Oppenheimer Variable Account Funds


	Shares		Value
Common Stocks—99.7%
Consumer Discretionary—23.1%
Auto Components—2.0%
Delphi Automotive plc		122,410	$	8,306,743
TRW Automotive Holdings Corp.¹		81,830		6,678,964
				14,985,707
Distributors—0.5%
LKQ Corp.¹		152,460		4,017,321
Hotels, Restaurants & Leisure—5.3%
Chipotle Mexican Grill, Inc.¹		16,360		9,293,298
Domino’s Pizza, Inc.		52,560		4,045,543
Dunkin’ Brands Group, Inc.		179,120		8,988,242
MGM Resorts International¹		289,920		7,497,331
Wynn Resorts Ltd.		42,250		9,385,838
				39,210,252
Household Durables—1.8%
Harman International Industries, Inc.		125,240		13,325,536
Internet & Catalog Retail—3.0%
Netflix, Inc.¹		26,410		9,297,112
TripAdvisor, Inc.¹		84,850		7,686,562
Vipshop Holdings Ltd., ADR¹		25,324		3,780,873
zulily, Inc., Cl. A¹		34,390		1,726,034
				22,490,581
Leisure Equipment & Products—1.2%
Polaris Industries, Inc.		61,840		8,639,666
Media—1.8%
AMC Networks, Inc., Cl. A¹		97,720		7,142,355
Lions Gate Entertainment Corp.		238,660		6,379,382
				13,521,737
Specialty Retail—2.8%
O’Reilly Automotive, Inc.¹		50,960		7,561,954
Tractor Supply Co.		186,120		13,145,656
				20,707,610
Textiles, Apparel & Luxury Goods—4.7%
Deckers Outdoor Corp.¹		72,080		5,746,938
Kate Spade & Co.¹		98,650		3,658,929
Michael Kors Holdings Ltd.¹		119,820		11,175,611
Under Armour, Inc., Cl. A¹		128,870		14,773,657
				35,355,135
Consumer Staples—1.6%
Beverages—1.1%
Constellation Brands, Inc., Cl. A¹		98,860		8,400,134
Food Products—0.5%
Hormel Foods Corp.		74,230		3,657,312
Energy—4.5%
Energy Equipment & Services—2.5%
Core Laboratories NV		25,520		5,064,189
Dril-Quip, Inc.¹		48,300		5,414,430
Helmerich & Payne, Inc.		76,450		8,222,962
				18,701,581
Oil, Gas & Consumable Fuels—2.0%
Antero Resources Corp.¹		97,990		6,134,174
Concho Resources, Inc.¹		33,510		4,104,975
Gulfport Energy Corp.¹		63,700		4,534,166
				14,773,315
Financials—7.3%
Capital Markets—3.0%
Affiliated Managers Group, Inc.¹		35,270		7,055,764
Financial Engines, Inc.		106,930		5,429,905
LPL Financial Holdings, Inc.		73,880		3,881,655


	Shares		Value
Capital Markets (Continued)
Waddell & Reed Financial, Inc., Cl. A		85,730	$	6,311,443
				22,678,767
Commercial Banks—3.8%
First Republic Bank		111,040		5,995,049
Signature Bank¹		92,500		11,617,075
SVB Financial Group¹		81,520		10,498,146
				28,110,270
Diversified Financial Services—0.5%
CBOE Holdings, Inc.		62,520		3,538,632
Health Care—14.6%
Biotechnology—2.8%
BioMarin Pharmaceutical, Inc.¹		77,120		5,260,355
Cubist Pharmaceuticals, Inc.¹		76,320		5,582,808
Incyte Corp.¹		130,080		6,961,881
Pharmacyclics, Inc.¹		34,080		3,415,498
				21,220,542
Health Care Equipment & Supplies—1.2%
Align Technology, Inc.¹		67,480		3,494,789
DexCom, Inc.¹		135,510		5,604,694
				9,099,483
Health Care Providers & Services—3.0%
AmerisourceBergen Corp.		126,310		8,284,673
Centene Corp.¹		63,890		3,977,153
Envision Healthcare Holdings, Inc.¹		172,870		5,848,192
Universal Health Services, Inc., Cl. B		47,830		3,925,408
				22,035,426
Health Care Technology—2.3%
athenahealth, Inc.¹		43,270		6,933,585
Cerner Corp.¹		180,670		10,162,687
				17,096,272
Life Sciences Tools & Services—2.9%
Covance, Inc.¹		84,710		8,801,369
Illumina, Inc.¹		86,580		12,870,983
				21,672,352
Pharmaceuticals—2.4%
Actavis plc¹		61,970		12,756,524
Jazz Pharmaceuticals plc¹		35,760		4,959,197
				17,715,721
Industrials—18.2%
Aerospace & Defense—2.0%
Hexcel Corp.¹		250,280		10,897,191
TransDigm Group, Inc.		21,790		4,035,508
				14,932,699
Airlines—0.9%
Spirit Airlines, Inc.¹		110,490		6,563,106
Building Products—1.9%
A.O. Smith Corp.		168,790		7,767,716
Fortune Brands Home & Security, Inc.		151,960		6,394,477
				14,162,193
Commercial Services & Supplies—0.5%
Mobile Mini, Inc.		91,450		3,965,272
Electrical Equipment—2.6%
Acuity Brands, Inc.		72,110		9,559,623
AMETEK, Inc.		148,112		7,626,287
SolarCity Corp.¹		32,680		2,046,421
				19,232,331
Machinery—8.1%
Colfax Corp.¹		125,900		8,980,447
Flowserve Corp.		70,900		5,554,306


	Shares		Value
Machinery (Continued)
Middleby Corp. (The)¹		34,890	$	9,218,287
Pall Corp.		61,750		5,524,772
Pentair Ltd.		92,950		7,374,653
Proto Labs, Inc.¹		78,840		5,335,103
WABCO Holdings, Inc.¹		86,700		9,152,052
Wabtec Corp.		118,280		9,166,700
				60,306,320
Professional Services—0.7%
Towers Watson & Co., Cl. A		44,630		5,090,052
Trading Companies & Distributors—1.5%
United Rentals, Inc.¹		120,770		11,465,904
Information Technology—23.8%
Communications Equipment—0.7%
Palo Alto Networks, Inc.¹		77,770		5,335,022
Computers & Peripherals—1.0%
Stratasys Ltd.¹		72,320		7,672,429
Internet Software & Services—6.1%
Cornerstone OnDemand, Inc.¹		147,810		7,075,665
CoStar Group, Inc.¹		70,790		13,219,324
LinkedIn Corp., Cl. A¹		26,320		4,867,621
Pandora Media, Inc.¹		212,590		6,445,729
Shutterstock, Inc.¹		100,310		7,283,509
Yelp, Inc.¹		86,640		6,665,215
				45,557,063
IT Services—2.7%
Alliance Data Systems Corp.¹		23,890		6,508,831
FleetCor Technologies, Inc.¹		68,480		7,882,048
MAXIMUS, Inc.		118,540		5,317,704
				19,708,583
Semiconductors & Semiconductor Equipment—2.2%
NXP Semiconductors NV¹		151,080		8,885,015
Xilinx, Inc.		143,760		7,801,855
				16,686,870
Software—11.1%
Aspen Technology, Inc.¹		174,320		7,384,195
Autodesk, Inc.¹		112,000		5,508,160
CommVault Systems, Inc.¹		85,590		5,559,071
Concur Technologies, Inc.¹		86,888		8,607,994
FireEye, Inc.¹		43,860		2,700,460
Guidewire Software, Inc.¹		116,800		5,729,040
NetSuite, Inc.¹		80,147		7,600,340
ServiceNow, Inc.¹		168,170		10,076,747
Splunk, Inc.¹		131,040		9,368,050
Tableau Software, Inc., Cl. A¹		101,280		7,705,382
Tyler Technologies, Inc.¹		35,280		2,952,230
Ultimate Software Group, Inc. (The)¹		59,070		8,092,590
Workday, Inc., Cl. A¹		14,640		1,338,535
				82,622,794


	Shares		Value
Materials—5.2%
Chemicals—2.5%
Methanex Corp.		58,760	$	3,757,114
PolyOne Corp.		169,180		6,202,139
Westlake Chemical Corp.		132,400		8,762,232
				18,721,485
Construction Materials—1.4%
Eagle Materials, Inc.		74,930		6,643,294
Vulcan Materials Co.		55,430		3,683,323
				10,326,617
Metals & Mining—0.7%
Carpenter Technology Corp.		78,140		5,160,366
Paper & Forest Products—0.6%
KapStone Paper & Packaging Corp.¹		164,000		4,729,760
Telecommunication Services—1.4%
Wireless Telecommunication Services—1.4%
SBA Communications Corp., Cl. A¹		120,390		10,950,674
Total Common Stocks (Cost $533,573,976)				744,142,892
Investment Company—0.6%
Oppenheimer Institutional Money Market Fund, Cl. E, 0.08%^2,3 (Cost $4,317,823)		4,317,823		4,317,823
Total Investments, at Value (Cost $537,891,799)		100.3%		748,460,715
Liabilities in Excess of Other Assets		(0.3)		(1,882,211)
Net Assets		100.0%	$	746,578,504

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:

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.

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.

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.

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.

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:

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 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.


	Shares		Value
Common Stocks—34.0%
Consumer Discretionary—4.5%
Auto Components—0.4%
Delphi Automotive plc		16,870	$	1,144,798

Diversified Consumer Services—0.3%
LifeLock, Inc.¹		45,020		770,292

Household Durables—0.3%
Toll Brothers, Inc.¹		22,620		812,058

Media—1.3%
Comcast Corp., Cl. A		31,470		1,574,129
Time Warner, Inc.		15,370		1,004,122
Twenty-First Century Fox, Inc., Cl. A		30,380		971,249
				3,549,500

Specialty Retail—1.7%
AutoZone, Inc.¹		2,890		1,552,219
Pier 1 Imports, Inc.		40,090		756,899
Ross Stores, Inc.		15,680		1,121,904
Signet Jewelers Ltd.		13,860		1,467,220
				4,898,242

Textiles, Apparel & Luxury Goods—0.5%
PVH Corp.		11,570		1,443,589

Consumer Staples—2.9%
Food Products—1.3%
Flowers Foods, Inc.		74,845		1,605,425
Mondelez International, Inc., Cl. A		62,420		2,156,611
				3,762,036

Household Products—0.8%
Henkel AG & Co. KGaA		11,993		1,205,547
Henkel AG & Co. KGaA, Preference		9,954		1,071,314
				2,276,861

Tobacco—0.8%
Philip Morris International, Inc.		25,660		2,100,784

Energy—3.5%
Energy Equipment & Services—0.7%
National Oilwell Varco, Inc.		25,060		1,951,422

Oil, Gas & Consumable Fuels—2.8%
Chevron Corp.		20,580		2,447,168
Energy XXI Bermuda Ltd.		22,730		535,746
EPL Oil & Gas, Inc.¹		15,430		595,598
Noble Energy, Inc.		30,310		2,153,222
Plains All American Pipeline LP		14,422		794,941
Western Refining, Inc.		32,960		1,272,256
				7,798,931

Financials—5.9%
Capital Markets—0.2%
WisdomTree Investments, Inc.¹		42,790		561,405

Commercial Banks—3.0%
BancorpSouth, Inc.		19,660		490,714
CIT Group, Inc.		42,270		2,072,075
Citigroup, Inc.		44,040		2,096,304
Huntington Bancshares, Inc.		52,190		520,334
JPMorgan Chase & Co.		42,150		2,558,927
Webster Financial Corp.		18,620		578,337
				8,316,691
Consumer Finance—1.0%
Discover Financial Services		46,201		2,688,436

Insurance—0.9%
American International Group, Inc.		24,960		1,248,250


	Shares		Value
Insurance (Continued)
Fidelity National Financial, Inc., Cl. A	38,610	$	1,213,898
			2,462,148
Real Estate Investment Trusts (REITs)—0.8%
Apollo Commercial Real Estate Finance, Inc.	58,470		972,356
Digital Realty Trust, Inc.	23,830		1,264,897
			2,237,253

Health Care—4.5%
Biotechnology—0.7%
BioMarin Pharmaceutical, Inc.¹	4,730		322,633
Celldex Therapeutics, Inc.¹	15,320		270,704
Gilead Sciences, Inc.¹	18,060		1,279,732
			1,873,069

Health Care Equipment & Supplies—0.4%
Covidien plc	16,010		1,179,297

Health Care Providers & Services—0.7%
Omnicare, Inc.	8,580		511,968
Team Health Holdings, Inc.¹	8,420		376,795
Universal Health Services, Inc., Cl. B	11,300		927,391
			1,816,154

Pharmaceuticals—2.7%
AbbVie, Inc.	17,070		877,398
Actavis plc¹	11,690		2,406,387
Allergan, Inc.	7,380		915,858
Bristol-Myers Squibb Co.	10,100		524,695
Pfizer, Inc.	88,395		2,839,247
			7,563,585

Industrials—4.3%
Airlines—0.3%
United Continental Holdings, Inc.¹	16,150		720,774

Commercial Services & Supplies—1.1%
Mobile Mini, Inc.	24,280		1,052,781
Tyco International Ltd.	48,080		2,038,592
			3,091,373

Construction & Engineering—0.2%
AECOM Technology Corp.¹	15,730		506,034

Industrial Conglomerates—0.7%
General Electric Co.	72,420		1,874,954

Machinery—0.9%
Deere & Co.	11,050		1,003,340
Greenbrier Cos., Inc. (The)¹	11,840		539,904
Joy Global, Inc.	19,200		1,113,600
			2,656,844

Professional Services—0.5%
Robert Half International, Inc.	31,440		1,318,908

Road & Rail—0.6%
Canadian National Railway Co.	31,460		1,768,681

Information Technology—6.0%
Communications Equipment—0.3%
Finisar Corp.¹	31,330		830,558

Internet Software & Services—1.7%
Facebook, Inc., Cl. A¹	20,880		1,257,811
Google, Inc., Cl. A¹	2,340		2,607,954
Web.com Group, Inc.¹	21,130		719,054
			4,584,819

IT Services—0.6%
Amdocs Ltd.	22,910		1,064,399


	Shares		Value
IT Services (Continued)
MasterCard, Inc., Cl. A		9,200	$	687,240
				1,751,639

Semiconductors & Semiconductor Equipment—0.7%
Applied Materials, Inc.		38,020		776,369
Cavium, Inc.¹		11,080		484,528
Skyworks Solutions, Inc.¹		20,990		787,545
				2,048,442

Software—1.0%
Fortinet, Inc.¹		32,620		718,619
Guidewire Software, Inc.¹		11,170		547,888
Infoblox, Inc.¹		24,100		483,446
ServiceNow, Inc.¹		8,210		491,943
Splunk, Inc.¹		6,590		471,119
				2,713,015

Technology Hardware, Storage & Peripherals—1.7%
Apple, Inc.		5,380		2,887,661
Western Digital Corp.		19,050		1,749,171
				4,636,832

Materials—1.3%
Chemicals—0.3%
Air Products & Chemicals, Inc.		7,100		845,184

Construction Materials—0.5%
Vulcan Materials Co.		19,310		1,283,149

Containers & Packaging—0.3%
Packaging Corp. of America		14,210		999,958

Metals & Mining—0.2%
Kaiser Aluminum Corp.		6,980		498,512

Telecommunication Services—0.5%
Diversified Telecommunication Services—0.5%
ORBCOMM, Inc.¹		375		2,569
Verizon Communications, Inc.		31,450		1,496,076
				1,498,645

Utilities—0.6%
Electric Utilities—0.6%
Exelon Corp.		51,370		1,723,977
Total Common Stocks (Cost $80,104,030)				94,558,849

	Principal Amount
Asset-Backed Securities—10.0%
Auto Loan—9.4%
Ally Master Owner Trust, Series 2012-3,
Cl. D, 2.505%, 6/15/17^2,3	$	35,000		35,075
American Credit Acceptance Receivables Trust:
Series 2012-2, Cl. A, 1.89%, 7/15/16²		68,267		68,445
Series 2012-3, Cl. A, 1.64%, 11/15/16²		39,729		39,831
Series 2012-3, Cl. C, 2.78%, 9/17/18²		955,000		961,416
Series 2013-2, Cl. B, 2.84%, 5/15/19²		443,000		452,310
Series 2014-1, Cl. B, 2.39%, 11/12/19²		625,000		627,708
AmeriCredit Automobile Receivables Trust:
Series 2012-2, Cl. D, 3.38%, 4/9/18		485,000		504,589
Series 2012-4, Cl. D, 2.68%, 10/9/18		70,000		71,667
Series 2012-5, Cl. C, 1.69%, 11/8/18		165,000		166,019
Series 2012-5, Cl. D, 2.35%, 12/10/18		925,000		939,324
Series 2013-1, Cl. C, 1.57%, 1/8/19		725,000		724,553
Series 2013-1, Cl. D, 2.09%, 2/8/19		510,000		509,853
Series 2013-1, Cl. E, 2.64%, 7/8/20²		75,000		75,154
Series 2013-2, Cl. D, 2.42%, 5/8/19		310,000		312,733
Series 2013-2, Cl. E, 3.41%, 10/8/20²		415,000		422,531
Series 2013-3, Cl. D, 3.00%, 7/8/19		330,000		337,590
Series 2013-4, Cl. D, 3.31%, 10/8/19		677,000		699,231
Series 2013-5, Cl. D, 2.86%, 12/8/19		745,000		755,405


	Principal Amount		Value
Auto Loan (Continued)
Capital Auto Receivables Asset Trust:
Series 2013-1, Cl. D, 2.19%, 9/20/21	$	125,000	$	124,192
Series 2014-1, Cl. D, 3.39%, 7/22/19		140,000		140,246
Carfinance Capital Auto Trust:
Series 2013-1A, Cl. A, 1.65%, 7/17/17²		98,686		99,051
Series 2013-2A, Cl. B, 3.15%, 8/15/19²		635,000		643,324
Series 2014-1A, Cl. A, 1.46%, 12/17/18²		180,000		180,036
Centre Point Funding LLC, Series 2010-1A, Cl. 1, 5.43%, 7/20/16²		39,033		40,177
CPS Auto Receivables Trust:
Series 2012-B, Cl. A, 2.52%, 9/16/19²		188,018		190,671
Series 2012-C, Cl. A, 1.82%, 12/16/19²		65,740		66,269
Series 2014-A, Cl. A, 1.21%, 8/15/18²		611,000		611,332
Credit Acceptance Auto Loan Trust:
Series 2012-2A, Cl. A, 1.52%, 3/16/20²		950,000		955,290
Series 2012-2A, Cl. B, 2.21%, 9/15/20²		50,000		50,686
Series 2013-1A, Cl. B, 1.83%, 4/15/21²		165,000		165,821
Series 2013-2A, Cl. B, 2.26%, 10/15/21⁴		310,000		312,711
DT Auto Owner Trust:
Series 2012-1A, Cl. D, 4.94%, 7/16/18²		150,000		153,639
Series 2012-2A, Cl. D, 4.35%, 3/15/19²		470,000		481,851
Series 2013-1A, Cl. D, 3.74%, 5/15/20²		200,000		203,716
Series 2013-2A, Cl. D, 4.18%, 6/15/20²		545,000		560,436
Series 2014-1A, Cl. D, 3.98%, 1/15/21²		435,000		443,513
Exeter Automobile Receivables Trust:
Series 2012-2A, Cl. B, 2.22%, 12/15/17²		130,000		131,463
Series 2012-2A, Cl. C, 3.06%, 7/16/18²		516,000		521,905
Series 2013-2A, Cl. B, 3.09%, 7/16/18²		940,000		961,416
Series 2013-2A, Cl. C, 4.35%, 1/15/19²		480,000		494,783
Series 2014-1A, Cl. B, 2.42%, 1/15/19²		280,000		281,283
Series 2014-1A, Cl. C, 3.57%, 7/15/19²		280,000		281,391
First Investors Auto Owner Trust:
Series 2012-1A, Cl. D, 5.65%, 4/15/18²		140,000		146,624
Series 2013-3A, Cl. B, 2.32%, 10/15/19²		465,000		462,731
Series 2013-3A, Cl. C, 2.91%, 1/15/20²		200,000		198,954
Series 2013-3A, Cl. D, 3.67%, 5/15/20²		145,000		144,225
Ford Credit Auto Owner Trust, Series 2013-A, Cl. D, 1.86%, 8/15/19		195,000		193,422
Ford Credit Floorplan Master Owner Trust A, Series 2012-2, Cl. C, 2.86%, 1/15/19		215,000		223,092
Prestige Auto Receivables Trust, Series 2011-1A, Cl. D, 5.18%, 7/16/18²		300,000		308,186
Santander Drive Auto Receivables Trust:
Series 2012-1, Cl. C, 3.78%, 11/15/17		25,000		25,749
Series 2012-2, Cl. D, 3.87%, 2/15/18		375,000		392,082
Series 2012-4, Cl. C, 2.94%, 12/15/17		770,000		793,538
Series 2012-4, Cl. D, 3.50%, 6/15/18		495,000		514,922
Series 2012-5, Cl. D, 3.30%, 9/17/18		540,000		557,788
Series 2012-6, Cl. D, 2.52%, 9/17/18		235,000		237,720
Series 2012-AA, Cl. D, 2.46%, 12/17/18²		945,000		950,123
Series 2013-1, Cl. C, 1.76%, 1/15/19		295,000		296,404
Series 2013-1, Cl. D, 2.27%, 1/15/19		155,000		155,822
Series 2013-2, Cl. D, 2.57%, 3/15/19		715,000		725,885
Series 2013-3, Cl. C, 1.81%, 4/15/19		950,000		953,838
Series 2013-3, Cl. D, 2.42%, 4/15/19		245,000		246,868
Series 2013-4, Cl. D, 3.92%, 1/15/20		130,000		137,129
Series 2013-5, Cl. C, 2.25%, 6/17/19		715,000		722,990
Series 2013-A, Cl. C, 3.12%, 10/15/19²		315,000		323,984
SNAAC Auto Receivables Trust:
Series 2012-1A, Cl. A, 1.78%, 6/15/16²		1,577		1,578
Series 2012-1A, Cl. C, 4.38%, 6/15/17²		395,000		401,323
Series 2013-1A, Cl. B, 2.09%, 7/16/18²		90,000		90,912
Series 2013-1A, Cl. C, 3.07%, 8/15/18²		100,000		101,717
United Auto Credit Securitization Trust:
Series 2012-1, Cl. A2, 1.10%, 3/16/15²		2,833		2,834
Series 2012-1, Cl. C, 2.52%, 3/15/16²		120,000		120,934
Series 2012-1, Cl. D, 3.12%, 3/15/18²		605,000		608,955
Series 2013-1, Cl. B, 1.74%, 4/15/16²		265,000		266,419
Series 2013-1, Cl. C, 2.22%, 12/15/17²		170,000		171,216


	Principal Amount		Value
Auto Loan (Continued)
United Auto Credit Securitization Trust: (Continued)
Series 2013-1, Cl. D, 2.90%, 12/15/17²	$	30,000	$	30,197
				26,306,797

Equipment—0.0%
FRS I LLC, Series 2013-1A, Cl. A1, 1.80%, 4/15/43²		68,396		68,010

Home Equity Loan—0.6%
New Residential Advance Receivables Trust Advance Receivables Backed:
Series 2014-T1, Cl. A1, 1.274%, 3/15/45²		490,000		490,033
Series 2014-T1, Cl. B1, 1.671%, 3/15/45²		420,000		420,018
TAL Advantage V LLC, Series 2014-1A, Cl. A, 3.51%, 2/22/39²		451,208		451,355
				1,361,406
Total Asset-Backed Securities (Cost $27,514,923)				27,736,213

Mortgage-Backed Obligations—29.1%
Government Agency—20.5%
FHLMC/FNMA/FHLB/Sponsored—20.3%
Federal Home Loan Mortgage Corp. Gold Pool:
4.50%, 10/1/18		63,519		67,289
5.00%, 12/1/34		4,426		4,835
5.50%, 9/1/39		723,481		803,799
6.50%, 4/1/18-4/1/34		55,188		60,952
7.00%, 10/1/31-10/1/37		286,569		318,322
8.00%, 4/1/16		10,027		10,375
9.00%, 8/1/22-5/1/25		7,153		7,919
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security:
Series 183, Cl. IO, 13.498%, 4/1/27⁵		122,047		22,067
Series 192, Cl. IO, 8.37%, 2/1/28⁵		32,840		7,165
Series 243, Cl. 6, 0.00%, 12/15/32^5,6		101,343		14,861
Federal Home Loan Mortgage Corp., Principal-Only
Stripped Mtg.-Backed Security, Series 176, Cl. PO, 4.037%, 6/1/26⁷		36,218		33,707
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates:
Series 2426, Cl. BG, 6.00%, 3/15/17		103,233		108,855
Series 2427, Cl. ZM, 6.50%, 3/15/32		186,279		210,164
Series 2461, Cl. PZ, 6.50%, 6/15/32		91,852		103,296
Series 2500, Cl. FD, 0.655%, 3/15/32³		14,169		14,321
Series 2526, Cl. FE, 0.555%, 6/15/29³		17,098		17,223
Series 2551, Cl. FD, 0.555%, 1/15/33³		11,008		11,075
Series 2626, Cl. TB, 5.00%, 6/15/33		235,430		255,677
Series 2707, Cl. QE, 4.50%, 11/15/18		598,900		637,312
Series 2770, Cl. TW, 4.50%, 3/15/19		25,000		26,761
Series 3025, Cl. SJ, 24.182%, 8/15/35³		33,352		52,379
Series 3030, Cl. FL, 0.555%, 9/15/35³		167,039		167,424
Series 3741, Cl. PA, 2.15%, 2/15/35		530,608		541,149
Series 3815, Cl. BD, 3.00%, 10/15/20		24,756		25,532
Series 3822, Cl. JA, 5.00%, 6/15/40		176,811		188,333
Series 3840, Cl. CA, 2.00%, 9/15/18		18,272		18,613
Series 3848, Cl. WL, 4.00%, 4/15/40		230,271		238,272
Series 3857, Cl. GL, 3.00%, 5/15/40		15,295		15,498
Series 4221, Cl. HJ, 1.50%, 7/15/23		1,328,782		1,330,096
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security:
Series 2130, Cl. SC, 51.583%, 3/15/29⁵		116,837		25,668
Series 2796, Cl. SD, 53.48%, 7/15/26⁵		160,245		33,084
Series 2802, Cl. AS, 0.00%, 4/15/33^5,8		3,143		9
Series 2920, Cl. S, 53.813%, 1/15/35⁵		775,234		146,668
Series 2922, Cl. SE, 6.378%, 2/15/35⁵		46,926		8,364
Series 3201, Cl. SG, 4.777%, 8/15/36⁵		126,145		21,218
Series 3397, Cl. GS, 12.712%, 12/15/37⁵		51,883		9,559
Series 3424, Cl. EI, 0.318%, 4/15/38⁵		42,350		5,147
Series 3450, Cl. BI, 11.633%, 5/15/38⁵		146,609		21,138
Series 3606, Cl. SN, 3.907%, 12/15/39⁵		79,011		13,461


	Principal Amount		Value
FHLMC/FNMA/FHLB/Sponsored (Continued)
Federal National Mortgage Assn.:
2.50%, 4/25/29⁹	$	3,010,000	$	3,008,589
3.00%, 4/25/29⁹		1,965,000		2,019,038
3.50%, 4/1/29⁹		7,975,000		8,363,781
4.00%, 4/1/29-4/1/44⁹		11,700,000		12,180,481
4.50%, 4/1/29-4/25/44⁹		11,054,000		11,788,672
5.00%, 4/25/44⁹		2,170,000		2,366,148
6.00%, 4/25/44⁹		425,000		473,726
Federal National Mortgage Assn. Pool:
3.50%, 12/1/20⁹		292,157		307,694
3.50%, 2/1/22		348,501		367,003
5.50%, 9/1/20		5,268		5,731
6.00%, 11/1/17-3/1/37		379,060		421,174
6.50%, 5/1/17-10/1/19		92,259		97,599
7.00%, 11/1/17-10/1/35		36,540		39,365
7.50%, 1/1/33		112,007		132,445
8.50%, 7/1/32		6,412		7,396
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security:
Series 222, Cl. 2, 18.219%, 6/1/23⁵		263,839		46,833
Series 233, Cl. 2, 42.751%, 8/1/23⁵		188,661		46,743
Series 252, Cl. 2, 41.218%, 11/1/23⁵		246,010		40,750
Series 319, Cl. 2, 0.096%, 2/1/32⁵		54,213		9,562
Series 320, Cl. 2, 5.308%, 4/1/32⁵		17,283		4,037
Series 321, Cl. 2, 0.00%, 4/1/32^5,6		192,716		33,322
Series 331, Cl. 9, 5.586%, 2/1/33⁵		207,407		45,533
Series 334, Cl. 17, 12.623%, 2/1/33⁵		124,941		28,812
Series 339, Cl. 12, 0.00%, 6/25/33^5,6		181,914		37,714
Series 339, Cl. 7, 0.00%, 8/1/33^5,6		518,890		105,124
Series 343, Cl. 13, 0.00%, 9/1/33^5,6		173,348		31,318
Series 345, Cl. 9, 0.00%, 1/1/34^5,6		154,145		32,869
Series 351, Cl. 10, 0.00%, 4/1/34^5,6		23,871		4,509
Series 351, Cl. 8, 0.00%, 4/1/34^5,6		79,555		14,908
Series 356, Cl. 10, 0.00%, 6/1/35^5,6		57,446		10,813
Series 356, Cl. 12, 0.00%, 2/1/35^5,6		30,787		5,800
Series 362, Cl. 13, 0.00%, 8/1/35^5,6		211,662		36,913
Series 364, Cl. 16, 0.00%, 9/1/35^5,6		145,498		25,023
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates:
Series 1998-61, Cl. PL, 6.00%, 11/25/28		84,774		93,839
Series 2003-130, Cl. CS, 13.792%, 12/25/33³		21,971		25,914
Series 2003-28, Cl. KG, 5.50%, 4/25/23		393,156		429,529
Series 2003-84, Cl. GE, 4.50%, 9/25/18		38,953		41,112
Series 2004-101, Cl. BG, 5.00%, 1/25/20		336,992		352,314
Series 2004-25, Cl. PC, 5.50%, 1/25/34		318,139		340,083
Series 2005-104, Cl. MC, 5.50%, 12/25/25		423,536		463,360
Series 2005-31, Cl. PB, 5.50%, 4/25/35		250,000		280,544
Series 2005-73, Cl. DF, 0.404%, 8/25/35³		423,034		423,616
Series 2006-11, Cl. PS, 24.001%, 3/25/36³		120,891		192,626
Series 2006-46, Cl. SW, 23.634%, 6/25/36³		91,899		142,183
Series 2006-50, Cl. KS, 23.634%, 6/25/36³		20,209		31,706
Series 2008-14, Cl. BA, 4.25%, 3/25/23		170,284		179,183
Series 2008-75, Cl. DB, 4.50%, 9/25/23		147,689		156,133
Series 2009-113, Cl. DB, 3.00%, 12/25/20		515,831		532,152
Series 2009-36, Cl. FA, 1.094%, 6/25/37³		168,445		172,171
Series 2009-37, Cl. HA, 4.00%, 4/25/19		157,649		164,928
Series 2009-70, Cl. NT, 4.00%, 8/25/19		17,342		18,143
Series 2009-70, Cl. TL, 4.00%, 8/25/19		1,692,174		1,770,355
Series 2010-43, Cl. KG, 3.00%, 1/25/21		240,080		249,143
Series 2011-15, Cl. DA, 4.00%, 3/25/41		79,421		83,235
Series 2011-3, Cl. EL, 3.00%, 5/25/20		872,954		900,799
Series 2011-3, Cl. KA, 5.00%, 4/25/40		284,944		308,508
Series 2011-38, Cl. AH, 2.75%, 5/25/20		20,062		20,679
Series 2011-82, Cl. AD, 4.00%, 8/25/26		517,029		543,123
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass
Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security:
Series 2001-65, Cl. S, 27.483%, 11/25/31⁵		202,823		48,436
Series 2001-81, Cl. S, 24.541%, 1/25/32⁵		53,779		13,330
Series 2002-47, Cl. NS, 30.264%, 4/25/32⁵		146,391		34,826
Series 2002-51, Cl. S, 30.458%, 8/25/32⁵		134,422		31,977
Series 2002-52, Cl. SD, 32.803%, 9/25/32⁵		185,630		44,345
Series 2002-77, Cl. SH, 35.181%, 12/18/32⁵		81,838		19,361


	Principal Amount		Value
FHLMC/FNMA/FHLB/Sponsored (Continued)
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security: (Continued)
Series 2002-84, Cl. SA, 33.74%, 12/25/32⁵	$	202,206	$	45,897
Series 2002-9, Cl. MS, 25.342%, 3/25/32⁵		56,787		12,115
Series 2003-33, Cl. SP, 28.117%, 5/25/33⁵		220,234		46,093
Series 2003-4, Cl. S, 29.803%, 2/25/33⁵		126,589		29,523
Series 2003-46, Cl. IH, 0.00%, 6/25/23^5,6		465,886		67,228
Series 2004-54, Cl. DS, 37.003%, 11/25/30⁵		149,758		26,639
Series 2004-56, Cl. SE, 10.811%, 10/25/33⁵		42,545		7,919
Series 2005-12, Cl. SC, 7.305%, 3/25/35⁵		23,397		3,895
Series 2005-14, Cl. SE, 37.046%, 3/25/35⁵		74,368		11,110
Series 2005-40, Cl. SA, 46.445%, 5/25/35⁵		402,373		67,256
Series 2005-52, Cl. JH, 2.29%, 5/25/35⁵		964,963		145,878
Series 2005-93, Cl. SI, 17.843%, 10/25/35⁵		102,339		14,041
Series 2007-88, Cl. XI, 32.634%, 6/25/37⁵		270,962		40,975
Series 2008-55, Cl. SA, 16.793%, 7/25/38⁵		162,416		19,653
Series 2009-8, Cl. BS, 0.00%, 2/25/24^5,6		65,335		5,235
Series 2012-40, Cl. PI, 1.946%, 4/25/41⁵		425,888		70,612
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Principal-Only Stripped Mtg.-Backed Security, Series 1993-184, Cl. M, 4.978%, 9/25/23⁷		95,733		81,107
				56,539,841

GNMA/Guaranteed—0.2%
Government National Mortgage Assn. I Pool:
7.00%, 1/15/24		61,638		67,545
7.50%, 1/15/23-6/15/24		47,813		52,154
8.00%, 5/15/17-4/15/23		33,160		36,516
8.50%, 8/15/17-12/15/17		8,496		9,170
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security:
Series 2002-15, Cl. SM, 61.034%, 2/16/32⁵		241,323		48,613
Series 2002-76, Cl. SY, 65.041%, 12/16/26⁵		527,871		105,408
Series 2007-17, Cl. AI, 16.118%, 4/16/37⁵		539,358		109,708
Series 2011-52, Cl. HS, 8.993%, 4/16/41⁵		266,418		58,603
				487,717

Non-Agency—8.6%
Commercial—7.2%
Banc of America Commercial Mortgage Trust:
Series 2006-5, Cl. AM, 5.448%, 9/10/47		85,000		91,184
Series 2006-6, Cl. AM, 5.39%, 10/10/45		830,000		900,406
Bear Stearns Adjustable Rate Mortgage Trust, Series 2005-9, Cl. A1, 2.43%, 10/25/35³		1,151,476		1,134,058
Bear Stearns Commercial Mortgage Securities Trust, Series 2006-T24, Cl. AM, 5.568%, 10/12/41³		365,000		398,759
CD Commercial Mortgage Trust, Series 2006-CD2, Cl. AM, 5.349%, 1/15/46³		515,000		551,504
Citigroup Commercial Mortgage Trust:
Series 2008-C7, Cl. AM, 6.133%, 12/10/49³		105,000		117,905
Series 20113-GCJ11, 4.607%, 4/10/46²		185,000		165,836
Citigroup Mortgage Loan Trust, Inc., Series 2006- AR1, Cl. 1A1, 2.50%, 10/25/35³		797,975		779,575
COMM Mortgage Trust:
Series 2006-C7, Cl. AM, 5.793%, 6/10/46³		855,000		921,412
Series 2012-CR4, Cl. D, 4.577%, 10/15/45^2,3		185,000		173,473
Series 2012-CR5, Cl. E, 4.336%, 12/10/45^2,3		225,000		208,227
Series 2013-CR7, Cl. D, 4.36%, 3/10/46^2,3		200,000		177,311
COMM Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security:
Series 2010-C1, Cl. XPA, 0.00%, 7/10/46^2,5,6		2,801,199		95,350
Series 2012-CR5, Cl. XA, 0.165%, 12/10/45⁵		441,210		45,379
Credit Suisse Commercial Mortgage Trust:
Series 2006-6, Cl. 1A4, 6.00%, 7/25/36		247,974		198,805
Series 2006-C1, Cl. AJ, 5.466%, 2/15/39³		208,000		221,529
Credit Suisse First Boston Commercial Trust, Series 2005-C6, Cl. AJ, 5.23%, 12/15/40³		275,000		288,463
Credit Suisse Mortgage Trust, Series 2009-13R, Cl. 4A1, 2.621%, 9/26/36^2,3		223,014		225,845


	Principal Amount		Value
Commercial (Continued)
DBUBS Mortgage Trust, Series 2011-LC1A, Cl. E, 5.558%, 11/10/46^2,3	$	50,000	$	52,001
Deutsche Alt-B Securities, Inc. Mortgage Loan Trust, Series 2006-AB4, Cl. A1A, 6.005%, 10/25/36³		248,464		194,505
First Horizon Alternative Mortgage Securities Trust:
Series 2004-FA2, Cl. 3A1, 6.00%, 1/25/35		200,100		204,622
Series 2005-FA8, Cl. 1A6, 0.804%, 11/25/35³		191,530		147,208
Series 2007-FA2, Cl. 1A1, 5.50%, 4/25/37		443,179		346,579
Series 2007-FA4, Cl. 1A6, 6.25%, 8/25/37³		221,805		194,567
FREMF Mortgage Trust:
Series 2013-K25, Cl. C, 3.618%, 11/25/45^2,3		60,000		54,863
Series 2013-K26, Cl. C, 3.60%, 12/25/45^2,3		40,000		36,456
Series 2013-K27, Cl. C, 3.497%, 1/25/46^2,3		110,000		99,121
Series 2013-K28, Cl. C, 3.494%, 6/25/46^2,3		110,000		98,797
GCCFC Commercial Mortgage Trust:
Series 2006-GG7, Cl. AM, 5.82%, 7/10/38³		230,000		250,625
Series 2007-GG11, Cl. AM, 5.867%, 12/10/49³		500,000		550,425
Series 2007-GG9, Cl. AM, 5.475%, 3/10/39		615,000		662,792
GE Capital Commercial Mortgage Corp., Series 2005-C4, Cl. AJ, 5.309%, 11/10/45³		430,000		427,862
GS Mortgage Securities Trust:
Series 2006-GG6, Cl. AM, 5.61%, 4/10/38³		200,000		214,940
Series 2011-GC3, Cl. A1, 2.331%, 3/10/44²		91,064		91,948
GSR Mortgage Loan Trust, Series 2005-AR4, Cl. 6A1, 5.215%, 7/25/35³		68,481		68,555
JP Morgan Chase Commercial Mortgage Securities Trust:
Series 2006-CB16, Cl. AJ, 5.623%, 5/12/45		470,000		474,355
Series 2006-LDP8, Cl. AJ, 5.48%, 5/15/45³		450,000		476,003
Series 2011-C3, Cl. A1, 1.875%, 2/15/46²		60,985		61,111
JP Morgan Mortgage Trust, Series 2007-S3, Cl. 1A90, 7%, 8/25/37		233,725		215,667
JP Morgan Resecuritization Trust:
Series 2009-11, Cl. 5A1, 2.621%, 9/26/36^2,3		828,391		831,597
Series 2009-5, Cl. 1A2, 2.612%, 7/26/36^2,3		254,737		215,862
LB-UBS Commercial Mortgage Trust, Series 2006- C4, Cl. AM, 5.853%, 6/15/38³		225,000		245,937
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Cl. 2A2, 2.641%, 4/21/34³		102,816		104,981
Merrill Lynch Mortgage Trust, Series 2006-C2, Cl. AM, 5.782%, 8/12/43³		610,000		666,599
Morgan Stanley Bank of America Merrill Lynch Trust:
Series 2012-C6, Cl. E, 4.664%, 11/15/45^2,3		95,000		89,398
Series 2013-C7, Cl. D, 4.304%, 2/15/46^2,3		115,000		103,257
Series 2013-C8, Cl. D, 4.172%, 12/15/48^2,3		80,000		70,580
Morgan Stanley Capital I Trust:
Series 2007-IQ13, Cl. AM, 5.406%, 3/15/44		360,000		392,586
Series 2007-IQ15, Cl. AM, 5.908%, 6/11/49³		345,000		377,305
Morgan Stanley Re-Remic Trust, Series 2012-R3, Cl. 1B, 2.057%, 11/26/36^3,4		259,914		166,310
Morgan Stanley Resecuritization Trust, Series 2013-R9, Cl. 3A, 2.451%, 6/26/46^2,3		793,273		803,177
Structured Adjustable Rate Mortgage Loan Trust:
Series 2004-10, Cl. 2A, 2.388%, 8/25/34³		470,172		463,324
Series 2006-4, Cl. 6A, 5.029%, 5/25/36³		138,907		117,857
Series 2007-6, Cl. 3A1, 4.512%, 7/25/37³		226,702		178,106
UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Cl. E, 4.891%, 5/10/63^2,3		45,000		41,342
Wachovia Bank Commercial Mortgage Trust, Series 2005-C17, Cl. AJ, 5.224%, 3/15/42³		205,000		211,978
WaMu Mortgage Pass-Through Certificates Trust, Series 2005-AR14, Cl. 1A4, 2.379%, 12/25/35³		111,784		104,638
Wells Fargo Mortgage Backed Securities Trust, Series 2005-AR10, Cl. 1A1, 2.614%, 6/25/35³		856,342		876,247
Wells Fargo Mortgage-Backed Securities Trust: Series 2005-AR1, Cl. 1A1, 2.61%, 2/25/35³		45,870		46,411
Series 2005-AR15, Cl. 1A6, 2.613%, 9/25/35³		612,738		574,557
Series 2006-AR7, Cl. 2A4, 2.614%, 5/25/36³		285,126		266,434
Series 2007-16, Cl. 1A1, 6.00%, 12/28/37		172,459		179,157


	Principal Amount		Value
Commercial (Continued)
Wells Fargo Mortgage-Backed Securities Trust: (Continued)
Series 2007-AR8, Cl. A1, 5.962%, 11/25/37³	$	623,756	$	575,539
WF-RBS Commercial Mortgage Trust:
Series 2012-C10, Cl. D, 4.46%, 12/15/45^2,3		50,000		46,188
Series 2012-C7, Cl. E, 4.848%, 6/15/45^2,3		80,000		76,329
Series 2012-C8, Cl. E, 4.878%, 8/15/45^2,3		95,000		91,749
Series 2013-C11, Cl. D, 4.184%, 3/15/45^2,3		49,000		44,405
Series 2013-C15, Cl. D, 4.486%, 8/15/46^2,3		225,000		202,310
WF-RBS Commercial Mortgage Trust, Interest-Only
Commercial Mtg. Pass-Through Certificates, Series
2011-C3, Cl. XA, 0.00%, 3/15/44^2,5,6		3,981,659		256,200
				20,038,383

Multi-Family—0.1%
Citigroup Mortgage Loan Trust, Inc., Series 2006- AR3, Cl. 1A2A, 5.404%, 6/25/36³		127,347		118,020
Countrywide Alternative Loan Trust, Series 2005- J14, Cl. A7, 5.50%, 12/25/35		92,783		82,475
JP Morgan Mortgage Trust, Series 2007-A3, Cl. 3A2M, 4.567%, 5/25/37³		26,966		26,108
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR2, Cl. 2A3, 2.614%, 3/25/36³		56,901		56,903
				283,506

Residential—1.3%
Banc of America Commercial Mortgage Trust,
Series 2007-4, Cl. AM, 5.892%, 2/10/51³		820,000		911,781
Banc of America Funding Trust:
Series 2007-1, Cl. 1A3, 6.00%, 1/25/37		139,132		125,999
Series 2007-C, Cl. 1A4, 5.316%, 5/20/36³		54,155		52,929
Banc of America Mortgage Trust, Series 2004-E, Cl. 2A6, 2.847%, 6/25/34³		147,650		148,088
Carrington Mortgage Loan Trust, Series 2006-
FRE1, Cl. A2, 0.264%, 7/25/36³		109,941		107,303
CD Commercial Mortgage Trust, Series 2007-CD4, Cl. AMFX, 5.366%, 12/11/49³		885,000		929,955
Countrywide Alternative Loan Trust, Series 2005- 29CB, Cl. A4, 5%, 7/25/35		561,534		484,667
Countrywide Home Loans:
Series 2005-26, Cl. 1A8, 5.50%, 11/25/35		162,850		156,892
Series 2005-29, Cl. A1, 5.75%, 12/25/35		93,561		87,730
Series 2006-6, Cl. A3, 6.00%, 4/25/36		84,025		79,530
GSR Mortgage Loan Trust, Series 2006-5F, Cl. 2A1, 6%, 6/25/36		65,124		63,029
RALI Trust:
Series 2003-QS1, Cl. A2, 5.75%, 1/25/33		58,368		59,488
Series 2006-QS13, Cl. 1A8, 6.00%, 9/25/36		17,275		13,490
Residential Asset Securitization Trust, Series 2005- A15, Cl. 1A4, 5.75%, 2/25/36		27,063		25,162
WaMu Mortgage Pass-Through Certificates Trust,
Series 2006-AR18, Cl. 3A1, 4.162%, 1/25/37³		64,143		58,174
Wells Fargo Mortgage-Backed Securities Trust,
Series 2006-AR14, Cl. 1A2, 5.629%, 10/25/36³		120,478		117,827
				3,422,044
Total Mortgage-Backed Obligations
(Cost $80,262,748)				80,771,491

U.S. Government Obligations—4.1%
Federal Home Loan Mortgage Corp. Nts.:
2.375% Nts., 1/13/22¹⁰		611,000		599,728
5.50% Nts., 7/18/16		65,000		72,371
United States Treasury Nts.:
0.75%, 3/15/17		1,040,000		1,036,303
0.875%, 4/30/17		9,060,000		9,041,953
1.50%, 2/28/19		572,000		566,504
Total U.S. Government Obligations
(Cost $11,333,275)				11,316,859


	Principal Amount		Value
Non-Convertible Corporate Bonds and Notes—27.4%
Consumer Discretionary—4.2%
Auto Components—0.3%
Dana Holding Corp., 6.75% Sr. Unsec. Nts., 2/15/21	$	439,000	$	479,608
TRW Automotive, Inc.:
4.50% Sr. Unsec. Nts., 3/1/21²		290,000		299,425
7.25% Sr. Unsec. Nts., 3/15/17²		141,000		161,621
				940,654

Automobiles—1.1%
Daimler Finance North America LLC:
1.30% Sr. Unsec. Nts., 7/31/15²		463,000		466,404
8.50% Sr. Unsec. Unsub. Nts., 1/18/31		271,000		403,529
Ford Motor Credit Co. LLC, 5.875% Sr. Unsec.
Unsub. Nts., 8/2/21		1,090,000		1,256,232
General Motors Co., 6.25% Sr. Unsec. Nts., 10/2/43²		437,000		475,238
Hyundai Capital America, 1.45% Sr. Unsec. Nts., 2/6/17²		468,000		465,945
				3,067,348

Hotels, Restaurants & Leisure—0.5%
Brinker International, Inc., 2.60% Sr. Unsec. Nts., 5/15/18		151,000		149,599
Carnival Corp., 1.20% Sr. Unsec. Nts., 2/5/16		465,000		468,037
Starwood Hotels & Resorts Worldwide, Inc.:
7.15% Sr. Unsec. Unsub. Nts., 12/1/19		164,000		195,419
7.375% Sr. Unsec. Nts., 11/15/15		172,000		188,423
Wyndham Worldwide Corp., 6% Sr. Unsec. Nts., 12/1/16		396,000		441,744
				1,443,222

Household Durables—0.4%
Jarden Corp., 6.125% Sr. Unsec. Nts., 11/15/22		438,000		473,040
Toll Brothers Finance Corp., 4% Sr. Unsec. Nts., 12/31/18		463,000		475,732
Whirlpool Corp., 1.35% Sr. Unsec. Nts., 3/1/17		123,000		122,830
				1,071,602

Media—1.0%
21st Century Fox America, Inc., 6.15% Sr. Unsec. Nts., 2/15/41		183,000		216,003
Comcast Cable Communications Holdings, Inc.,
9.455% Sr. Unsec. Nts., 11/15/22		205,000		291,025
Comcast Corp., 4.65% Sr. Unsec. Unsub. Nts., 7/15/42		433,000		433,578
DIRECTV Holdings LLC/DIRECTV Financing Co.,
Inc., 5.15% Sr. Unsec. Nts., 3/15/42		155,000		147,063
Historic TW, Inc.:
8.05% Sr. Unsec. Nts., 1/15/16		77,000		85,809
9.15% Debs., 2/1/23		38,000		51,929
Interpublic Group of Cos., Inc. (The):
3.75% Sr. Unsec. Nts., 2/15/23		76,000		74,050
4.20% Sr. Unsec. Nts., 4/15/24		226,000		225,575
6.25% Sr. Unsec. Nts., 11/15/14		155,000		160,231
Lamar Media Corp., 5% Sr. Unsec. Sub. Nts., 5/1/23		496,000		498,480
Pearson Funding Two plc, 4% Sr. Unsec. Nts., 5/17/16²		101,000		106,839
Time Warner Cable, Inc., 4.50% Sr. Unsec. Unsub.
Nts., 9/15/42		349,000		321,609
WPP Finance 2010, 5.625% Sr. Unsec. Nts., 11/15/43		152,000		160,719
				2,772,910

Multiline Retail—0.4%
Dollar General Corp., 4.125% Sr. Unsec. Nts.,
7/15/17		498,000		533,121


	Principal Amount		Value
Multiline Retail (Continued)
Macy’s Retail Holdings, Inc., 5.75% Sr. Unsec. Nts., 7/15/14	$	414,000	$	419,900
				953,021

Specialty Retail—0.2%
Home Depot, Inc. (The), 4.875% Sr. Unsec. Nts., 2/15/44		167,000		178,246
L Brands, Inc.:
7.00% Sr. Unsec. Nts., 5/1/20		51,000		58,395
8.50% Sr. Unsec. Nts., 6/15/19		331,000		402,165
				638,806

Textiles, Apparel & Luxury Goods—0.3%
Levi Strauss & Co., 7.625% Sr. Unsec. Nts.,
5/15/20		411,000		448,504
PVH Corp., 4.50% Sr. Unsec. Unsub. Nts., 12/15/22		472,000		468,460
				916,964

Consumer Staples—1.4%
Beverages—0.7%
Anheuser-Busch InBev Worldwide, Inc., 8.20% Sr. Unsec. Unsub. Nts., 1/15/39		386,000		587,780
Constellation Brands, Inc., 3.75% Sr. Unsec. Nts., 5/1/21		472,000		462,560
Foster’s Finance Corp., 4.875% Sr. Unsec. Nts., 10/1/14²		270,000		275,824
Pernod Ricard SA, 4.45% Sr. Unsec. Nts., 1/15/22²		260,000		272,397
SABMiller Holdings, Inc., 4.95% Sr. Unsec. Unsub. Nts., 1/15/42²		235,000		247,011
				1,845,572

Food & Staples Retailing—0.1%
Delhaize Group SA, 5.70% Sr. Unsec. Nts., 10/1/40		250,000		255,135
Safeway, Inc., 5.625% Sr. Unsec. Nts., 8/15/14		98,000		99,451
				354,586

Food Products—0.3%
Bunge Ltd. Finance Corp.:
5.10% Sr. Unsec. Unsub. Nts., 7/15/15		381,000		400,506
5.35% Sr. Unsec. Unsub. Nts., 4/15/14		34,000		34,049
8.50% Sr. Unsec. Nts., 6/15/19		270,000		333,653
				768,208

Personal Products—0.2%
Avon Products, Inc., 5% Sr. Unsec. Nts., 3/15/23		496,000		497,849

Tobacco—0.1%
Altria Group, Inc., 10.20% Sr. Unsec. Nts., 2/6/39		261,000		429,601

Energy—3.5%
Energy Equipment & Services—0.5%
Ensco plc, 4.70% Sr. Unsec. Nts., 3/15/21		119,000		128,063
Nabors Industries, Inc.:
2.35% Sr. Unsec. Nts., 9/15/16²		41,000		41,973
5.00% Sr. Unsec. Nts., 9/15/20		138,000		147,555
Rowan Cos., Inc., 4.875% Sr. Unsec. Unsub. Nts., 6/1/22		349,000		361,681
Transocean, Inc., 5.05% Sr. Unsec. Nts., 12/15/16		413,000		449,543
Weatherford International Ltd., 5.95% Sr. Unsec.
Nts., 4/15/42		295,000		318,957
				1,447,772

Oil, Gas & Consumable Fuels—3.0%
Access Midstream Partners LP/ACMP Finance
Corp., 4.875% Sr. Unsec. Nts., 5/15/23		450,000		455,625
Anadarko Petroleum Corp., 6.20% Sr. Unsec. Nts., 3/15/40		186,000		216,112
Canadian Oil Sands Ltd., 6% Sr. Unsec. Nts.,
4/1/42²		206,000		228,172
Cimarex Energy Co., 5.875% Sr. Unsec. Unsub.
Nts., 5/1/22		472,000		514,480


	Principal Amount		Value
Oil, Gas & Consumable Fuels (Continued)
CNOOC Finance 2013 Ltd., 4.25% Sr. Unsec.
Unsub. Nts., 5/9/43	$	164,000	$	145,214
Continental Resources, Inc., 4.50% Sr. Unsec. Nts., 4/15/23		509,000		528,181
DCP Midstream LLC, 5.375% Sr. Unsec. Nts.,
10/15/15²		342,000		360,668
DCP Midstream Operating LP, 3.875% Sr. Unsec. Nts., 3/15/23		504,000		493,438
El Paso Pipeline Partners Operating Co. LLC,
4.10% Sr. Unsec. Nts., 11/15/15		181,000		190,056
Enbridge Energy Partners LP, 5.35% Sr. Unsec.
Nts., 12/15/14		209,000		215,814
Energy Transfer Partners LP, 8.50% Sr. Unsec. Nts., 4/15/14		180,000		180,472
EnLink Midstream Partners LP, 2.70% Sr. Unsec. Nts., 4/1/19		356,000		357,632
Origin Energy Finance Ltd.:
3.50% Sr. Unsec. Nts., 10/9/18²		468,000		477,021
5.45% Sr. Unsec. Nts., 10/14/21²		245,000		264,915
Pioneer Natural Resources Co., 6.65% Sr. Unsec. Nts., 3/15/17		83,000		94,544
Range Resources Corp., 5.75% Sr. Unsec. Sub.
Nts., 6/1/21		435,000		468,169
Ras Laffan Liquefied Natural Gas Co. Ltd. III,
5.50% Sr. Sec. Nts., 9/30/14²		291,000		297,547
Rockies Express Pipeline LLC, 3.90% Sr. Unsec.
Unsub. Nts., 4/15/15⁴		454,000		458,540
Southwestern Energy Co., 4.10% Sr. Unsec. Nts., 3/15/22		255,000		262,540
Spectra Energy Partners LP:
4.60% Sr. Unsec. Nts., 6/15/21		277,000		297,187
4.75% Sr. Unsec. Nts., 3/15/24		229,000		241,803
Sunoco Logistics Partner LP, 5.30% Sr. Unsec. Nts., 4/1/44		82,000		81,647
Targa Resources Partners LP/Targa Resources
Partners Finance Corp., 5.25% Sr. Unsec. Nts., 5/1/23		470,000		467,650
Whiting Petroleum Corp., 5.75% Sr. Unsec. Nts., 3/15/21		465,000		501,038
Woodside Finance Ltd., 4.60% Sr. Unsec. Unsub.
Nts., 5/10/21²		372,000		398,793
				8,197,258

Financials—9.0%
Capital Markets—1.5%
Carlyle Holdings II Finance LLC, 5.625% Sr. Sec.
Nts., 3/30/43²		243,000		261,199
Goldman Sachs Capital I, 6.345% Sub. Nts.,
2/15/34		499,000		518,129
Goldman Sachs Group, Inc. (The):
3.625% Sr. Unsec. Nts., 1/22/23		500,000		492,838
4.00% Sr. Unsec. Nts., 3/3/24		189,000		188,572
Lazard Group LLC, 4.25% Sr. Unsec. Nts.,
11/14/20		401,000		416,208
Macquarie Bank Ltd., 6.625% Unsec. Sub. Nts.,
4/7/21²		716,000		811,324
Morgan Stanley, 5% Sub. Nts., 11/24/25		847,000		873,556
Nomura Holdings, Inc., 2% Sr. Unsec. Nts.,
9/13/16		452,000		457,936
Raymond James Financial, Inc., 5.625% Sr. Unsec.
Unsub. Nts., 4/1/24		265,000		288,393
				4,308,155

Commercial Banks—3.5%
Amsouth Bank NA, 5.20% Sub. Nts., 4/1/15		276,000		287,110
Bank of Amercia Corp., 7.75% Jr. Sub. Nts.,
5/14/38		424,000		560,846
Barclays Bank plc, 5.14% Sub. Nts., 10/14/20		460,000		488,515
BPCE SA:
5.15% Sub. Nts., 7/21/24²		125,000		124,619


	Principal Amount		Value
Commercial Banks (Continued)
BPCE SA: (Continued) 5.70% Sub. Nts., 10/22/23²	$	465,000	$	484,293
Citigroup, Inc.: 6.675% Sub. Nts., 9/13/43		405,000		475,918
Series D, 5.95% Jr. Sub. Perpetual Bonds^3,11		465,000		455,119
Commerzbank AG, 8.125% Sub. Nts., 9/19/23²		458,000		526,127
Credit Agricole SA, 6.637% Jr. Sub. Perpetual Bonds^2,3,11		736,000		768,016
HSBC Finance Capital Trust IX, 5.911% Unsec. Sub. Nts., 11/30/35³		1,120,000		1,169,000
JPMorgan Chase & Co., 6.75% Jr. Sub. Perpetual Bonds^3,11		399,000		421,942
Lloyds TSB Bank plc, 6.50% Unsec. Sub. Nts., 9/14/20²		690,000		789,692
Nordea Bank AB, 2.375% Sr. Unsec. Nts., 4/4/19^2,9		235,000		233,990
Rabobank Capital Funding Trust III, 5.254% Jr. Sub. Perpetual Bonds^3,4,11		751,000		791,366
Regions Bank, 7.50% Sub. Nts., 5/15/18		150,000		177,403
Royal Bank of Scotland Group plc, 7.64% Jr. Sub. Perpetual Bonds, Series U^3,11		500,000		510,000
Societe Generale SA, 5.922% Jr. Sub. Perpetual Bonds^2,3,11		440,000		470,270
SunTrust Banks, Inc., 3.60% Sr. Unsec. Nts., 4/15/16		460,000		484,002
Wells Fargo & Co., 7.98% Jr. Sub. Perpetual Bonds, Series K^3,11		327,000		373,189
				9,591,417

Consumer Finance—0.4%
Ally Financial, Inc., 4.75% Sr. Unsec. Nts., 9/10/18		455,000		482,869
Discover Financial Services, 3.85% Sr. Unsec. Unsub. Nts., 11/21/22		552,000		542,914
				1,025,783

Diversified Financial Services—0.5%
Burlington Northern Santa Fe LLC, 4.90% Sr. Unsec. Nts., 4/1/44		181,000		187,299
Leucadia National Corp., 5.50% Sr. Unsec. Nts., 10/18/23		652,000		680,629
Voya Financial, Inc., 5.65% Jr. Sub. Nts., 5/15/53³		495,000		494,505
				1,362,433

Insurance—2.1%
AIA Group Ltd., 4.875% Sr. Unsec. Nts., 3/11/44²		347,000		353,608
Arch Capital Group US, Inc., 5.144% Sr. Unsec. Nts., 11/1/43		419,000		442,937
AXIS Specialty Finance plc, 5.15% Sr. Unsec. Nts., 4/1/45		368,000		371,915
CNA Financial Corp., 5.875% Sr. Unsec. Unsub. Nts., 8/15/20		169,000		194,322
Five Corners Funding Trust, 4.419% Unsec. Nts., 11/15/23²		374,000		384,062
Genworth Holdings, Inc., 4.80% Sr. Unsec. Nts., 2/15/24		733,000		764,125
Gulf South Pipeline Co. LP, 5.05% Sr. Unsec. Nts., 2/1/15²		260,000		268,214
Liberty Mutual Group, Inc., 4.25% Sr. Unsec. Nts., 6/15/23²		543,000		552,181
Lincoln National Corp., 6.05% Jr. Unsec. Sub. Nts., 4/20/67³		811,000		809,986
Marsh & McLennan Cos., Inc., 5.375% Sr. Unsec. Nts., 7/15/14		64,000		64,889
Prudential Financial, Inc., 5.20% Jr. Sub. Nts., 3/15/44³		331,000		330,172
Swiss Re Capital I LP, 6.854% Jr. Sub. Perpetual Bonds^2,3,11		780,000		838,500
ZFS Finance USA Trust V, 6.50% Jr. Sub. Nts., 5/9/37^3,4		437,000		470,867
				5,845,778


	Principal Amount		Value
Real Estate Investment Trusts (REITs)—1.0%
American Tower Corp.:
5.05% Sr. Unsec. Unsub. Nts., 9/1/20	$	285,000	$	307,279
5.90% Sr. Unsec. Nts., 11/1/21		233,000		261,725
ARC Properties Operating Partnership LP/Clark Acquisition LLC, 2% Sr. Unsec. Nts., 2/6/17²		454,000		454,514
CC Holdings GS V LLC/Crown Castle GS III Corp., 3.849% Sr. Sec. Nts., 4/15/23		255,000		248,558
Corrections Corp. of America, 4.125% Sr. Unsec. Nts., 4/1/20		457,000		453,573
Hospitality Properties Trust:
4.65% Sr. Unsec. Nts., 3/15/24		225,000		224,327
5.125% Sr. Unsec. Nts., 2/15/15		262,000		265,950
National Retail Properties, Inc., 6.25% Sr. Unsec. Nts., 6/15/14		211,000		213,146
Prologis LP, 5.625% Sr. Unsec. Nts., 11/15/16		409,000		451,335
				2,880,407

Health Care—1.5%
Biotechnology—0.3%
Celgene Corp., 3.25% Sr. Unsec. Nts., 8/15/22		574,000		560,492
Gilead Sciences, Inc., 5.65% Sr. Unsec. Unsub. Nts., 12/1/41		263,000		302,373
				862,865

Health Care Equipment & Supplies—0.3%
Boston Scientific Corp., 4.125% Sr. Unsec. Nts., 10/1/23		465,000		472,436
DENTSPLY International, Inc., 2.75% Sr. Unsec. Nts., 8/15/16		425,000		440,109
				912,545

Health Care Providers & Services—0.3%
CHS/Community Health Systems, Inc., 5.125% Sr. Sec. Nts., 8/1/21²		350,000		360,500
Fresenius Medical Care US Finance II, Inc., 5.875% Sr. Unsec. Nts., 1/31/22²		422,000		450,485
				810,985

Life Sciences Tools & Services—0.2%
Thermo Fisher Scientific, Inc.:
4.15% Sr. Unsec. Nts., 2/1/24		392,000		404,173
5.30% Sr. Unsec. Nts., 2/1/44		165,000		178,504
				582,677

Pharmaceuticals—0.4%
Hospira, Inc., 5.20% Sr. Unsec. Nts., 8/12/20		441,000		471,964
Mallinckrodt International Finance SA, 3.50% Sr. Unsec. Unsub. Nts., 4/15/18²		468,000		461,551
Zoetis, Inc., 1.875% Sr. Unsec. Nts., 2/1/18		158,000		157,101
				1,090,616

Industrials—2.3%
Aerospace & Defense—0.4%
B/E Aerospace, Inc., 5.25% Sr. Unsec. Nts., 4/1/22		444,000		458,985
Huntington Ingalls Industries, Inc., 7.125% Sr. Unsec. Unsub. Nts., 3/15/21		430,000		476,763
Textron, Inc.:
4.30% Sr. Unsec. Nts., 3/1/24		230,000		234,776
6.20% Sr. Unsec. Nts., 3/15/15		34,000		35,700
				1,206,224

Building Products—0.2%
Owens Corning, 4.20% Sr. Unsec. Nts., 12/15/22		505,000		501,790

Commercial Services & Supplies—0.3%
Clean Harbors, Inc., 5.25% Sr. Unsec. Unsub. Nts., 8/1/20		468,000		484,380
Pitney Bowes, Inc., 4.625% Sr. Unsec. Nts., 3/15/24		347,000		345,279
				829,659


	Principal Amount		Value
Electrical Equipment—0.1%
Sensata Technologies BV, 4.875% Sr. Unsec. Nts., 10/15/23²	$	349,000	$	344,638

Industrial Conglomerates—0.3%
General Electric Capital Corp., 6.25% Jr. Sub. Perpetual Bonds, Series B^3,11		682,000		732,859

Machinery—0.2%
Crane Co., 4.45% Sr. Unsec. Nts., 12/15/23		234,000		241,330
Ingersoll-Rand Global Holding Co. Ltd., 4.25% Sr. Unsec. Nts., 6/15/23²		410,000		419,468
				660,798

Professional Services—0.2%
Nielsen Finance LLC/Nielsen Finance Co., 4.50% Sr. Unsec. Nts., 10/1/20		470,000		475,875

Road & Rail—0.3%
Penske Truck Leasing Co. LP/PTL Finance Corp.:
2.50% Sr. Unsec. Nts., 3/15/16²		446,000		457,391
4.25% Sr. Unsec. Nts., 1/17/23²		250,000		252,776
				710,167

Trading Companies & Distributors—0.3%
Air Lease Corp., 3.875% Sr. Unsec. Nts., 4/1/21		456,000		458,280
International Lease Finance Corp., 5.875% Sr. Unsec. Unsub. Nts., 4/1/19		437,000		479,607
				937,887

Information Technology—1.1%
Electronic Equipment, Instruments, & Components—0.4%
Amphenol Corp., 4.75% Sr. Unsec. Nts., 11/15/14		79,000		80,989
Arrow Electronics, Inc., 5.125% Sr. Unsec. Unsub. Nts., 3/1/21		525,000		553,255
Avnet, Inc., 4.875% Sr. Unsec. Unsub. Nts., 12/1/22		550,000		574,759
				1,209,003

IT Services—0.1%
Fidelity National Information Services, Inc., 3.50% Sr. Unsec. Nts., 4/15/23		244,000		232,370

Office Electronics—0.2%
Xerox Corp., 4.25% Sr. Unsec. Nts., 2/15/15		449,000		462,741

Technology Hardware, Storage & Peripherals—0.4%
Hewlett-Packard Co.:
2.65% Sr. Unsec. Unsub. Nts., 6/1/16		443,000		458,285
4.75% Sr. Unsec. Nts., 6/2/14		144,000		145,012
Seagate HDD Cayman, 3.75% Sr. Unsec. Nts., 11/15/18²		410,000		423,325
				1,026,622

Materials—2.0%
Chemicals—0.4%
Agrium, Inc., 4.90% Sr. Unsec. Nts., 6/1/43		135,000		133,934
LYB International Finance BV, 5.25% Sr. Unsec. Nts., 7/15/43		144,000		152,222
Rockwood Specialties Group, Inc., 4.625% Sr. Unsec. Nts., 10/15/20		450,000		466,875
RPM International, Inc., 3.45% Sr. Unsec. Unsub. Nts., 11/15/22		234,000		220,642
Sherwin-Williams Co. (The), 4% Sr. Unsec. Unsub. Nts., 12/15/42		268,000		246,063
				1,219,736

Construction Materials—0.2%
CRH America, Inc., 4.125% Sr. Unsec. Nts., 1/15/16		440,000		463,827

Containers & Packaging—0.4%
Crown Americas LLC/Crown Americas Capital Corp. III, 6.25% Sr. Unsec. Nts., 2/1/21		184,000		200,100


	Principal Amount		Value
Containers & Packaging (Continued)
Packaging Corp. of America, 4.50% Sr. Unsec. Nts., 11/1/23	$	358,000	$	371,327
Rock-Tenn Co., 3.50% Sr. Unsec. Unsub. Nts., 3/1/20		484,000		491,756
				1,063,183

Metals & Mining—0.9%
Allegheny Technologies, Inc., 5.95% Sr. Unsec. Unsub. Nts., 1/15/21		282,000		298,097
Barrick Gold Corp., 3.85% Sr. Unsec. Nts., 4/1/22		220,000		210,521
BHP Billiton Finance USA Ltd., 5% Sr. Unsec. Nts., 9/30/43		118,000		125,358
Carpenter Technology Corp., 4.45% Sr. Unsec. Unsub. Nts., 3/1/23		159,000		159,824
Freeport-McMoRan Copper & Gold, Inc.:
1.40% Sr. Unsec. Nts., 2/13/15		464,000		466,778
3.875% Sr. Unsec. Nts., 3/15/23		495,000		474,252
Glencore Canada Corp.:
5.375% Sr. Unsec. Unsub. Nts., 6/1/15		342,000		358,649
6.00% Sr. Unsec. Unsub. Nts., 10/15/15		391,000		419,421
				2,512,900

Paper & Forest Products—0.1%
International Paper Co., 6% Sr. Unsec. Unsub. Nts., 11/15/41		170,000		195,606

Telecommunication Services—1.4%
Diversified Telecommunication Services—1.2%
AT&T, Inc., 4.35% Sr. Unsec. Nts., 6/15/45		200,000		177,225
British Telecommunications plc, 9.625% Sr. Unsec. Nts., 12/15/30		304,000		471,100
Frontier Communications Corp., 8.50% Sr. Unsec. Nts., 4/15/20		405,000		472,837
Telecom Italia Capital SA, 7.721% Sr. Unsec. Unsub. Nts., 6/4/38		277,000		297,775
Telefonica Emisiones SAU, 7.045% Sr. Unsec. Unsub. Nts., 6/20/36		450,000		547,990
T-Mobile USA, Inc., 6.25% Sr. Unsec. Nts., 4/1/21		455,000		482,869
Verizon Communications, Inc.:
6.40% Sr. Unsec. Nts., 2/15/38		223,000		262,702
6.55% Sr. Unsec. Nts., 9/15/43		566,000		691,276
				3,403,774

Wireless Telecommunication Services—0.2%
America Movil SAB de CV, 4.375% Sr. Unsec. Unsub. Nts., 7/16/42		361,000		321,052
Vodafone Group plc:
4.375% Sr. Unsec. Unsub. Nts., 2/19/43		142,000		128,486
6.25% Sr. Unsec. Nts., 11/30/32		150,000		173,942
				623,480

Utilities—1.0%
Electric Utilities—0.6%
Exelon Generation Co. LLC, 4.25% Sr. Unsec. Unsub. Nts., 6/15/22		257,000		261,125
ITC Holdings Corp., 5.30% Sr. Unsec. Nts., 7/1/43		203,000		214,518
Jersey Central Power & Light Co., 4.70% Sr. Unsec. Nts., 4/1/24²		237,000		246,050
Pennsylvania Electric Co., 5.20% Sr. Unsec. Nts., 4/1/20		88,000		96,375
PPL Capital Funding, Inc., 3.50% Sr. Unsec. Unsub. Nts., 12/1/22		223,000		218,941
PPL WEM Holdings Ltd., 5.375% Sr. Unsec. Unsub. Nts., 5/1/21²		590,000		647,269
				1,684,278

Independent Power and Renewable Electricity Producers—0.1%
Dayton Power & Light Co., 1.875% Sr. Sec. Nts., 9/15/16²		329,000		333,936

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:

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.

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.

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:

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:

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 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:

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.

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.

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.

1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange)

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:

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.

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.

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.

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.


	Shares		Value
Common Stocks—98.5%
Consumer Discretionary—16.0%
Auto Components—0.5%
Magna International, Inc.		44,670	$	4,302,168

Hotels, Restaurants & Leisure—0.8%
Chipotle Mexican Grill, Inc.¹		13,020		7,396,011

Household Durables—0.8%
Harman International Industries, Inc.		71,400		7,596,960

Internet & Catalog Retail—2.9%
Amazon.com, Inc.¹		29,274		9,851,286
Priceline.com, Inc. (The)¹		5,550		6,614,990
TripAdvisor, Inc.¹		128,160		11,610,014

				28,076,290

Media—6.6%
Time Warner, Inc.		211,930		13,845,387
Twenty-First Century Fox, Inc., Cl. B		610,340		18,993,781
Walt Disney Co. (The)		379,440		30,381,761

				63,220,929

Specialty Retail—3.1%
Home Depot, Inc. (The)		119,990		9,494,809
Tiffany & Co.		80,270		6,915,260
TJX Cos., Inc. (The)		222,120		13,471,578

				29,881,647

Textiles, Apparel & Luxury Goods—1.3%
Nike, Inc., Cl. B		117,210		8,657,130
VF Corp.		56,320		3,485,082

				12,142,212

Consumer Staples—6.0%
Beverages—1.9%
Brown-Forman Corp., Cl. B		133,485		11,972,270
SABMiller plc		115,530		5,770,529

				17,742,799

Food & Staples Retailing—2.6%
Costco Wholesale Corp.		35,860		4,004,845
CVS Caremark Corp.		280,790		21,019,939

				25,024,784

Food Products—1.5%
Hershey Co. (The)		138,730		14,483,412

Energy—5.1%
Energy Equipment & Services—1.1%
Halliburton Co.		74,250		4,372,582
Oceaneering International, Inc.		89,750		6,449,435

				10,822,017

Oil, Gas & Consumable Fuels—4.0%
Antero Resources Corp.¹		98,110		6,141,686
EOG Resources, Inc.		115,990		22,753,758
Pioneer Natural Resources Co.		47,960		8,975,235

				37,870,679

Financials—7.7%
Capital Markets—5.3%
Ameriprise Financial, Inc.		83,390		9,178,737
Charles Schwab Corp. (The)		323,170		8,832,236
Goldman Sachs Group, Inc. (The)		31,050		5,087,543
Invesco Ltd.		296,230		10,960,510
Northern Trust Corp.		245,790		16,113,992

				50,173,018

Consumer Finance—0.5%
Discover Financial Services		84,800		4,934,512


	Shares		Value
Insurance—1.6%
Aon plc		186,040	$	15,679,451

Real Estate Investment Trusts (REITs)—0.3%
American Tower Corp.		36,740		3,007,904

Health Care—23.3%
Biotechnology—11.0%
Amgen, Inc.		96,270		11,873,942
Biogen Idec, Inc.¹		114,200		34,930,354
Celgene Corp.¹		118,147		16,493,321
Gilead Sciences, Inc.¹		439,820		31,165,645
Vertex Pharmaceuticals, Inc.¹		153,930		10,885,930

				105,349,192

Health Care Providers & Services—1.6%
UnitedHealth Group, Inc.		189,570		15,542,844

Health Care Technology—1.4%
Cerner Corp.¹		229,310		12,898,687

Life Sciences Tools & Services—2.6%
Agilent Technologies, Inc.		179,940		10,062,245
Thermo Fisher Scientific, Inc.		124,650		14,987,916

				25,050,161

Pharmaceuticals—6.7%
Actavis plc¹		40,760		8,390,446
Allergan, Inc.		73,910		9,172,231
Bristol-Myers Squibb Co.		311,070		16,160,087
Pfizer, Inc.		603,790		19,393,735
Roche Holding AG		34,703		10,431,254

				63,547,753

Industrials—8.6%
Aerospace & Defense—2.2%
B/E Aerospace, Inc.¹		125,410		10,884,334
Precision Castparts Corp.		38,420		9,711,039

				20,595,373

Building Products—1.0%
Allegion plc		72,610		3,788,064
Fortune Brands Home & Security, Inc.		132,100		5,558,768

				9,346,832

Electrical Equipment—0.9%
AMETEK, Inc.		167,690		8,634,358

Machinery—3.9%
Caterpillar, Inc.		95,750		9,514,677
Ingersoll-Rand plc		202,550		11,593,962
Pall Corp.		45,430		4,064,622
Parker Hannifin Corp.		97,790		11,706,441

				36,879,702

Trading Companies & Distributors—0.6%
United Rentals, Inc.¹		63,350		6,014,449

Information Technology—28.4%
Communications Equipment—1.3%
Cisco Systems, Inc.		566,830		12,702,660

Internet Software & Services—9.1%
Facebook, Inc., Cl. A¹		595,940		35,899,425
Google, Inc., Cl. A¹		29,790		33,201,253
LinkedIn Corp., Cl. A¹		97,870		18,100,078

				87,200,756

IT Services—5.3%
FleetCor Technologies, Inc.¹		70,170		8,076,567
MasterCard, Inc., Cl. A		312,170		23,319,099
Visa, Inc., Cl. A		88,637		19,133,183

				50,528,849


	Shares			Value
Semiconductors & Semiconductor Equipment—0.8%
Xilinx, Inc.		136,010		$	7,381,263
Software—2.3%
Autodesk, Inc.¹		358,120			17,612,342
Salesforce.com, Inc.¹		70,780			4,040,830

					21,653,172
Technology Hardware, Storage & Peripherals—9.6%
Apple, Inc.		109,870			58,971,624
EMC Corp.		751,120			20,588,199
Western Digital Corp.		135,130			12,407,637

					91,967,460
Materials—3.4%
Chemicals—3.4%
Dow Chemical Co. (The)		171,710			8,343,389
Methanex Corp.		105,240			6,729,045
PPG Industries, Inc.		91,410			17,684,179

					32,756,613

Total Common Stocks (Cost $674,756,349)					940,404,917
Investment Company—0.6%
Oppenheimer Institutional Money Market Fund, Cl. E, 0.08%^2,3 (Cost $5,424,801)		5,424,801			5,424,801
Total Investments, at Value (Cost $680,181,150)		99.1	%		945,829,718

Assets in Excess of Other Liabilities		0.9			8,911,799

Net Assets		100.0	%	$	954,741,517

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:

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.