company’s net asset value per share.
Corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, event-linked bonds, loans, mortgage-backed securities, collateralized mortgage obligations, and asset-backed securities are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers who may use matrix pricing methods to determine the evaluated prices.
Short-term money market type debt securities with a remaining maturity of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. Short-term debt securities with a remaining maturity in excess of sixty days are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers.
Futures contracts and futures options traded on a commodities or futures exchange will be valued at the final settlement price or official closing price on the principal exchange as reported by such principal exchange at its trading session ending at, or most recently prior to, the time when the Fund’s assets are valued.
A description of the standard inputs that may generally be considered by the third party pricing vendors in determining their evaluated prices is provided below.
| Standard inputs generally considered by third-party pricing vendors | ||
| Security Type | ||
| 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 Fund’s Board or (ii) as determined in good faith by the Manager’s Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. Fair value determinations by the Manager are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Those fair valuation standardized methodologies include, but are not limited to, valuing securities at the last sale price or initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be further adjusted for any discounts related to security-specific resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security.
To assess the continuing appropriateness of security valuations, the Manager, or its third party service provider who is subject to oversight by the Manager, regularly compares prior day prices, prices on comparable securities, and sale prices to the current day prices and challenges those prices exceeding certain tolerance levels with the third party pricing service or broker source. For those securities valued by fair valuations, whether through a standardized fair valuation methodology or a fair valuation determination, the Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available.
Classifications
Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Various data inputs are used in determining the value of each of the Fund’s investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards:
| 11 OPPENHEIMER CORE BOND FUND/VA |
| NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued |
Securities Valuation (Continued)
1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange)
2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.)
3) Level 3-significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset or liability).
The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities.
The table below categorizes amounts as of March 31, 2014 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 |
$ | — | $ | 22,699,697 | $ | — | $ | 22,699,697 | ||||||||
| Mortgage-Backed Obligations |
— | 69,854,487 | 220,736 | 70,075,223 | ||||||||||||
| U.S. Government Obligations |
— | 11,352,044 | — | 11,352,044 | ||||||||||||
| Corporate Bonds and Notes |
— | 67,672,068 | — | 67,672,068 | ||||||||||||
| Investment Company |
11,580,950 | — | — | 11,580,950 | ||||||||||||
| Total Investments, at Value |
11,580,950 | 171,578,296 | 220,736 | 183,379,982 | ||||||||||||
| Other Financial Instruments: |
||||||||||||||||
| Variation margin recievable |
7,031 | — | — | 7,031 | ||||||||||||
| Total Assets |
$ | 11,587,981 | $ | 171,578,296 | $ | 220,736 | $ | 183,387,013 | ||||||||
| Liabilities Table |
||||||||||||||||
| Other Financial Instruments: |
||||||||||||||||
| Variation margin payable |
(33,590 | ) | — | — | (33,590 | ) | ||||||||||
| Total Assets |
$ | (33,590 | ) | $ | — | $ | — | $ | (33,590 | ) | ||||||
Currency contracts and forwards, if any, are reported at their unrealized appreciation/ depreciation at measurement date, which represents the change in the contract’s value from trade date. Futures, if any, are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.
The table below shows the transfers between Level 2 and Level 3. The Fund’s policy is to recognize transfers in and transfers out as of the beginning of the reporting period.
Investments, at Value:
Assets Table
| Transfers into Level 2* |
Transfers out of Level 3* |
|||||||
| Mortgage-Backed Obligations |
$ | 73,738 | $ | (73,738 | ) | |||
| * | Transferred from Level 3 to Level 2 due to the availability of market data for this security. |
Risk Exposures and the Use of Derivative Instruments
The Fund’s investment objectives not only permit the Fund to purchase investment securities, they also allow the Fund to enter into various types of derivatives contracts, including, but not limited to, futures contracts, forward 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.
| 12 OPPENHEIMER CORE BOND FUND/VA |
| NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued |
Risk Exposures and the Use of Derivative Instruments (Continued)
Interest Rate Risk. Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities.
Volatility Risk. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument’s price over a defined time period. Large increases or decreases in a financial instrument’s price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk.
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 Fund’s 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 Fund’s 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 Fund’s 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 merchant’s 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 Fund’s 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.
During the period ended March 31, 2014, the Fund had an ending monthly average market value of $11,990,207 and $29,675,605 on futures contracts purchased and sold, respectively.
Additional associated risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market where the Fund is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Fund’s securities.
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 Fund’s 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
| 13 OPPENHEIMER CORE BOND FUND/VA |
| NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued |
Risk Exposures and the Use of Derivative Instruments (Continued)
all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the broker’s, futures commission merchant’s or clearinghouse’s 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 Fund’s 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 Fund’s 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 March 31, 2014, investments in securities included issues that are restricted. A restricted security may have a contractual restriction on its resale and is valued under methods approved by the Board of Trustees as reflecting fair value. Securities that are restricted are marked with an applicable footnote on the Statement of Investments. Restricted securities are reported on a schedule following the Statement of Investments.
Federal Taxes
The approximate aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of March 31, 2014 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 |
$ | 184,628,086 | ||
| Federal tax cost of other investments |
(21,339,353 | ) | ||
|
|
|
|||
| Total federal tax cost |
$ | 163,288,733 | ||
|
|
|
|||
| Gross unrealized appreciation |
$ | 5,502,312 | ||
| Gross unrealized depreciation |
(6,535,547 | ) | ||
|
|
|
|||
| Net unrealized depreciation |
$ | (1,033,235 | ) | |
|
|
|
| 14 OPPENHEIMER CORE BOND FUND/VA |
| STATEMENT OF INVESTMENTS March 31, 2014 / Unaudited |
| 1 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 European Dollar
1. Non-income producing security.
2. Rate shown is the 7-day yield as of March 31, 2014.
3. Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended March 31, 2014, 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, 2013 |
Gross Additions |
Gross Reductions |
Shares March 31, 2014 |
|||||||||||||
| Oppenheimer Institutional Money Market Fund, Cl. E |
9,026,377 | 90,209,404 | 79,347,596 | 19,888,185 | ||||||||||||
| Value | Income | |||||||||||||||
| Oppenheimer Institutional Money Market Fund, Cl. E |
|
$ | 19,888,185 | $ | 2,915 | |||||||||||
Distribution of investments representing geographic holdings, as a percentage of total investments at value, is as follows:
| Geographic Holdings | Value | Percent | ||||||
| United States |
$ | 1,182,931,779 | 41.5 | % | ||||
| Germany |
313,835,807 | 11.0 | ||||||
| Japan |
255,425,251 | 9.0 | ||||||
| France |
169,887,300 | 6.0 | ||||||
| Switzerland |
156,922,416 | 5.5 | ||||||
| Sweden |
130,405,685 | 4.6 | ||||||
| Spain |
108,206,519 | 3.8 | ||||||
| United Kingdom |
103,196,087 | 3.6 | ||||||
| Brazil |
102,983,530 | 3.6 | ||||||
| India |
92,796,751 | 3.3 | ||||||
| Netherlands |
59,262,520 | 2.1 | ||||||
| Mexico |
53,551,933 | 1.9 | ||||||
| Italy |
45,213,698 | 1.6 | ||||||
| Ireland |
24,108,480 | 0.8 | ||||||
| Russia |
23,517,356 | 0.8 | ||||||
| Denmark |
14,084,164 | 0.5 | ||||||
| Canada |
12,022,074 | 0.4 | ||||||
|
|
|
|||||||
| Total |
$ | 2,848,351,350 | 100.0 | % | ||||
|
|
|
|||||||
| 2 OPPENHEIMER GLOBAL FUND/VA |
| NOTES TO STATEMENT OF INVESTMENTS Unaudited |
Oppenheimer Global Fund/VA (the “Fund”) is a separate series of Oppenheimer Variable Account Funds, a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended. The Fund’s investment objective is to seek capital appreciation. The Fund’s investment adviser is OFI Global Asset Management, Inc. (“OFI Global” or the “Manager”), a wholly-owned subsidiary of OFI. The Manager has entered into a sub-advisory agreement with OFI. Shares of the Fund are sold only to separate accounts of life insurance companies.
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 Fund’s investment in IMMF is included in the Statement of Investments. Shares of IMMF are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of IMMF’s Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in IMMF.
Foreign Currency Translation. The Fund’s accounting records are maintained in U.S. dollars. The values of securities denominated in foreign currencies and amounts related to the purchase and sale of foreign securities and foreign investment income are translated into U.S. dollars as of the close of the 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 Fund’s Board has adopted procedures for the valuation of the Fund’s securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a “fair valuation” for any security for which market quotations are not “readily available.” The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
Valuation Methods and Inputs
Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or dealers.
The following methodologies are used to determine the market value or the fair value of the types of securities described below:
Securities traded on a registered U.S. securities exchange (including exchange-traded derivatives other than futures and futures options) are valued based on the last sale price of the security reported on the principal exchange on which it is traded, prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the current day’s closing “bid” and “asked” prices, and if not, at the current day’s closing bid price. A security of a foreign issuer traded on a foreign exchange, but not listed on a registered U.S. securities exchange, is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the third party pricing service used by the Manager, prior to the time when the Fund’s assets are valued. If the last sale price is unavailable, the security is valued at the most recent official closing price on the principal exchange on which it is traded. If the last sales price or official closing price for a foreign security is not available, the security is valued at the mean between the bid and asked price per the exchange or, if not available from the exchange, obtained from two dealers. If bid and asked prices are not available from either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of priority): (1) using a bid from the exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer.
Shares of a registered investment company that are not traded on an exchange are valued at that investment company’s net asset value per share.
Corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, event-linked bonds, loans, mortgage-backed securities, collateralized mortgage obligations, and asset-backed securities are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers who may use matrix pricing methods to determine the evaluated prices.
Short-term money market type debt securities with a remaining maturity of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. Short-term debt securities with a remaining maturity in excess of sixty days are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers.
A description of the standard inputs that may generally be considered by the third party pricing vendors in determining their evaluated prices is provided below.
| Security Type | Standard inputs generally considered by third-party pricing vendors | |
| Corporate debt, government debt, municipal, 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. |
| 3 OPPENHEIMER GLOBAL 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 Fund’s Board or (ii) as determined in good faith by the Manager’s Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. Fair value determinations by the Manager are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Those fair valuation standardized methodologies include, but are not limited to, valuing securities at the last sale price or initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be further adjusted for any discounts related to security-specific resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security.
To assess the continuing appropriateness of security valuations, the Manager, or its third party service provider who is subject to oversight by the Manager, regularly compares prior day prices, prices on comparable securities, and sale prices to the current day prices and challenges those prices exceeding certain tolerance levels with the third party pricing service or broker source. For those securities valued by fair valuations, whether through a standardized fair valuation methodology or a fair valuation determination, the Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available.
Classifications
Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Various data inputs are used in determining the value of each of the Fund’s investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards:
1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange)
2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.)
3) Level 3-significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset or liability).
The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities.
The table below categorizes amounts as of March 31, 2014 based on valuation input level:
| Level 1— Quoted Prices |
Level 2— Other Significant |
Level 3— Significant Inputs |
Value | |||||||||||||
|
|
||||||||||||||||
| Assets Table |
| |||||||||||||||
| Investments, at Value: |
| |||||||||||||||
| Common Stocks |
||||||||||||||||
| Consumer Discretionary |
$ | 165,219,626 | $ | 251,858,415 | $ | — | $ | 417,078,041 | ||||||||
| Consumer Staples |
98,683,259 | 79,436,194 | — | 178,119,453 | ||||||||||||
| Energy |
18,045,820 | 72,663,224 | — | 90,709,044 | ||||||||||||
| Financials |
215,651,389 | 395,568,431 | — | 611,219,820 | ||||||||||||
| Health Care |
289,823,631 | 109,465,455 | — | 399,289,086 | ||||||||||||
| Industrials |
124,457,889 | 222,921,349 | — | 347,379,238 | ||||||||||||
| Information Technology |
424,613,179 | 267,748,661 | — | 692,361,840 | ||||||||||||
| Materials |
10,353,691 | 37,778,854 | — | 48,132,545 | ||||||||||||
| Telecommunication Services |
— | 42,504,149 | — | 42,504,149 | ||||||||||||
| Preferred Stock |
955,462 | — | — | 955,462 | ||||||||||||
| Rights, Warrants and Certificates |
714,487 | — | — | 714,487 | ||||||||||||
| Investment Company |
19,888,185 | — | — | 19,888,185 | ||||||||||||
|
|
|
|||||||||||||||
| Total Assets |
$ | 1,368,406,618 | $ | 1,479,944,732 | $ | — | $ | 2,848,351,350 | ||||||||
|
|
|
|||||||||||||||
Currency contracts and forwards, if any, are reported at their unrealized appreciation/ depreciation at measurement date, which represents the change in the contract’s value from trade date. Futures, if any, are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.
Federal Taxes
The approximate aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of March 31, 2014 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.
| 4 OPPENHEIMER GLOBAL FUND/VA |
| NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued |
Federal Taxes (Continued)
| Federal tax cost of securities |
$ | 1,599,019,334 | ||
| Federal tax cost of other investments |
(150,662 | ) | ||
|
|
|
|||
| Total federal tax cost |
$ | 1,598,868,672 | ||
|
|
|
|||
| Gross unrealized appreciation |
$ | 1,297,570,164 | ||
| Gross unrealized depreciation |
(48,238,411 | ) | ||
|
|
|
|||
| Net unrealized appreciation |
$ | 1,249,331,753 | ||
|
|
|
| 5 OPPENHEIMER GLOBAL FUND/VA |
| STATEMENT OF INVESTMENTS March 31, 2014 / 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 March 31, 2014.
3. Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended March 31, 2014, 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, 2013 |
Gross Additions |
Gross Reductions |
Shares March 31, 2014 |
|||||||||||||
| Oppenheimer Institutional Money Market Fund, Cl. E |
28,023,569 | 82,865,717 | 100,824,112 | 10,065,174 | ||||||||||||
| Value | Income | |||||||||||||||
| Oppenheimer Institutional Money Market Fund, Cl. E |
|
$ | 10,065,174 | $ | 2,783 | |||||||||||
2 OPPENHEIMER MAIN STREET FUND/VA
| NOTES TO STATEMENT OF INVESTMENTS Unaudited |
Oppenheimer Main Street Fund/VA (the “Fund”) is a separate series of Oppenheimer Variable Account Funds, a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended. The Fund’s investment objective is to seek capital appreciation. The Fund’s investment adviser is OFI Global Asset Management, Inc. (“OFI Global” or the “Manager”), a wholly-owned subsidiary of OFI. The Manager has entered into a sub-advisory agreement with OFI. Shares of the Fund are sold only to separate accounts of life insurance companies.
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 Fund’s investment in IMMF is included in the Statement of Investments. Shares of IMMF are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of IMMF’s Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in IMMF.
Foreign Currency Translation. The Fund’s accounting records are maintained in U.S. dollars. The values of securities denominated in foreign currencies and amounts related to the purchase and sale of foreign securities and foreign investment income are translated into U.S. dollars as of the close of the 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 Fund’s Board has adopted procedures for the valuation of the Fund’s securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a “fair valuation” for any security for which market quotations are not “readily available.” The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
Valuation Methods and Inputs
Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or dealers.
The following methodologies are used to determine the market value or the fair value of the types of securities described below:
Securities traded on a registered U.S. securities exchange (including exchange-traded derivatives other than futures and futures options) are valued based on the last sale price of the security reported on the principal exchange on which it is traded, prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the current day’s closing “bid” and “asked” prices, and if not, at the current day’s closing bid price. A security of a foreign issuer traded on a foreign exchange, but not listed on a registered U.S. securities exchange, is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the third party pricing service used by the Manager, prior to the time when the Fund’s assets are valued. If the last sale price is unavailable, the security is valued at the most recent official closing price on the principal exchange on which it is traded. If the last sales price or official closing price for a foreign security is not available, the security is valued at the mean between the bid and asked price per the exchange or, if not available from the exchange, obtained from two dealers. If bid and asked prices are not available from either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of priority): (1) using a bid from the exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer.
Shares of a registered investment company that are not traded on an exchange are valued at that investment company’s net asset value per share.
Corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, event-linked bonds, loans, mortgage-backed securities, collateralized mortgage obligations, and asset-backed securities are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers who may use matrix pricing methods to determine the evaluated prices.
Short-term money market type debt securities with a remaining maturity of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. Short-term debt securities with a remaining maturity in excess of sixty days are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers.
3 OPPENHEIMER MAIN STREET FUND/VA
| NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued |
Securities Valuation (Continued)
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 Fund’s Board or (ii) as determined in good faith by the Manager’s Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. Fair value determinations by the Manager are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Those fair valuation standardized methodologies include, but are not limited to, valuing securities at the last sale price or initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be further adjusted for any discounts related to security-specific resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security.
To assess the continuing appropriateness of security valuations, the Manager, or its third party service provider who is subject to oversight by the Manager, regularly compares prior day prices, prices on comparable securities, and sale prices to the current day prices and challenges those prices exceeding certain tolerance levels with the third party pricing service or broker source. For those securities valued by fair valuations, whether through a standardized fair valuation methodology or a fair valuation determination, the Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available.
Classifications
Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Various data inputs are used in determining the value of each of the Fund’s investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards:
1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange)
2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.)
3) Level 3-significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset or liability).
The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities.
The table below categorizes amounts as of March 31, 2014 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 |
119,474,890 | — | — | 119,474,890 | ||||||||||||
| Consumer Staples |
82,503,094 | 32,493,327 | — | 114,996,421 | ||||||||||||
| Energy |
137,129,303 | — | — | 137,129,303 | ||||||||||||
| Financials |
278,795,588 | — | — | 278,795,588 | ||||||||||||
| Health Care |
271,971,833 | — | — | 271,971,833 | ||||||||||||
| Industrials |
163,341,080 | — | — | 163,341,080 | ||||||||||||
| Information Technology |
238,614,242 | — | — | 238,614,242 | ||||||||||||
| Materials |
36,269,813 | — | — | 36,269,813 | ||||||||||||
| Telecommunication Services |
24,130,834 | — | — | 24,130,834 | ||||||||||||
| Utilities |
18,926,498 | — | — | 18,926,498 | ||||||||||||
| Investment Company |
10,065,174 | — | — | 10,065,174 | ||||||||||||
| Total Assets |
$ | 1,381,222,349 | $ | 32,493,327 | $ | — | $ | 1,413,715,676 | ||||||||
4 OPPENHEIMER MAIN STREET 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 contract’s value from trade date. Futures, if any, are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.
Federal Taxes
The approximate aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of March 31, 2014 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 |
$ | 987,841,584 | ||
|
|
|
|||
| Gross unrealized appreciation |
$ | 430,110,329 | ||
| Gross unrealized depreciation |
(4,236,237 | ) | ||
|
|
|
|||
| Net unrealized appreciation |
$ | 425,874,092 | ||
|
|
|
5 OPPENHEIMER MAIN STREET FUND/VA
| STATEMENT OF INVESTMENTS March 31, 2014 / Unaudited |
| 1 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 March 31, 2014, 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, 2013 |
Gross Additions |
Gross Reductions |
Shares March 31, 2014 |
||||||||||||
| Oppenheimer Institutional Money Market Fund, Cl. E |
33,794,445 | 133,325,689 | 144,900,350 | 22,219,784 | ||||||||||||
|
|
Value | Income | ||||||||||||||
| Oppenheimer Institutional Money Market Fund, Cl. E |
$ | 22,219,784 | $ | 5,125 | ||||||||||||
3. Rate shown is the 7-day yield as of March 31, 2014.
| 2 OPPENHEIMER MAIN STREET SMALL CAP FUND/VA |
| NOTES TO STATEMENT OF INVESTMENTS Unaudited |
Oppenheimer Main Street Small Cap Fund/VA (the “Fund”) is a separate series of Oppenheimer Variable Account Funds, a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended. The Fund’s investment objective is to seek capital appreciation. The Fund’s investment adviser is OFI Global Asset Management, Inc. (“OFI Global” or the “Manager”), a wholly-owned subsidiary of OFI. The Manager has entered into a sub-advisory agreement with OFI. Shares of the Fund are sold only to separate accounts of life insurance companies.
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 Fund’s investment in IMMF is included in the Statement of Investments. Shares of IMMF are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of IMMF’s Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in IMMF.
Securities Valuation
The Fund calculates the net asset value of its shares as of the close of the New York Stock Exchange (the “Exchange”), normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading.
The Fund’s Board has adopted procedures for the valuation of the Fund’s securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a “fair valuation” for any security for which market quotations are not “readily available.” The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
Valuation Methods and Inputs
Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or dealers.
The following methodologies are used to determine the market value or the fair value of the types of securities described below:
Securities traded on a registered U.S. securities exchange (including exchange-traded derivatives other than futures and futures options) are valued based on the last sale price of the security reported on the principal exchange on which it is traded, prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the current day’s closing “bid” and “asked” prices, and if not, at the current day’s closing bid price. A security of a foreign issuer traded on a foreign exchange, but not listed on a registered U.S. securities exchange, is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the third party pricing service used by the Manager, prior to the time when the Fund’s assets are valued. If the last sale price is unavailable, the security is valued at the most recent official closing price on the principal exchange on which it is traded. If the last sales price or official closing price for a foreign security is not available, the security is valued at the mean between the bid and asked price per the exchange or, if not available from the exchange, obtained from two dealers. If bid and asked prices are not available from either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of priority): (1) using a bid from the exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer.
Shares of a registered investment company that are not traded on an exchange are valued at that investment company’s net asset value per share.
Corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, event-linked bonds, loans, mortgage-backed securities, collateralized mortgage obligations, and asset-backed securities are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers who may use matrix pricing methods to determine the evaluated prices.
Short-term money market type debt securities with a remaining maturity of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. Short-term debt securities 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. |
| 3 OPPENHEIMER MAIN STREET SMALL CAP 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 Fund’s Board or (ii) as determined in good faith by the Manager’s Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. Fair value determinations by the Manager are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Those fair valuation standardized methodologies include, but are not limited to, valuing securities at the last sale price or initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be further adjusted for any discounts related to security-specific resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security.
To assess the continuing appropriateness of security valuations, the Manager, or its third party service provider who is subject to oversight by the Manager, regularly compares prior day prices, prices on comparable securities, and sale prices to the current day prices and challenges those prices exceeding certain tolerance levels with the third party pricing service or broker source. For those securities valued by fair valuations, whether through a standardized fair valuation methodology or a fair valuation determination, the Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available.
Classifications
Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Various data inputs are used in determining the value of each of the Fund’s investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards:
1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange)
2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.)
3) Level 3-significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset or liability).
The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities.
The table below categorizes amounts as of March 31, 2014 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 |
$ | 146,765,765 | $ | — | $ | — | $ | 146,765,765 | ||||||||
| Consumer Staples |
12,683,814 | — | — | 12,683,814 | ||||||||||||
| Energy |
63,328,661 | — | — | 63,328,661 | ||||||||||||
| Financials |
233,358,014 | — | — | 233,358,014 | ||||||||||||
| Health Care |
141,791,742 | 5,708,355 | — | 147,500,097 | ||||||||||||
| Industrials |
197,572,595 | — | — | 197,572,595 | ||||||||||||
| Information Technology |
192,098,853 | — | — | 192,098,853 | ||||||||||||
| Materials |
110,790,656 | — | — | 110,790,656 | ||||||||||||
| Utilities |
5,354,275 | — | — | 5,354,275 | ||||||||||||
| Investment Company |
22,219,784 | — | — | 22,219,784 | ||||||||||||
| Total Assets |
$ | 1,125,964,159 | $ | 5,708,355 | $ | — | $ | 1,131,672,514 | ||||||||
Currency contracts and forwards, if any, are reported at their unrealized appreciation/ depreciation at measurement date, which represents the change in the contract’s value from trade date. Futures, if any, are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.
| 4 OPPENHEIMER MAIN STREET SMALL CAP FUND/VA |
| NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued |
Federal Tax
The approximate aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of March 31, 2014 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 |
$ | 874,273,105 | ||
|
|
|
|||
| Gross unrealized appreciation |
$ | 276,819,275 | ||
| Gross unrealized depreciation |
(19,419,866 | ) | ||
|
|
|
|||
| Net unrealized appreciation |
$ | 257,399,409 | ||
|
|
|
| 5 OPPENHEIMER MAIN STREET SMALL CAP FUND/VA |
| STATEMENT OF INVESTMENTS March 31, 2014 / Unaudited |
| Maturity Date* |
Final Legal Maturity Date** |
Principal Amount |
Value | |||||||||||||
| Certificates of Deposit—36.4% |
||||||||||||||||
| Yankee Certificates of Deposit—36.4% |
||||||||||||||||
| Bank of Montreal, Chicago, 0.07% |
4/1/14 | 4/1/14 | $ | 8,000,000 | $ | 8,000,000 | ||||||||||
| Bank of Nova Scotia, Houston TX, 0.245%1 |
5/20/14 | 2/20/15 | 2,300,000 | 2,300,000 | ||||||||||||
| Bank of Tokyo-Mitsubishi UFJ NY: |
||||||||||||||||
| 0.10%2 |
4/1/14 | 4/1/14 | 1,500,000 | 1,500,000 | ||||||||||||
| 0.15%2 |
4/8/14 | 4/8/14 | 3,500,000 | 3,500,000 | ||||||||||||
| BNP Paribas, New York: |
||||||||||||||||
| 0.34% |
8/7/14 | 8/7/14 | 3,000,000 | 3,000,000 | ||||||||||||
| 0.45% |
9/19/14 | 9/19/14 | 3,000,000 | 3,000,000 | ||||||||||||
| Credit Suisse, New York Branch: |
||||||||||||||||
| 0.21% |
7/29/14 | 7/29/14 | 1,500,000 | 1,500,000 | ||||||||||||
| 0.21% |
7/24/14 | 7/24/14 | 2,000,000 | 2,000,000 | ||||||||||||
| DnB Bank ASA NY, 0.19% |
5/5/14 | 5/5/14 | 3,000,000 | 3,000,000 | ||||||||||||
| Nordea Bank Finland plc, New York: |
||||||||||||||||
| 0.22% |
7/1/14 | 7/1/14 | 3,700,000 | 3,700,000 | ||||||||||||
| 0.22% |
6/24/14 | 6/24/14 | 2,000,000 | 2,000,000 | ||||||||||||
| Rabobank Nederland NV, New York: |
||||||||||||||||
| 0.256%1 |
4/7/14 | 3/9/15 | 4,000,000 | 4,000,000 | ||||||||||||
| 0.266%1 |
4/30/14 | 10/31/14 | 2,500,000 | 2,500,000 | ||||||||||||
| 0.28%1 |
4/7/14 | 10/7/14 | 1,500,000 | 1,500,000 | ||||||||||||
| Royal Bank of Canada, New York: |
||||||||||||||||
| 0.236%1 |
4/22/14 | 2/18/15 | 2,000,000 | 2,000,000 | ||||||||||||
| 0.265%1 |
4/24/14 | 6/24/14 | 3,000,000 | 3,000,000 | ||||||||||||
| Sumitomo Mutsui Bank NY: |
||||||||||||||||
| 0.08% |
4/2/14 | 4/2/14 | 5,000,000 | 5,000,000 | ||||||||||||
| 0.16% |
4/22/14 | 4/22/14 | 1,000,000 | 1,000,000 | ||||||||||||
| Toronto Dominion Bank, New York: |
||||||||||||||||
| 0.06% |
4/3/14 | 4/3/14 | 2,000,000 | 2,000,000 | ||||||||||||
| 0.24% |
9/4/14 | 9/4/14 | 2,000,000 | 2,000,345 | ||||||||||||
| Wells Fargo Bank NA: |
||||||||||||||||
| 0.225%1 |
4/7/14 | 9/5/14 | 2,500,000 | 2,500,000 | ||||||||||||
| 0.227%1 |
4/7/14 | 12/5/14 | 3,500,000 | 3,500,000 | ||||||||||||
|
|
|
|||||||||||||||
| Total Certificates of Deposit (Cost $62,500,345) |
|
62,500,345
|
| |||||||||||||
| Direct Bank Obligations—19.2% |
||||||||||||||||
| Bank of Nova Scotia, New York: |
||||||||||||||||
| 0.205% |
9/22/14 | 9/22/14 | 500,000 | 499,505 | ||||||||||||
| 0.205% |
8/4/14 | 8/4/14 | 2,500,000 | 2,498,220 | ||||||||||||
| 0.22% |
5/20/14 | 5/20/14 | 2,200,000 | 2,199,341 | ||||||||||||
| 0.235% |
6/18/14 | 6/18/14 | 600,000 | 599,695 | ||||||||||||
| Bank of Tokyo-Mitsubishi UFJ NY: |
||||||||||||||||
| 0.09%2 |
4/4/14 | 4/4/14 | 400,000 | 399,997 | ||||||||||||
| 0.15%2 |
4/15/14 | 4/15/14 | 1,900,000 | 1,899,889 | ||||||||||||
| DnB Bank ASA: |
||||||||||||||||
| 0.05%3 |
4/2/14 | 4/2/14 | 500,000 | 499,999 | ||||||||||||
| 0.195%3 |
7/1/14 | 7/1/14 | 3,500,000 | 3,498,275 | ||||||||||||
| HSBC USA, Inc.: |
||||||||||||||||
| 0.21% |
5/27/14 | 5/27/14 | 500,000 | 499,837 | ||||||||||||
| 0.23% |
8/8/14 | 8/8/14 | 3,000,000 | 2,997,528 | ||||||||||||
| 0.23% |
8/4/14 | 8/4/14 | 3,000,000 | 2,997,604 | ||||||||||||
| 0.24% |
8/26/14 | 8/26/14 | 1,600,000 | 1,598,432 | ||||||||||||
| 1 OPPENHEIMER MONEY FUND/VA |
| STATEMENT OF INVESTMENTS Unaudited / Continued |
| Maturity Date* |
Final Legal Maturity Date** |
Principal Amount |
Value | |||||||||||||
| Direct Bank Obligations (Continued) |
||||||||||||||||
| National Australia Funding (Delaware), Inc., 0.01%3 |
4/1/14 | 4/1/14 | $ | 4,000,000 | $ | 4,000,000 | ||||||||||
| Skandinaviska Enskilda BankenAB: |
||||||||||||||||
| 0.18%3 |
7/11/14 | 7/11/14 | 600,000 | 599,697 | ||||||||||||
| 0.18%3 |
7/14/14 | 7/14/14 | 600,000 | 599,688 | ||||||||||||
| 0.195%3 |
4/11/14 | 4/11/14 | 2,000,000 | 1,999,892 | ||||||||||||
| 0.20%3 |
4/1/14 | 4/1/14 | 1,100,000 | 1,100,000 | ||||||||||||
| Svenska Handelsbanken, Inc., 0.215%3 |
4/2/14 | 4/2/14 | 1,300,000 | 1,299,992 | ||||||||||||
| Swedbank AB: |
||||||||||||||||
| 0.195% |
6/17/14 | 6/17/14 | 1,900,000 | 1,899,207 | ||||||||||||
| 0.20% |
6/11/14 | 6/11/14 | 1,600,000 | 1,599,369 | ||||||||||||
|
|
|
|||||||||||||||
| Total Direct Bank Obligations (Cost $33,286,167) |
|
|
33,286,167
|
| ||||||||||||
| Short-Term Notes/Commercial Paper—44.3% |
||||||||||||||||
| Leasing & Factoring—4.1% |
||||||||||||||||
| American Honda Finance Corp.: |
||||||||||||||||
| 0.234%1 |
6/12/14 | 12/5/14 | 1,000,000 | 1,000,000 | ||||||||||||
| 0.258%1,2 |
4/17/14 | 7/17/14 | 2,000,000 | 2,000,000 | ||||||||||||
| Toyota Motor Credit Corp.: |
||||||||||||||||
| 0.196%1 |
4/4/14 | 8/28/14 | 2,000,000 | 2,000,000 | ||||||||||||
| 0.242%1 |
4/14/14 | 1/14/15 | 2,000,000 | 2,000,000 | ||||||||||||
|
|
|
|||||||||||||||
|
|
7,000,000
|
| ||||||||||||||
| Municipal—1.1% |
||||||||||||||||
| San Antonio, TX Industrial Development Authority Revenue Bonds, Tindall Corp. Project, 0.20%1 | 4/7/14 | 4/7/14 | 2,000,000 | 2,000,000 | ||||||||||||
| Oil, Gas & Consumable Fuels—1.3% |
||||||||||||||||
| ExxonMobil Corp., 0.04% |
4/1/14 | 4/1/14 | 2,200,000 | 2,200,000 | ||||||||||||
| Personal Products—3.9% |
||||||||||||||||
| Reckitt Benckiser Treasury Services plc: |
||||||||||||||||
| 0.20%3 |
9/10/14 | 9/10/14 | 500,000 | 499,550 | ||||||||||||
| 0.23%3 |
4/7/14 | 4/7/14 | 800,000 | 799,969 | ||||||||||||
| 0.23%3 |
6/3/14 | 6/3/14 | 1,000,000 | 999,598 | ||||||||||||
| 0.25%3 |
12/4/14 | 12/4/14 | 3,000,000 | 2,994,854 | ||||||||||||
| 0.291%3 |
6/25/14 | 6/25/14 | 1,300,000 | 1,299,110 | ||||||||||||
|
|
|
|||||||||||||||
|
|
6,593,081
|
| ||||||||||||||
| Receivables Finance—17.2% |
||||||||||||||||
| Alpine Securitization Corp., 0.11% |
4/4/14 | 4/4/14 | 2,300,000 | 2,299,979 | ||||||||||||
| Fairway Finance Co. LLC, 0.06%3 |
4/1/14 | 4/1/14 | 300,000 | 300,000 | ||||||||||||
| Gemini Securitization Corp., 0.10%3 |
4/1/14 | 4/1/14 | 6,900,000 | 6,900,000 | ||||||||||||
| Gotham Funding Corp., 0.14%3 |
4/3/14 | 4/3/14 | 1,000,000 | 999,992 | ||||||||||||
| Jupiter Securitization Co. LLC: |
||||||||||||||||
| 0.23%3 |
6/9/14 | 6/9/14 | 1,000,000 | 999,559 | ||||||||||||
| 0.23%3 |
6/17/14 | 6/17/14 | 600,000 | 599,705 | ||||||||||||
| 0.24%3 |
4/16/14 | 4/16/14 | 2,700,000 | 2,699,730 | ||||||||||||
| Manhattan Asset Funding Co.: |
||||||||||||||||
| 0.12%3 |
4/2/14 | 4/2/14 | 1,700,000 | 1,699,995 | ||||||||||||
| 0.17%3 |
4/21/14 | 4/21/14 | 600,000 | 599,943 | ||||||||||||
| Old Line Funding Corp.: |
||||||||||||||||
| 0.19%3 |
6/23/14 | 6/23/14 | 2,000,000 | 1,999,124 | ||||||||||||
| 2 OPPENHEIMER MONEY FUND/VA |
| STATEMENT OF INVESTMENTS Unaudited / Continued |
| Maturity Date* |
Final Legal Maturity Date** |
Principal Amount |
Value | |||||||||||||
| Receivables Finance (Continued) |
||||||||||||||||
| Old Line Funding Corp.: (Continued) |
||||||||||||||||
| 0.22%3 |
6/18/14 | 6/18/14 | $ | 1,000,000 | $ | 999,523 | ||||||||||
| 0.23%3 |
6/12/14 | 6/12/14 | 3,500,000 | 3,498,390 | ||||||||||||
| Thunder Bay Funding LLC: |
||||||||||||||||
| 0.23%3 |
5/23/14 | 5/23/14 | 4,400,000 | 4,398,538 | ||||||||||||
| 0.24%3 |
9/8/14 | 9/8/14 | 1,500,000 | 1,498,400 | ||||||||||||
|
|
29,492,878
|
| ||||||||||||||
| Special Purpose Financial—16.7% |
||||||||||||||||
| Anglesea Funding LLC, 0.12%2 |
4/3/14 | 4/3/14 | 4,000,000 | 3,999,973 | ||||||||||||
| Collateralized Commercial Paper II Co. LLC: |
||||||||||||||||
| 0.24% |
6/27/14 | 6/27/14 | 2,000,000 | 1,998,840 | ||||||||||||
| 0.401% |
10/24/14 | 10/24/14 | 1,000,000 | 997,711 | ||||||||||||
| Concord Minutemen Cap. Corp. LLC: |
||||||||||||||||
| 0.22% |
5/19/14 | 5/19/14 | 2,500,000 | 2,499,267 | ||||||||||||
| 0.22% |
5/16/14 | 5/16/14 | 1,000,000 | 999,725 | ||||||||||||
| Crown Point Capital Co.: |
||||||||||||||||
| 0.20% |
5/22/14 | 5/22/14 | 1,500,000 | 1,499,575 | ||||||||||||
| 0.22% |
4/10/14 | 4/10/14 | 2,200,000 | 2,199,879 | ||||||||||||
| 0.22% |
4/25/14 | 4/25/14 | 1,500,000 | 1,499,780 | ||||||||||||
| 0.23% |
4/2/14 | 4/2/14 | 500,000 | 499,997 | ||||||||||||
| Govco LLC: |
||||||||||||||||
| 0.02%3 |
4/1/14 | 4/1/14 | 6,200,000 | 6,200,000 | ||||||||||||
| 0.19%3 |
5/1/14 | 5/1/14 | 800,000 | 799,874 | ||||||||||||
| Lexington Parker Capital Co. LLC, 0.17%3 |
4/11/14 | 4/11/14 | 3,000,000 | 2,999,858 | ||||||||||||
| Ridgefield Funding Co. LLC, 0.245%1 |
4/3/14 | 5/5/14 | 2,500,000 | 2,500,000 | ||||||||||||
| 28,694,479 | ||||||||||||||||
|
|
|
|||||||||||||||
| Total Short-Term Notes/Commercial Paper (Cost $75,980,438) |
75,980,438 | |||||||||||||||
| Total Investments, at Value (Cost $171,766,950) |
99.9% | 171,766,950 | ||||||||||||||
| Assets in Excess of Other Liabilities |
0.1 | 106,464 | ||||||||||||||
|
|
|
|||||||||||||||
| Net Assets |
100.0% | $ | 171,873,414 | |||||||||||||
|
|
|
|||||||||||||||
Footnotes to Statement of Investments
Short-term notes and direct bank obligations are generally traded on a discount basis; the interest rate shown is the discount rate received by the Fund at the time of purchase. Other securities normally bear interest at the rates shown.
* The Maturity Date represents the date used to calculate the Fund’s weighted average maturity as determined under Rule 2a-7.
** If different from the Maturity Date, the Final Legal Maturity Date includes any maturity date extensions which may be affected at the option of the issuer or unconditional payments of principal by the issuer which may be affected at the option of the Fund, and represents the date used to calculate the Fund’s weighted average life as determined under Rule 2a-7.
1. Represents the current interest rate for a variable or increasing rate security.
2. 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 $13,299,859 or 7.74% of the Fund’s net assets as of March 31, 2014.
| 3 OPPENHEIMER MONEY FUND/VA |
| STATEMENT OF INVESTMENTS Unaudited / Continued |
Footnotes to Statement of Investments (Continued)
3. Security issued in an exempt transaction without registration under the Securities Act of 1933. Such securities amount to $57,383,255 or 33.39% of the Fund’s 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 |
Oppenheimer Money Fund/VA (the “Fund”) is a separate series of Oppenheimer Variable Account Funds, a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended. The Fund’s investment objective is to seek income consistent with stability of principal. The Fund’s investment adviser is OFI Global Asset Management, Inc. (“OFI Global” or the “Manager”), a wholly-owned subsidiary of OFI. The Manager has entered into a sub-advisory agreement with OFI. Shares of the Fund are sold only to separate accounts of life insurance companies.
Securities Valuation
The Fund calculates the net asset value of its shares as of the close of the New York Stock Exchange (the “Exchange”), normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading.
The Fund’s Board has adopted procedures for the valuation of the Fund’s securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a “fair valuation” for any security for which market quotations are not “readily available.” The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
Valuation Methods and Inputs
Securities are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. If amortized cost is determined not to approximate market value, the fair value of the portfolio securities will be determined under procedures approved by the Fund’s Board of Trustees.
If a market value or price cannot be determined for a security using the methodologies described above, or if, in the “good faith” opinion of the Manager, the market value or price obtained does not constitute a “readily available market quotation,” or a significant event has occurred that would materially affect the value of the security the security is fair valued either (i) by a standardized fair valuation methodology applicable to the security type or the significant event as previously approved by the Valuation Committee and the Fund’s Board or (ii) as determined in good faith by the Manager’s Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. Fair value determinations by the Manager are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Those fair valuation standardized methodologies include, but are not limited to, valuing securities at the last sale price or initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be further adjusted for any discounts related to security-specific resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of
| 5 OPPENHEIMER MONEY FUND/VA |
| NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued |
Securities Valuation (Continued)
the risks associated with investing in those securities nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security.
To assess the continuing appropriateness of security valuations, the Manager, or its third party service provider who is subject to oversight by the Manager, regularly compares prior day prices, prices on comparable securities, and sale prices to the current day prices and challenges those prices exceeding certain tolerance levels with the third party pricing service or broker source. For those securities valued by fair valuations, whether through a standardized fair valuation methodology or a fair valuation determination, the Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available.
Classifications
Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Various data inputs are used in determining the value of each of the Fund’s investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards:
1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange)
2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.)
3) Level 3-significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset or liability).
The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities.
The table below categorizes amounts as of March 31, 2014 based on valuation input level:
| Level 1— Unadjusted Quoted Prices |
Level 2— Other Significant Observable Inputs |
Level 3— Significant Unobservable Inputs |
Value | |||||||||||||
| Investments, at Value: |
| |||||||||||||||
| Assets Table |
| |||||||||||||||
| Certificates of Deposit |
$ | — | $ | 62,500,345 | $ | — | $ | 62,500,345 | ||||||||
| Direct Bank Obligations |
— | 33,286,167 | — | 33,286,167 | ||||||||||||
| Short-Term Notes/Commercial Paper |
— | 75,980,438 | — | 75,980,438 | ||||||||||||
|
|
|
|||||||||||||||
| Total Assets |
$ | — | $ | 171,766,950 | $ | — | $ | 171,766,950 | ||||||||
|
|
|
|||||||||||||||
| 6 OPPENHEIMER MONEY FUND/VA |
| CONSOLIDATED STATEMENT OF INVESTMENTS March 31, 2014 / Unaudited |
1 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
| CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
2 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
| CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
3 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
| CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
4 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
| CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
5 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
| CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
6 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
| CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
7 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
| CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
8 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
| CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
9 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
| CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
10 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
| CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
11 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
| CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
12 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
| CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
13 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
| CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
14 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
| CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
15 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
| CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
| Exercise Price | Expiration Date |
Contracts | ||||||||||||||||||||||||||||||
| Exchange-Traded Option Purchased—0.0% |
| |||||||||||||||||||||||||||||||
| United States Treasury Nts., 5 yr. Futures Call11 (Cost $1,199,742) | USD | 120.750 | 4/25/14 | USD | 5225 | $ | 81,641 | |||||||||||||||||||||||||
| Counterparty | Exercise Price | Expiration Date | Contracts | |||||||||||||||||||||||||||||
| Over-the-Counter Options Purchased—0.1% |
| |||||||||||||||||||||||||||||||
| BRL Currency Put11 | CITNA-B | BRL | 2.510 | 4/15/14 | BRL | 11,370,000 | 34 | |||||||||||||||||||||||||
| CNH Currency Put11 | JPM | CNH | 6.153 | 1/12/16 | CNH | 55,650,000 | 214,642 | |||||||||||||||||||||||||
| CNH Currency Call11 | JPM | CNH | 6.147 | 10/16/14 | CNH | 8,100,000 | 1,725 | |||||||||||||||||||||||||
| EUR Currency Put11 | GSG | HUF | 305.000 | 4/29/14 | EUR | 7,430,000 | 46,992 | |||||||||||||||||||||||||
| EUR Currency Put11 | BOA | USD | 1.302 | 5/23/14 | EUR | 1,355,000 | 511 | |||||||||||||||||||||||||
| EUR Currency Put11 | GSG | HUF | 305.000 | 4/29/14 | EUR | 3,310,000 | 20,935 | |||||||||||||||||||||||||
| INR Currency Call11 | JPM | INR | 59.900 | 6/10/14 | INR | 554,000,000 | 106,922 | |||||||||||||||||||||||||
| JPY Currency Put11 | GSG | JPY | 108.000 | 5/22/15 | JPY | 650,000,000 | 130,650 | |||||||||||||||||||||||||
| RUB Currency Call11 | JPM | RUB | 35.000 | 6/26/14 | RUB | 724,600,000 | 226,800 | |||||||||||||||||||||||||
| TRY Currency Call11 | GSG | TRY | 2.170 | 6/27/14 | TRY | 29,960,000 | 406,288 | |||||||||||||||||||||||||
| TRY Currency Put11 | MOS-A | TRY | 2.340 | 4/25/14 | TRY | 10,785,000 | 776 | |||||||||||||||||||||||||
| Total Over-the-Counter Options Purchased (Cost 1,061,726) |
|
1,156,275 | ||||||||||||||||||||||||||||||
| Counterparty | Buy /Sell Protection |
Reference Asset | Fixed Rate | Expiration Date |
Notional (000’s) | |||||||||||||||||||||||||
| Over-the-Counter Credit Default Swaption Purchased—0.0% |
| |||||||||||||||||||||||||||||
| Credit Default Swap maturing 12/20/18 Call11 (Cost $165,813) | JPM | Buy | iTraxx Europe Series 20 Version 1 | 1.000% | 4/16/14 | EUR | 74,995 | 17,027 | ||||||||||||||||||||||
| Counterparty | Pay / Receive Floating Rate |
Floating Rate | Fixed Rate | Expiration Date |
Notional Amount (000’s) | |||||||||||||||||||||||||
| Over-the-Counter Interest Rate Swaptions Purchased—0.1% |
| |||||||||||||||||||||||||||||
| Interest Rate Swap maturing 1/18/48 Call11 | JPM | Receive | Three-Month USD BBA LIBOR | 4.380% | 1/16/18 | USD | 6,195 | 429,978 | ||||||||||||||||||||||
| Interest Rate Swap maturing 5/14/44 Call11 | JPM | Receive | Six-Month EUR EURIBOR | 2.730 | 5/12/14 | EUR | 14,900 | 12,283 | ||||||||||||||||||||||
| Interest Rate Swap maturing 5/2/19 Call11 | UBS | Receive | Three-Month USD BBA LIBOR | 2.010 | 4/30/14 | USD | 17,495 | 27,623 | ||||||||||||||||||||||
| Interest Rate Swap maturing 5/30/33 Call11 | BAC | Receive | Six-Month GBP BBA LIBOR |
3.990 | 5/30/23 | GBP | 1,235 | 105,199 | ||||||||||||||||||||||
| Interest Rate Swap maturing 5/8/24 Call11 | BOA | Receive | Three-Month USD BBA LIBOR | 3.030 | 5/6/14 | USD | 37,270 | 111,782 | ||||||||||||||||||||||
16 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
| CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
| Counterparty | Pay / Receive Floating Rate |
Floating Rate | Fixed Rate | Expiration Date |
Notional Amount (000’s) | Value | ||||||||||||||||||||||||||
| Over-the-Counter Interest Rate Swaptions Purchased (Continued) |
| |||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 5/8/24 Call11 | BOA | Receive | |
Three-Month USD BBA LIBOR |
|
2.874% | 5/6/14 | USD | 29,950 | $ | 241,766 | |||||||||||||||||||||
| Interest Rate Swap maturing 6/24/19 Call11 | JPM | Receive | |
Three-Month USD BBA LIBOR |
|
2.150 | 6/20/14 | USD | 25,380 | 92,644 | ||||||||||||||||||||||
| Interest Rate Swap maturing 6/27/19 Call11 | BOA | Receive | |
Three-Month USD BBA LIBOR |
|
2.183 | 6/25/14 | USD | 38,170 | 134,826 | ||||||||||||||||||||||
| Interest Rate Swap maturing 8/4/46 Call11 | BOA | Receive | |
Three-Month USD BBA LIBOR |
|
4.860 | 8/2/16 | USD | 1,395 | 34,162 | ||||||||||||||||||||||
| Interest Rate Swap maturing 1/4/16 Call11 | JPM | Pay | BZDI | 12.750 | 1/2/15 | BRL | 156,480 | 422,240 | ||||||||||||||||||||||||
| Total Over-the-Counter Interest Rate Swaptions Purchased (Cost 2,437,772) |
|
1,612,503 | ||||||||||||||||||||||||||||||
| Total Investments, at Value (Cost $2,473,015,991) |
|
102.6% | 2,488,913,680 | |||||||||||||||||||||||||||||
| Liabilities in Excess of Other Assets |
|
(2.6) | (62,226,131 | ) | ||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
| Net Assets |
|
100.0% | $ | 2,426,687,549 | ||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
Footnotes to Consolidated Statement of Investments
Principal and notional amount and exercise price are reported in U.S. Dollars except for those denoted in the following currencies:
| BRL |
Brazilian Real | MXN | Mexican Nuevo Peso | |||
| CNH |
Offshore Chinese Renminbi | NOK | Norwegian Krone | |||
| COP |
Columbian Peso | PEN | Peruvian New Sol | |||
| EUR |
Euro | PHP | Philippines Peso | |||
| HUF |
Hungarian Forint | PLN | Polish Zloty | |||
| IDR |
Indonesia Rupiah | RON | Romanian Leu | |||
| INR |
Indian Rupee | RSD | Serbian Dinar | |||
| GBP |
British Pound Sterling | RUB | Russian Ruble | |||
| JPY |
Japanese Yen | TRY | New Turkish Lira | |||
| KRW |
South Korean Won | ZAR | South African Rand |
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 $667,949,684 or 27.53% of the Fund’s net assets as of March 31, 2014.
2. Represents the current interest rate for a variable or increasing rate security.
3. Restricted security. The aggregate value of restricted securities as of March 31, 2014 was $46,446,683, which represents 1.91% of the Fund’s net assets. See accompanying Consolidated Notes. Information concerning restricted securities is as follows:
| Security | Acquisition Dates |
Cost | Value | Unrealized Appreciation/ (Depreciation) |
||||||||||||
| Arco Capital Corp. Ltd. |
6/28/13 | $ — | $ — | $ — | ||||||||||||
| ASG Consolidated LLC/ASG Finance, Inc., 15% Sr. Nts., 5/15/17 |
8/19/10-12/17/13 | 2,652,020 | 2,724,862 | 72,842 | ||||||||||||
| Burlington Holdings LLC/Burlington Holding Finance, Inc., 9% Sr. Unsec. Nts., 2/15/18 | 4/11/13-10/21/13 | 1,288,758 | 1,299,788 | 11,030 | ||||||||||||
| Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2A, 7.208%, 5/22/15 | 5/21/08 | 67,269 | 50,154 | (17,115 | ) | |||||||||||
| Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2B, 7.208%, 5/22/15 | 6/12/08 | 117,680 | 87,745 | (29,935 | ) | |||||||||||
| Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2C, 7.208%, 5/22/15 | 6/18/08 | 1,785,486 | 1,322,991 | (462,495 | ) | |||||||||||
| Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2D, 7.208%, 5/22/15 | 7/8/08 | 130,028 | 96,418 | (33,610 | ) | |||||||||||
| Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2E, 7.208%, 5/22/15 | 7/15/08 | 94,626 | 70,049 | (24,577 | ) | |||||||||||
| Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2F, 7.208%, 5/22/15 | 8/8/08 | 61,263 | 44,737 | (16,526 | ) | |||||||||||
| Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2G, 7.208%, 5/22/15 | 8/22/08 | 11,304 | 8,239 | (3,065 | ) | |||||||||||
| Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 19.511%, 12/31/17 | 9/19/07 | 6,055,023 | 8,431,503 | 2,376,480 | ||||||||||||
| Deutsche Mortgage Securities, Inc., Series 2013-RS1, Cl. 1A2, 0.377%, 7/22/36 | 9/23/13 | 3,783,151 | 4,033,344 | 250,193 | ||||||||||||
| HOA Restaurant Group LLC/HOA Finance Corp., 11.25% Sec. Nts., 4/1/17 | 3/10/11-2/15/12 | 1,872,243 | 1,977,312 | 105,069 | ||||||||||||
| ICE EM CLO, Series 2007-1A, Cl. B, 2.029%, 8/15/22 |
11/6/07 | 7,173,048 | 6,846,900 | (326,148 | ) | |||||||||||
| ICE EM CLO, Series 2007-1A, Cl. C, 3.329%, 8/15/22 |
6/8/07 | 5,270,000 | 4,268,700 | (1,001,300 | ) | |||||||||||
| ICE EM CLO, Series 2007-1A, Cl. D, 5.329%, 8/15/22 |
6/8/07 | 5,270,000 | 4,743,000 | (527,000 | ) | |||||||||||
| JPMorgan Hipotecaria su Casita, 6.47% Sec. Nts., 8/26/35 |
3/21/07 | 529,003 | 43,056 | (485,947 | ) | |||||||||||
| 17 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA |
| CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
Footnotes to Consolidated Statement of Investments (Continued)
| Security | Acquisition Dates |
Cost | Value | Unrealized Appreciation/ (Depreciation) |
||||||||||||
| Kenan Advantage Group, Inc. (The), 8.375% Sr. Unsec. Nts., 12/15/18 | 12/7/12-12/12/13 | $ | 2,321,375 | $ | 2,389,575 | $ | 68,200 | |||||||||
| LBC Tank Terminals Holding Netherlands BV, 6.875% Sr. Unsec. Nts., 5/15/23 | 5/8/13 | 630,000 | 675,675 | 45,675 | ||||||||||||
| NC Finance Trust, Series 1999-I, Cl. D, 8.75%, 1/25/29 | 8/10/10 | 66,025 | 4,372 | (61,653 | ) | |||||||||||
| Premier Cruises Ltd., 11% Sr. Nts., 3/15/08 | 3/6/98 | 242,675 | — | (242,675 | ) | |||||||||||
| Schaeffler Finance BV, 8.50% Sr. Sec. Nts., 2/15/19 | 2/2/12-1/7/13 | 2,030,643 | 2,175,225 | 144,582 | ||||||||||||
| Spencer Spirit Holdings, Inc., 9% Sr. Unsec. Nts., 5/1/18 | 4/25/13-4/26/13 | 1,688,432 | 1,727,125 | 38,693 | ||||||||||||
| Wallace Theater Holdings, Inc. | 3/28/13 | 15 | 11,788 | 11,773 | ||||||||||||
| Western Express, Inc., 12.50% Sr. Sec. Nts., 4/15/15 | 4/9/10-5/4/11 | 4,754,333 | 3,414,125 | (1,340,208 | ) | |||||||||||
|
|
|
|||||||||||||||
| $ | 47,894,400 | $ | 46,446,683 | $ | (1,447,717 | ) | ||||||||||
|
|
|
|||||||||||||||
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 $5,597,065 or 0.23% of the Fund’s net assets as of March 31, 2014.
5. Interest rate is less than 0.0005%.
6. The current amortization rate of the security’s cost basis exceeds the future interest payments currently estimated to be received. Both the amortization rate and interest payments are contingent on future mortgage pre-payment speeds and are therefore subject to change.
7. All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after March 31, 2014. See accompanying Consolidated Notes.
8. This security is not accruing income because the issuer has missed an interest payment on it and/or is not anticipated to make future interest and or principal payments. The rate shown is the original contractual interest rate. See accompanying Consolidated Notes.
9. Zero coupon bond reflects effective yield on the date of purchase.
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. Non-income producing security.
12. 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 $3,965,780. See accompanying Consolidated Notes.
13. All or a portion of the security position is held in segregated accounts and pledged to cover margin requirements under certain derivative contracts. The aggregate market value of such securities is $5,819,782. See accompanying Consolidated Notes.
14. Interest or dividend is paid-in-kind, when applicable.
15. Denotes an inflation-index security: coupon or principal are indexed to a consumer price index.
16. Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended March 31, 2014, 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, 2013 |
Gross Additions |
Gross Reductions |
Shares March 31, 2014 |
|||||||||||||
| Oppenheimer Institutional Money Market Fund, Cl. E | 33,054,028 | 348,124,596 | 298,369,191 | 82,809,433 | ||||||||||||
| Oppenheimer Master Event-Linked Bond Fund, LLC | 4,827,322 | — | 991,452 | 3,835,870 | ||||||||||||
| Oppenheimer Master Loan Fund, LLC | 1,023,461 | 8,129,839 | 666,476 | 8,486,824 | ||||||||||||
| Oppenheimer Ultra-Short Duration Fund, Cl. Y | 3,707,723 | 981,391 | — | 4,689,114 | ||||||||||||
| Value | Income | Realized Gain (Loss) | ||||||||||||||
| Oppenheimer Institutional Money Market Fund, Cl. E | $ 82,809,433 | $ 12,114 | $ — | |||||||||||||
| Oppenheimer Master Event-Linked Bond Fund, LLC | 53,891,791 | 1,865,938 | a | 8,830 | a | |||||||||||
| Oppenheimer Master Loan Fund, LLC | 121,829,229 | 2,803,976 | b | 138,847 | b | |||||||||||
| Oppenheimer Ultra-Short Duration Fund, Cl. Y | 46,984,920 | 35,047 | — | |||||||||||||
|
|
|
|||||||||||||||
| Total |
$ 305,515,373 | $ 4,717,075 | $ 147,677 | |||||||||||||
|
|
|
|||||||||||||||
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.
17. Rate shown is the 7-day yield as of March 31, 2014.
Distribution of investments representing geographic holdings, as a percentage of total investments at value, is as follows:
| Geographic Holdings | Value | Percent | ||||||
| United States |
$ 1,535,344,905 | 61.7 | % | |||||
| Brazil |
123,029,939 | 4.9 | ||||||
| Mexico |
102,611,072 | 4.1 | ||||||
| United Kingdom |
46,608,500 | 1.9 | ||||||
| Turkey |
39,115,914 | 1.6 | ||||||
| Hungary |
37,848,616 | 1.5 | ||||||
| Germany |
36,992,210 | 1.5 | ||||||
| Russia |
36,902,457 | 1.5 | ||||||
| South Africa |
32,467,754 | 1.4 | ||||||
| Portugal |
34,464,354 | 1.4 | ||||||
18 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
| CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
Footnotes to Consolidated Statement of Investments (Continued)
Distribution of investments representing geographic holdings, as a percentage of total investments at value, is as follows:
| Geographic Holdings (Continued) | Value | Percent | ||||||
| Indonesia |
$ | 34,436,742 | 1.3 | % | ||||
| India |
31,855,026 | 1.3 | ||||||
| Netherlands |
31,635,066 | 1.3 | ||||||
| France |
27,079,106 | 1.1 | ||||||
| Peru |
25,948,306 | 1.0 | ||||||
| Colombia |
24,146,176 | 1.0 | ||||||
| Canada |
18,651,889 | 0.7 | ||||||
| Italy |
18,221,458 | 0.7 | ||||||
| Greece |
17,480,092 | 0.7 | ||||||
| Luxembourg |
16,339,970 | 0.7 | ||||||
| Spain |
16,139,979 | 0.6 | ||||||
| Supranational |
15,858,600 | 0.6 | ||||||
| Poland |
15,496,960 | 0.6 | ||||||
| Israel |
15,470,885 | 0.6 | ||||||
| Chile |
10,755,824 | 0.4 | ||||||
| United Arab Emirates |
10,314,273 | 0.4 | ||||||
| Ireland |
9,495,316 | 0.4 | ||||||
| Philippines |
8,436,514 | 0.3 | ||||||
| Switzerland |
7,785,490 | 0.3 | ||||||
| Australia |
6,889,696 | 0.3 | ||||||
| Malaysia |
6,843,382 | 0.3 | ||||||
| Romania |
6,800,120 | 0.3 | ||||||
| South Korea |
6,693,505 | 0.3 | ||||||
| China |
6,266,288 | 0.3 | ||||||
| Norway |
5,866,912 | 0.2 | ||||||
| Venezuela |
5,216,175 | 0.2 | ||||||
| Ivory Coast |
4,975,425 | 0.2 | ||||||
| Lithuania |
4,930,540 | 0.2 | ||||||
| Sri Lanka |
4,466,906 | 0.2 | ||||||
| Kazakhstan |
4,280,288 | 0.2 | ||||||
| Denmark |
3,812,972 | 0.2 | ||||||
| Croatia |
3,721,519 | 0.2 | ||||||
| Serbia |
3,716,205 | 0.1 | ||||||
| Panama |
3,339,165 | 0.1 | ||||||
| Uruguay |
3,235,450 | 0.1 | ||||||
| Ukraine |
3,109,375 | 0.1 | ||||||
| Slovenia |
3,088,770 | 0.1 | ||||||
| Jamaica |
2,251,306 | 0.1 | ||||||
| Angola |
2,189,513 | 0.1 | ||||||
| Dominican Republic |
2,053,988 | 0.1 | ||||||
| Austria |
1,978,118 | 0.1 | ||||||
| Morocco |
1,803,750 | 0.1 | ||||||
| Jersey, Channel Islands |
1,774,681 | 0.1 | ||||||
| Tanzania |
1,430,744 | 0.1 | ||||||
| Latvia |
1,416,665 | 0.1 | ||||||
| Sweden |
1,410,465 | 0.1 | ||||||
| Gabon |
1,067,813 | 0.0 | ||||||
| Trinidad |
1,043,665 | 0.0 | ||||||
| Nigeria |
794,375 | 0.0 | ||||||
| Belgium |
675,675 | 0.0 | ||||||
| Barbados |
608,438 | 0.0 | ||||||
| Japan |
130,650 | 0.0 | ||||||
| Eurozone |
97,748 | 0.0 | ||||||
|
|
|
|||||||
| Total |
$ | 2,488,913,680 | 100.0 | % | ||||
|
|
|
|||||||
| Forward Currency Exchange Contracts as of March 31, 2014 | ||||||||||||||
| Counterparty | Settlement Month(s) | Currency Purchased (000’s) | Currency Sold (000’s) | Unrealized Appreciation |
Unrealized Depreciation |
|||||||||||||||||||
| BAC |
04/2014 - 05/2014 | EUR | 15,460 | USD | 21,177 | $ | 121,357 | $ | 1,720 | |||||||||||||||
| BAC |
04/2014 | MXN | 3,430 | USD | 260 | 2,866 | – | |||||||||||||||||
| BAC |
09/2014 | THB | 298,000 | USD | 9,181 | – | 64,561 | |||||||||||||||||
| BAC |
05/2014 | TRY | 10,320 | USD | 4,681 | 92,561 | – | |||||||||||||||||
| BAC |
01/2015 | USD | 13,102 | BRL | 33,520 | – | 596,578 | |||||||||||||||||
| BAC |
04/2014 - 05/2014 | USD | 18,232 | EUR | 13,205 | 45,440 | 3,550 | |||||||||||||||||
| BAC |
05/2014 | USD | 4,635 | INR | 290,250 | – | 170,097 | |||||||||||||||||
| BAC |
04/2014 | USD | 7,109 | KRW | 7,659,000 | – | 78,324 | |||||||||||||||||
| BAC |
04/2014 | USD | 12,386 | PLN | 38,240 | – | 248,303 | |||||||||||||||||
| BAC |
05/2014 | USD | 2,501 | RUB | 91,020 | – | 57,776 | |||||||||||||||||
| BAC |
05/2014 | USD | 8,547 | TRY | 19,430 | – | 440,688 | |||||||||||||||||
| BAC |
05/2014 | USD | 459 | ZAR | 5,110 | – | 23,838 | |||||||||||||||||
19 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
| CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
Footnotes to Consolidated Statement of Investments (Continued)
| Forward Currency Exchange Contracts (Continued) | ||||||||||||||
| Counterparty | Settlement Month(s) | Currency Purchased (000’s) | Currency Sold (000’s) | Unrealized Appreciation |
Unrealized Depreciation |
|||||||||||||||||||
| BAC |
05/2014 | ZAR | 196,840 | USD | 18,082 | $ | 520,071 | $ | – | |||||||||||||||
| BNP |
05/2014 – 05/2014 | CAD | 16,495 | USD | 15,122 | – | 215,989 | |||||||||||||||||
| BNP |
05/2014 | DKK | 3,890 | USD | 713 | 4,953 | – | |||||||||||||||||
| BNP |
04/2014 | EUR | 2,460 | USD | 3,389 | 358 | – | |||||||||||||||||
| BNP |
05/2014 | GBP | 7,705 | USD | 12,875 | – | 35,314 | |||||||||||||||||
| BNP |
05/2014 | MXN | 54,595 | USD | 4,120 | 42,841 | – | |||||||||||||||||
| BNP |
05/2014 | NOK | 2,980 | USD | 481 | 15,061 | – | |||||||||||||||||
| BNP |
04/2014 | PLN | 38,240 | USD | 12,429 | 205,217 | – | |||||||||||||||||
| BNP |
04/2014 | RON | 11,470 | USD | 3,463 | 77,519 | – | |||||||||||||||||
| BNP |
05/2014 | TRY | 10,080 | USD | 4,480 | 182,949 | – | |||||||||||||||||
| BNP |
09/2014 | USD | 10,638 | CAD | 11,615 | 175,880 | – | |||||||||||||||||
| BNP |
05/2014 | USD | 708 | DKK | 3,890 | – | 9,581 | |||||||||||||||||
| BNP |
04/2014 – 07/2014 | USD | 67,560 | EUR | 49,630 | 27,159 | 837,662 | |||||||||||||||||
| BNP |
04/2014 – 05/2014 | USD | 47,095 | GBP | 28,615 | – | 606,154 | |||||||||||||||||
| BNP |
05/2014 – 06/2014 | USD | 8,906 | MXN | 118,300 | 2,496 | 105,138 | |||||||||||||||||
| BNP |
05/2014 | USD | 484 | NOK | 2,980 | – | 12,296 | |||||||||||||||||
| BNP |
04/2014 | USD | 2,146 | RON | 7,070 | – | 36,447 | |||||||||||||||||
| BNP |
05/2014 – 06/2014 | USD | 8,143 | TRY | 17,885 | 81,311 | 160,605 | |||||||||||||||||
| BNP |
05/2014 | USD | 12,176 | ZAR | 132,130 | – | 310,572 | |||||||||||||||||
| BOA |
04/2014 | BRL | 89,325 | USD | 37,933 | 1,435,017 | – | |||||||||||||||||
| BOA |
04/2014 | COP | 11,517,000 | USD | 5,756 | 76,339 | – | |||||||||||||||||
| BOA |
04/2014 | INR | 858,250 | USD | 14,274 | 83,381 | – | |||||||||||||||||
| BOA |
05/2014 | JPY | 1,736,000 | USD | 17,032 | – | 207,509 | |||||||||||||||||
| BOA |
04/2014 – 04/2014 | KRW | 17,960,000 | USD | 16,751 | 109,892 | – | |||||||||||||||||
| BOA |
04/2014 – 04/2014 | MXN | 31,800 | USD | 2,390 | 42,418 | – | |||||||||||||||||
| BOA |
05/2014 | PLN | 1,890 | USD | 612 | 10,973 | – | |||||||||||||||||
| BOA |
05/2014 | TRY | 10,340 | USD | 4,681 | 102,507 | – | |||||||||||||||||
| BOA |
04/2014 – 01/2015 | USD | 33,256 | BRL | 79,365 | – | 1,155,048 | |||||||||||||||||
| BOA |
04/2014 – 04/2014 | USD | 2,075 | COP | 4,160,000 | – | 31,804 | |||||||||||||||||
| BOA |
04/2014 – 10/2014 | USD | 27,151 | INR | 1,679,500 | 9,325 | 593,757 | |||||||||||||||||
| BOA |
05/2014 | USD | 17,084 | JPY | 1,736,000 | 259,494 | – | |||||||||||||||||
| BOA |
04/2014 – 06/2014 | USD | 23,795 | MXN | 317,195 | – | 449,612 | |||||||||||||||||
| BOA |
08/2014 | USD | 553 | PEN | 1,590 | – | 3,676 | |||||||||||||||||
| BOA |
05/2014 | USD | 357 | RUB | 13,100 | – | 11,507 | |||||||||||||||||
| BOA |
05/2014 | USD | 1,027 | ZAR | 11,140 | – | 26,251 | |||||||||||||||||
| CITNA-B |
05/2014 | AUD | 7,445 | USD | 6,569 | 307,396 | – | |||||||||||||||||
| CITNA-B |
05/2014 | CAD | 395 | USD | 370 | – | 13,340 | |||||||||||||||||
| CITNA-B |
05/2014 | HUF | 686,000 | USD | 3,019 | 45,772 | – | |||||||||||||||||
| CITNA-B |
04/2014 – 04/2014 | MXN | 137,000 | USD | 10,318 | 165,387 | – | |||||||||||||||||
| CITNA-B |
05/2014 | PLN | 27,620 | USD | 8,821 | 278,676 | – | |||||||||||||||||
| CITNA-B |
05/2014 | USD | 6,700 | AUD | 7,445 | – | 176,706 | |||||||||||||||||
| CITNA-B |
05/2014 | USD | 4,973 | CAD | 5,275 | 208,496 | – | |||||||||||||||||
| CITNA-B |
04/2014 | USD | 1,341 | COP | 2,686,000 | – | 19,097 | |||||||||||||||||
| CITNA-B |
04/2014 – 06/2014 | USD | 62,082 | EUR | 45,020 | 74,700 | 7,929 | |||||||||||||||||
| CITNA-B |
04/2014 – 05/2014 | USD | 2,840 | GBP | 1,705 | 391 | 1,690 | |||||||||||||||||
| CITNA-B |
05/2014 | USD | 1,239 | HUF | 283,700 | – | 28,190 | |||||||||||||||||
| CITNA-B |
04/2014 – 05/2014 | USD | 31,736 | MXN | 424,000 | – | 641,938 | |||||||||||||||||
| DEU |
05/2014 | EUR | 500 | USD | 693 | 385 | 4,161 | |||||||||||||||||
| DEU |
05/2014 | USD | 41,780 | EUR | 30,555 | – | 309,313 | |||||||||||||||||
| DEU |
05/2014 | USD | 1,340 | JPY | 137,000 | 12,684 | – | |||||||||||||||||
| DEU |
05/2014 | USD | 604 | PLN | 1,890 | – | 19,021 | |||||||||||||||||
| DEU |
05/2014 | USD | 93 | ZAR | 990 | 67 | – | |||||||||||||||||
| DEU |
05/2014 | ZAR | 990 | USD | 95 | – | 1,843 | |||||||||||||||||
| FIB |
04/2014 – 05/2014 | RUB | 108,200 | USD | 2,935 | 119,996 | – | |||||||||||||||||
| GSCO-OT |
09/2014 | AUD | 130 | USD | 123 | – | 3,615 | |||||||||||||||||
| GSCO-OT |
04/2014 – 07/2014 | BRL | 101,251 | USD | 43,322 | 997,039 | – | |||||||||||||||||
| GSCO-OT |
04/2014 | COP | 1,603,000 | USD | 783 | 29,266 | – | |||||||||||||||||
| GSCO-OT |
05/2014 | GBP | 1,480 | USD | 2,458 | 8,449 | – | |||||||||||||||||
| GSCO-OT |
09/2014 – 09/2014 | INR | 90,200 | USD | 1,405 | 53,350 | – | |||||||||||||||||
| GSCO-OT |
09/2014 | USD | 118 | AUD | 130 | – | 1,012 | |||||||||||||||||
| GSCO-OT |
04/2014 – 01/2015 | USD | 66,078 | BRL | 158,767 | – | 1,559,028 | |||||||||||||||||
| GSCO-OT |
04/2014 | USD | 1,752 | COP | 3,563,000 | – | 52,176 | |||||||||||||||||
| GSCO-OT |
05/2014 | USD | 4,061 | HUF | 923,000 | – | 63,044 | |||||||||||||||||
| GSCO-OT |
09/2014 – 09/2014 | USD | 1,258 | INR | 90,200 | – | 199,471 | |||||||||||||||||
| GSCO-OT |
10/2014 | USD | 458 | MXN | 6,200 | – | 9,743 | |||||||||||||||||
| GSCO-OT |
05/2014 | USD | 2,675 | TRY | 6,020 | – | 109,987 | |||||||||||||||||
| HSBC |
04/2014 | RUB | 32,800 | USD | 883 | 43,088 | – | |||||||||||||||||
| JPM |
01/2016 | CNH | 55,600 | USD | 9,041 | – | 198,166 | |||||||||||||||||
20 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
| CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
Footnotes to Consolidated Statement of Investments (Continued)
| Forward Currency Exchange Contracts (Continued) | ||||||||||||||
| Counterparty | Settlement Month(s) | Currency Purchased (000’s) | Currency Sold (000’s) | Unrealized Appreciation |
Unrealized Depreciation |
|||||||||||||||||||
| JPM |
05/2014 - 05/2014 | IDR | 179,020,000 | USD | 15,455 | $ | 405,883 | $ | – | |||||||||||||||
| JPM |
04/2014 | INR | 261,000 | USD | 4,262 | 104,541 | – | |||||||||||||||||
| JPM |
04/2014 | MXN | 132,000 | USD | 9,885 | 215,043 | – | |||||||||||||||||
| JPM |
05/2014 | MYR | 41,410 | USD | 12,581 | 103,198 | – | |||||||||||||||||
| JPM |
08/2014 | PEN | 1,140 | USD | 399 | 556 | – | |||||||||||||||||
| JPM |
05/2014 | PLN | 39,800 | USD | 13,001 | 111,530 | – | |||||||||||||||||
| JPM |
04/2014 | RUB | 24,100 | USD | 653 | 27,561 | – | |||||||||||||||||
| JPM |
04/2014 - 05/2014 | THB | 417,400 | USD | 12,990 | – | 131,452 | |||||||||||||||||
| JPM |
05/2014 | TRY | 4,560 | USD | 2,004 | 105,175 | – | |||||||||||||||||
| JPM |
04/2014 - 10/2014 | USD | 20,183 | BRL | 49,320 | – | 1,336,200 | |||||||||||||||||
| JPM |
04/2014 | USD | 5,755 | HUF | 1,293,000 | – | 31,482 | |||||||||||||||||
| JPM |
05/2014 | USD | 5,637 | IDR | 65,958,000 | – | 210,337 | |||||||||||||||||
| JPM |
04/2014 - 07/2014 | USD | 7,952 | INR | 481,000 | 5,930 | 23,337 | |||||||||||||||||
| JPM |
04/2014 | USD | 2,029 | KRW | 2,180,000 | – | 17,020 | |||||||||||||||||
| JPM |
08/2014 | USD | 2,606 | PHP | 119,000 | – | 45,092 | |||||||||||||||||
| JPM |
05/2014 | USD | 5,204 | PLN | 15,780 | 4,624 | – | |||||||||||||||||
| JPM |
04/2014 - 05/2014 | USD | 13,112 | RUB | 473,440 | – | 239,147 | |||||||||||||||||
| JPM |
05/2014 | USD | 3,845 | THB | 116,400 | 262,971 | – | |||||||||||||||||
| JPM |
05/2014 | USD | 6,814 | TRY | 15,420 | – | 318,913 | |||||||||||||||||
| JPM |
05/2014 | USD | 5,796 | ZAR | 62,920 | – | 150,650 | |||||||||||||||||
| JPM |
05/2014 | ZAR | 15,560 | USD | 1,433 | 37,218 | – | |||||||||||||||||
| MSCO |
04/2014 - 05/2014 | BRL | 36,469 | USD | 15,909 | 56,889 | – | |||||||||||||||||
| MSCO |
10/2014 | MXN | 3,300 | USD | 244 | 5,278 | – | |||||||||||||||||
| MSCO |
05/2014 | SEK | 6,300 | USD | 968 | 4,343 | – | |||||||||||||||||
| MSCO |
04/2014 - 07/2014 | USD | 22,052 | BRL | 50,498 | 34,071 | 65,307 | |||||||||||||||||
| MSCO |
05/2014 | USD | 10,674 | CAD | 11,615 | 176,774 | – | |||||||||||||||||
| MSCO |
07/2014 | USD | 40,890 | EUR | 30,080 | – | 544,384 | |||||||||||||||||
| MSCO |
04/2014 - 11/2014 | USD | 19,112 | HUF | 4,334,000 | – | 152,061 | |||||||||||||||||
| MSCO |
04/2014 - 04/2014 | USD | 19,953 | MXN | 265,400 | – | 373,014 | |||||||||||||||||
| MSCO |
05/2014 | USD | 960 | SEK | 6,300 | – | 12,485 | |||||||||||||||||
| MSCO |
05/2014 | USD | 1,791 | TRY | 4,050 | – | 82,192 | |||||||||||||||||
| RBS |
09/2014 | CAD | 11,615 | USD | 10,525 | – | 62,715 | |||||||||||||||||
| RBS |
05/2014 - 05/2014 | CHF | 1,080 | USD | 1,203 | 18,752 | – | |||||||||||||||||
| RBS |
05/2014 - 05/2014 | USD | 1,209 | CHF | 1,080 | – | 12,924 | |||||||||||||||||
| RBS |
04/2014 | USD | 1,299 | NOK | 8,070 | – | 48,495 | |||||||||||||||||
| RBS |
05/2014 | USD | 10,323 | ZAR | 116,980 | – | 731,711 | |||||||||||||||||
| TDB |
04/2014 | MXN | 78,800 | USD | 5,928 | 105,065 | – | |||||||||||||||||
| TDB |
09/2014 | USD | 60,657 | EUR | 43,850 | 255,084 | – | |||||||||||||||||
| TDB |
04/2014 | USD | 1,754 | MXN | 23,600 | – | 52,780 | |||||||||||||||||
|
|
|
|||||||||||||||||||||||
| Total Unrealized Appreciation and Depreciation |
$ | 8,113,013 | $ | 14,555,525 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| Futures Contracts as of March 31, 2014 | ||||||||||||||||||
| Description | Exchange | Buy/Sell | Expiration Date | Number of Contracts | Value | Unrealized Appreciation (Depreciation) |
||||||||||||||||||
| United States Treasury Long Bonds | CBT | Buy | 6/19/14 | 552 | $ | 73,536,750 | $ | 887,048 | ||||||||||||||||
| United States Treasury Nts., 2 yr. | CBT | Sell | 6/30/14 | 36 | 7,904,250 | 1,366 | ||||||||||||||||||
| United States Treasury Nts., 10 yr. | CBT | Buy | 6/19/14 | 911 | 112,508,500 | (588,790 | ) | |||||||||||||||||
| United States Treasury Nts., 10 yr. | CBT | Sell | 6/19/14 | 63 | 7,780,500 | 38,729 | ||||||||||||||||||
| United States Treasury Ultra Bonds | CBT | Buy | 6/19/14 | 197 | 28,460,344 | 631,460 | ||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| $ | 969,813 | |||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| Over-the-Counter Options Written at March 31, 2014 | ||||||||||||||||||
| Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Premiums Received | Value | ||||||||||||||||||||||||||
| BRL Currency Call | CITNA-B | BRL | 2.305 | 4/15/14 | BRL | 10,440,000 | $ | 37,593 | $ | (84,282 | ) | |||||||||||||||||||||
| EUR Currency Call | GSG | HUF | 329.000 | 4/29/14 | EUR | 7,430,000 | 39,107 | (2,826 | ) | |||||||||||||||||||||||
| EUR Currency Call | GSG | HUF | 329.000 | 4/29/14 | EUR | 3,310,000 | 44,637 | (1,259 | ) | |||||||||||||||||||||||
| JPY Currency Call | GSG | JPY | 84.550 | 12/18/15 | JPY | 446,000,000 | 132,033 | (55,750 | ) | |||||||||||||||||||||||
| JPY Currency Put | GSG | JPY | 120.000 | 5/22/15 | JPY | 722,000,000 | 122,138 | (28,158 | ) | |||||||||||||||||||||||
| RUB Currency Put | JPM | RUB | 38.000 | 6/26/14 | RUB | 786,700,000 | 216,860 | (163,633 | ) | |||||||||||||||||||||||
| TRY Currency Put | GSG | TRY | 2.380 | 6/27/14 | TRY | 32,860,000 | 171,342 | (54,482 | ) | |||||||||||||||||||||||
| ZAR Currency Put | BAC | ZAR | 10.925 | 6/10/14 | ZAR | 22,600,000 | 55,564 | (28,657 | ) | |||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
| Total Over-the-Counter Options Written |
|
$ | 819,274 | $ | (419,047 | ) | ||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
21 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
| CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
Footnotes to Consolidated Statement of Investments (Continued)
|
| ||||||||||||||||
| Over-the-Counter Credit Default Swaps at March 31, 2014 | ||||||||||||||||
| Reference Asset | Counterparty | Buy/Sell Protection |
Fixed Rate | Maturity Date | Notional Amount (000’s) |
Premiums Received/(Paid) | Value | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Banco Bilbao Vizcaya Argentaria Sociedad Anonima | UBS | Sell | 3.000 | 12/20/17 | EUR | 125 | $ | (60 | ) | $ | 12,555 | |||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Banco Bilbao Vizcaya Argentaria Sociedad Anonima | UBS | Sell | 3.000 | 12/20/17 | EUR | 125 | (60 | ) | 12,555 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Banco Santander SA | UBS | Sell | 3.000 | 9/20/17 | EUR | 250 | (997 | ) | 25,143 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Bolivarian Republic of Venezuela | FIB | Buy | 5.000 | 3/20/19 | USD | 1,400 | (371,162 | ) | 353,304 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Republic of Ireland | GSG | Buy | 1.000 | 3/20/18 | EUR | 585 | (21,618 | ) | (11,081 | ) | ||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Republic of Ireland | GSG | Buy | 1.000 | 3/20/18 | USD | 660 | (27,725 | ) | (9,175 | ) | ||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Republic of Italy | GSG | Sell | 1.000 | 3/20/23 | USD | 660 | 105,519 | (38,772 | ) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Republic of Peru | DEU | Buy | 1.000 | 3/20/19 | USD | 2,830 | (44,062 | ) | 15,109 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Russian Federation | JPM | Buy | 1.000 | 3/20/19 | USD | 380 | (23,521 | ) | 19,847 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Ukraine | JPM | Buy | 5.000 | 12/20/18 | USD | 595 | (119,172 | ) | 86,072 | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||
| Total Over-the-Counter Credit Default Swaps | $ | (502,858 | ) | $ | 465,557 | |||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||
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 | — | EUR | BBB-to BBB | |||||||||||
| Investment Grade Sovereign Debt | $ | 660,000 | $ | — | BBB | |||||||||||
|
|
|
|
|
|||||||||||||
| Total USD | $ | 660,000 | $ | — | ||||||||||||
|
|
|
|
|
|||||||||||||
| Total EUR | 500,000 | EUR | — | EUR | ||||||||||||
|
|
|
|
|
|||||||||||||
* The Fund has no amounts recoverable from related purchased protection. In addition, the Fund has no recourse provisions under the credit derivatives and holds no collateral which can offset or reduce potential payments under a triggering event.
** The period end reference asset security ratings, as rated by any rating organization, are included in the equivalent Standard & Poor’s rating category. The reference asset rating represents the likelihood of a potential credit event on the reference asset which would result in a related payment by the Fund.
|
| ||||||||||||||||||
| Over-the-Counter Currency Swaps at March 31, 2014 | ||||||||||||||||||
| Counterparty | Pay/Receive Floating Rate |
Fixed Rate | Floating Rate | Maturity Date | Notional Amount Currency Received (000’s) |
Notional Amount Currency Delivered (000’s) |
Value | |||||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| BOA |
Pay | 7.100 | % | |
Six-Month USD BBA LIBOR |
|
1/21/19 | INR | 139,250 | USD | 2,270 | $ | 59,779 | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| GSG |
Pay | 7.210 | |
Six-Month USD BBA LIBOR |
|
1/13/19 | INR | 140,500 | USD | 2,260 | 138,932 | |||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| GSG |
Pay | 7.100 | |
Six-Month USD BBA LIBOR |
|
1/15/19 | INR | 140,000 | USD | 2,261 | 117,985 | |||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||||||
| Total Over-the-Counter Currency Swaps |
|
$ | 316,696 | |||||||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||||||
|
| ||||||||||||||
| Cleared Interest Rate Swaps at March 31, 2014 | ||||||||||||||
| Counterparty | Pay/Receive Floating Rate |
Floating Rate | Fixed Rate | Maturity Date | Notional Amount (000’s) | Value | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| BAC |
Receive | |
Three-Month USD BBA LIBOR |
|
1.552 | % | 12/9/18 | USD | 19,860 | 45,878 | ||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| BAC |
Receive | |
Three-Month USD BBA LIBOR |
|
3.625 | 3/22/26 | USD | 7,510 | 10,476 | |||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| UBS |
Receive | |
Six-Month EUR EURIBOR |
|
2.254 | 9/5/23 | EUR | 2,710 | (226,939 | ) | ||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| UBS |
Receive | |
Six-Month EUR EURIBOR |
|
1.060 | 12/9/18 | EUR | 3,935 | (48,412 | ) | ||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| Total Cleared Interest Rate Swaps |
|
$ | (218,997 | ) | ||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
|
| ||||||||||||||
| Over-the-Counter Interest Rate Swaps at March 31, 2014 | ||||||||||||||
| Counterparty | Pay/Receive Floating Rate |
Floating Rate | Fixed Rate | Maturity Date | Notional Amount (000’s) | Value | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| BAC |
Pay | |
Three-Month SEK STIBOR SIDE |
|
2.175 | 5/10/23 | SEK | 5,000 | (55 | ) | ||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| BOA |
Pay | MXN TIIE BANXICO | 4.345 | 1/11/16 | MXN | 153,700 | 33,074 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| BOA |
Pay | BZDI | 13.230 | 1/4/16 | BRL | 20,710 | 26,387 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| DEU |
Pay | BZDI | 12.850 | 1/4/16 | BRL | 28,750 | 2,116 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| GSG |
Pay | |
Three-Month SEK STIBOR SIDE |
|
1.565 | 5/3/18 | SEK | 19,000 | 36,210 | |||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| GSG |
Pay | BZDI | 12.703 | 1/4/16 | BRL | 49,410 | (19,496 | ) | ||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| HSBC |
Pay | MXN TIIE BANXICO | 4.760 | 1/13/16 | MXN | 247,500 | 48,494 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| JPM |
Pay | BZDI | 12.090 | 1/4/16 | BRL | 24,120 | 6,540 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| JPM |
Pay | BZDI | 11.880 | 1/4/16 | BRL | 56,280 | (52,413 | ) | ||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Total Over-the-Counter Interest Rate Swaps | $ | 80,857 | ||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
22 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
| CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
Footnotes to Consolidated Statement of Investments (Continued)
|
| ||||||||||||||||
| Over-the-Counter Credit Default Swaptions Written at March 31, 2014 | ||||||||||||||||
| Description | Counterparty | Buy/Sell Protection |
Reference Asset | Fixed Rate | Expiration Date |
Notional Amount (000’s) |
Premiums Received | Value | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Credit Default Swap maturing 12/20/18 Call | JPM | Sell | |
iTraxx Europe Series 20 Version 1 |
|
1.000% | 4/16/14 | EUR 74,995 | $ | 65,281 | $ | (4,773 | ) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Credit Default Swap maturing 6/20/19 Call | JPM | Sell | |
iTraxx Europe Crossover Series 21 Version 1 |
|
5.000 | 6/18/14 | EUR 22,570 | 115,121 | (169,917 | ) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Credit Default Swap maturing 6/20/19 Call | JPM | Sell | |
iTraxx Europe Crossover Series 21 Version 1 |
|
5.000 | 6/18/14 | EUR 22,570 | 219,353 | (161,093 | ) | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
| Total Over-the-Counter Credit Default Swaptions Written | $ | 399,755 | $ | (335,783 | ) | |||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
|
| ||||||||||||||||||
| Over-the-Counter Interest Rate Swaptions Written at March 31, 2014 | ||||||||||||||||||
| Description | Counterparty | Pay/Receive Floating Rate |
Floating Rate | Fixed Rate | Expiration Date |
Notional Amount (000’s) |
Premiums Received | Value | ||||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 6/1/33 Call | BAC | Pay | |
Six-Month EUR EURIBOR |
|
3.117% | 5/30/23 | EUR | 1,345 | $ | 118,392 | $ | (122,403 | ) | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 3/22/26 Call | BAC | Pay | |
Three-Month USD BBA LIBOR |
|
4.125 | 3/18/16 | USD | 23,275 | 586,530 | (564,677 | ) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 9/8/24 Call | BOA | Pay | |
Three-Month USD BBA LIBOR |
|
3.465 | 9/4/14 | USD | 29,950 | 203,660 | (157,038 | ) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 9/8/24 Call | BOA | Receive | |
Three-Month USD BBA LIBOR |
|
2.565 | 9/4/14 | USD | 29,950 | 142,861 | (80,869 | ) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 6/27/19 Call | BOA | Receive | |
Three-Month USD BBA LIBOR |
|
1.783 | 6/25/14 | USD | 38,170 | 104,967 | (120,269 | ) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 8/4/21 Call | BOA | Pay | |
Three-Month USD BBA LIBOR |
|
4.860 | 8/2/16 | USD | 5,515 | 82,725 | (50,752 | ) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 6/24/19 Call | JPM | Receive | |
Three-Month USD BBA LIBOR |
|
1.850 | 6/20/14 | USD | 25,380 | 96,444 | (108,821 | ) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 5/13/24 Call | JPM | Pay | |
Six-Month AUD BBR BBSW |
|
4.075 | 5/12/14 | AUD | 1,330 | 34,620 | (38,699 | ) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 1/4/16 Call | JPM | Receive | BZDI | 11.750 | 1/2/15 | BRL | 156,480 | 155,655 | (210,646 | ) | ||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 1/4/16 Call | JPM | Pay | BZDI | 13.800 | 1/2/15 | BRL | 156,480 | 226,102 | (254,866 | ) | ||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 3/20/24 Call | JPM | Pay | |
MXN TIIE BANXICO |
|
6.905 | 4/1/14 | MXN | 38,900 | 70,205 | (2 | ) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 3/20/24 Call | JPM | Pay | |
MXN TIIE BANXICO |
|
6.930 | 4/1/14 | MXN | 38,900 | 72,594 | (1 | ) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 5/14/44 Call | JPM | Receive | |
Six-Month EUR EURIBOR |
|
2.430 | 5/12/14 | EUR | 14,900 | 201,742 | (187,871 | ) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 1/18/20 Call | JPM | Pay | |
Three-Month USD BBA LIBOR |
|
4.340 | 1/16/18 | USD | 53,550 | 615,825 | (564,519 | ) | ||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||||||
| Total Over-the-Counter Interest Rate Swaptions Written |
|
$ | 2,712,322 | $ | (2,461,433 | ) | ||||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||||||
| Glossary: | ||
| Counterparty Abbreviations | ||
| BAC | Barclays Bank plc | |
| BNP | BNP Paribas | |
| BOA | Bank of America NA | |
| CITNA-B | Citibank NA | |
| DEU | Deutsche Bank AG | |
| FIB | Credit Suisse International | |
| GSCO-OT | Goldman Sachs Bank USA | |
| GSG | Goldman Sachs Group, Inc. (The) | |
| HSBC | HSBC Bank USA NA | |
| JPM | JPMorgan Chase Bank NA | |
| MOS-A | Morgan Stanley | |
| MSCO | Morgan Stanley Capital Services, Inc. | |
| RBS | Royal Bank of Scotland plc (The) | |
| TDB | Toronto Dominion Bank | |
| UBS | UBS AG |
23 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
| CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
Footnotes to Consolidated Statement of Investments (Continued)
| Currency abbreviations indicate amounts reporting in currencies | ||
| AUD | Australian Dollar | |
| BRL | Brazilian Real | |
| CAD | Canadian Dollar | |
| CHF | Swiss Franc | |
| CNH | Offshore Chinese Renminbi | |
| 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 | |
| NOK | Norwegian Krone | |
| PEN | Peruvian New Sol | |
| PHP | Philippines Peso | |
| PLN | Polish Zloty | |
| RON | New Romanian Leu | |
| RUB | Russian Ruble | |
| SEK | Swedish Krona | |
| THB | Thailand Baht | |
| TRY | New Turkish Lira | |
| USD | U.S. Dollar | |
| ZAR | South African Rand | |
| Definitions | ||
| BANXICO | Banco de Mexico | |
| BBA LIBOR | British Bankers’ Association London - Interbank Offered Rate | |
| BBR BBSW | Bank Bill Swap Reference Rate (Australian Financial Market) | |
| BZDI | Brazil Interbank Deposit Rate | |
| EURIBOR | Euro Interbank Offered Rate | |
| iTraxx Europe Series 20 Version 1 | Credit Default Swap Trading Index for a Specific Basket of Securities | |
| iTraxx Europe Crossover Series 21 Version 1 | Credit Default Swap Trading Index for a Specific Basket of Securities | |
| STIBOR SIDE | Stockholm Interbank Offered Rate | |
| TIIE | Interbank Equilibrium Interest Rate | |
| Exchange Abbreviations | ||
| CBT | Chicago Board of Trade | |
24 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
| NOTES TO CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited |
Oppenheimer Global Strategic Income Fund/VA (the “Fund”) is a separate series of Oppenheimer Variable Account Funds, a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended. The Fund’s investment objective is to seek total return. The Fund’s investment adviser is OFI Global Asset Management, Inc. (“OFI Global” or the “Manager”), a wholly-owned subsidiary of OFI. The Manager has entered into a sub-advisory agreement with OFI. Shares of the Fund are sold only to separate accounts of life insurance companies.
Basis for Consolidation. The Fund has established a Cayman Islands exempted company, Oppenheimer Global Strategic Income Fund/VA (Cayman) Ltd., which is wholly-owned and controlled by the Fund (the “Subsidiary”). The Fund and Subsidiary are both managed by the Manager. The Fund may invest up to 25% of its total assets in the Subsidiary. The Subsidiary invests primarily in commodity-linked derivatives (including commodity futures, financial futures, options and swap contracts) 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 statement of investments have been consolidated and include investments of the Fund and the Subsidiary. At March 31, 2014, the Fund owned 15,000 shares of the Subsidiary with a market value of $1,378,242.
Structured Securities. The Fund invests in structured securities whose market values, interest rates and/or redemption prices are linked to the performance of underlying foreign currencies, interest rate spreads, stock market indices, prices of individual securities, commodities or other financial instruments or the occurrence of other specific events. The structured securities are often leveraged, increasing the volatility of each note’s market value relative to the change in the underlying linked financial element or event. Fluctuations in value of these securities are recorded as unrealized gains and losses in the accompanying Consolidated Statement of Operations in the annual and semiannual reports. The Fund records a realized gain or loss when a structured security is sold or matures.
Securities on a When-Issued or Delayed Delivery Basis. The Fund may purchase securities on a “when-issued” basis, and may purchase or sell securities on a “delayed delivery” basis. “When-issued” or “delayed delivery” refers to securities whose terms and indenture are available and for which a market exists, but which are not available for immediate delivery. Delivery and payment for securities that have been purchased by the Fund on a when-issued basis normally takes place within six months and possibly as long as two years or more after the trade date. During this period, such securities do not earn interest, are subject to market fluctuation and may increase or decrease in value prior to their delivery. The purchase of securities on a when-issued basis may increase the volatility of the Fund’s net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. When the Fund engages in when-issued or delayed delivery transactions, it relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do so may cause the Fund to lose the opportunity to obtain or dispose of the security at a price and yield it considers advantageous. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase.
As of March 31, 2014, 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 |
$125,777,589 | |||
| Sold securities |
31,094,215 | |||
The Fund may enter into “forward roll” transactions with respect to mortgage-related securities. In this type of transaction, the Fund sells a mortgage-related security to a buyer and simultaneously agrees to repurchase a similar security (same type, coupon and maturity) at a later date at a set price. During the period between the sale and the repurchase, the Fund will not be entitled to receive interest and principal payments on the securities that have been sold. The Fund records the incremental difference between the forward purchase and sale of each forward roll as realized gain (loss) on investments or as fee income in the case of such transactions that have an associated fee in lieu of a difference in the forward purchase and sale price.
Forward roll transactions may be deemed to entail embedded leverage since the Fund purchases mortgage-related securities with extended settlement dates rather than paying for the securities under a normal settlement cycle. This embedded leverage increases the Fund’s market value of investments relative to its net assets which can incrementally increase the volatility of the Fund’s performance. Forward roll transactions can be replicated over multiple settlement periods.
Risks of entering into forward roll transactions include the potential inability of the counterparty to meet the terms of the agreement; the potential of the Fund to receive inferior securities at redelivery as compared to the securities sold to the counterparty; and counterparty credit risk.
Credit Risk. The Fund invests in high-yield, non-investment-grade bonds, which may be subject to a greater degree of credit risk. Credit risk relates to the ability of the issuer to meet interest or principal payments or both as they become due. The Fund may acquire securities that have missed an interest payment, and is not obligated to dispose of securities whose issuers or underlying obligors subsequently miss an interest payment. Information concerning securities not accruing interest as of March 31, 2014 is as follows:
| Cost |
$ | 15,744,672 | ||
| Market Value |
$ | 1,409,838 | ||
| Market value as % of Net Assets |
0.06% |
25 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
| NOTES TO CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
Sovereign Debt Risk. The Fund invests in sovereign debt securities, which are subject to certain special risks. These risks include, but are not limited to, the risk that a governmental entity may delay or refuse, or otherwise be unable, to pay interest or repay the principal on its sovereign debt. There may also be no legal process for collecting sovereign debt that a government does not pay or bankruptcy proceedings through which all or part of such sovereign debt may be collected. In addition, a restructuring or default of sovereign debt may also cause additional impacts to the financial markets, such as downgrades to credit ratings, reduced liquidity and increased volatility, among others.
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 Fund’s 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 IMMF’s Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in IMMF.
Investment in Oppenheimer Master Funds. The Fund is permitted to invest in entities sponsored and/or advised by the Manager or an affiliate. Certain of these entities in which the Fund invests are mutual funds registered under the Investment Company Act of 1940 that expect to be treated as partnerships for tax purposes, specifically Oppenheimer Master Loan Fund, LLC and Oppenheimer Master Event-Linked Bond Fund, LLC (the “Master Funds”). Each Master Fund has its own investment risks, and those risks can affect the value of the Fund’s investments and therefore the value of the Fund’s shares. To the extent that the Fund invests more of its assets in one Master Fund than in another, the Fund will have greater exposure to the risks of that Master Fund.
The investment objective of Oppenheimer Master Loan Fund, LLC is to seek income. The investment objective of Oppenheimer Master Event-Linked Bond Fund, LLC is to seek total return. The Fund’s 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 Fund’s investment in the Master Funds.
Foreign Currency Translation. The Fund’s accounting records are maintained in U.S. dollars. The values of securities denominated in foreign currencies and amounts related to the purchase and sale of foreign securities and foreign investment income are translated into U.S. dollars as of the close of the 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 Fund’s Board has adopted procedures for the valuation of the Fund’s securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a “fair valuation” for any security for which market quotations are not “readily available.” The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
Valuation Methods and Inputs
Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or dealers.
The following methodologies are used to determine the market value or the fair value of the types of securities described below:
Securities traded on a registered U.S. securities exchange (including exchange-traded derivatives other than futures and futures options) are valued based on the last sale price of the security reported on the principal exchange on which it is traded, prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the current day’s closing “bid” and “asked” prices, and if not, at the current day’s closing bid price. A security of a foreign issuer traded on a foreign exchange, but not listed on a registered U.S. securities exchange, is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the third party pricing service used by the Manager, prior to the time when the Fund’s assets are valued. If the last sale price is unavailable, the security is valued at the most recent official closing price on the principal exchange on which it is traded. If the last sales price or official closing price for a foreign security is not available, the security is valued at the mean between the bid and asked price per the exchange or, if not available from the exchange, obtained from two dealers. If bid and asked prices are not available from either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of priority): (1) using a bid from the exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer.
Shares of a registered investment company that are not traded on an exchange are valued at that investment company’s net asset value per share.
Corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, event-linked bonds, loans, mortgage-backed securities, collateralized mortgage obligations, and asset-backed securities are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers who may use matrix pricing methods to determine the evaluated prices.
26 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
| NOTES TO CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
Securities Valuation (Continued)
Short-term money market type debt securities with a remaining maturity of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. Short-term debt securities with a remaining maturity in excess of sixty days are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers.
Structured securities, swaps, swaptions, and other over-the-counter derivatives are valued utilizing evaluated prices obtained from third party pricing services or broker-dealers.
Forward foreign currency exchange contracts are valued utilizing current and forward currency rates obtained from third party pricing services. When the settlement date of a contract is an interim date for which a quotation is not available, interpolated values are derived using the nearest dated forward currency rate.
Futures contracts and futures options traded on a commodities or futures exchange will be valued at the final settlement price or official closing price on the principal exchange as reported by such principal exchange at its trading session ending at, or most recently prior to, the time when the Fund’s assets are valued.
A description of the standard inputs that may generally be considered by the third party pricing vendors in determining their evaluated prices is provided below.
| 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 Fund’s Board or (ii) as determined in good faith by the Manager’s Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. Fair value determinations by the Manager are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Those fair valuation standardized methodologies include, but are not limited to, valuing securities at the last sale price or initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be further adjusted for any discounts related to security-specific resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security.
To assess the continuing appropriateness of security valuations, the Manager, or its third party service provider who is subject to oversight by the Manager, regularly compares prior day prices, prices on comparable securities, and sale prices to the current day prices and challenges those prices exceeding certain tolerance levels with the third party pricing service or broker source. For those securities valued by fair valuations, whether through a standardized fair valuation methodology or a fair valuation determination, the Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available.
Classifications
Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Various data inputs are used in determining the value of each of the Fund’s investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards:
1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange)
2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.)
3) Level 3-significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset or liability).
The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities.
27 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
| NOTES TO CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
Securities Valuation (Continued)
The table below categorizes amounts as of March 31, 2014 based on valuation input level:
| Level 1— Unadjusted |
Level 2— Other Significant Observable Inputs |
Level 3— Significant Unobservable Inputs |
Value | |||||||||||||
|
|
||||||||||||||||
| Assets Table |
| |||||||||||||||
| Investments, at Value: |
| |||||||||||||||
| Asset-Backed Securities |
$ | — | $ | 55,923,416 | $ | 17,633,281 | $ | 73,556,697 | ||||||||
| Mortgage-Backed Obligations |
— | 451,152,633 | 4,372 | 451,157,005 | ||||||||||||
| U.S. Government Obligations |
— | 143,404,702 | — | 143,404,702 | ||||||||||||
| Foreign Government Obligations |
— | 399,069,051 | — | 399,069,051 | ||||||||||||
| Corporate Loans |
— | 72,470,713 | — | 72,470,713 | ||||||||||||
| Corporate Bonds and Notes |
— | 892,169,736 | 2,675,215 | 894,844,951 | ||||||||||||
| Preferred Stock |
— | 2,742,796 | — | 2,742,796 | ||||||||||||
| Common Stocks |
1,980,850 | — | 13,986 | 1,994,836 | ||||||||||||
| Rights, Warrants and Certificates |
— | — | — | — | ||||||||||||
| Structured Securities |
— | 10,811,927 | 10,742,730 | 21,554,657 | ||||||||||||
| Short-Term Notes |
— | 119,735,453 | — | 119,735,453 | ||||||||||||
| Exchange-Traded Option Purchased |
81,641 | — | — | 81,641 | ||||||||||||
| Over-the-Counter Options Purchased |
— | 1,156,275 | — | 1,156,275 | ||||||||||||
| Over-the-Counter Credit Default Swaption Purchased |
— | 17,027 | — | 17,027 | ||||||||||||
| Over-the-Counter Interest Rate Swaptions Purchased |
— | 1,612,503 | — | 1,612,503 | ||||||||||||
| Investment Companies |
129,794,353 | 175,721,020 | — | 305,515,373 | ||||||||||||
|
|
|
|||||||||||||||
| Total Investments, at Value |
131,856,844 | 2,325,987,252 | 31,069,584 | 2,488,913,680 | ||||||||||||
| Other Financial Instruments: |
||||||||||||||||
| Swaps, at value |
— | 994,102 | — | 994,102 | ||||||||||||
| Variation margin receivable - centrally cleared swaps |
— | 56,354 | — | 56,354 | ||||||||||||
| Foreign currency exchange contracts |
— | 8,113,013 | — | 8,113,013 | ||||||||||||
|
|
|
|||||||||||||||
| Total Assets |
$ | 131,856,844 | $ | 2,335,150,721 | $ | 31,069,584 | $ | 2,498,077,149 | ||||||||
|
|
|
|||||||||||||||
| Liabilities Table |
||||||||||||||||
| Other Financial Instruments: |
||||||||||||||||
| Swaps, at value |
$ | — | $ | (130,992 | ) | $ | — | $ | (130,992 | ) | ||||||
| Variation margin payable |
(294,338 | ) | — | — | (294,338 | ) | ||||||||||
| Variation margin payable - centrally cleared swaps |
— | (275,351 | ) | — | (275,351 | ) | ||||||||||
| Options written, at value |
— | (419,047 | ) | — | (419,047 | ) | ||||||||||
| Foreign currency exchange contracts |
— | (14,555,525 | ) | — | (14,555,525 | ) | ||||||||||
| Swaptions written, at value |
— | (2,797,216 | ) | — | (2,797,216 | ) | ||||||||||
|
|
|
|||||||||||||||
| Total Liabilities |
$ | (294,338 | ) | $ | (18,178,131 | ) | $ | — | $ | (18,472,469 | ) | |||||
|
|
|
|||||||||||||||
Currency contracts and forwards, if any, are reported at their unrealized appreciation/ depreciation at measurement date, which represents the change in the contract’s value from trade date. Futures, if any, are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.
The table below shows the transfers between Level 2 and Level 3. The Fund’s policy is to recognize transfers in and transfers out as of the beginning of the reporting period.
| Transfer into Level 2* |
Transfer out of Level 2** |
Transfers into Level 3** |
Transfers out of Level 3* |
|||||||||||||
|
|
||||||||||||||||
| Assets Table |
||||||||||||||||
| Investments, at Value: |
||||||||||||||||
| Asset-Backed Securities |
$ | — | $ | (1,804,570 | ) | $ | 1,804,570 | $ | — | |||||||
| Corporate Bonds and Notes |
441,000 | — | — | (441,000 | ) | |||||||||||
| Common Stocks |
— | (1,428,674 | ) | 1,428,674 | — | |||||||||||
|
|
|
|||||||||||||||
| Total Assets |
$ | 441,000 | $ | (3,233,244 | ) | $ | 3,233,244 | $ | (441,000 | ) | ||||||
|
|
|
|||||||||||||||
* Transferred from Level 3 to Level 2 due to the availability of market data for this security.
** Transferred from Level 2 to Level 3 because of the lack of observable market data due to a decrease in market activity for these securities.
Risk Exposures and the Use of Derivative Instruments
The Fund’s investment objectives not only permit the Fund to purchase investment securities, they also allow the Fund to enter into various types of derivatives contracts, including, but not limited to, futures contracts, forward 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.
28 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
| NOTES TO CONSOLIDATED 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 instrument’s price over a defined time period. Large increases or decreases in a financial instrument’s price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk.
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 Fund’s 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 Fund’s 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 Fund’s actual exposures to these market risk factors and associated risks during the period are discussed in further detail, by derivative type, below.
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 March 31, 2014, the Fund had daily average contract amounts on forward contracts to buy and sell of $476,647,971 and $924,739,424, 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.
29 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
| NOTES TO CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
Risk Exposures and the Use of Derivative Instruments (Continued)
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 merchant’s 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 Fund’s 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 thetatement 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.
During the period ended March 31, 2014, the Fund had an ending monthly average market value of $192,858,339 and $50,337,700 on futures contracts purchased and sold, respectively.
Additional associated risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market where the Fund is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Fund’s securities.
Option Activity
The Fund may buy and sell put and call options, or write put and call options. When an option is written, the Fund receives a premium and becomes obligated to sell or purchase the underlying security, 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.
During the period ended March 31, 2014, the Fund had an ending monthly average market value of $1,804,721 and $482,703 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.
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.
During the period ended March 31, 2014, the Fund had an ending monthly average market value of $126,769 and $219,466 on written call options and written put options, respectively.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
30 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
| NOTES TO CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
Risk Exposures and the Use of Derivative Instruments (Continued)
Written option activity for the period ended March 31, 2014 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, 2013 | 821,440,000 | $ | 353,460 | 1,466,295,000 | $ | 550,387 | ||||||||||
| Options written | 124,130,000 | 167,607 | 1,796,980,000 | 720,927 | ||||||||||||
| Options closed or expired | (462,390,000) | (249,607) | (184,830,000) | (166,601) | ||||||||||||
| Options exercised | (16,000,000) | (18,090) | (1,514,285,000) | (538,809) | ||||||||||||
|
|
|
|||||||||||||||
| Options outstanding as of March 31, 2014 | 467,180,000 | $ | 253,370 | 1,564,160,000 | $ | 565,904 | ||||||||||
|
|
|
|||||||||||||||
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 issuer’s 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 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 March 31, 2014, the Fund had ending monthly average notional amounts of $8,514,846 and $1,830,294 on credit default swaps to buy protection and credit default swaps to sell protection, respectively.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
Interest Rate Swap Contracts. An interest rate swap is an agreement between counterparties to exchange periodic payments based on interest rates. One cash flow stream will typically be a floating rate payment based upon a specified floating interest rate while the other is typically a fixed interest rate.
31 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
| NOTES TO CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
Risk Exposures and the Use of Derivative Instruments (Continued)
The Fund has entered into interest rate swaps in which it pays a floating interest rate and receives a fixed interest rate in order to increase exposure to interest rate risk. Typically, if relative interest rates rise, payments made by the Fund under a swap agreement will be greater than the payments received by the Fund.
The Fund has entered into interest rate swaps in which it pays a fixed interest rate and receives a floating interest rate in order to decrease exposure to interest rate risk. Typically, if relative interest rates rise, payments received by the Fund under the swap agreement will be greater than the payments made by the Fund.
For the period ended March 31, 2014, the Fund had ending monthly average notional amounts of $88,899,701 and $202,558,815 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.
Currency Swap Contracts. A currency swap contract is an agreement between counterparties to exchange different currencies at contract inception that are equivalent to a notional value. The exchange at contract inception is made at the current spot rate. The contract also includes an agreement to reverse the exchange of the same notional values of those currencies at contract termination. The re-exchange at contract termination may take place at the same exchange rate, a specified rate or the then current spot rate. Certain currency swap contracts provide for exchanging the currencies only at contract termination and can provide for only a net payment in the settlement currency, typically USD. A currency swap contract may also include the exchange of periodic payments, between the counterparties, that are based on interest rates available in the respective currencies at contract inception. Other currency swap contracts may not provide for exchanging the different currencies at all, and only for exchanging interest cash flows based on the notional value in the contract.
The Fund has entered into currency swap contracts with the obligation to pay an interest rate on the dollar notional amount and receive an interest rate on various foreign currency notional amounts in order to take a positive investment perspective on the related currencies for which the Fund receives a payment. These currency swap contracts increase exposure to foreign exchange rate risk.
For the period ended March 31, 2014, the Fund had ending monthly average notional amount of $5,125,018 on currency swaps which receive a fixed rate.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
Swaption Transactions
The Fund may enter into a swaption contract which grants the purchaser the right, but not the obligation, to enter into a swap transaction at preset terms detailed in the underlying agreement within a specified period of time. The purchaser pays a premium to the swaption writer who bears the risk of unfavorable changes in the preset terms on the underlying swap.
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 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 has purchased swaptions which gives it the option to enter into an interest rate swap in which it pays a floating interest rate and receives a fixed interest rate in order to increase exposure to interest rate risk. A purchased swaption of this type becomes more valuable as the reference interest rate 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 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.
32 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
| NOTES TO CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
Risk Exposures and the Use of Derivative Instruments (Continued)
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.
During the period ended March 31, 2014, the Fund had an ending monthly average market value of $2,826,505 and $3,575,668 on purchased and written swaptions, respectively.
Written swaption activity for the period ended March 31, 2014 was as follows:
| Call Swaptions | ||||||||
| Notional Amount | Amount of Premiums | |||||||
|
|
||||||||
| Swaptions outstanding as of December 31, 2013 |
472,545,000 | $ | 4,075,481 | |||||
| Swaptions written |
1,332,365,000 | 5,236,579 | ||||||
| Swaptions closed or expired |
(216,530,000) | (699,315) | ||||||
| Swaptions exercised |
(854,120,000) | (5,500,668) | ||||||
|
|
|
|||||||
| Swaptions outstanding as of March 31, 2014 |
734,260,000 | $ | 3,112,077 | |||||
|
|
|
|||||||
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 Fund’s 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 Fund’s 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 aster agreements. If the counterparty fails to perform under these contracts and agreements, the cash and/or securities will be made available to the Fund.
As of March 31, 2014, the Fund has required certain counterparties to post collateral of $2,512,897.
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 Fund’s 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 Fund’s 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 broker’s, futures commission merchant’s or clearinghouse’s 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 Fund’s 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 Fund’s 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.
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.
33 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
| NOTES TO CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
Risk Exposures and the Use of Derivative Instruments (Continued)
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 March 31, 2014, 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 March 31, 2014 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 |
$ | 2,473,728,604 | ||
| Federal tax cost of other investments |
194,731,709 | |||
|
|
|
|||
| Total federal tax cost |
$ | 2,688,460,313 | ||
|
|
|
|||
| Gross unrealized appreciation |
$ | 78,759,229 | ||
| Gross unrealized depreciation |
(61,723,202 | ) | ||
|
|
|
|||
| Net unrealized appreciation |
$ | 17,036,027 | ||
|
|
|
34 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
| STATEMENT OF INVESTMENTS March 31, 2014 / Unaudited |
1 OPPENHEIMER EQUITY INCOME FUND/VA
| STATEMENT OF INVESTMENTS Unaudited / Continued |
2 OPPENHEIMER EQUITY INCOME FUND/VA
| STATEMENT OF INVESTMENTS Unaudited / Continued |
| Exercise Price | Expiration Date |
Contracts | Value | |||||||||||||||||||||
| Exchange-Traded Options Purchased—0.0% |
||||||||||||||||||||||||
| Beazer Homes USA, Inc. Put1 |
USD | 18.000 | 4/19/14 | USD | 10 | $ | 150 | |||||||||||||||||
| Citigroup, Inc. Put1 |
USD | 45.000 | 4/19/14 | USD | 20 | 460 | ||||||||||||||||||
| Merck & Co., Inc. Put1 |
USD | 50.000 | 4/19/14 | USD | 10 | 50 | ||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| Total Exchange-Traded Options Purchased (Cost $1,196)
|
|
660
|
| |||||||||||||||||||||
| Total Investments, at Value (Cost $9,877,059) |
100.1% | 11,129,034 | ||||||||||||||||||||||
| Liabilities in Excess of Other Assets |
(0.1) | (8,447 | ) | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| Net Assets |
100.0% | $ | 11,120,587 | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
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 pledged to cover margin requirements with respect to outstanding written options. The aggregate market value of such securities is $161,724. 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 $390,425 or 3.51% of the Fund’s net assets as of March 31, 2014.
4. This security is not accruing income because the issuer has missed an interest payment on it and/or is not anticipated to make future interest and or principal payments. The rate shown is the original contractual interest rate. See accompanying Notes.
5. Represents the current interest rate for a variable or increasing rate security.
6. Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended March 31, 2014, 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, 2013 |
Gross Additions |
Gross Reductions |
Shares March 31, 2014 |
|||||||||||||
| Oppenheimer Institutional Money Market Fund, Cl. E |
59,001 | 351,751 | 370,578 | 40,174 | ||||||||||||
| Value | Income | |||||||||||||||
| Oppenheimer Institutional Money Market Fund, Cl. E |
$ 40,174 | $ 8 | ||||||||||||||
7. Rate shown is the 7-day yield as of March 31, 2014.
| Exchange-Traded Options Written at March 31, 2014 | ||||||||||||||||||||||||||||
| Description | Exercise Price | Expiration Date | Number of Contracts | Premiums Received | Value | |||||||||||||||||||||||
| AT&T, Inc. Call |
USD | 36.000 | 5/17/14 | USD | (10 | ) | $ | 239 | $ | (260 | ) | |||||||||||||||||
| Beazer Homes USA, Inc. Put |
USD | 20.000 | 4/19/14 | USD | (7 | ) | 567 | (385 | ) | |||||||||||||||||||
| EMC Corp. Call |
USD | 28.000 | 4/19/14 | USD | (5 | ) | 211 | (125 | ) | |||||||||||||||||||
| Foot Locker, Inc. Call |
USD | 46.000 | 4/19/14 | USD | (5 | ) | 635 | (775 | ) | |||||||||||||||||||
| Foot Locker, Inc. Call |
USD | 45.000 | 4/19/14 | USD | (5 | ) | 934 | (1,050 | ) | |||||||||||||||||||
| J.C. Penney Co., Inc. Put |
USD | 9.000 | 4/19/14 | USD | (55 | ) | 5,238 | (3,410 | ) | |||||||||||||||||||
| McDonald’s Corp. Call |
USD | 100.000 | 4/19/14 | USD | (2 | ) | 170 | (58 | ) | |||||||||||||||||||
| Merck & Co., Inc. Put |
USD | 55.000 | 4/19/14 | USD | (5 | ) | 514 | (200 | ) | |||||||||||||||||||
| Microsoft Corp. Call |
USD | 41.000 | 4/19/14 | USD | (15 | ) | 927 | (1,110 | ) | |||||||||||||||||||
| Microsoft Corp. Call |
USD | 40.000 | 4/19/14 | USD | (5 | ) | 330 | (680 | ) | |||||||||||||||||||
| Radian Group, Inc. Put |
USD | 14.000 | 5/17/14 | USD | (15 | ) | 690 | (675 | ) | |||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| Total Exchange-Traded Options Written |
|
$ | 10,455 | $ | (8,728 | ) | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
Glossary:
Currency abbreviations indicate amounts reporting in currency
| USD |
United States Dollar |
3 OPPENHEIMER EQUITY INCOME FUND/VA
| NOTES TO STATEMENT OF INVESTMENTS Unaudited |
Oppenheimer Equity Income Fund/VA (the “Fund”) is a separate series of Oppenheimer Variable Account Funds, a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended. The Fund’s investment objective is to seek total return. The Fund’s investment adviser is OFI Global Asset Management, Inc. (“OFI Global” or the “Manager”), a wholly-owned subsidiary of OFI. The Manager has entered into a sub-advisory agreement with OFI. Shares of the Fund are sold only to separate accounts of life insurance companies.
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 Fund’s investment in IMMF is included in the Statement of Investments. Shares of IMMF are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of IMMF’s Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in IMMF.
Foreign Currency Translation. The Fund’s accounting records are maintained in U.S. dollars. The values of securities denominated in foreign currencies and amounts related to the purchase and sale of foreign securities and foreign investment income are translated into U.S. dollars as of the close of the 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.
Credit Risk. The Fund invests in high-yield, non-investment-grade bonds, which may be subject to a greater degree of credit risk. Credit risk relates to the ability of the issuer to meet interest or principal payments or both as they become due. The Fund may acquire securities that have missed an interest payment, and is not obligated to dispose of securities whose issuers or underlying obligors subsequently miss an interest payment. Information concerning securities not accruing interest as of March 31, 2014 is as follows:
| Cost |
$ | 52,450 | ||
| Market Value |
$ | 57,050 | ||
| Market value as % of Net Assets |
0.51% |
Securities Valuation
The Fund calculates the net asset value of its shares as of the close of the New York Stock Exchange (the “Exchange”), normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading.
The Fund’s Board has adopted procedures for the valuation of the Fund’s securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a “fair valuation” for any security for which market quotations are not “readily available.” The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
Valuation Methods and Inputs
Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or dealers.
The following methodologies are used to determine the market value or the fair value of the types of securities described below:
Securities traded on a registered U.S. securities exchange (including exchange-traded derivatives other than futures and futures options) are valued based on the last sale price of the security reported on the principal exchange on which it is traded, prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the current day’s closing “bid” and “asked” prices, and if not, at the current day’s closing bid price. A security of a foreign issuer traded on a foreign exchange, but not listed on a registered U.S. securities exchange, is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the third party pricing service used by the Manager, prior to the time when the Fund’s assets are valued. If the last sale price is unavailable, the security is valued at the most recent official closing price on the principal exchange on which it is traded. If the last sales price or official closing price for a foreign security is not available, the security is valued at the mean between the bid and asked price per the exchange or, if not available from the exchange, obtained from two dealers. If bid and asked prices are not available from either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of priority): (1) using a bid from the exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer.
Shares of a registered investment company that are not traded on an exchange are valued at that investment company’s net asset value per share.
Corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, event-linked bonds, loans, mortgage-backed securities, collateralized mortgage obligations, and asset-backed securities are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers who may use matrix pricing methods to determine the evaluated prices.
Short-term money market type debt securities with a remaining maturity of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. Short-term debt securities with a remaining maturity in excess of sixty days are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers.
4 OPPENHEIMER EQUITY INCOME FUND/VA
| NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued |
Securities Valuation (Continued)
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 Fund’s Board or (ii) as determined in good faith by the Manager’s Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. Fair value determinations by the Manager are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Those fair valuation standardized methodologies include, but are not limited to, valuing securities at the last sale price or initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be further adjusted for any discounts related to security-specific resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security.
To assess the continuing appropriateness of security valuations, the Manager, or its third party service provider who is subject to oversight by the Manager, regularly compares prior day prices, prices on comparable securities, and sale prices to the current day prices and challenges those prices exceeding certain tolerance levels with the third party pricing service or broker source. For those securities valued by fair valuations, whether through a standardized fair valuation methodology or a fair valuation determination, the Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available.
Classifications
Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Various data inputs are used in determining the value of each of the Fund’s investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards:
1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange)
2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.)
3) Level 3-significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset or liability).
The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities.
The table below categorizes amounts as of March 31, 2014 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 |
$ | 1,606,474 | $ | — | $ | — | $ | 1,606,474 | ||||||||
| Consumer Staples |
586,576 | — | — | 586,576 | ||||||||||||
| Energy |
1,197,794 | — | — | 1,197,794 | ||||||||||||
| Financials |
2,538,007 | — | — | 2,538,007 | ||||||||||||
| Health Care |
889,527 | — | — | 889,527 | ||||||||||||
| Industrials |
574,463 | — | — | 574,463 | ||||||||||||
| Information Technology |
923,555 | — | — | 923,555 | ||||||||||||
| Materials |
592,282 | — | — | 592,282 | ||||||||||||
| Telecommunication Services |
629,932 | — | — | 629,932 | ||||||||||||
| Utilities |
308,288 | — | — | 308,288 | ||||||||||||
| Preferred Stocks |
112,202 | 70,681 | — | 182,883 | ||||||||||||
5 OPPENHEIMER EQUITY INCOME 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 | |||||||||||||
| Non-Convertible Corporate Bonds and Notes |
$ | — | $ | 102,675 | $ | — | $ | 102,675 | ||||||||
| Convertible Corporate Bonds and Notes |
— | 955,744 | — | 955,744 | ||||||||||||
| Investment Company |
40,174 | — | — | 40,174 | ||||||||||||
| Exchange-Traded Options Purchased |
660 | — | — | 660 | ||||||||||||
|
|
|
|||||||||||||||
| Total Assets |
$ | 9,999,934 | $ | 1,129,100 | $ | — | $ | 11,129,034 | ||||||||
|
|
|
|||||||||||||||
| Liabilities Table |
||||||||||||||||
| Other Financial Instruments: |
||||||||||||||||
| Options written, at value |
$ | — | $ | (8,728 | ) | $ | — | $ | (8,728 | ) | ||||||
|
|
|
|||||||||||||||
| Total Liabilities |
$ | — | $ | (8,728 | ) | $ | — | $ | (8,728 | ) | ||||||
|
|
|
|||||||||||||||
Currency contracts and forwards, if any, are reported at their unrealized appreciation/ depreciation at measurement date, which represents the change in the contract’s value from trade date. Futures, if any, are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.
Risk Exposures and the Use of Derivative Instruments
The Fund’s investment objectives not only permit the Fund to purchase investment securities, they also allow the Fund to enter into various types of derivatives contracts, including, but not limited to, futures contracts, forward 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 instrument’s price over a defined time period. Large increases or decreases in a financial instrument’s price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk.
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 Fund’s 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 Fund’s 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 Fund’s actual exposures to these market risk factors and associated risks during the period are discussed in further detail, by derivative type, below.
6 OPPENHEIMER EQUITY INCOME FUND/VA
| NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued |
Risk Exposures and the Use of Derivative Instruments (Continued)
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.
The Fund has purchased call options on individual equity securities and/or equity indexes to increase exposure to equity risk. A purchased call option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price.
The Fund has purchased put options on individual equity securities and/or equity indexes to decrease exposure to equity risk. A purchased put option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price.
During the period ended March 31, 2014, the Fund had an ending monthly average market value of $1 and $268 on purchased call options and purchased put options, respectively.
Options written, if any, are reported in a schedule following the Statement of Investments and as a liability in the Statement of Assets and Liabilities in the annual and semiannual reports. Securities held in 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.
During the period ended March 31, 2014, the Fund had an ending monthly average market value of $2,410 and $5,948 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 March 31, 2014 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, 2013 |
25 | $ | 2,744 | 85 | $ | 6,599 | ||||||||||
| Options written |
138 | 9,217 | 137 | 17,327 | ||||||||||||
| Options closed or expired |
(75) | (5,481) | (85) | (6,905) | ||||||||||||
| Options exercised |
(41) | (3,034) | (55) | (10,012) | ||||||||||||
|
|
|
|||||||||||||||
| Options outstanding as of March 31, 2014 |
47 | $ | 3,446 | 82 | $ | 7,009 | ||||||||||
|
|
|
|||||||||||||||
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 Fund’s 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 broker’s, futures commission merchant’s or clearinghouse’s customers, potentially resulting in losses to the Fund.
7 OPPENHEIMER EQUITY INCOME FUND/VA
| NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued |
Risk Exposures and the Use of Derivative Instruments (Continued)
There is the risk that a broker, futures commission merchant or clearinghouse will decline to clear a transaction on the Fund’s 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 Fund’s 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 March 31, 2014 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 |
$ | 9,948,098 | ||
| Federal tax cost of other investments |
(10,455 | ) | ||
|
|
|
|||
| Total federal tax cost |
$ | 9,937,643 | ||
|
|
|
|||
| Gross unrealized appreciation |
$ | 1,398,882 | ||
| Gross unrealized depreciation |
(216,219 | ) | ||
|
|
|
|||
| Net unrealized appreciation |
$ | 1,182,663 | ||
|
|
|
8 OPPENHEIMER EQUITY INCOME FUND/VA
|
CONSOLIDATED STATEMENT OF INVESTMENTS March 31, 2014 / Unaudited |
1 OPPENHEIMER DIVERSIFIED ALTERNATIVES FUND/VA
|
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
2 OPPENHEIMER DIVERSIFIED ALTERNATIVES FUND/VA
|
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
3 OPPENHEIMER DIVERSIFIED ALTERNATIVES FUND/VA
|
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
| Exercise Price | Expiration Date |
Contracts | ||||||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Exchange-Traded Options Purchased—0.0% | ||||||||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Allied Nevada Gold Corp. Call1 | USD | 6.000 | 4/19/14 | USD | 28 | 140 | ||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Allied Nevada Gold Corp. Call1 | USD | 5.000 | 6/21/14 | USD | 46 | 1,610 | ||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Dow Jones-UBS Commodity Index Put1 | USD | 135.300 | 9/10/14 | USD | 2956 | 12,385 | ||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Gold Fields Ltd. Call1 | USD | 4.000 | 10/18/14 | USD | 46 | 1,840 | ||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| IAMGOLD Corp. Call1 | USD | 4.000 | 6/21/14 | USD | 108 | 2,052 | ||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Kinross Gold Corp. Call1 | USD | 5.000 | 8/16/14 | USD | 32 | 672 | ||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Novagold Resources, Inc. Call1 | USD | 3.500 | 6/21/14 | USD | 46 | 2,300 | ||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
| Total Exchange-Traded Options Purchased (Cost $33,103) | 20,999 | |||||||||||||||||||||||||||||||
| Counterparty | Exercise Price | Expiration Date | ||||||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Over-the-Counter Options Purchased—0.1% | ||||||||||||||||||||||||||||||||
| CAD Currency Put1 | JPM | CAD | 1.135 | 7/15/14 | CAD | 3,670,000 | 23,173 | |||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| EUR Currency Put1 | BOA | PLN | 4.160 | 7/4/14 | EUR | 150,000 | 1,741 | |||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| EUR Currency Put1 | BOA | PLN | 4.160 | 7/4/14 | EUR | 1,400,000 | 16,244 | |||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| MXN Currency Call1 | JPM | MXN | 13.400 | 7/29/14 | MXN | 33,425,000 | 82,526 | |||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| NZD Currency Put1 | GSG | USD | 0.820 | 6/10/14 | NZD | 115,000 | 319 | |||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| NZD Currency Put1 | GSG | USD | 0.820 | 6/10/14 | NZD | 115,000 | 319 | |||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| NZD Currency Put1 | GSG | USD | 0.820 | 6/10/14 | NZD | 2,300,000 | 6,387 | |||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| RUB Currency Call1 | BAC | RUB | 35.250 | 6/25/14 | RUB | 35,700,000 | 14,244 | |||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
| Total Over-the-Counter Options Purchased (Cost $224,181) | 144,953 | |||||||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Total Investments, at Value (Cost $109,632,862) | 100.3% | 112,298,839 | ||||||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Liabilities in Excess of Other Assets | (0.3) | (307,351) | ||||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
| Net Assets | 100.0% | $ | 111,991,488 | |||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
4 OPPENHEIMER DIVERSIFIED ALTERNATIVES FUND/VA
|
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
Footnotes to Consolidated Statement of Investments
1. Non-income producing security.
2. All or a portion of the security position is held in segregated accounts and pledged to cover margin requirements with respect to outstanding written options. The aggregate market value of such securities is $73,475. See accompanying Consolidated Notes.
3. The Fund holds securities which have been issued by the same entity and that trade on separate exchanges.
4. Restricted security. The aggregate value of restricted securities as of March 31, 2014 was $268,962, which represents 0.24% of the Fund’s net assets. See accompanying Consolidated Notes. Information concerning restricted securities is as follows:
| Security | Acquisition Date |
Cost | Value | Unrealized Appreciation |
||||||||||||
|
|
||||||||||||||||
| Bosphorus 1 Re Ltd. Catastrophe Linked Nts., 2.53%, 5/3/16 |
3/11/14 | $ | 249,625 | $ | 250,906 | $ | 1,281 | |||||||||
| Primero Mining Corp., Legend Shares | 3/6/14 | 16,364 | 18,056 | 1,692 | ||||||||||||
|
|
|
|||||||||||||||
| $ | 265,989 | $ | 268,962 | $ | 2,973 | |||||||||||
|
|
|
|||||||||||||||
5. 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 $7,613,331 or 6.80% of the Fund’s net assets as of March 31, 2014.
6. All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after March 31, 2014. See accompanying Consolidated Notes.
7. 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 Consolidated Notes.
8. Represents the current interest rate for a variable or increasing rate security.
9. Zero coupon bond reflects effective yield on the date of purchase.
10. All or 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 $399,951. See accompanying Consolidated Notes.
11. Is or was an affiliate, as defined in the Investment Company Act of 1940, at or during the period ended March 31, 2014, 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, 2013 |
Gross Additions |
Gross Reductions |
Shares March 31, 2014 |
|||||||||||||
|
|
||||||||||||||||
| Oppenheimer Institutional Money Market Fund, Cl. E |
2,007,344 | 140,815,145 | 118,924,369 | 23,898,120 | ||||||||||||
| Oppenheimer Master Event-Linked Bond Fund, LLC |
10,967 | — | 10,967 | — | ||||||||||||
| Oppenheimer Master Loan Fund, LLC | 3,578 | — | 3,578 | — | ||||||||||||
| Value | Income | Realized Gain (Loss) | ||||||||||||
|
|
||||||||||||||
| Oppenheimer Institutional Money Market Fund, Cl. E | $ | 23,898,120 | $ | 4,940 | $ | — | ||||||||
| Oppenheimer Master Event-Linked Bond Fund, LLC | — | 207a | 1 a | |||||||||||
| Oppenheimer Master Loan Fund, LLC | — | 141b | (18)b | |||||||||||
|
|
|
|||||||||||||
| Total | $ | 23,898,120 | $ | 5,288 | $ | (17) | ||||||||
|
|
|
|||||||||||||
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.
12. Rate shown is the 7-day yield as of March 31, 2014.
| Forward Currency Exchange Contracts as of March 31, 2014 |
| Counterparty | Settlement Month(s) | Currency Purchased (000’s) | Currency Sold (000’s) | Unrealized Appreciation |
Unrealized Depreciation |
|||||||||||||||||||
|
|
||||||||||||||||||||||||
| BAC | 01/2015 | AUD | 40 | USD | 35 | $ | 1,037 | $ | — | |||||||||||||||
| BAC | 01/2015 | CAD | 128 | USD | 116 | — | 709 | |||||||||||||||||
| BAC | 01/2015 | CHF | 25 | USD | 28 | 168 | — | |||||||||||||||||
| BAC | 08/2014 | CZK | 10,440 | USD | 518 | 6,279 | — | |||||||||||||||||
| BAC | 07/2014 | INR | 7,800 | USD | 127 | 141 | — | |||||||||||||||||
| BAC | 01/2015 | JPY | 17,000 | USD | 166 | — | 1,128 | |||||||||||||||||
| BAC | 08/2014 | PHP | 24,500 | USD | 543 | 2,886 | — | |||||||||||||||||
| BAC | 08/2014 | PLN | 3,755 | USD | 1,223 | 8,893 | — | |||||||||||||||||
| BAC | 08/2014 | RUB | 19,600 | USD | 543 | 1,780 | 3,858 | |||||||||||||||||
| BAC | 08/2014 | SEK | 6,660 | USD | 1,028 | 1,387 | 2,890 | |||||||||||||||||
| BAC | 01/2015 | USD | 186 | AUD | 215 | — | 9,527 | |||||||||||||||||
| BAC | 08/2014 | USD | 1,172 | CZK | 23,370 | 672 | 2,320 | |||||||||||||||||
| BAC | 01/2015 | USD | 58 | GBP | 35 | — | 393 | |||||||||||||||||
| BAC | 08/2014 | USD | 387 | SGD | 490 | — | 2,829 | |||||||||||||||||
| BAC | 08/2014 | ZAR | 5,810 | USD | 506 | 33,844 | — | |||||||||||||||||
| BNP | 08/2014 | CNH | 3,125 | USD | 515 | — | 13,904 | |||||||||||||||||
| BNP | 08/2014 | THB | 17,500 | USD | 526 | 10,661 | — | |||||||||||||||||
| BNP | 04/2014 | USD | 10 | ZAR | 110 | — | 745 | |||||||||||||||||
| BOA | 04/2014 | BRL | 1,235 | USD | 521 | 23,075 | — | |||||||||||||||||
| BOA | 08/2014 | CLP | 304,000 | USD | 548 | 447 | 983 | |||||||||||||||||
| BOA | 08/2014 | COP | 1,050,000 | USD | 505 | 21,672 | — | |||||||||||||||||
| BOA | 08/2014 | HUF | 22,700 | USD | 98 | 2,565 | — | |||||||||||||||||
| BOA | 08/2014 | IDR | 6,332,600 | USD | 510 | 42,350 | — | |||||||||||||||||
| BOA | 08/2014 | INR | 32,000 | USD | 495 | 25,046 | — | |||||||||||||||||
| BOA | 04/2014 | KRW | 345,000 | USD | 323 | 603 | — | |||||||||||||||||
| BOA | 08/2014 | MYR | 445 | USD | 132 | 3,406 | — | |||||||||||||||||
5 OPPENHEIMER DIVERSIFIED ALTERNATIVES FUND/VA
|
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
| Forward Currency Exchange Contracts (Continued) |
| Counterparty | Settlement Month(s) | Currency Purchased (000’s) | Currency Sold (000’s) | Unrealized Appreciation |
Unrealized Depreciation |
|||||||||||||||||||
|
|
||||||||||||||||||||||||
| BOA | 08/2014 | PEN | 1,549 | USD | 534 | $ | 8,609 | $ | — | |||||||||||||||
| BOA | 04/2014 - 08/2014 | TWD | 48,300 | USD | 1,599 | 66 | 10,206 | |||||||||||||||||
| BOA | 04/2014 | USD | 492 | BRL | 1,160 | — | 19,400 | |||||||||||||||||
| BOA | 04/2014 - 08/2014 | USD | 1,558 | CLP | 880,410 | — | 29,472 | |||||||||||||||||
| BOA | 08/2014 | USD | 151 | HUF | 34,000 | — | 213 | |||||||||||||||||
| BOA | 08/2014 | USD | 1,525 | SEK | 9,950 | 1,483 | 10,400 | |||||||||||||||||
| CITNA-B | 08/2014 | AUD | 67 | USD | 59 | 2,379 | — | |||||||||||||||||
| CITNA-B | 04/2014 - 01/2015 | CAD | 1,870 | USD | 1,675 | 15,139 | — | |||||||||||||||||
| CITNA-B | 01/2015 | EUR | 1,985 | USD | 2,719 | 15,862 | 154 | |||||||||||||||||
| CITNA-B | 01/2015 | GBP | 155 | USD | 255 | 3,136 | — | |||||||||||||||||
| CITNA-B | 08/2014 | HKD | 4,015 | USD | 518 | 134 | — | |||||||||||||||||
| CITNA-B | 08/2014 | HUF | 16,000 | USD | 70 | 757 | — | |||||||||||||||||
| CITNA-B | 08/2014 | ILS | 1,810 | USD | 513 | 5,848 | — | |||||||||||||||||
| CITNA-B | 04/2014 - 08/2014 | MXN | 8,140 | USD | 607 | 11,988 | — | |||||||||||||||||
| CITNA-B | 04/2014 - 01/2015 | USD | 2,216 | CAD | 2,452 | 3,028 | 211 | |||||||||||||||||
| CITNA-B | 08/2014 - 01/2015 | USD | 575 | EUR | 420 | 1,564 | 5,395 | |||||||||||||||||
| CITNA-B | 08/2014 - 01/2015 | USD | 2,728 | JPY | 278,700 | 27,025 | 930 | |||||||||||||||||
| CITNA-B | 04/2014 | USD | 171 | MXN | 2,300 | — | 5,106 | |||||||||||||||||
| CITNA-B | 04/2014 | USD | 174 | ZAR | 1,920 | — | 7,327 | |||||||||||||||||
| DEU | 01/2015 | CHF | 5 | USD | 6 | — | 78 | |||||||||||||||||
| DEU | 01/2015 | EUR | 610 | USD | 840 | 2,204 | 1,932 | |||||||||||||||||
| DEU | 01/2015 | GBP | 20 | USD | 33 | 279 | — | |||||||||||||||||
| DEU | 01/2015 | USD | 22 | CHF | 20 | — | 317 | |||||||||||||||||
| DEU | 08/2014 - 01/2015 | USD | 3,624 | EUR | 2,645 | 7,679 | 26,715 | |||||||||||||||||
| DEU | 01/2015 | USD | 1,819 | GBP | 1,105 | — | 18,783 | |||||||||||||||||
| GSCO-OT | 05/2014 | BRL | 42 | USD | 18 | 208 | — | |||||||||||||||||
| GSCO-OT | 08/2014 | CHF | 472 | USD | 527 | 7,465 | — | |||||||||||||||||
| GSCO-OT | 07/2014 | INR | 43,300 | USD | 707 | 435 | — | |||||||||||||||||
| GSCO-OT | 08/2014 | NOK | 9,440 | USD | 1,532 | 36,005 | — | |||||||||||||||||
| GSCO-OT | 08/2014 | NZD | 623 | USD | 508 | 27,016 | — | |||||||||||||||||
| GSCO-OT | 01/2015 | USD | 26 | AUD | 30 | — | 1,037 | |||||||||||||||||
| GSCO-OT | 04/2014 | USD | 18 | BRL | 41 | — | 222 | |||||||||||||||||
| GSCO-OT | 07/2014 | USD | 1,378 | CHF | 1,252 | — | 39,107 | |||||||||||||||||
| GSCO-OT | 08/2014 | USD | 307 | COP | 631,700 | — | 10,323 | |||||||||||||||||
| GSCO-OT | 01/2015 | USD | 655 | EUR | 480 | — | 6,260 | |||||||||||||||||
| GSCO-OT | 01/2015 | USD | 157 | JPY | 16,000 | 1,651 | — | |||||||||||||||||
| GSCO-OT | 08/2014 | USD | 2,115 | KRW | 2,268,000 | — | 2,315 | |||||||||||||||||
| GSCO-OT | 08/2014 | USD | 292 | MXN | 3,920 | — | 5,136 | |||||||||||||||||
| JPM | 08/2014 | HUF | 73,800 | USD | 321 | 7,603 | — | |||||||||||||||||
| JPM | 07/2014 | INR | 48,000 | USD | 763 | 21,149 | — | |||||||||||||||||
| JPM | 04/2014 | KRW | 413,000 | USD | 387 | 559 | — | |||||||||||||||||
| JPM | 08/2014 | PLN | 1,585 | USD | 511 | 8,906 | — | |||||||||||||||||
| JPM | 08/2014 | TRY | 470 | USD | 202 | 9,838 | — | |||||||||||||||||
| JPM | 01/2015 | USD | 114 | GBP | 70 | — | 1,914 | |||||||||||||||||
| JPM | 08/2014 | USD | 321 | HUF | 73,800 | — | 7,410 | |||||||||||||||||
| JPM | 08/2014 | USD | 399 | MYR | 1,315 | — | 2,394 | |||||||||||||||||
| JPM | 04/2014 | USD | 500 | RUB | 17,900 | — | 5,522 | |||||||||||||||||
| JPM | 08/2014 | USD | 4 | SGD | 5 | — | 39 | |||||||||||||||||
| MSCO | 01/2015 | AUD | 230 | USD | 197 | 11,609 | — | |||||||||||||||||
| MSCO | 05/2014 | BRL | 33 | USD | 15 | 49 | — | |||||||||||||||||
| MSCO | 01/2015 | CHF | 10 | USD | 11 | 216 | — | |||||||||||||||||
| MSCO | 01/2015 | JPY | 20,000 | USD | 198 | — | 3,942 | |||||||||||||||||
| MSCO | 04/2014 | USD | 15 | BRL | 34 | — | 62 | |||||||||||||||||
| MSCO | 08/2014 | USD | 508 | NZD | 620 | — | 23,978 | |||||||||||||||||
| RBS | 01/2015 | CAD | 120 | USD | 107 | 456 | — | |||||||||||||||||
| RBS | 08/2014 | USD | 1,014 | CAD | 1,125 | — | 645 | |||||||||||||||||
| RBS | 08/2014 | USD | 43 | GBP | 26 | — | 710 | |||||||||||||||||
| RBS | 04/2014 | USD | 188 | RUB | 6,800 | — | 4,016 | |||||||||||||||||
|
|
|
|||||||||||||||||||||||
| Total Unrealized Appreciation and Depreciation | $ | 427,257 | $ | 290,957 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
6 OPPENHEIMER DIVERSIFIED ALTERNATIVES FUND/VA
|
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
| Futures Contracts as of March 31, 2014 |
| Description | Exchange | Buy/Sell | Expiration Date | Number of Contracts |
Value | Unrealized Appreciation (Depreciation) |
||||||||||||||||||
|
|
||||||||||||||||||||||||
| Brent Crude Oil | ICE | Buy | 4/15/14 | 16 | $ | 1,724,160 | $ | 448 | ||||||||||||||||
| Brent Crude Oil | ICE | Sell | 6/13/14 | 4 | 429,600 | (7,646) | ||||||||||||||||||
| CAC 40 10 Index | PAR | Sell | 4/17/14 | 22 | 1,330,837 | (26,085) | ||||||||||||||||||
| CBOE Volatility Index | CBE | Sell | 5/20/14 | 8 | 126,800 | 4,632 | ||||||||||||||||||
| Corn | CBT | Sell | 5/14/14 | 10 | 251,000 | (7,575) | ||||||||||||||||||
| Corn | CBT | Buy | 12/12/14 | 4 | 99,650 | 1,990 | ||||||||||||||||||
| FTSE 100 Index | LIF | Sell | 6/20/14 | 11 | 1,199,990 | (2,765) | ||||||||||||||||||
| FTSE China A50 Index | SGX | Buy | 4/29/14 | 33 | 217,965 | (113) | ||||||||||||||||||
| Gold (100 oz.) | CMX | Sell | 6/26/14 | 2 | 256,760 | 4,176 | ||||||||||||||||||
| Lean Hogs | CME | Sell | 6/13/14 | 5 | 254,350 | (3,800) | ||||||||||||||||||
| Lean Hogs | CME | Sell | 4/14/14 | 4 | 201,600 | (20,731) | ||||||||||||||||||
| Lean Hogs | CME | Buy | 10/14/14 | 10 | 411,600 | 30,475 | ||||||||||||||||||
| London Metal Exchange Copper | LME | Sell | 6/16/14 | 1 | 166,238 | (2,481) | ||||||||||||||||||
| London Metal Exchange Lead | LME | Buy | 5/19/14 | 1 | 51,475 | (1,156) | ||||||||||||||||||
| London Metal Exchange Zinc | LME | Buy | 10/13/14 | 1 | 50,200 | (1,325) | ||||||||||||||||||
| Natural Gas | NYM | Sell | 8/27/14 | 3 | 132,600 | 3,614 | ||||||||||||||||||
| Natural Gas | NYM | Sell | 6/26/14 | 6 | 266,640 | 5,798 | ||||||||||||||||||
| New York Harbor ULSD | NYM | Buy | 7/31/14 | 2 | 245,557 | 2,045 | ||||||||||||||||||
| Palladium | NYM | Sell | 6/26/14 | 1 | 77,710 | 1,313 | ||||||||||||||||||
| Platinum | NYM | Buy | 7/29/14 | 5 | 355,200 | (7,370) | ||||||||||||||||||
| RBOB Gasoline | NYM | Sell | 7/31/14 | 2 | 239,299 | (8,295) | ||||||||||||||||||
| RBOB Gasoline | NYM | Buy | 6/30/14 | 4 | 483,773 | 10,576 | ||||||||||||||||||
| S&P 500 E-Mini Index | CME | Sell | 6/20/14 | 8 | 745,840 | (1,381) | ||||||||||||||||||
| S&P/TSX 60 Index | MON | Sell | 6/19/14 | 2 | 295,975 | (2,217) | ||||||||||||||||||
| Soybeans | CBT | Sell | 5/14/14 | 2 | 146,400 | (3,830) | ||||||||||||||||||
| SPI 200 Index | SFE | Sell | 6/19/14 | 5 | 625,183 | (4,531) | ||||||||||||||||||
| Sugar #11 World | NYB | Sell | 4/30/14 | 1 | 19,902 | (1,436) | ||||||||||||||||||
| United States Treasury Long Bonds | CBT | Buy | 6/19/14 | 8 | 1,065,750 | 5,116 | ||||||||||||||||||
| Wheat | CBT | Buy | 7/14/14 | 1 | 35,075 | 2,122 | ||||||||||||||||||
| Wheat | KC | Sell | 7/14/14 | 10 | 382,625 | (51,351) | ||||||||||||||||||
| Wheat | KC | Buy | 5/14/14 | 10 | 382,000 | 45,875 | ||||||||||||||||||
| WTI Crude Oil | NYM | Buy | 11/20/14 | 20 | 1,906,600 | 96,960 | ||||||||||||||||||
| WTI Crude Oil | NYM | Sell | 5/20/14 | 20 | 2,016,400 | (34,164) | ||||||||||||||||||
| WTI Crude Oil | NYM | Sell | 4/22/14 | 1 | 101,580 | (32) | ||||||||||||||||||
| WTI Crude Oil | ICE | Sell | 4/21/14 | 16 | 1,625,280 | (5,812) | ||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| $ | 21,044 | |||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| Exchange-Traded Options Written at March 31, 2014 |
| Description | Exercise Price | Expiration Date | Number of Contracts | Premiums Received | Value | |||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Agnico Eagle Mines Ltd. Put | USD | 27.500 | 8/16/14 | USD | (12) | $ | 1,631 | $ | (2,082) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Agnico Eagle Mines Ltd. Call | USD | 35.000 | 5/17/14 | USD | (11) | 2,516 | (451) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Alamos Gold, Inc. Put | CAD | 11.000 | 7/19/14 | CAD | (25) | 2,277 | (3,505) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Coeur D Alene Mines Put | USD | 10.000 | 9/20/14 | USD | (12) | 1,373 | (1,920) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Detour Gold Corp. Put | CAD | 9.000 | 10/18/14 | CAD | (21) | 1,788 | (2,469) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| First Majestic Silver Corp. Put | USD | 10.000 | 7/19/14 | USD | (2) | 269 | (232) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| First Quantum Minerals Ltd. Put | CAD | 18.000 | 7/19/14 | CAD | (24) | 2,093 | (1,085) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| First Quantum Minerals Ltd. Put | CAD | 20.000 | 7/19/14 | CAD | (22) | 2,345 | (2,299) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Franco-Nevada Corp. Call | USD | 65.000 | 10/18/14 | USD | (25) | 3,424 | (1,250) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Franco-Nevada Corp. Call | USD | 55.000 | 7/19/14 | USD | (25) | 2,763 | (1,875) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Franco-Nevada Corp. Call | USD | 55.000 | 4/19/14 | USD | (25) | 2,428 | (187) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Franco-Nevada Corp. Call | USD | 60.000 | 7/19/14 | USD | (25) | 2,612 | (813) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Freeport-McMoRan Copper & Gold, Inc. Put | USD | 31.000 | 8/16/14 | USD | (23) | 2,736 | (3,519) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Freeport-McMoRan Copper & Gold, Inc. Put | USD | 30.000 | 8/16/14 | USD | (23) | 3,115 | (2,691) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Freeport-McMoRan Copper & Gold, Inc. Put | USD | 27.000 | 11/22/14 | USD | (24) | 3,093 | (2,352) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Globe Speciality Metals, Inc. Put | USD | 17.500 | 9/20/14 | USD | (22) | 2,793 | (1,210) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Goldcorp, Inc. Call | USD | 31.000 | 7/19/14 | USD | (23) | 2,262 | (598) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| IAMGOLD Corp. Put | USD | 4.000 | 6/21/14 | USD | (39) | 3,118 | (2,535) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| New Gold, Inc. Put | USD | 6.000 | 5/17/14 | USD | (2) | 199 | (230) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Newmont Mining Corp. Put | USD | 21.000 | 9/20/14 | USD | (20) | 2,644 | (2,000) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Newmont Mining Corp. Call | USD | 25.000 | 6/21/14 | USD | (23) | 2,400 | (1,863) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Randgold Resources Ltd. Call | USD | 95.000 | 6/21/14 | USD | (22) | 3,716 | (770) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Randgold Resources Ltd. Put | USD | 65.000 | 9/20/14 | USD | (11) | 2,551 | (3,163) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Rio Tinto plc Put | USD | 52.500 | 7/19/14 | USD | (23) | 3,336 | (4,600) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Rio Tinto plc Put | USD | 50.000 | 7/19/14 | USD | (12) | 2,454 | (1,680) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Rio Tinto plc Put | USD | 52.500 | 4/19/14 | USD | (12) | 1,944 | (420) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Royal Gold, Inc. Call | USD | 75.000 | 7/19/14 | USD | (11) | 1,452 | (1,430) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Royal Gold, Inc. Call | USD | 72.500 | 4/19/14 | USD | (12) | 2,123 | (144) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Royal Gold, Inc. Put | USD | 55.000 | 10/18/14 | USD | (24) | 6,107 | (8,160) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Sociedad Quimica y Minera de Chile, ADR Put | USD | 22.500 | 7/19/14 | USD | (2) | 334 | (50) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Tahoe Resources, Inc. Put | USD | 20.000 | 9/20/14 | USD | (28) | 3,905 | (5,320) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Tahoe Resources, Inc. Call | USD | 25.000 | 6/21/14 | USD | (35) | 3,918 | (1,575) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| Tahoe Resources, Inc. Put | USD | 20.000 | 6/21/14 | USD | (22) | 1,860 | (2,640) | |||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||
| Total Exchange-Traded Options Written | $ | 81,579 | $ | (65,118) | ||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||
7 OPPENHEIMER DIVERSIFIED ALTERNATIVES FUND/VA
|
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
| Over-the-Counter Options Written at March 31, 2014 |
| Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Premiums Received | Value | ||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| CAD Currency Put | JPM | CAD | 1.195 | 7/15/14 | CAD | (3,865,000) | $ | 14,797 | $ | (2,597) | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| MXN Currency Call | JPM | MXN | 12.600 | 7/29/14 | MXN | (31,430,000) | 18,958 | (13,075) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| NZD Currency Call | CITNA-B | USD | 0.850 | 6/10/14 | NZD | (2,610,000) | 19,323 | (55,609) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| RUB Currency Put | BAC | RUB | 38.600 | 6/25/14 | RUB | (39,100,000) | 8,711 | (6,295) | ||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
| Total Over-the-Counter Options Written | $ | 61,789 | $ | (77,576) | ||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
| Over-the-Counter Credit Default Swaps at March 31, 2014 |
| Reference Asset | Counterparty | Buy/Sell Protection |
Fixed Rate | Maturity Date | Notional Amount (000’s) |
Premiums Received/(Paid) | Value | |||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| AT&T, Inc. | JPM | Buy | 1.000% | 3/20/19 | USD | 560 | $ | 9,407 | $ | (7,919) | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Boeing Capital Corp. | DEU | Buy | 1.000 | 3/20/19 | USD | 560 | 23,989 | (23,598) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| CIGNA Corp. | DEU | Buy | 1.000 | 3/20/19 | USD | 560 | 15,221 | (14,086) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Computer Sciences Corp. | BAC | Sell | 5.000 | 3/20/19 | USD | 560 | (114,827) | 111,393 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Conagra Foods, Inc. | GSG | Buy | 1.000 | 3/20/19 | USD | 560 | 8,311 | (6,811) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Kinder Morgan Energy Partners LP | BNP | Buy | 1.000 | 3/20/19 | USD | 560 | 4,232 | 1,030 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Nabors Industries, Inc. | BOA | Sell | 1.000 | 3/20/19 | USD | 560 | 888 | (5,116) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Pitney Bowes, Inc. | BAC | Sell | 1.000 | 3/20/19 | USD | 560 | 861 | (5,583) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Safeway, Inc. | GSG | Sell | 1.000 | 3/20/19 | USD | 560 | 54,379 | (56,862) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Weatherford International Ltd. | BAC | Sell | 1.000 | 3/20/19 | USD | 560 | (872) | (3,894) | ||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
| Total Over-the-Counter Credit Default Swaps | $ | 1,589 | $ | (11,446) | ||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
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 | $2,800,000 | $- | BBB- to BBB+ | |||||||||
* The Fund has no amounts recoverable from related purchased protection. In addition, the Fund has no recourse provisions under the credit derivatives and holds no collateral which can offset or reduce potential payments under a triggering event.
** The period end reference asset security ratings, as rated by any rating organization, are included in the equivalent Standard & Poor’s rating category. The reference asset rating represents the likelihood of a potential credit event on the reference asset which would result in a related payment by the Fund.
| Cleared Interest Rate Swaps at March 31, 2014 |
| Counterparty | Pay/Receive Floating Rate |
Floating Rate | Fixed Rate | Maturity Date | Notional Amount (000’s) | Value | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| BAC | Pay |
|
Three-Month USD BBA LIBOR |
|
2.790% | 3/7/24 | USD | 845 | $ | (2,194) | ||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| BAC | Receive |
|
Six-Month JPY BBA LIBOR |
|
0.808 | 3/7/24 | JPY | 86,000 | 573 | |||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| BAC | Receive |
|
Six-Month CHF BBA LIBOR |
|
1.365 | 2/6/24 | CHF | 730 | (8,294) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| BAC | Pay |
|
Six-Month GBP BBA LIBOR |
|
2.759 | 3/5/24 | GBP | 505 | (950) | |||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| Total Cleared Interest Rate Swaps | $ | (10,865) | ||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| Over-the-Counter Total Return Swaps at March 31, 2014 |
| Reference Asset | Counterparty | Pay/Receive Total Return |
Floating Rate | Maturity Date | Notional Amount (000’s) | Value | ||||||||||||||||||||
|
|
||||||||||||||||||||||||||
| CIBZGSPP Index | CIBC | Receive | No Floating Rate |
5/5/14 | USD | 525 | $ | — | ||||||||||||||||||
|
|
||||||||||||||||||||||||||
| CIBZNGLO Index | CIBC | Receive | No Floating Rate |
5/5/14 | USD | 850 | — | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| CIBZOPQR Index | CIBC | Receive | No Floating Rate |
5/5/14 | USD | 2,900 | — | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| CGAUOPAU Custom Basket | CITNA-B | Receive | One-Month AUD BBR BBSW plus 50 basis points |
3/11/15 | AUD | 634 | 1,803 | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| CGCNOCAD Custom Basket | CITNA-B | Receive | One-Month CAD BA CDOR plus 30 basis points | 4/9/14 | CAD | 607 | (972) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| DBOPSPLG Custom Basket | DEU | Receive | One-Month USD BBA LIBOR plus 30 basis points | 2/6/15 | USD | 819 | 16,112 | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| DBOPSPST Custom Basket | DEU | Pay | One-Month USD BBA LIBOR minus 30 basis points | 2/6/15 | USD | 816 | (8,057) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| DJUBSF2T Index | MAC | Receive | No Floating Rate |
5/5/14 | USD | 5,650 | — | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| FTJ4 Index | GSG | Receive | No Floating Rate |
4/25/14 | USD | 451 | 10,794 | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| GSEHOPHK Custom Basket | GSG | Receive | One-Month HKD HIBOR HKAB plus 40 basis points | 3/12/15 | HKD | 4,365 | (23,210) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| GSOPSPL5 Custom Basket | GSG | Receive | One-Month USD BBA LIBOR plus 35 basis points | 1/15/15 | USD | 1,787 | 7,535 | |||||||||||||||||||
8 OPPENHEIMER DIVERSIFIED ALTERNATIVES FUND/VA
|
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
| Over-the-Counter Total Return Swaps (Continued) |
| Reference Asset | Counterparty | Pay/Receive Total Return |
Floating Rate | Maturity Date | Notional Amount (000’s) | Value | ||||||||||||||||||||
|
|
||||||||||||||||||||||||||
| GSOPSPS3 Custom Basket | GSG | Receive | One-Month USD BBA LIBOR plus 35 basis points |
1/8/15 | USD | 176 | $ | 3,612 | ||||||||||||||||||
|
|
||||||||||||||||||||||||||
| HIJ4 Index | GSG | Pay | No Floating Rate |
5/9/14 | HKD | 2,173 | (5,325) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| MLCILRIE Index | BOA | Receive | No Floating Rate |
5/5/14 | USD | 950 | — | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| MLCILRLE Index | BOA | Receive | No Floating Rate |
5/5/14 | USD | 350 | — | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| MLCILRME Index | BOA | Receive | No Floating Rate |
5/5/14 | USD | 1,400 | — | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| MLCILROE Index | BOA | Receive | No Floating Rate |
5/5/14 | USD | 1,350 | 1 | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| MLCILRSE Index | BOA | Receive | No Floating Rate |
5/5/14 | USD | 550 | — | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| MLHKOPCB Custom Basket | BOA | Pay | One-Month HKD HIBOR HKAB minus 45 basis points | 3/31/15 | HKD | 2,170 | (11,016) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| MLTROPF3 Custom Basket | BOA | Receive | One-Month EUR EURIBOR plus 29 basis points | 1/16/15 | EUR | 969 | 9,225 | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| MLTROPFR Custom Basket | BOA | Receive | One-Month EUR EURIBOR plus 29 basis points | 1/9/15 | EUR | 97 | 921 | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| MLTROPU3 Custom Basket | BOA | Receive | One-Month GBP BBA LIBOR plus 34 basis points | 1/16/15 | GBP | 801 | (43,771) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| MLTROPUK Custom Basket | BOA | Receive | One-Month GBP BBA LIBOR plus 34 basis points | 1/9/15 | GBP | 80 | (4,380) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| MQCP004E Index | MAC | Receive | No Floating Rate |
5/5/14 | USD | 1,300 | (2) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| OEX Index | GSG | Pay | One-Month USD BBA LIBOR plus 5 basis points | 1/8/15 | USD | 172 | (3,468) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| OEX Index | GSG | Pay | One-Month USD BBA LIBOR plus 5 basis points | 11/20/14 | USD | 2 | (55) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| OEX Index | GSG | Pay | One-Month USD BBA LIBOR plus 5 basis points | 1/15/15 | USD | 1,778 | (2,236) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| TBJ4 Index | GSG | Pay | No Floating Rate |
4/25/14 | USD | 544 | (10,221) | |||||||||||||||||||
|
|
|
|||||||||||||||||||||||||
| Total Over-the-Counter Total Return Swaps | $ | (62,710) | ||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||
| Over-the-Counter Volatility Swaps at March 31, 2014 |
| Reference Asset | Counterparty | Pay/Receive Volatility |
Strike Price | Maturity Date | Notional Amount | Value | ||||||||||||||||||||
|
|
||||||||||||||||||||||||||
| AUD/JPY spot exchange rate | DEU | Pay | $ | 12.075 | 4/7/14 | AUD | 450 | $ | 639 | |||||||||||||||||
|
|
||||||||||||||||||||||||||
| AUD/USD spot echange rate | JPM | Pay | 9.100 | 4/7/14 | USD | 400 | 232 | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| CAD/JPY spot exchange rate | JPM | Receive | 9.150 | 4/11/14 | CAD | 440 | (203) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| CAD/JPY spot exchange rate | DEU | Receive | 9.300 | 4/10/14 | CAD | 440 | (350) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| EUR/JPY spot exchange rate | BOA | Pay | 8.500 | 4/28/14 | EUR | 290 | (300) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| EUR/JPY spot exchange rate | GSG | Pay | 8.700 | 4/30/14 | EUR | 290 | (324) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| EUR/JPY spot exchange rate | BOA | Pay | 8.450 | 4/28/14 | EUR | 290 | (304) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| EUR/NZD spot exchange rate | JPM | Pay | 8.600 | 4/14/14 | EUR | 290 | 328 | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| EUR/NZD spot exchange rate | CITNA-B | Pay | 8.700 | 4/16/14 | EUR | 290 | 276 | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| EUR/NZD spot exchange rate | GSG | Pay | 8.750 | 4/24/14 | EUR | 290 | (355) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| EUR/NZD spot exchange rate | DEU | Pay | 8.500 | 4/28/14 | EUR | 290 | (256) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| EUR/NZD spot exchange rate | BOA | Pay | 8.000 | 4/28/14 | EUR | 290 | (355) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| GBP/NOK spot exchange rate | BOA | Pay | 7.400 | 4/22/14 | GBP | 240 | (432) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| GBP/NZD spot exchange rate | JPM | Pay | 8.500 | 4/22/14 | GBP | 240 | 64 | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| GBP/NZD spot exchange rate | BOA | Pay | 9.100 | 4/22/14 | GBP | 240 | 332 | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| GBP/NZD spot exchange rate | CITNA-B | Pay | 7.950 | 5/2/14 | GBP | 240 | (164) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| GBP/NZD spot exchange rate | BOA | Pay | 9.150 | 4/7/14 | GBP | 240 | 884 | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| iShares MSCI Emerging Markets | GSG | Receive | 600.740 | 4/4/14 | USD | 42 | (8,751) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| iShares MSCI Emerging Markets | GSG | Pay | 550.372 | 4/10/14 | USD | 43 | 10,371 | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| iShares MSCI Emerging Markets | GSG | Pay | 539.633 | 4/9/14 | USD | 43 | 11,785 | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| iShares MSCI Emerging Markets | GSG | Receive | 595.360 | 4/9/14 | USD | 42 | (8,428) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| iShares MSCI Emerging Markets | GSG | Receive | 596.825 | 4/8/14 | USD | 42 | (8,521) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| iShares MSCI Emerging Markets | GSG | Receive | 598.781 | 4/7/14 | USD | 42 | (8,635) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| iShares MSCI Emerging Markets | GSG | Receive | 597.314 | 4/10/14 | USD | 42 | (8,342) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| iShares MSCI Emerging Markets | GSG | Pay | 559.796 | 4/4/14 | USD | 42 | 14,716 | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| iShares MSCI Emerging Markets | GSG | Pay | 567.869 | 4/7/14 | USD | 42 | 8,537 | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| iShares MSCI Emerging Markets | GSG | Pay | 576.480 | 4/8/14 | USD | 42 | 11,606 | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| NZD/JPY spot exchange rate | GSG | Pay | 11.250 | 4/3/14 | NZD | 480 | 812 | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| NZD/JPY spot exchange rate | JPM | Pay | 10.800 | 4/4/14 | NZD | 480 | 533 | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| NZD/USD spot exchange rate | BOA | Pay | 9.300 | 4/14/14 | USD | 400 | 616 | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| USD/CHF spot exchange rate | JPM | Pay | 6.850 | 4/22/14 | USD | 400 | 244 | |||||||||||||||||||
|
|
||||||||||||||||||||||||||
| USD/CHF spot exchange rate | JPM | Pay | 7.080 | 5/2/14 | USD | 400 | 20 | |||||||||||||||||||
|
|
|
|||||||||||||||||||||||||
| Total Over-the-Counter Volatility Swaps | $ | 16,275 | ||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||
9 OPPENHEIMER DIVERSIFIED ALTERNATIVES FUND/VA
|
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
| Glossary: | ||
| Counterparty Abbreviations | ||
| BAC | Barclays Bank plc | |
| BNP | BNP Paribas | |
| BOA | Bank of America NA | |
| CIBC | Canadian Imperial Bank of Commerce | |
| CITNA-B | Citibank NA | |
| DEU | Deutsche Bank AG | |
| GSCO-OT | Goldman Sachs Bank USA | |
| GSG | Goldman Sachs Group, Inc. (The) | |
| JPM | JPMorgan Chase Bank NA | |
| MAC | Macquarie Bank Ltd. | |
| MSCO | Morgan Stanley Capital Services, Inc. | |
| RBS | Royal Bank of Scotland plc (The) | |
| Currency abbreviations indicate amounts reporting in currencies | ||
| AUD | Australian Dollar | |
| BRL | Brazilian Real | |
| CAD | Canadian Dollar | |
| CHF | Swiss Franc | |
| CLP | Chilean Peso | |
| CNH | Offshore Chinese Renminbi | |
| COP | Colombian Peso | |
| CZK | Czech Koruna | |
| EUR | Euro | |
| GBP | British Pound Sterling | |
| HKD | Hong Kong Dollar | |
| HUF | Hungarian Forint | |
| IDR | Indonesia Rupiah | |
| ILS | Israeli Shekel | |
| INR | Indian Rupee | |
| JPY | Japanese Yen | |
| KRW | South Korean Won | |
| MXN | Mexican Nuevo Peso | |
| MYR | Malaysian Ringgit | |
| NOK | Norwegian Krone | |
| NZD | New Zealand Dollar | |
| PEN | Peruvian New Sol | |
| PHP | Philippines Peso | |
| PLN | Polish Zloty | |
| RUB | Russian Ruble | |
| SEK | Swedish Krona | |
| SGD | Singapore Dollar | |
| THB | Thailand Baht | |
| TRY | New Turkish Lira | |
| TWD | New Taiwan Dollar | |
| ZAR | South African Rand | |
| Definitions | ||
| BA CDOR | Canada Bankers Acceptances Deposit Offering Rate | |
| BBA LIBOR | British Bankers’ Association London - Interbank Offered Rate | |
| BBR BBSW | Bank Bill Swap Reference Rate (Australian Financial Market) | |
| CGAUOPAU | Custom Basket of Securities | |
| CGCNOCAD | Custom Basket of Securities | |
| CIBZGSPP | CIBC Custom 16 Commodity Index | |
| CIBZNGLO | CIBC Natural Gas Long Only Commodity Index | |
| CIBZOPQR | CIBC Oppenheimer Quarterly Roll Index | |
| DBOPSPLG | Custom Basket of Securities | |
| DBOPSPST | Custom Basket of Securities | |
| DJUBSF2T | DJ UDSCI Two Months Forward Index TR | |
| EURIBOR | Euro Interbank Offered Rate | |
| GSEHOPHK | Custom Basket of Securities | |
| GSOPSPL5 | Custom Basket of Securities | |
| GSOPSPS3 | Custom Basket of Securities | |
| HIBOR | Hong Kong Interbank Offered Rate | |
| HKAB | Hong Kong Association of Banks | |
| MLCILRIE | Merrill Lynch Commodities Long Pre-Roll Industrial Metals ER Index | |
| MLCILRLE | Merrill Lynch Commodities Long Pre-Roll Livestock ER Index | |
| MLCILRME | Merrill Lynch Commodities DJ Grains rolling from -11 to 4 Index | |
| MLCILROE | DJ Petroleum rolling from -11 to 4 ER Index | |
| MLCILRSE | Merrill Lynch Commodities DJ Softs rolling from -11 to 4 Index | |
| MLHKOPCB | Custom Basket of Securities | |
| MLTROPF3 | Custom Basket of Securities | |
| MLTROPFR | Custom Basket of Securities | |
| MLTROPU3 | Custom Basket of Securities | |
| MLTROPUK | Custom Basket of Securities | |
| MQCP004E | Macquarie Backwardation F3 Index | |
| MSCI | Morgan Stanley Capital International | |
10 OPPENHEIMER DIVERSIFIED ALTERNATIVES FUND/VA
|
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
| Exchange Abbreviations | ||
| CBE | Chicago Board Options Exchange | |
| CBT | Chicago Board of Trade | |
| CME | Chicago Mercantile Exchanges | |
| CMX | Commodity Exchange, Inc. | |
| ICE | IntercontinentalExchange | |
| KC | Kansas City Board of Trade | |
| LIF | London International Financial Futures and Options Exchange | |
| LME | London Metal Exchange | |
| MON | Montreal Exchange | |
| NYB | New York Board of Trade | |
| NYM | New York Mercantile Echange | |
| OTC | Over-the-Counter | |
| PAR | Paris Stock Exchange | |
| SFE | Sydney Futures Exchange | |
| SGX | Singapore Exchange |
11 OPPENHEIMER DIVERSIFIED ALTERNATIVES FUND/VA
|
NOTES TO CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited |
Oppenheimer Diversified Alternatives Fund/VA (the “Fund”) is a separate series of Oppenheimer Variable Account Funds, a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended. The Fund’s main investment objective is to seek total return. The Fund’s investment adviser is OFI Global Asset Management, Inc. (“OFI Global” or the “Manager”), a wholly-owned subsidiary of OFI. The Manager has entered into a sub-advisory agreement with OFI. Shares of the Fund are sold only to separate accounts of life insurance companies.
Basis for Consolidation. The Fund has established a Cayman Islands exempted company, Oppenheimer Diversified Alternatives Fund/VA (Cayman) Ltd., which is wholly-owned and controlled by the Fund (the “Subsidiary”). The Fund and Subsidiary are both managed by the Manager. The Fund may invest up to 25% of its total assets in the Subsidiary. The Subsidiary invests primarily in commodity-linked derivatives (including commodity futures, financial futures, options and swap contracts) 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 statement of investments have been consolidated and include investments of the Fund and the Subsidiary. At March 31, 2014, the Fund owned 15,186 shares of the Subsidiary with a market value of $17,835,306.
Event-Linked Bonds. The Fund invests in “event-linked” bonds. Event-linked bonds, which are sometimes referred to as “catastrophe” bonds, are fixed income securities for which the return of principal and payment of interest is contingent on the non-occurrence of a specific trigger event, such as a hurricane, earthquake, or other occurrence that leads to physical or economic loss. If the trigger event occurs prior to maturity, the Fund may lose all or a portion of its principal in addition to interest otherwise due from the security. Event-linked bonds may expose the Fund to certain other risks, including issuer default, adverse regulatory or jurisdictional interpretations, liquidity risk and adverse tax consequences. The Fund records the net change in market value of event-linked bonds on the Consolidated Statement of Operations in the annual and semiannual reports as a change in unrealized appreciation or depreciation on investments. The Fund records a realized gain or loss on the Consolidated Statement of Operations in the annual and semiannual reports upon the sale or maturity of such securities.
Securities on a When-Issued or Delayed Delivery Basis. The Fund may purchase securities on a “when-issued” basis, and may purchase or sell securities on a “delayed delivery” basis. “When-issued” or “delayed delivery” refers to securities whose terms and indenture are available and for which a market exists, but which are not available for immediate delivery. Delivery and payment for securities that have been purchased by the Fund on a when-issued basis normally takes place within six months and possibly as long as two years or more after the trade date. During this period, such securities do not earn interest, are subject to market fluctuation and may increase or decrease in value prior to their delivery. The purchase of securities on a when-issued basis may increase the volatility of the Fund’s net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. When the Fund engages in when-issued or delayed delivery transactions, it relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do so may cause the Fund to lose the opportunity to obtain or dispose of the security at a price and yield it considers advantageous. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase.
As of March 31, 2014, the Fund had purchased securities issued on a when-issued or delayed delivery basis as follows:
| When-Issued or Delayed Delivery Basis Transactions |
||||
|
|
||||
| Purchased securities | $50,000 | |||
Credit Risk. The Fund invests in high-yield, non-investment-grade bonds, which may be subject to a greater degree of credit risk. Credit risk relates to the ability of the issuer to meet interest or principal payments or both as they become due. The Fund may acquire securities that have missed an interest payment, and is not obligated to dispose of securities whose issuers or underlying obligors subsequently miss an interest payment. Information concerning securities not accruing interest as of March 31, 2014 is as follows:
| Cost | $39,368 | |||||||
| Market Value | $45,750 | |||||||
| Market value as % of Net Assets | 0.04% |
Investment in Oppenheimer Institutional Money Market Fund. The Fund is permitted to invest daily available cash balances in an affiliated money market fund. The Fund may invest the available cash in Class E shares of Oppenheimer Institutional Money Market Fund (“IMMF”) to seek current income while preserving liquidity. IMMF is a registered open-end management investment company, regulated as a money market fund under the Investment Company Act of 1940, as amended. The Manager is the investment adviser of IMMF, and the Sub-Adviser provides investment and related advisory services to IMMF. When applicable, the Fund’s 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 IMMF’s Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in IMMF.
12 OPPENHEIMER DIVERSIFIED ALTERNATIVES FUND/VA
|
NOTES TO CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
Investment in Oppenheimer Master Funds. The Fund is permitted to invest in entities sponsored and/or advised by the Manager or an affiliate. Certain of these entities in which the Fund invests are mutual funds registered under the Investment Company Act of 1940 that expect to be treated as partnerships for tax purposes, specifically Oppenheimer Master Loan Fund, LLC and Oppenheimer Master Event-Linked Bond Fund, LLC (the “Master Funds”). Each Master Fund has its own investment risks, and those risks can affect the value of the Fund’s investments and therefore the value of the Fund’s shares. To the extent that the Fund invests more of its assets in one Master Fund than in another, the Fund will have greater exposure to the risks of that Master Fund.
The investment objectives of the Master Funds are as follows: Oppenheimer Master Loan Fund, LLC seeks income; Oppenheimer Master Event-Linked Bond Fund, LLC seeks total return. The Fund’s 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 Fund’s investment in the Master Funds.
Foreign Currency Translation. The Fund’s accounting records are maintained in U.S. dollars. The values of securities denominated in foreign currencies and amounts related to the purchase and sale of foreign securities and foreign investment income are translated into U.S. dollars as of the close of the 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 Fund’s Board has adopted procedures for the valuation of the Fund’s securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a “fair valuation” for any security for which market quotations are not “readily available.” The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
Valuation Methods and Inputs
Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or dealers.
The following methodologies are used to determine the market value or the fair value of the types of securities described below:
Securities traded on a registered U.S. securities exchange (including exchange-traded derivatives other than futures and futures options) are valued based on the last sale price of the security reported on the principal exchange on which it is traded, prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the current day’s closing “bid” and “asked” prices, and if not, at the current day’s closing bid price. A security of a foreign issuer traded on a foreign exchange, but not listed on a registered U.S. securities exchange, is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the third party pricing service used by the Manager, prior to the time when the Fund’s assets are valued. If the last sale price is unavailable, the security is valued at the most recent official closing price on the principal exchange on which it is traded. If the last sales price or official closing price for a foreign security is not available, the security is valued at the mean between the bid and asked price per the exchange or, if not available from the exchange, obtained from two dealers. If bid and asked prices are not available from either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of priority): (1) using a bid from the exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer.
Shares of a registered investment company that are not traded on an exchange are valued at that investment company’s net asset value per share.
Corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, event-linked bonds, loans, mortgage-backed securities, collateralized mortgage obligations, and asset-backed securities are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers who may use matrix pricing methods to determine the evaluated prices.
Short-term money market type debt securities with a remaining maturity of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. Short-term debt securities with a remaining maturity in excess of sixty days are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers.
Structured securities, swaps, swaptions, and other over-the-counter derivatives are valued utilizing evaluated prices obtained from third party pricing services or broker-dealers.
Forward foreign currency exchange contracts are valued utilizing current and forward currency rates obtained from third party pricing services. When the settlement date of a contract is an interim date for which a quotation is not available, interpolated values are derived using the nearest dated forward currency rate.
Futures contracts and futures options traded on a commodities or futures exchange will be valued at the final settlement price or official closing price on the principal exchange as reported by such principal exchange at its trading session ending at, or most recently prior to, the time when the Fund’s assets are valued.
13 OPPENHEIMER DIVERSIFIED ALTERNATIVES FUND/VA
|
NOTES TO CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
Securities Valuation (Continued)
A description of the standard inputs that may generally be considered by the third party pricing vendors in determining their evaluated prices is provided below.
| Security Type | Standard inputs generally considered by third-party pricing vendors | |
| Corporate debt, government debt, municipal, mortgage-backed and asset-backed securities | Reported trade data, broker-dealer price quotations, benchmark yields, issuer spreads on comparable securities, the credit quality, yield, maturity, and other appropriate factors. | |
| Loans | Information obtained from market participants regarding reported trade data and broker-dealer price quotations. | |
| Event-linked bonds | Information obtained from market participants regarding reported trade data and broker-dealer price quotations. | |
| Structured securities | Relevant market information such as the price of underlying financial instruments, stock market indices, foreign currencies, interest rate spreads, commodities, or the occurrence of other specific events. | |
| Swaps | Relevant market information, including underlying reference assets such as credit spreads, credit event probabilities, index values, individual security values, forward interest rates, variable interest rates, volatility measures, and forward currency rates. |
If a market value or price cannot be determined for a security using the methodologies described above, or if, in the “good faith” opinion of the Manager, the market value or price obtained does not constitute a “readily available market quotation,” or a significant event has occurred that would materially affect the value of the security the security is fair valued either (i) by a standardized fair valuation methodology applicable to the security type or the significant event as previously approved by the Valuation Committee and the Fund’s Board or (ii) as determined in good faith by the Manager’s Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. Fair value determinations by the Manager are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Those fair valuation standardized methodologies include, but are not limited to, valuing securities at the last sale price or initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be further adjusted for any discounts related to security-specific resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security.
To assess the continuing appropriateness of security valuations, the Manager, or its third party service provider who is subject to oversight by the Manager, regularly compares prior day prices, prices on comparable securities, and sale prices to the current day prices and challenges those prices exceeding certain tolerance levels with the third party pricing service or broker source. For those securities valued by fair valuations, whether through a standardized fair valuation methodology or a fair valuation determination, the Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available.
Classifications
Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Various data inputs are used in determining the value of each of the Fund’s investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards:
1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange)
2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.)
3) Level 3-significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset or liability).
The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities.
The table below categorizes amounts as of March 31, 2014 based on valuation input level:
14 OPPENHEIMER DIVERSIFIED ALTERNATIVES FUND/VA
|
NOTES TO CONSOLIDATED 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 |
$ | 115,355 | $ | — | $ | — | $ | 115,355 | ||||||||
| Consumer Staples |
32,654 | — | — | 32,654 | ||||||||||||
| Energy |
19,357,514 | — | — | 19,357,514 | ||||||||||||
| Financials |
11,962,451 | 10,301,717 | — | 22,264,168 | ||||||||||||
| Health Care |
233,921 | — | — | 233,921 | ||||||||||||
| Information Technology |
105,708 | — | — | 105,708 | ||||||||||||
| Materials |
13,617,477 | 1,291,830 | — | 14,909,307 | ||||||||||||
| Telecommunication Services |
1,463 | — | — | 1,463 | ||||||||||||
| Utilities |
1,441 | — | — | 1,441 | ||||||||||||
| Foreign Government Obligations | — | 8,968,121 | — | 8,968,121 | ||||||||||||
| Non-Convertible Corporate Bonds and Notes | — | 3,693,299 | — | 3,693,299 | ||||||||||||
| Event-Linked Bonds | — | 5,445,533 | — | 5,445,533 | ||||||||||||
| Short-Term Notes | — | 12,519,135 | — | 12,519,135 | ||||||||||||
| Investment Companies | 24,485,268 | — | — | 24,485,268 | ||||||||||||
| Exchange-Traded Options Purchased | 8,614 | 12,385 | — | 20,999 | ||||||||||||
| Over-the-Counter Options Purchased | — | 144,953 | — | 144,953 | ||||||||||||
|
|
|
|||||||||||||||
| Total Investments, at Value | 69,921,866 | 42,376,973 | — | 112,298,839 | ||||||||||||
| Other Financial Instruments: | ||||||||||||||||
| Swaps, at value | — | 224,421 | — | 224,421 | ||||||||||||
| Variation margin receivable | 39,766 | — | — | 39,766 | ||||||||||||
| Variation margin receivable - Centrally Cleared Swaps | — | 573 | — | 573 | ||||||||||||
| Foreign currency exchange contracts | — | 427,257 | — | 427,257 | ||||||||||||
|
|
|
|||||||||||||||
| Total Assets | $ | 69,961,632 | $ | 43,029,224 | $ | — | $ | 112,990,856 | ||||||||
|
|
|
|||||||||||||||
| Liabilities Table | ||||||||||||||||
| Other Financial Instruments: | ||||||||||||||||
| Swaps, at value | $ | — | $ | (282,302) | $ | — | $ | (282,302) | ||||||||
| Variation margin payable | (38,248) | — | — | (38,248) | ||||||||||||
| Variation margin payable - Centrally Cleared Swaps | — | (11,438) | — | (11,438) | ||||||||||||
| Options written, at value | (65,118) | (77,576) | — | (142,694) | ||||||||||||
| Foreign currency exchange contracts | — | (290,957) | — | (290,957) | ||||||||||||
|
|
|
|||||||||||||||
| Total Liabilities | $ | (103,366) | $ | (662,273) | $ | — | $ | (765,639) | ||||||||
|
|
|
|||||||||||||||
Currency contracts and forwards, if any, are reported at their unrealized appreciation/ depreciation at measurement date, which represents the change in the contract’s value from trade date. Futures, if any, are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.
Risk Exposures and the Use of Derivative Instruments
The Fund’s investment objectives not only permit the Fund to purchase investment securities, they also allow the Fund to enter into various types of derivatives contracts, including, but not limited to, futures contracts, forward 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
15 OPPENHEIMER DIVERSIFIED ALTERNATIVES FUND/VA
|
NOTES TO CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
Risk Exposures and the Use of Derivative Instruments (Continued)
decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities.
Volatility Risk. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instrument’s price over a defined time period. Large increases or decreases in a financial instrument’s price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk.
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 Fund’s 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 Fund’s 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 Fund’s actual exposures to these market risk factors and associated risks during the period are discussed in further detail, by derivative type, below.
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 March 31, 2014, the Fund had daily average contract amounts on forward contracts to buy and sell of $61,302,055 and $60,917,193, 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.
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 merchant’s 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 Fund’s 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.
16 OPPENHEIMER DIVERSIFIED ALTERNATIVES FUND/VA
|
NOTES TO CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
Risk Exposures and the Use of Derivative Instruments (Continued)
The Fund has sold futures contracts on various bonds and notes to decrease exposure to interest rate risk.
The Fund has purchased futures contracts on various equity indexes to increase exposure to equity risk.
The Fund has sold futures contracts on various equity indexes to decrease exposure to equity risk.
The Fund has purchased futures contracts, which have values that are linked to the price movement of the related volatility indexes, in order to increase exposure to volatility 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.
The Fund has purchased futures contracts, which have values that are linked to the price movement of the related commodities, in order to increase exposure to commodity risk.
The Fund has sold futures contracts, which have values that are linked to the price movement of the related commodities, in order to decrease exposure to commodity risk.
During the period ended March 31, 2014, the Fund had an ending monthly average market value of $5,660,514 and $6,900,164 on futures contracts purchased and sold, respectively.
Additional associated risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market where the Fund is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Fund’s securities.
Option Activity
The Fund may buy and sell put and call options, or write put and call options. When an option is written, the Fund receives a premium and becomes obligated to sell or purchase the underlying security, 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 individual equity securities and/or equity indexes to increase exposure to equity risk. A purchased call option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price.
The Fund has purchased put options on individual equity securities and/or equity indexes to decrease exposure to equity risk. A purchased put option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price.
During the period ended March 31, 2014, the Fund had an ending monthly average market value of $106,761 and $94,936 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.
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 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.
During the period ended March 31, 2014, the Fund had an ending monthly average market value of $57,389 and $53,818 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 March 31, 2014 was as follows:
17 OPPENHEIMER DIVERSIFIED ALTERNATIVES FUND/VA
|
NOTES TO CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
Risk Exposures and the Use of Derivative Instruments (Continued)
| Call Options | Put Options | |||||||||||||||||||
| Number of | Amount of | Number of | Amount of | |||||||||||||||||
| Contracts | Premiums | Contracts | Premiums | |||||||||||||||||
|
|
||||||||||||||||||||
| Options outstanding as of December 31, 2013 |
9,380,006 | $ | 6,517 | 29,725,128 | $ | 14,506 | ||||||||||||||
| Options written |
149,414,272 | 162,405 | 1,478,716,439 | 218,015 | ||||||||||||||||
| Options closed or expired |
(337,039) | (7,513) | (337,016) | (5,005) | ||||||||||||||||
| Options exercised |
(124,417,002) | (93,514) | (1,465,139,146) | (152,043) | ||||||||||||||||
|
|
|
|||||||||||||||||||
| Options outstanding as of March 31, 2014 |
34,040,237 | $ | 67,895 | 42,965,405 | $ | 75,473 | ||||||||||||||
|
|
|
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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 issuer’s 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 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.
For the period ended March 31, 2014, the Fund had ending monthly average notional amounts of $2,037,500 and $2,037,500 on credit default swaps to buy protection and credit default swaps to sell protection, respectively.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
Interest Rate Swap Contracts. An interest rate swap is an agreement between counterparties to exchange periodic payments based on interest rates. One cash flow stream will typically be a floating rate payment based upon a specified floating interest rate while the other is typically a fixed interest rate.
18 OPPENHEIMER DIVERSIFIED ALTERNATIVES FUND/VA
|
NOTES TO CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
Risk Exposures and the Use of Derivative Instruments (Continued)
The Fund has entered into interest rate swaps in which it pays a floating interest rate and receives a fixed interest rate in order to increase exposure to interest rate risk. Typically, if relative interest rates rise, payments made by the Fund under a swap agreement will be greater than the payments received by the Fund.
The Fund has entered into interest rate swaps in which it pays a fixed interest rate and receives a floating interest rate in order to decrease exposure to interest rate risk. Typically, if relative interest rates rise, payments received by the Fund under the swap agreement will be greater than the payments made by the Fund.
For the period ended March 31, 2014, the Fund had ending monthly average notional amounts of $1,094,439 and $1,098,975 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.
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.
The Fund has entered into total return swaps on various commodity indexes to increase exposure to commodity risk. These commodity risk related total return swaps require the Fund to pay a fixed or a floating reference interest rate, and an amount equal to the negative price movement of 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 index (expressed as a percentage) multiplied by the notional amount of the contract.
For the period ended March 31, 2014, the Fund had ending monthly average notional amounts of $4,789,577 and $14,302,345 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.
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 investment’s 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.
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.
The Fund has entered into variance swaps to increase exposure to the volatility risk of various reference investments. These types of volatility swaps require the Fund to make a payment if the measured price variance of the reference investment exceeds the specified fixed rate. If the measured variance of the related reference investment increases over the period, the swaps will depreciate in value. Conversely, if the measured variance of the related reference investment decreases over the period, the swaps will appreciate in value.
19 OPPENHEIMER DIVERSIFIED ALTERNATIVES FUND/VA
|
NOTES TO CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
Risk Exposures and the Use of Derivative Instruments (Continued)
The Fund has entered into variance swaps to decrease exposure to the volatility risk of various reference investments. These types of volatility swaps require the Fund to make a payment if the measured price variance of the reference asset is less than the specified fixed rate. If the measured variance of the related reference investment increases over the period, the swaps will appreciate in value. Conversely, if the measured variance of the related reference investment decreases over the period, the swaps will depreciate in value.
For the period ended March 31, 2014, the Fund had ending monthly average notional amounts of $4,833 and $1,315 on volatility swaps which pay measured volatility/variance and volatility swaps which receive measured volatility/variance, respectively.
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.
The Fund’s 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 Fund’s 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.
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 Fund’s 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 Fund’s 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 broker’s, futures commission merchant’s or clearinghouse’s 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 Fund’s 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 Fund’s 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.
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.
20 OPPENHEIMER DIVERSIFIED ALTERNATIVES FUND/VA
|
NOTES TO CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued |
Restricted Securities
As of March 31, 2014, 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 March 31, 2014 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 | $ | 109,632,862 | ||
| Federal tax cost of other investments | (4,029,605) | |||
|
|
|
|||
| Total federal tax cost | $ | 105,603,257 | ||
|
|
|
|||
| Gross unrealized appreciation | $ | 6,025,895 | ||
| Gross unrealized depreciation | (3,405,357) | |||
|
|
|
|||
| Net unrealized appreciation | $ | 2,620,538 | ||
|
|
|
21 OPPENHEIMER DIVERSIFIED ALTERNATIVES FUND/VA
| STATEMENT OF INVESTMENTS March 31, 2014 / Unaudited |
| 1 OPPENHEIMER INTERNATIONAL GROWTH FUND/VA |
| STATEMENT OF INVESTMENTS Unaudited / Continued |
| 2 OPPENHEIMER INTERNATIONAL 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 March 31, 2014, 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, 2013 |
Gross Additions |
Gross Reductions |
Shares 2014 |
|||||||||||||
| Oppenheimer Institutional Money Market Fund, Cl. E |
18,850,174 | 74,497,569 | 83,802,224 | 9,545,519 | ||||||||||||
| Value | Income | |||||||||||||||
| Oppenheimer Institutional Money Market Fund, Cl. E |
$ | 9,545,519 | $ | 2,215 | ||||||||||||
3. Rate shown is the 7-day yield as of March 31, 2014.
Distribution of investments representing geographic holdings, as a percentage of total investments at value, is as follows:
| Geographic Holdings | Value | Percent | ||||||
| United Kingdom |
$ | 146,502,002 | 26.9% | |||||
| Switzerland |
79,959,221 | 14.7 | ||||||
| France |
63,652,859 | 11.7 | ||||||
| Netherlands |
40,323,985 | 7.4 | ||||||
| Spain |
27,732,567 | 5.1 | ||||||
| Germany |
27,648,820 | 5.1 | ||||||
| Japan |
27,444,840 | 5.1 | ||||||
| Italy |
24,080,937 | 4.4 | ||||||
| United States |
16,971,128 | 3.1 | ||||||
| Australia |
16,534,396 | 3.0 | ||||||
| Sweden |
15,259,635 | 2.8 | ||||||
| Denmark |
10,916,107 | 2.0 | ||||||
| Ireland |
9,029,231 | 1.7 | ||||||
| Thailand |
6,701,662 | 1.2 | ||||||
| India |
6,575,668 | 1.2 | ||||||
| Jersey, Channel Islands |
6,351,965 | 1.2 | ||||||
| Canada |
5,967,164 | 1.1 | ||||||
| Brazil |
4,091,049 | 0.8 | ||||||
| China |
3,823,853 | 0.7 | ||||||
| Austria |
3,305,594 | 0.6 | ||||||
| Mexico |
1,118,211 | 0.2 | ||||||
|
|
|
|||||||
| Total |
$ | 543,990,894 | 100.0% | |||||
|
|
|
|||||||
| 3 OPPENHEIMER INTERNATIONAL GROWTH FUND/VA |
| NOTES TO STATEMENT OF INVESTMENTS Unaudited |
Oppenheimer International Growth Fund/VA (the “Fund”) is a separate series of Oppenheimer Variable Account Funds (formerly, the sole series of Panorama Series Fund), a diversified open-end management investment company registered under the Investment Company Act of 1940, as amended. The Fund’s investment objective is to seek capital appreciation. The Fund’s investment adviser is OFI Global Asset Management, Inc. (“OFI Global” or the “Manager”), a wholly-owned subsidiary of OFI. The Manager has entered into a sub-advisory agreement with OFI. Shares of the Fund are sold only to separate accounts of life insurance companies.
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 Fund’s investment in IMMF is included in the Statement of Investments. Shares of IMMF are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of IMMF’s Class E expenses, including its management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in IMMF.
Foreign Currency Translation. The Fund’s accounting records are maintained in U.S. dollars. The values of securities denominated in foreign currencies and amounts related to the purchase and sale of foreign securities and foreign investment income are translated into U.S. dollars as of the close of the 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 Fund’s Board has adopted procedures for the valuation of the Fund’s securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a “fair valuation” for any security for which market quotations are not “readily available.” The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.
Valuation Methods and Inputs
Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or dealers.
The following methodologies are used to determine the market value or the fair value of the types of securities described below:
Securities traded on a registered U.S. securities exchange (including exchange-traded derivatives other than futures and futures options) are valued based on the last sale price of the security reported on the principal exchange on which it is traded, prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the current day’s closing “bid” and “asked” prices, and if not, at the current day’s closing bid price. A security of a foreign issuer traded on a foreign exchange, but not listed on a registered U.S. securities exchange, is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the third party pricing service used by the Manager, prior to the time when the Fund’s assets are valued. If the last sale price is unavailable, the security is valued at the most recent official closing price on the principal exchange on which it is traded. If the last sales price or official closing price for a foreign security is not available, the security is valued at the mean between the bid and asked price per the exchange or, if not available from the exchange, obtained from two dealers. If bid and asked prices are not available from either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of priority): (1) using a bid from the exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer.
Shares of a registered investment company that are not traded on an exchange are valued at that investment company’s net asset value per share.
Corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, event-linked bonds, loans, mortgage-backed securities, collateralized mortgage obligations, and asset-backed securities are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers who may use matrix pricing methods to determine the evaluated prices.
Short-term money market type debt securities with a remaining maturity of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. Short-term debt securities with a remaining maturity in excess of sixty days are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers.
A description of the standard inputs that may generally be considered by the third party pricing vendors in determining their evaluated prices is provided below.
| 4 OPPENHEIMER INTERNATIONAL GROWTH FUND/VA |
| NOTES TO STATEMENT OF INVESTMENTS Unaudited / (Continued) |
Securities Valuation (Continued)
| Security Type | Standard inputs generally considered by third-party pricing vendors | |
| Corporate debt, government debt, municipal, mortgage-backed and asset-backed securities | Reported trade data, broker-dealer price quotations, benchmark yields, issuer spreads on comparable securities, the credit quality, yield, maturity, and other appropriate factors. | |
| Loans | Information obtained from market participants regarding reported trade data and broker-dealer price quotations. | |
| Event-linked bonds | Information obtained from market participants regarding reported trade data and broker-dealer price quotations. |
If a market value or price cannot be determined for a security using the methodologies described above, or if, in the “good faith” opinion of the Manager, the market value or price obtained does not constitute a “readily available market quotation,” or a significant event has occurred that would materially affect the value of the security the security is fair valued either (i) by a standardized fair valuation methodology applicable to the security type or the significant event as previously approved by the Valuation Committee and the Fund’s Board or (ii) as determined in good faith by the Manager’s Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. Fair value determinations by the Manager are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Those fair valuation standardized methodologies include, but are not limited to, valuing securities at the last sale price or initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be further adjusted for any discounts related to security-specific resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security.
To assess the continuing appropriateness of security valuations, the Manager, or its third party service provider who is subject to oversight by the Manager, regularly compares prior day prices, prices on comparable securities, and sale prices to the current day prices and challenges those prices exceeding certain tolerance levels with the third party pricing service or broker source. For those securities valued by fair valuations, whether through a standardized fair valuation methodology or a fair valuation determination, the Valuation Committee reviews and affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all relevant information that is reasonably available.
Classifications
Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Various data inputs are used in determining the value of each of the Fund’s investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards:
1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange)
2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.)
3) Level 3-significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset or liability).
The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities.
The table below categorizes amounts as of March 31, 2014 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 |
$ | 18,244,023 | $ | 89,083,487 | $ | — | $ | 107,327,510 | ||||||||
| Consumer Staples |
— | 62,005,204 | — | 62,005,204 | ||||||||||||
| Energy |
— | 19,021,080 | — | 19,021,080 | ||||||||||||
| Financials |
4,092,015 | 19,323,787 | — | 23,415,802 | ||||||||||||
| Health Care |
— | 59,715,011 | — | 59,715,011 | ||||||||||||
| Industrials |
— | 132,584,399 | — | 132,584,399 | ||||||||||||
| Information Technology |
— | 76,608,672 | — | 76,608,672 | ||||||||||||
| Materials |
— | 28,465,974 | — | 28,465,974 | ||||||||||||
| Telecommunication Services |
— | 22,767,472 | — | 22,767,472 | ||||||||||||
| Utilities |
— | 2,371,157 | — | 2,371,157 | ||||||||||||
| Preferred Stock |
72,279 | — | — | 72,279 | ||||||||||||
| Rights, Warrants and Certificates |
— | 90,815 | — | 90,815 | ||||||||||||
| Investment Company |
9,545,519 | — | — | 9,545,519 | ||||||||||||
|
|
|
|||||||||||||||
| Total Assets |
$ | 31,953,836 | $ | 512,037,058 | $ | — | $ | 543,990,894 | ||||||||
|
|
|
|||||||||||||||
| 5 OPPENHEIMER INTERNATIONAL GROWTH 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 contract’s value from trade date. Futures, if any, are reported at their variation margin at measurement date, which represents the amount due to/from the Fund at that date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.
Federal Taxes
The approximate aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of March 31, 2014 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 |
$ | 342,202,716 | ||
|
|
|
|||
| Gross unrealized appreciation |
$ | 208,661,226 | ||
| Gross unrealized depreciation |
(6,873,048) | |||
|
|
|
|||
| Net unrealized appreciation |
$ | 201,788,178 | ||
|
|
|
| 6 OPPENHEIMER INTERNATIONAL GROWTH FUND/VA |
Item 2. Controls and Procedures.
| (a) | Based on their evaluation of the registrant’s disclosure controls and procedures (as defined in rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c)) as of 3/31/2014, the registrant’s principal executive officer and principal financial officer found the registrant’s disclosure controls and procedures to provide reasonable assurances that information required to be disclosed by the registrant in the reports that it files under the Securities Exchange Act of 1934 (a) is accumulated and communicated to the registrant’s management, including its principal executive officer and principal financial officer, to allow timely decisions regarding required disclosure, and (b) is recorded, processed, summarized and reported, within the time periods specified in the rules and forms adopted by the U.S. Securities and Exchange Commission. |
| (b) | There have been no significant changes in the registrant’s internal controls over financial reporting that occurred during the registrant’s last fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
Item 3. Exhibits.
Exhibits attached hereto.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Oppenheimer Variable Account Funds
| By: | /s/ William F. Glavin, Jr. | |
| William F. Glavin, Jr. | ||
| Principal Executive Officer | ||
| Date: | 5/13/2014 | |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| By: | /s/ William F. Glavin, Jr. | |
| William F. Glavin, Jr. | ||
| Principal Executive Officer | ||
| Date: | 5/13/2014 | |
| By: | /s/ Brian W. Wixted | |
| Brian W. Wixted | ||
| Principal Financial Officer | ||
| Date: | 5/13/2014 | |
Exhibit 99.CERT
Section 302 Certifications
CERTIFICATIONS
I, William F. Glavin, Jr., certify that:
| 1. | I have reviewed this report on Form N-Q of Oppenheimer Variable Account Funds; |
| 2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
| 3. | Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; |
| 4. | The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
| (a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
| (b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
| (c) | Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and |
| (d) | Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and |
| 5. | The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of Trustees (or persons performing the equivalent functions): |
| (a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and |
| (b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting. |
| /s/ William F. Glavin, Jr. |
| William F. Glavin, Jr. |
| Principal Executive Officer |
| Date: 5/13/2014 |
Exhibit 99.CERT
Section 302 Certifications
CERTIFICATIONS
I, Brian W. Wixted, certify that:
| 1. | I have reviewed this report on Form N-Q of Oppenheimer Variable Account Funds; |
| 2. | Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a material fact necessary to make the statements made, in light of the circumstances under which such statements were made, not misleading with respect to the period covered by this report; |
| 3. | Based on my knowledge, the schedules of investments included in this report fairly present in all material respects the investments of the registrant as of the end of the fiscal quarter for which the report is filed; |
| 4. | The registrant’s other certifying officer and I are responsible for establishing and maintaining disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have: |
| (a) | Designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be designed under our supervision, to ensure that material information relating to the registrant, including its consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in which this report is being prepared; |
| (b) | Designed such internal control over financial reporting, or caused such internal control over financial reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with generally accepted accounting principles; |
| (c) | Evaluated the effectiveness of the registrant’s disclosure controls and procedures and presented in this report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90 days prior to the filing date of this report, based on such evaluation; and |
| (d) | Disclosed in this report any change in the registrant’s internal control over financial reporting that occurred during the registrant’s most recent fiscal quarter that has materially affected, or is reasonably likely to materially affect, the registrant’s internal control over financial reporting; and |
| 5. | The registrant’s other certifying officer and I have disclosed to the registrant’s auditors and the audit committee of the registrant’s board of Trustees (or persons performing the equivalent functions): |
| (a) | All significant deficiencies and material weaknesses in the design or operation of internal control over financial reporting which are reasonably likely to adversely affect the registrant’s ability to record, process, summarize, and report financial information; and |
| (b) | Any fraud, whether or not material, that involves management or other employees who have a significant role in the registrant’s internal control over financial reporting. |
| /s/ Brian W. Wixted |
| Brian W. Wixted |
| Principal Financial Officer |
| Date: 5/13/2014 |