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.
225 Liberty Street, 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: 9/30/2014
| Item 1. | Schedule of Investments. |
| STATEMENT OF INVESTMENTS September 30, 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, as amended, at or during the period ended September 30, 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 September 30, 2014 |
|||||||||||||
| Oppenheimer Institutional Money Market Fund, Cl. E |
5,136,594 | 218,727,602 | 221,982,792 | 1,881,404 | ||||||||||||
| Value | Income | |||||||||||||||
| Oppenheimer Institutional Money Market Fund, Cl. E |
|
$ | 1,881,404 | $ | 10,941 | |||||||||||
3. Rate shown is the 7-day yield as of September 30, 2014.
| 3 |
OPPENHEIMER DISCOVERY MID CAP GROWTH FUND/VA |
NOTES TO STATEMENT OF INVESTMENTS September 30, 2014 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 (“1940 Act”), 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.
Equity Security Risk. Stocks and other equity securities fluctuate in price. The value of the Fund’s portfolio may be affected by changes in the equity markets generally. Equity markets may experience significant short-term volatility and may fall sharply at times. Different markets may behave differently from each other and U.S. equity markets may move in the opposite direction from one or more foreign stock markets.
The prices of individual equity securities generally do not all move in the same direction at the same time and a variety of factors can affect the price of a particular company’s securities. These factors may include, but are not limited to, poor earnings reports, a loss of customers, litigation against the company, general unfavorable performance of the company’s sector or industry, or changes in government regulations affecting the company or its industry.
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 or for defensive purposes. IMMF is a registered open-end management investment company, regulated as a money market fund under the 1940 Act. 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. |
| 4 |
OPPENHEIMER DISCOVERY MID CAP GROWTH FUND/VA |
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
| Securities Valuation (Continued) Security Type |
Standard inputs generally considered by third-party pricing vendors | |
| 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 September 30, 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 |
$ | 141,069,855 | $ | — | $ | — | $ | 141,069,855 | ||||||||
| Consumer Staples |
33,527,446 | — | — | 33,527,446 | ||||||||||||
| Energy |
37,646,701 | — | — | 37,646,701 | ||||||||||||
| Financials |
51,219,183 | — | — | 51,219,183 | ||||||||||||
| Health Care |
107,598,535 | — | — | 107,598,535 | ||||||||||||
| Industrials |
126,132,016 | — | — | 126,132,016 | ||||||||||||
| Information Technology |
143,010,819 | — | — | 143,010,819 | ||||||||||||
| Materials |
37,200,177 | — | — | 37,200,177 | ||||||||||||
| Telecommunication Services |
15,998,434 | — | — | 15,998,434 | ||||||||||||
| Investment Company |
1,881,404 | — | — | 1,881,404 | ||||||||||||
|
|
|
|||||||||||||||
| Total Assets |
$ | 695,284,570 | $ | — | $ | — | $ | 695,284,570 | ||||||||
|
|
|
|||||||||||||||
Forward currency exchange contracts and futures contracts, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract’s value from trade date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.
| 5 |
OPPENHEIMER DISCOVERY MID CAP GROWTH FUND/VA |
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
Federal Taxes
The approximate aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of September 30, 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 |
$ | 548,723,114 | ||
|
|
|
|||
| Gross unrealized appreciation |
$ | 153,238,253 | ||
| Gross unrealized depreciation |
(6,676,797) | |||
|
|
|
|||
| Net unrealized appreciation |
$ | 146,561,456 | ||
|
|
|
| 6 |
OPPENHEIMER DISCOVERY MID CAP GROWTH FUND/VA |
STATEMENT OF INVESTMENTS September 30, 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 CAPITAL INCOME FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
7 OPPENHEIMER CAPITAL INCOME FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
8 OPPENHEIMER CAPITAL INCOME FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
9 OPPENHEIMER CAPITAL INCOME FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
| Counterparty | Buy /Sell Protection |
Reference Asset | Fixed Rate | Expiration Date |
Notional (000’s) |
Value | ||||||||||||||||||||||||||
| Over-the-Counter Credit Default Swaptions Purchased—0.0% |
| |||||||||||||||||||||||||||||||
| Credit Default Swap maturing 6/20/19 Call1 |
JPM | Buy | CDX.NA.IG.22 | 1.000 | % | 12/17/14 | USD | 15,449 | $ | 15,749 | ||||||||||||||||||||||
| Credit Default Swap maturing 6/20/19 Call1 |
JPM | Buy | CDX.NA.IG.22 | 1.000 | 12/17/14 | USD | 15,349 | 15,647 | ||||||||||||||||||||||||
| Credit Default Swap maturing 6/20/19 Call1 |
DEU | Buy | CDX.NA.IG.22 | 1.000 | 10/15/14 | USD | 16,335 | 704 | ||||||||||||||||||||||||
| Credit Default Swap maturing 6/20/19 Call1 |
JPM | Buy | CDX.NA.IG.22 | 1.000 | 10/15/14 | USD | 16,188 | 697 | ||||||||||||||||||||||||
| Total Over-the-Counter Credit Default Swaptions Purchased (Cost $111,022)
|
|
|
32,797
|
| ||||||||||||||||||||||||||||
| Total Investments, at Value (Cost $289,614,133) |
|
114.7% | 306,541,113 | |||||||||||||||||||||||||||||
| Net Other Assets (Liabilities) |
|
(14.7) | (39,261,745 | ) | ||||||||||||||||||||||||||||
| Net Assets |
100 .0% | $ | 267,279,368 | |||||||||||||||||||||||||||||
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 $43,510,738 or 16.28% of the Fund’s net assets as of September 30, 2014.
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 $2,108,601 or 0.79% of the Fund’s net assets as of September 30, 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 $112,968 or 0.04% of the Fund’s net assets as of September 30, 2014.
7. All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after September 30, 2014. See accompanying Notes.
8. Restricted security. The aggregate value of restricted securities as of September 30, 2014 was $2,516,035, which represents 0.94% of the Fund’s net assets. See accompanying Notes. Information concerning restricted securities is as follows:
| Security | Acquisition Dates |
Cost | Value | Unrealized Appreciation/ (Depreciation) |
||||||||||||
| Rabobank Capital Funding Trust III, 5.254% Jr. Sub. Perpetual Bonds |
5/1/13-5/8/13 | $ | 762,865 | $ | 792,305 | $ | 29,440 | |||||||||
| Swiss Re Capital I LP, 6.854% Jr. Sub. Perpetual Bonds |
3/10/10-7/22/13 | 748,929 | 821,925 | 72,996 | ||||||||||||
| TRW Automotive, Inc., 7.25% Sr. Unsec. Nts., 3/15/17 |
3/31/14-4/8/14 | 438,034 | 429,845 | (8,189 | ) | |||||||||||
| ZFS Finance USA Trust V, 6.50% Jr. Sub. Nts., 5/9/37 | 11/20/13 | 458,377 | 471,960 | 13,583 | ||||||||||||
| $ | 2,408,205 | $ | 2,516,035 | $ | 107,830 | |||||||||||
9. 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.
| 10. | Rate shown is the 7-day yield as of September 30, 2014. |
11. Is or was an affiliate, as defined in the Investment Company Act of 1940, as amended, at or during the period ended September 30, 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 September 30, 2014 |
|||||||||||||
| Oppenheimer Institutional Money Market Fund, Cl. E | 19,917,607 | — | 14,550,000 | 5,367,607 | ||||||||||||
| Value | Income | |||||||||||||||
| Oppenheimer Institutional Money Market Fund, Cl. E | $ | 5,367,607 | $ | 9,530 | ||||||||||||
10 OPPENHEIMER CAPITAL INCOME FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
| Futures Contracts as of September 30, 2014 |
| |||||||||||||||||||||||
| Description | Exchange | Buy/Sell | Expiration Date | Number of Contracts | Value | Unrealized Appreciation (Depreciation) |
||||||||||||||||||
| United States Treasury Long Bonds | CBT | Buy | 12/19/14 | 42 | $ | 5,792,062 | $ | 21,223 | ||||||||||||||||
| United States Treasury Nts., 2 yr. | CBT | Sell | 12/31/14 | 150 | 32,826,564 | 30,435 | ||||||||||||||||||
| United States Treasury Nts., 5 yr. | CBT | Buy | 12/31/14 | 3 | 354,773 | (58 | ) | |||||||||||||||||
| United States Treasury Nts., 10 yr. | CBT | Sell | 12/19/14 | 21 | 2,617,453 | 7,480 | ||||||||||||||||||
| United States Treasury Ultra Bonds | CBT | Buy | 12/19/14 | 34 | 5,185,000 | (1,744 | ) | |||||||||||||||||
| $ | 57,336 | |||||||||||||||||||||||
| Glossary: |
||
| Counterparty Abbreviations |
||
| DEU | Deutsche Bank AG | |
| JPM | JPMorgan Chase Bank NA | |
| Definition |
||
| CDX.NA.IG.22 | Markit CDX North American Investment Grade High Volatility | |
| Exchange Abbreviations |
||
| CBT | Chicago Board of Trade | |
11 OPPENHEIMER CAPITAL INCOME FUND/VA
NOTES TO STATEMENT OF INVESTMENTS September 30, 2014 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 (“1940 Act”), 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.
Equity Security Risk. Stocks and other equity securities fluctuate in price. The value of the Fund’s portfolio may be affected by changes in the equity markets generally. Equity markets may experience significant short-term volatility and may fall sharply at times. Different markets may behave differently from each other and U.S. equity markets may move in the opposite direction from one or more foreign stock markets.
The prices of individual equity securities generally do not all move in the same direction at the same time and a variety of factors can affect the price of a particular company’s securities. These factors may include, but are not limited to, poor earnings reports, a loss of customers, litigation against the company, general unfavorable performance of the company’s sector or industry, or changes in government regulations affecting the company or its industry.
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 or for defensive purposes. IMMF is a registered open-end management investment company, regulated as a money market fund under the 1940 Act. 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 September 30, 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 | $56,811,459 | |||
| Sold securities | 12,561,806 | |||
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.
12 OPPENHEIMER CAPITAL INCOME FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
Securities Valuation
The Fund calculates the net asset value of its shares as of the close of the New York Stock Exchange (the “Exchange”), normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading.
The 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.
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
13 OPPENHEIMER CAPITAL INCOME FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
Securities Valuation (Continued)
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 September 30, 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 |
$ | 11,141,201 | $ | — | $ | — | $ | 11,141,201 | ||||||||
| Consumer Staples |
4,167,146 | 2,097,936 | — | 6,265,082 | ||||||||||||
| Energy |
9,061,686 | — | — | 9,061,686 | ||||||||||||
| Financials |
15,187,117 | — | — | 15,187,117 | ||||||||||||
| Health Care |
13,653,915 | — | — | 13,653,915 | ||||||||||||
| Industrials |
10,250,985 | — | — | 10,250,985 | ||||||||||||
| Information Technology |
17,837,302 | — | — | 17,837,302 | ||||||||||||
| Materials |
3,216,320 | — | — | 3,216,320 | ||||||||||||
| Telecommunication Services |
1,574,342 | — | — | 1,574,342 | ||||||||||||
| Utilities |
1,435,598 | — | — | 1,435,598 | ||||||||||||
| Preferred Stock | — | 242,454 | — | 242,454 | ||||||||||||
| Asset-Backed Securities | — | 31,283,236 | — | 31,283,236 | ||||||||||||
| Mortgage-Backed Obligations | — | 83,007,295 | — | 83,007,295 | ||||||||||||
| U.S. Government Obligations | — | 10,645,448 | — | 10,645,448 | ||||||||||||
| Non-Convertible Corporate Bonds and Notes | — | 86,338,728 | — | 86,338,728 | ||||||||||||
| Investment Company | 5,367,607 | — | — | 5,367,607 | ||||||||||||
| Over-the-Counter Credit Default Swaptions Purchased | — | 32,797 | — | 32,797 | ||||||||||||
| Total Investments, at Value | 92,893,219 | 213,647,894 | — | 306,541,113 | ||||||||||||
| Other Financial Instruments: |
||||||||||||||||
| Futures contracts | 59,138 | — | — | 59,138 | ||||||||||||
| Total Assets | $ | 92,952,357 | $ | 213,647,894 | $ | — | $ | 306,600,251 | ||||||||
| Liabilities Table |
||||||||||||||||
| Other Financial Instruments: |
||||||||||||||||
| Futures contracts | $ | (1,802 | ) | $ | — | $ | — | $ | (1,802 | ) | ||||||
| Total Liabilities | $ | (1,802 | ) | $ | — | $ | — | $ | (1,802 | ) | ||||||
Forward currency exchange contracts and futures contracts, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract’s value from trade date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.
14 OPPENHEIMER CAPITAL INCOME FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
Risk Exposures and the Use of Derivative Instruments
The Fund’s investment objective not only permits the Fund to purchase investment securities, it also allows 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.
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.
15 OPPENHEIMER CAPITAL INCOME FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
Risk Exposures and the Use of Derivative Instruments (Continued)
During the period ended September 30, 2014, the Fund had an ending monthly average market value of $13,431,462 and $27,680,331 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.
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 Statement of Investments and the Statement of Assets and Liabilities in the annual and semiannual reports. Written swaptions are reported on a schedule following the Statement of Investments and their value is reported as a separate asset or liability line item in the Statement of Assets and Liabilities in the annual and semiannual reports. The net change in unrealized appreciation or depreciation on written swaptions is separately reported in the Statement of Operations in the annual and semiannual reports. When a swaption is exercised, the cost of the swap is adjusted by the amount of premium paid or received. Upon the expiration or closing of an unexercised swaption contract, a gain or loss is reported in the Statement of Operations in the annual and semiannual reports for the amount of the premium paid or received.
The Fund generally will incur a greater risk when it writes a swaption than when it purchases a swaption. When the Fund writes a swaption it will become obligated, upon exercise of the swaption, according to the terms of the underlying agreement. Swaption contracts written by the Fund do not give rise to counterparty credit risk 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 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.
During the period ended September 30, 2014, the Fund had an ending monthly average market value of $21,268 on purchased swaptions.
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 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 centrally 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 centrally cleared swaps.
With respect to centrally 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
16 OPPENHEIMER CAPITAL INCOME FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
Risk Exposures and the Use of Derivative Instruments (Continued)
permitted to terminate centrally 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 centrally 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 Statement of Assets and Liabilities in the annual and semiannual reports as cash pledged as collateral. Non-cash collateral pledged by the Fund, if any, is noted in the Statement of Investments. Generally, the amount of collateral due from or to a party must exceed a minimum transfer amount threshold (e.g. $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance.
Restricted Securities
As of September 30, 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 September 30, 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 | $ | 289,665,204 | ||
| Federal tax cost of other investments | (24,054,844) | |||
|
|
|
|||
| Total federal tax cost | $ | 265,610,360 | ||
|
|
|
|||
| Gross unrealized appreciation | $ | 20,332,699 | ||
| Gross unrealized depreciation | (3,399,454) | |||
|
|
|
|||
| Net unrealized appreciation | $ | 16,933,245 | ||
|
|
|
17 OPPENHEIMER CAPITAL INCOME FUND/VA
| STATEMENT OF INVESTMENTS September 30, 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 September 30, 2014.
3. Is or was an affiliate, as defined in the Investment Company Act of 1940, as amended, at or during the period ended September 30, 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 September 30, 2014 |
|||||||||||||
| Oppenheimer Institutional Money Market Fund, Cl. E |
3,644,176 | 187,567,729 | 180,952,451 | 10,259,454 | ||||||||||||
| Value | Income | |||||||
| Oppenheimer Institutional Money Market Fund, Cl. E | $ | 10,259,454 | $ | 6,486 | ||||
| 2 |
OPPENHEIMER CAPITAL APPRECIATION FUND/VA |
NOTES TO STATEMENT OF INVESTMENTS September 30, 2014 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 (“1940 Act”), 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.
Equity Security Risk. Stocks and other equity securities fluctuate in price. The value of the Fund’s portfolio may be affected by changes in the equity markets generally. Equity markets may experience significant short-term volatility and may fall sharply at times. Different markets may behave differently from each other and U.S. equity markets may move in the opposite direction from one or more foreign stock markets.
The prices of individual equity securities generally do not all move in the same direction at the same time and a variety of factors can affect the price of a particular company’s securities. These factors may include, but are not limited to, poor earnings reports, a loss of customers, litigation against the company, general unfavorable performance of the company’s sector or industry, or changes in government regulations affecting the company or its industry.
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 or for defensive purposes. IMMF is a registered open-end management investment company, regulated as a money market fund under the 1940 Act. 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 September 30, 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 |
$ | 173,217,060 | $ | — | $ | — | $ | 173,217,060 | ||||||||
| Consumer Staples |
53,414,621 | 8,800,351 | — | 62,214,972 | ||||||||||||
| Energy |
34,731,917 | — | — | 34,731,917 | ||||||||||||
| Financials |
66,780,752 | — | — | 66,780,752 | ||||||||||||
| Health Care |
203,210,506 | 4,983,990 | — | 208,194,496 | ||||||||||||
| Industrials |
66,421,629 | — | — | 66,421,629 | ||||||||||||
| Information Technology |
290,017,485 | — | — | 290,017,485 | ||||||||||||
| Materials |
36,982,040 | — | — | 36,982,040 | ||||||||||||
| Investment Company |
10,259,454 | — | — | 10,259,454 | ||||||||||||
|
|
|
|||||||||||||||
| Total Assets |
$ | 935,035,464 | $ | 13,784,341 | $ | — | $ | 948,819,805 | ||||||||
|
|
|
|||||||||||||||
Forward currency exchange contracts and futures contracts, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract’s value from trade date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.
| 4 |
OPPENHEIMER CAPITAL APPRECIATION FUND/VA |
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
Federal Taxes
The approximate aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of September 30, 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 |
$ | 682,376,508 | ||
|
|
|
|||
| Gross unrealized appreciation |
$ | 272,155,552 | ||
| Gross unrealized depreciation |
(5,712,255) | |||
|
|
|
|||
| Net unrealized appreciation |
$ | 266,443,297 | ||
|
|
|
| 5 |
OPPENHEIMER CAPITAL APPRECIATION FUND/VA |
STATEMENT OF INVESTMENTS September 30, 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
8 OPPENHEIMER CORE BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
|
|
Counterparty | Buy /Sell Protection |
Reference Asset | Fixed Rate | Expiration Date |
Notional (000’s) | Value | |||||||||||||||||||||||
| Over-the-Counter Credit Default Swaptions Purchased—0.0% |
||||||||||||||||||||||||||||||
| Credit Default Swap maturing 6/20/19 Call12 | JPM | Buy | CDX.NA.IG. 22 | 1.000 | 12/17/14 | USD | 13,008 | $ | 13,260 | |||||||||||||||||||||
| Credit Default Swap maturing 6/20/19 Call12 | JPM | Buy | CDX.NA.IG. 22 | 1.000 | 12/17/14 | USD | 12,849 | 13,098 | ||||||||||||||||||||||
| Credit Default Swap maturing 6/20/19 Call12 | DEU | Buy | CDX.NA.IG. 22 | 1.000 | 10/15/14 | USD | 13,730 | 592 | ||||||||||||||||||||||
| Credit Default Swap maturing 6/20/19 Call12 | JPM | Buy | CDX.NA.IG. 22 | 1.000 | 10/15/14 | USD | 13,729 | 592 | ||||||||||||||||||||||
| Total Over-the-Counter Credit Default Swaptions Purchased (Cost $93,522) |
|
27,542
|
| |||||||||||||||||||||||||||
| Total Investments, at Value (Cost $180,213,767) | 123.0 | % | 179,156,425 | |||||||||||||||||||||||||||
| Net Other Assets (Liabilities) | (23.0 | ) | (33,517,188 | ) | ||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||
| Net Assets | 100.0 | % | $ | 145,639,237 | ||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||
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 $36,130,692 or 24.81% of the Fund’s net assets as of September 30, 2014.
2. Represents the current interest rate for a variable or increasing rate security.
3. 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 $2,873,279 or 1.97% of the Fund’s net assets as of September 30, 2014.
4. Interest rate is less than 0.0005%.
5. 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 $169,402 or 0.12% of the Fund’s net assets as of September 30, 2014.
6. All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after September 30, 2014. See accompanying Notes.
7. Restricted security. The aggregate value of restricted securities as of September 30, 2014 was $2,533,033, which represents 1.74% of the Fund’s net assets. See accompanying Notes. Information concerning restricted securities is as follows:
| Security | Acquisition Dates |
Cost | Value | Unrealized Appreciation/ (Depreciation) |
||||||||||||
| NC Finance Trust, Series 1999-I, Cl. D, 8.75%, 1/25/29 | 8/10/10 | $ | 3,281,116 | $ | 374,072 | $ | (2,907,044) | |||||||||
| Rabobank Capital Funding Trust III, 5.254% Jr. Sub. Perpetual Bonds | 5/1/13-5/8/13 | 677,537 | 703,685 | 26,148 | ||||||||||||
| Swiss Re Capital I LP, 6.854% Jr. Sub. Perpetual Bonds | 3/17/10-2/16/12 | 607,795 | 698,636 | 90,841 | ||||||||||||
| TRW Automotive, Inc., 7.25% Sr. Unsec. Nts., 3/15/17 | 3/31/14-4/8/14 | 369,345 | 362,440 | (6,905) | ||||||||||||
| ZFS Finance USA Trust V, 6.50% Jr. Sub. Nts., 5/9/37 | 11/20/13 | 382,855 | 394,200 | 11,345 | ||||||||||||
|
|
|
|||||||||||||||
| $ | 5,318,648 | $ | 2,533,033 | $ | (2,785,615) | |||||||||||
|
|
|
|||||||||||||||
8. This security is not accruing income because the issuer has missed an interest payment on it and/or is not anticipated to make future interest and or principal payments. The rate shown is the original contractual interest rate. See accompanying Notes.
9. 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.
10. Is or was an affiliate, as defined in the Investment Company Act of 1940, as amended, at or during the period ended September 30, 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 September 30, 2014 |
|||||||||||||
| Oppenheimer Institutional Money Market Fund, Cl. E |
22,407,494 | 37,552,683 | 56,866,942 | 3,093,235 | ||||||||||||
| Value | Income | |||||||||||||||
| Oppenheimer Institutional Money Market Fund, Cl. E |
|
$ | 3,093,235 | $ | 5,146 | |||||||||||
11. Rate shown is the 7-day yield as of September 30, 2014.
12. Non-income producing security.
9 OPPENHEIMER CORE BOND FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
| Futures Contracts as of September 30, 2014 |
| |||||||||||||||||||||||
| Description | Exchange | Buy/Sell | Expiration Date | Number of Contracts | Value | Unrealized Appreciation |
||||||||||||||||||
| United States Treasury Long Bonds | CBT | Sell | 12/19/14 | 25 | $ | 3,447,656 | $ | 23,301 | ||||||||||||||||
| United States Treasury Nts., 2 yr. | CBT | Sell | 12/31/14 | 138 | 30,200,439 | 28,426 | ||||||||||||||||||
| United States Treasury Nts., 5 yr. | CBT | Buy | 12/31/14 | 2 | 236,515 | 45 | ||||||||||||||||||
| United States Treasury Nts., 10 yr. | CBT | Buy | 12/19/14 | 11 | 1,371,047 | 8,332 | ||||||||||||||||||
| United States Treasury Ultra Bonds | CBT | Buy | 12/19/14 | 54 | 8,235,000 | (2,674 | ) | |||||||||||||||||
|
|
|
|||||||||||||||||||||||
| $ | 57,430 | |||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| Glossary: |
||
| Counterparty Abbreviations | ||
| DEU | Deutsche Bank AG | |
| JPM | JPMorgan Chase Bank NA | |
| Definitions |
||
| CDX.NA.IG.22 | Markit CDX North American Investment Grade High Volatility | |
| Exchange Abbreviations |
||
| CBT | Chicago Board of Trade | |
10 OPPENHEIMER CORE BOND FUND/VA
NOTES TO STATEMENT OF INVESTMENTS September 30, 2014 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 (“1940 Act”), 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 September 30, 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 | $45,900,193 | |||
| Sold securities | 10,106,681 | |||
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 September 30, 2014 is as follows:
| Cost | $3,281,116 | |||
| Market Value | $374,072 | |||
| Market value as % of Net Assets | 0.26% |
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 or for defensive purposes. IMMF is a registered open-end management investment company, regulated as a money market fund under the 1940 Act. 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
11 OPPENHEIMER CORE BOND FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
Securities Valuation (Continued)
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.
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
12 OPPENHEIMER CORE BOND FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
Securities Valuation (Continued)
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 September 30, 2014 based on valuation input level:
| Level 1— Unadjusted Quoted Prices |
Level 2— Other Significant Observable Inputs |
Level 3— Inputs |
Value | |||||||||||||
| Assets Table | ||||||||||||||||
| Investments, at Value: |
| |||||||||||||||
| Asset-Backed Securities | $ | — | $ | 25,726,104 | $ | — | $ | 25,726,104 | ||||||||
| Mortgage-Backed Obligations | — | 71,145,477 | 437,584 | 71,583,061 | ||||||||||||
| U.S. Government Obligations | — | 5,909,448 | — | 5,909,448 | ||||||||||||
| Corporate Bonds and Notes | — | 72,817,035 | — | 72,817,035 | ||||||||||||
| Investment Company | 3,093,235 | — | — | 3,093,235 | ||||||||||||
| Over-the-Counter Credit Default Swaptions Purchased | — | 27,542 | — | 27,542 | ||||||||||||
|
|
|
|||||||||||||||
| Total Investments, at Value | 3,093,235 | 175,625,606 | 437,584 | 179,156,425 | ||||||||||||
| Other Financial Instruments: |
||||||||||||||||
| Futures contracts | 60,104 | — | — | 60,104 | ||||||||||||
|
|
|
|||||||||||||||
| Total Assets | $ | 3,153,339 | $ | 175,625,606 | $ | 437,584 | $ | 179,216,529 | ||||||||
|
|
|
|||||||||||||||
| Liabilities Table |
| |||||||||||||||
| Other Financial Instruments: |
| |||||||||||||||
| Futures contracts | $ | (2,674 | ) | $ | — | $ | — | $ | (2,674 | ) | ||||||
|
|
|
|||||||||||||||
| Total Liabilities | $ | (2,674 | ) | $ | — | $ | — | $ | (2,674 | ) | ||||||
|
|
|
|||||||||||||||
Forward currency exchange contracts and futures contracts, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract’s value from trade 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 objective not only permits the Fund to purchase investment securities, it also allows 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.
13 OPPENHEIMER CORE BOND FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
Risk Exposures and the Use of Derivative Instruments (Continued)
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.
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 September 30, 2014, the Fund had an ending monthly average market value of $11,026,467 and $33,243,651 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.
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 Statement of Investments and the Statement of Assets and Liabilities in the annual and semiannual. Written swaptions are reported on a schedule following the Statement of Investments and their value is reported as a separate asset or liability line item in the Statement of Assets and Liabilities in the annual and semiannual reports. The net change in unrealized appreciation or
14 OPPENHEIMER CORE BOND FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
Risk Exposures and the Use of Derivative Instruments (Continued)
depreciation on written swaptions is separately reported in the Statement of Operations in the annual and semiannual reports. When a swaption is exercised, the cost of the swap is adjusted by the amount of premium paid or received. Upon the expiration or closing of an unexercised swaption contract, a gain or loss is reported in the Statement of Operations in the annual and semiannual reports for the amount of the premium paid or received.
The Fund generally will incur a greater risk when it writes a swaption than when it purchases a swaption. When the Fund writes a swaption it will become obligated, upon exercise of the swaption, according to the terms of the underlying agreement. Swaption contracts written by the Fund do not give rise to counterparty credit risk 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 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.
During the period ended September 30, 2014, the Fund had an ending monthly average market value of $17,902 on purchased swaptions.
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 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 centrally 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 centrally cleared swaps.
With respect to centrally 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 centrally 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 centrally 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.
15 OPPENHEIMER CORE BOND FUND/VA
NOTES TO 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 Statement of Assets and Liabilities in the annual and semiannual reports as cash pledged as collateral. Non-cash collateral pledged by the Fund, if any, is noted in the Statement of Investments. Generally, the amount of collateral due from or to a party must exceed a minimum transfer amount threshold (e.g. $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance.
Restricted Securities
As of September 30, 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 September 30, 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 | $ | 180,297,272 | ||
| Federal tax cost of other investments | (23,862,962) | |||
|
|
|
|||
| Total federal tax cost | $ | 156,434,310 | ||
|
|
|
|||
| Gross unrealized appreciation | $ | 4,955,936 | ||
| Gross unrealized depreciation | (6,039,353) | |||
|
|
|
|||
| Net unrealized depreciation | $ | (1,083,417) | ||
|
|
|
16 OPPENHEIMER CORE BOND FUND/VA
STATEMENT OF INVESTMENTS September 30, 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 September 30, 2014. |
| 3. Is or was an affiliate, as defined in the Investment Company Act of 1940, as amended, at or during the period ended September 30, 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 September 30, 2014 |
|||||||||||||
| Oppenheimer Institutional Money Market Fund, Cl. E | 9,026,377 | 258,167,395 | 253,049,088 | 14,144,684 | ||||||||||||
| Value | Income | |||||||||||||||
| Oppenheimer Institutional Money Market Fund, Cl. E | $ | 14,144,684 | $ | 12,178 | ||||||||||||
2 OPPENHEIMER GLOBAL FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
Distribution of investments representing geographic holdings, as a percentage of total investments at value, is as follows:
| Geographic Holdings | Value | Percent | ||||||||||
| United States |
$ | 1,184,834,835 | 43.1 | % | ||||||||
| Japan |
287,147,120 | 10.4 | ||||||||||
| Germany |
269,526,853 | 9.8 | ||||||||||
| France |
152,443,579 | 5.5 | ||||||||||
| Switzerland |
145,806,782 | 5.3 | ||||||||||
| Sweden |
114,560,504 | 4.2 | ||||||||||
| United Kingdom |
111,879,782 | 4.1 | ||||||||||
| Spain |
101,603,017 | 3.7 | ||||||||||
| Brazil |
98,529,113 | 3.6 | ||||||||||
| India |
82,425,238 | 3.0 | ||||||||||
| Netherlands |
53,126,625 | 1.9 | ||||||||||
| Italy |
41,338,111 | 1.5 | ||||||||||
| Ireland |
29,878,772 | 1.1 | ||||||||||
| Russia |
28,716,386 | 1.0 | ||||||||||
| Mexico |
22,815,053 | 0.8 | ||||||||||
| China |
13,010,691 | 0.5 | ||||||||||
| Denmark |
10,752,811 | 0.4 | ||||||||||
| Cayman Islands |
3,619,357 | 0.1 | ||||||||||
|
|
| |||||||||||
| Total |
$ | 2,752,014,629 | 100.0 | % | ||||||||
|
|
| |||||||||||
3 OPPENHEIMER GLOBAL FUND/VA
NOTES TO STATEMENT OF INVESTMENTS September 30, 2014 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 (“1940 Act”), 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.
Equity Security Risk. Stocks and other equity securities fluctuate in price. The value of the Fund’s portfolio may be affected by changes in the equity markets generally. Equity markets may experience significant short-term volatility and may fall sharply at times. Different markets may behave differently from each other and U.S. equity markets may move in the opposite direction from one or more foreign stock markets.
The prices of individual equity securities generally do not all move in the same direction at the same time and a variety of factors can affect the price of a particular company’s securities. These factors may include, but are not limited to, poor earnings reports, a loss of customers, litigation against the company, general unfavorable performance of the company’s sector or industry, or changes in government regulations affecting the company or its industry.
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 or for defensive purposes. IMMF is a registered open-end management investment company, regulated as a money market fund under the 1940 Act. 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 GLOBAL 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 September 30, 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 |
$ | 136,831,207 | $ | 185,074,980 | $ | — | $ | 321,906,187 | ||||||||
| Consumer Staples |
91,602,734 | 74,064,110 | — | 165,666,844 | ||||||||||||
| Energy |
— | 68,850,294 | — | 68,850,294 | ||||||||||||
| Financials |
240,737,630 | 371,103,855 | — | 611,841,485 | ||||||||||||
| Health Care |
333,440,467 | 119,662,356 | — | 453,102,823 | ||||||||||||
| Industrials |
116,637,120 | 210,723,395 | — | 327,360,515 | ||||||||||||
| Information Technology |
400,672,586 | 248,499,109 | — | 649,171,695 | ||||||||||||
| Materials |
10,414,139 | 35,350,089 | — | 45,764,228 | ||||||||||||
| Telecommunication Services |
— | 43,734,308 | — | 43,734,308 | ||||||||||||
| Preferred Stocks | 1,077,931 | 49,084,797 | — | 50,162,728 | ||||||||||||
| Rights, Warrants and Certificates | — | 308,838 | — | 308,838 | ||||||||||||
| Investment Company | 14,144,684 | — | — | 14,144,684 | ||||||||||||
|
|
|
|||||||||||||||
| Total Assets | $ | 1,345,558,498 | $ | 1,406,456,131 | $ | — | $ | 2,752,014,629 | ||||||||
|
|
|
|||||||||||||||
The table below shows the transfers between Level 2 and Level 1. The Fund’s policy is to recognize transfers in and transfers out as of the beginning of the reporting period.
5 OPPENHEIMER GLOBAL FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
Securities Valuation (Continued)
|
Transfers out of Level 2* |
Transfers into Level 1* |
|||||||
| Assets Table |
||||||||
| Investments, at Value: |
|
|||||||
| Common Stocks |
||||||||
| Diversified Financial Services |
$ (18,121,874) | $ | 18,121,874 | |||||
|
|
|
|||||||
| Total Assets |
$ (18,121,874) | $ | 18,121,874 | |||||
|
|
|
|||||||
| *Transferred from Level 2 to Level 1 due to the presence of a readily available unadjusted quoted market price. | ||||||||
Federal Taxes
The approximate aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of September 30, 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 | $ | 1,545,974,590 | ||
|
|
|
|||
| Gross unrealized appreciation | $ | 1,275,142,401 | ||
| Gross unrealized depreciation | (69,102,362) | |||
|
|
|
|||
| Net unrealized appreciation | $ | 1,206,040,039 | ||
|
|
|
6 OPPENHEIMER GLOBAL FUND/VA
| STATEMENT OF INVESTMENTS September 30, 2014 Unaudited | ||||
| Shares | Value | Shares | Value | |||||||||||||||||
| Common Stocks—99.9% | Health Care Equipment & Supplies—0.7% | |||||||||||||||||||
| Consumer Discretionary—11.9% |
|
Covidien plc | 79,160 | $ | 6,848,132 | |||||||||||||||
|
|
|
|||||||||||||||||||
| Auto Components—1.4% | Intuitive Surgical, Inc.1 | 5,830 | 2,692,410 | |||||||||||||||||
|
|
|
|
||||||||||||||||||
| Delphi Automotive plc | 323,670 | $ | 19,853,918 | 9,540,542 | ||||||||||||||||
|
|
|
|||||||||||||||||||
| Automobiles—1.3% | Health Care Providers & Services—3.2% | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| General Motors Co. | 540,280 | 17,256,543 | Express Scripts Holding Co.1 | 364,057 | 25,713,346 | |||||||||||||||
|
|
||||||||||||||||||||
| UnitedHealth Group, Inc. | 219,520 | 18,933,600 | ||||||||||||||||||
|
|
|
|
||||||||||||||||||
| Media—3.6% | 44,646,946 | |||||||||||||||||||
|
|
||||||||||||||||||||
| Comcast Corp., Cl. A | 717,400 | 38,581,772 | ||||||||||||||||||
|
|
|
|||||||||||||||||||
| Twenty-First Century Fox, Inc., Cl. A | 323,480 | 11,092,129 | Pharmaceuticals—9.3% | |||||||||||||||||
|
|
|
|
||||||||||||||||||
| 49,673,901 | AbbVie, Inc. | 404,815 | 23,382,115 | |||||||||||||||||
|
|
||||||||||||||||||||
| Actavis plc1 | 144,550 | 34,877,024 | ||||||||||||||||||
|
|
|
|||||||||||||||||||
| Specialty Retail—5.0% | Allergan, Inc. | 128,970 | 22,981,164 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| AutoZone, Inc.1 | 56,670 | 28,882,432 | Pfizer, Inc. | 1,073,639 | 31,747,505 | |||||||||||||||
|
|
|
|||||||||||||||||||
| Home Depot, Inc. (The) | 268,100 | 24,595,494 | Zoetis, Inc., Cl. A | 447,120 | 16,521,084 | |||||||||||||||
|
|
|
|
||||||||||||||||||
| TJX Cos., Inc. (The) | 262,680 | 15,542,776 | 129,508,892 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| 69,020,702 | ||||||||||||||||||||
|
|
||||||||||||||||||||
| Industrials—10.4% | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Textiles, Apparel & Luxury Goods—0.6% | Commercial Services & Supplies—3.3% | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| PVH Corp. | 68,570 | 8,307,256 | Republic Services, Inc., Cl. A | 335,570 | 13,093,941 | |||||||||||||||
|
|
||||||||||||||||||||
| Tyco International Ltd. | 721,675 | 32,165,055 | ||||||||||||||||||
|
|
|
|
||||||||||||||||||
| Consumer Staples—9.6% | 45,258,996 | |||||||||||||||||||
|
|
||||||||||||||||||||
| Beverages—2.1% | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Diageo plc | 1,000,450 | 28,926,983 | Industrial Conglomerates—2.9% | |||||||||||||||||
|
|
||||||||||||||||||||
| General Electric Co. | 1,583,700 | 40,574,394 | ||||||||||||||||||
|
|
||||||||||||||||||||
| Food Products—2.8% | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Mondelez International, Inc., Cl. A | 1,123,790 | 38,506,664 | Machinery—2.5% | |||||||||||||||||
|
|
||||||||||||||||||||
| Deere & Co. | 412,330 | 33,806,937 | ||||||||||||||||||
|
|
||||||||||||||||||||
| Household Products—2.0% | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Henkel AG & Co. KGaA | 297,746 | 27,827,726 | Road & Rail—1.7% | |||||||||||||||||
|
|
||||||||||||||||||||
| Canadian National Railway Co. | 337,610 | 23,956,805 | ||||||||||||||||||
|
|
||||||||||||||||||||
| Tobacco—2.7% | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Philip Morris International, Inc. | 452,609 | 37,747,591 | Information Technology—20.2% | |||||||||||||||||
|
|
||||||||||||||||||||
| Internet Software & Services—8.8% | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Energy—8.6% | eBay, Inc.1 | 583,025 | 33,016,706 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Energy Equipment & Services—2.7% | Facebook, Inc., Cl. A1 | 254,280 | 20,098,291 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| National Oilwell Varco, Inc. | 483,560 | 36,798,916 | Google, Inc., Cl. A1 | 47,340 | 27,855,329 | |||||||||||||||
|
|
||||||||||||||||||||
| Google, Inc., Cl. C1 | 71,450 | 41,252,372 | ||||||||||||||||||
|
|
|
|
||||||||||||||||||
| Oil, Gas & Consumable Fuels—5.9% | 122,222,698 | |||||||||||||||||||
|
|
||||||||||||||||||||
| Chevron Corp. | 338,260 | 40,361,183 | ||||||||||||||||||
|
|
|
|||||||||||||||||||
| Noble Energy, Inc. | 608,900 | 41,624,404 | IT Services—5.2% | |||||||||||||||||
|
|
|
|
||||||||||||||||||
| 81,985,587 | Amdocs Ltd. | 433,750 | 19,900,450 | |||||||||||||||||
|
|
||||||||||||||||||||
| MasterCard, Inc., Cl. A | 401,020 | 29,643,399 | ||||||||||||||||||
|
|
|
|||||||||||||||||||
| Financials—17.7% | Xerox Corp. | 1,663,840 | 22,012,603 | |||||||||||||||||
|
|
|
|
||||||||||||||||||
| Commercial Banks—6.7% | 71,556,452 | |||||||||||||||||||
|
|
||||||||||||||||||||
| CIT Group, Inc. | 439,560 | 20,202,178 | ||||||||||||||||||
|
|
|
|||||||||||||||||||
| Citigroup, Inc. | 795,798 | 41,238,252 | Semiconductors & Semiconductor Equipment—1.2% | |||||||||||||||||
|
|
|
|||||||||||||||||||
| JPMorgan Chase & Co. | 525,650 | 31,665,156 | Applied Materials, Inc. | 732,050 | 15,819,601 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 93,105,586 | ||||||||||||||||||||
|
|
||||||||||||||||||||
| Technology Hardware, Storage & Peripherals—5.0% | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Consumer Finance—1.6% | Apple, Inc. | 550,974 | 55,510,630 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Discover Financial Services | 351,383 | 22,625,551 | Western Digital Corp. | 141,230 | 13,744,504 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 69,255,134 | ||||||||||||||||||||
|
|
||||||||||||||||||||
| Diversified Financial Services—4.1% | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| CME Group, Inc., Cl. A | 377,120 | 30,152,629 | Materials—2.1% | |||||||||||||||||
|
|
|
|||||||||||||||||||
| McGraw Hill Financial, Inc. | 312,611 | 26,399,999 | Construction Materials—1.6% | |||||||||||||||||
|
|
|
|
||||||||||||||||||
| 56,552,628 | Vulcan Materials Co. | 368,770 | 22,211,017 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Insurance—4.9% | Metals & Mining—0.5% | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| American International Group, Inc. | 495,720 | 26,778,795 | Teck Resources Ltd., Cl. B | 366,100 | 6,915,629 | |||||||||||||||
|
|
||||||||||||||||||||
| Genworth Financial, Inc., Cl. A1 | 1,074,040 | 14,069,924 | ||||||||||||||||||
|
|
|
|||||||||||||||||||
| Lincoln National Corp. | 188,860 | 10,119,119 | Telecommunication Services—1.7% | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Marsh & McLennan Cos., Inc. | 312,610 | 16,362,007 | Diversified Telecommunication Services—1.7% | |||||||||||||||||
|
|
|
|
||||||||||||||||||
| 67,329,845 | Verizon Communications, Inc. | 479,420 | 23,966,206 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Real Estate Investment Trusts (REITs)—0.4% | Utilities—1.6% | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| Digital Realty Trust, Inc. | 79,650 | 4,968,567 | Electric Utilities—1.6% | |||||||||||||||||
|
|
||||||||||||||||||||
| Exelon Corp. | 640,167 | 21,823,293 | ||||||||||||||||||
|
|
|
|
||||||||||||||||||
| Health Care—16.1% | Total Common Stocks (Cost $975,162,084) |
1,381,223,292 | ||||||||||||||||||
|
|
||||||||||||||||||||
| Biotechnology—2.9% | ||||||||||||||||||||
|
|
||||||||||||||||||||
| Gilead Sciences, Inc.1 | 372,680 | 39,671,786 | ||||||||||||||||||
1 OPPENHEIMER MAIN STREET FUND/VA
| STATEMENT OF INVESTMENTS Unaudited / Continued | ||||
| Shares | Value | |||||||||||||||||
| Preferred Stock—0.1% | ||||||||||||||||||
| Henkel AG & Co. KGaA, Preference | ||||||||||||||||||
| (Cost $1,353,089) | 18,271 | $ | 1,824,495 | |||||||||||||||
| Investment Company—0.3% | ||||||||||||||||||
| Oppenheimer Institutional Money Market Fund, Cl. E, 0.10%2,3 (Cost $4,670,271) | 4,670,271 | 4,670,271 | ||||||||||||||||
|
|
||||||||||||||||||
| Total Investments, at Value | ||||||||||||||||||
| (Cost $981,185,444) | 100.3% | 1,387,718,058 | ||||||||||||||||
| Net Other Assets (Liabilities) | (0.3) | (4,666,130 | ) | |||||||||||||||
| Net Assets | 100.0% | $ | 1,383,051,928 | |||||||||||||||
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, as amended, at or during the period ended September 30, 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 September 30, 2014 |
|||||||||||||
| Oppenheimer Institutional Money Market Fund, Cl. E |
28,023,569 | 246,497,476 | 269,850,774 | 4,670,271 | ||||||||||||
| Value | Income | |||||||||||||||
| Oppenheimer Institutional Money Market Fund, Cl. E |
$ | 4,670,271 | $ | 8,045 | ||||||||||||
3. Rate show is the 7-day yield as of September 30, 2014.
2 OPPENHEIMER MAIN STREET FUND/VA
| NOTES TO FINANCIAL STATEMENTS September 30, 2014 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 (“1940 Act”), as amended. The Fund’s main 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.
Equity Security Risk. Stocks and other equity securities fluctuate in price. The value of the Fund’s portfolio may be affected by changes in the equity markets generally. Equity markets may experience significant short-term volatility and may fall sharply at times. Different markets may behave differently from each other and U.S. equity markets may move in the opposite direction from one or more foreign stock markets.
The prices of individual equity securities generally do not all move in the same direction at the same time and a variety of factors can affect the price of a particular company’s securities. These factors may include, but are not limited to, poor earnings reports, a loss of customers, litigation against the company, general unfavorable performance of the company’s sector or industry, or changes in government regulations affecting the company or its industry.
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 or for defensive purposes. IMMF is a registered open-end management investment company, regulated as a money market fund under the 1940 Act. 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 FINANCIAL STATEMENTS 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 September 30, 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 |
$ | 164,112,320 | $ | — | $ | — | $ | 164,112,320 | ||||||||
| Consumer Staples |
76,254,255 | 56,754,709 | — | 133,008,964 | ||||||||||||
| Energy |
118,784,503 | — | — | 118,784,503 | ||||||||||||
| Financials |
244,582,177 | — | — | 244,582,177 | ||||||||||||
| Health Care |
223,368,166 | — | — | 223,368,166 | ||||||||||||
| Industrials |
143,597,132 | — | — | 143,597,132 | ||||||||||||
| Information Technology |
278,853,885 | — | — | 278,853,885 | ||||||||||||
| Materials |
29,126,646 | — | — | 29,126,646 | ||||||||||||
| Telecommunication Services |
23,966,206 | — | — | 23,966,206 | ||||||||||||
| Utilities |
21,823,293 | — | — | 21,823,293 | ||||||||||||
| Preferred Stock | — | 1,824,495 | — | 1,824,495 | ||||||||||||
| Investment Company | 4,670,271 | — | — | 4,670,271 | ||||||||||||
|
|
|
|||||||||||||||
| Total Assets | $ | 1,329,138,854 | $ | 58,579,204 | $ | — | $ | 1,387,718,058 | ||||||||
|
|
|
|||||||||||||||
4 OPPENHEIMER MAIN STREET FUND/VA
| NOTES TO FINANCIAL STATEMENTS Unaudited / Continued | ||||
Securities Valuation (Continued)
Forward currency exchange contracts and futures contracts, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract’s value from trade date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.
Federal Taxes
The approximate aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of September 30, 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 |
$ | 982,061,338 | ||
|
|
|
|||
| Gross unrealized appreciation |
$ | 421,474,167 | ||
| Gross unrealized depreciation |
(15,817,447) | |||
|
|
|
|||
| Net unrealized appreciation |
$ | 405,656,720 | ||
|
|
|
5 OPPENHEIMER MAIN STREET FUND/VA
| STATEMENT OF INVESTMENTS September 30, 2014 Unaudited | ||||
| Shares | Value | Shares | Value | |||||||||||||||||
| Common Stocks—99.4% | Thrifts & Mortgage Finance (Continued) | |||||||||||||||||||
| Consumer Discretionary—12.4% |
|
Oritani Financial Corp. | 567,580 | $ | 7,997,202 | |||||||||||||||
|
|
|
|
||||||||||||||||||
| Auto Components—1.9% | 17,152,672 | |||||||||||||||||||
|
|
||||||||||||||||||||
| Dana Holding Corp. | 1,029,993 | $ | 19,744,966 | |||||||||||||||||
|
|
||||||||||||||||||||
| Health Care—14.8% | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Diversified Consumer Services—2.1% | Biotechnology—1.4% | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| LifeLock, Inc.1 | 1,014,500 | 14,497,205 | Celldex Therapeutics, Inc.1 | 228,570 | 2,962,267 | |||||||||||||||
|
|
|
|||||||||||||||||||
| Matthews International Corp., Cl. A | 161,770 | 7,100,085 | Keryx Biopharmaceuticals, Inc.1 | 560,190 | 7,702,613 | |||||||||||||||
|
|
|
|
||||||||||||||||||
| 21,597,290 | Ultragenyx Pharmaceutical, Inc.1 | 69,280 | 3,921,248 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| 14,586,128 | ||||||||||||||||||||
|
|
||||||||||||||||||||
| Hotels, Restaurants & Leisure—4.8% | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Brinker International, Inc. | 274,350 | 13,934,236 | Health Care Equipment & Supplies—4.2% | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Dunkin’ Brands Group, Inc. | 106,723 | 4,783,325 | DexCom, Inc.1 | 187,210 | 7,486,528 | |||||||||||||||
|
|
|
|||||||||||||||||||
| International Speedway Corp., Cl. A | 169,837 | 5,373,643 | Endologix, Inc.1 | 419,240 | 4,443,944 | |||||||||||||||
|
|
|
|||||||||||||||||||
| Popeyes Louisiana Kitchen, Inc.1 | 246,620 | 9,988,110 | Greatbatch, Inc.1 | 220,171 | 9,381,486 | |||||||||||||||
|
|
|
|||||||||||||||||||
| Texas Roadhouse, Inc. | 532,590 | 14,827,306 | Integra LifeSciences Holdings Corp.1 | 197,760 | 9,816,807 | |||||||||||||||
|
|
|
|
||||||||||||||||||
| 48,906,620 | Spectranetics Corp. (The)1 | 441,260 | 11,724,278 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| 42,853,043 | ||||||||||||||||||||
|
|
||||||||||||||||||||
| Household Durables—0.9% | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| KB Home | 602,720 | 9,004,637 | Health Care Providers & Services—5.2% | |||||||||||||||||
|
|
||||||||||||||||||||
| Acadia Healthcare Co., Inc.1 | 202,710 | 9,831,435 | ||||||||||||||||||
|
|
|
|||||||||||||||||||
| Specialty Retail—2.7% | HealthSouth Corp. | 404,660 | 14,931,954 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Mattress Firm Holding Corp.1 | 226,430 | 13,599,386 | Team Health Holdings, Inc.1 | 226,130 | 13,113,279 | |||||||||||||||
|
|
|
|||||||||||||||||||
| Monro Muffler Brake, Inc. | 152,819 | 7,416,306 | WellCare Health Plans, Inc.1 | 256,941 | 15,503,820 | |||||||||||||||
|
|
|
|
||||||||||||||||||
| Signet Jewelers Ltd. | 54,710 | 6,232,016 | 53,380,488 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| 27,247,708 | ||||||||||||||||||||
|
|
||||||||||||||||||||
| Health Care Technology—0.9% | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Consumer Staples—1.2% | HMS Holdings Corp.1 | 500,136 | 9,427,564 | |||||||||||||||||
|
|
||||||||||||||||||||
| Food Products—1.2% | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Flowers Foods, Inc. | 212,780 | 3,906,641 | Life Sciences Tools & Services—0.8% | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Pinnacle Foods, Inc. | 257,330 | 8,401,824 | Fluidigm Corp.1 | 97,700 | 2,393,650 | |||||||||||||||
|
|
|
|
||||||||||||||||||
| 12,308,465 | MorphoSys AG1 | 56,999 | 5,590,274 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| 7,983,924 | ||||||||||||||||||||
|
|
||||||||||||||||||||
| Energy—5.3% | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Oil, Gas & Consumable Fuels—5.3% | Pharmaceuticals—2.3% | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| Cone Midstream Partners LP1 | 550,651 | 15,473,293 | AcelRx Pharmaceuticals, Inc.1 | 389,860 | 2,140,331 | |||||||||||||||
|
|
|
|||||||||||||||||||
| Renewable Energy Group, Inc.1 | 957,413 | 9,717,742 | Aratana Therapeutics, Inc.1 | 303,420 | 3,046,337 | |||||||||||||||
|
|
|
|||||||||||||||||||
| Valero Energy Partners LP | 171,480 | 7,653,152 | Prestige Brands Holdings, Inc.1 | 568,206 | 18,392,828 | |||||||||||||||
|
|
|
|
||||||||||||||||||
| Western Refining, Inc. | 496,551 | 20,850,177 | 23,579,496 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| 53,694,364 | ||||||||||||||||||||
|
|
||||||||||||||||||||
| Industrials—17.7% | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Financials—22.6% | Aerospace & Defense—1.6% | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| Capital Markets—0.5% | AAR Corp. | 224,795 | 5,428,799 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Investment Technology Group, Inc.1 | 313,900 | 4,947,064 | Orbital Sciences Corp.1 | 386,250 | 10,737,750 | |||||||||||||||
|
|
|
|||||||||||||||||||
| 16,166,549 | ||||||||||||||||||||
|
|
||||||||||||||||||||
| Commercial Banks—9.1% | ||||||||||||||||||||
|
|
|
|
|
|||||||||||||||||
| BancorpSouth, Inc. | 692,880 | 13,954,603 | Air Freight & Couriers—0.9% | |||||||||||||||||
|
|
|
|||||||||||||||||||
| BankUnited, Inc. | 514,305 | 15,681,159 | XPO Logistics, Inc.1 | 244,300 | 9,202,781 | |||||||||||||||
|
|
||||||||||||||||||||
| First Niagara Financial Group, Inc. | 1,934,300 | 16,112,719 | ||||||||||||||||||
|
|
|
|||||||||||||||||||
| FirstMerit Corp. | 735,796 | 12,950,010 | Airlines—1.0% | |||||||||||||||||
|
|
|
|||||||||||||||||||
| MB Financial, Inc. | 517,320 | 14,319,418 | Spirit Airlines, Inc.1 | 150,370 | 10,396,582 | |||||||||||||||
|
|
|
|||||||||||||||||||
| Talmer Bancorp, Inc., Cl. A | 416,640 | 5,762,131 | Commercial Services & Supplies—5.0% | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Webster Financial Corp. | 491,090 | 14,310,363 | ABM Industries, Inc. | 332,690 | 8,546,806 | |||||||||||||||
|
|
|
|
||||||||||||||||||
| 93,090,403 | ACCO Brands Corp.1 | 1,913,577 | 13,203,682 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Insurance—1.0% | KAR Auction Services, Inc. | 692,440 | 19,824,557 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| AmTrust Financial Services, Inc. | 134,847 | 5,369,608 | Waste Connections, Inc. | 200,600 | 9,733,112 | |||||||||||||||
|
|
|
|
||||||||||||||||||
| Endurance Specialty Holdings Ltd. | 94,340 | 5,205,681 | 51,308,157 | |||||||||||||||||
|
|
|
|
||||||||||||||||||
| 10,575,289 | Construction & Engineering—1.8% | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| Real Estate Investment Trusts (REITs)—10.3% | AECOM Technology Corp.1 | 295,113 | 9,960,064 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Apollo Commercial Real Estate Finance, Inc. | 844,762 | 13,271,211 | MasTec, Inc.1 | 278,450 | 8,526,139 | |||||||||||||||
|
|
|
|
||||||||||||||||||
| Chatham Lodging Trust | 681,750 | 15,734,790 | 18,486,203 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| DuPont Fabros Technology, Inc. | 381,290 | 10,310,082 | Electrical Equipment—0.5% | |||||||||||||||||
|
|
|
|||||||||||||||||||
| LaSalle Hotel Properties | 746,636 | 25,564,817 | Generac Holdings, Inc.1 | 118,780 | 4,815,341 | |||||||||||||||
|
|
||||||||||||||||||||
| Mid-America Apartment Communities, Inc. | 104,895 | 6,886,357 | ||||||||||||||||||
|
|
|
|||||||||||||||||||
| Redwood Trust, Inc. | 614,850 | 10,194,213 | Machinery—0.9% | |||||||||||||||||
|
|
|
|||||||||||||||||||
| STAG Industrial, Inc. | 860,940 | 17,830,067 | Titan International, Inc. | 315,500 | 3,729,210 | |||||||||||||||
|
|
|
|||||||||||||||||||
| Starwood Property Trust, Inc. | 254,662 | 5,592,377 | Wabash National Corp.1 | 406,310 | 5,412,049 | |||||||||||||||
|
|
|
|
|
|||||||||||||||||
| 105,383,914 | 9,141,259 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| Thrifts & Mortgage Finance—1.7% | Professional Services—3.9% | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| Flagstar Bancorp, Inc.1 | 543,997 | 9,155,470 | Korn/Ferry International1 | 830,211 | 20,672,254 | |||||||||||||||
1 OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
| STATEMENT OF INVESTMENTS Unaudited / Continued | ||||
| Shares | Value | Shares | Value | |||||||||||||||||
| Professional Services (Continued) | Software—6.4% | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| On Assignment, Inc.1 | 194,900 | $ | 5,233,065 | FleetMatics Group plc1 | 257,340 | $ | 7,848,870 | |||||||||||||
|
|
|
|||||||||||||||||||
| Paylocity Holding Corp.1 | 243,040 | 4,775,736 | Fortinet, Inc.1 | 613,801 | 15,507,682 | |||||||||||||||
|
|
|
|||||||||||||||||||
| Robert Half International, Inc. | 178,685 | 8,755,565 | Guidewire Software, Inc.1 | 396,730 | 17,591,008 | |||||||||||||||
|
|
|
|
||||||||||||||||||
| 39,436,620 | Imperva, Inc.1 | 361,390 | 10,382,735 | |||||||||||||||||
|
|
||||||||||||||||||||
| Proofpoint, Inc.1 | 375,760 | 13,955,726 | ||||||||||||||||||
|
|
|
|
||||||||||||||||||
| Road & Rail—2.1% | 65,286,021 | |||||||||||||||||||
|
|
||||||||||||||||||||
| Saia, Inc.1 | 245,540 | 12,168,962 | ||||||||||||||||||
|
|
|
|||||||||||||||||||
| Swift Transportation Co.1 | 434,014 | 9,105,614 | Materials—9.3% | |||||||||||||||||
|
|
|
|
||||||||||||||||||
| 21,274,576 | Chemicals—3.6% | |||||||||||||||||||
|
|
||||||||||||||||||||
| A. Schulman, Inc. | 226,728 | 8,198,484 | ||||||||||||||||||
|
|
|
|||||||||||||||||||
| Information Technology—15.8% | Cytec Industries, Inc. | 171,376 | 8,104,371 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Communications Equipment—0.7% | Intrepid Potash, Inc.1 | 570,780 | 8,818,551 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Finisar Corp.1 | 447,571 | 7,443,106 | Tronox Ltd., Cl. A | 429,820 | 11,196,811 | |||||||||||||||
|
|
|
|
||||||||||||||||||
| Electronic Equipment, Instruments, & Components—0.6% | 36,318,217 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| SYNNEX Corp.1 | 97,550 | 6,304,656 | Containers & Packaging—0.4% | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Internet Software & Services—2.6% | Packaging Corp. of America | 71,060 | 4,535,049 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Cornerstone OnDemand, Inc.1 | 148,740 | 5,118,143 | Metals & Mining—2.4% | |||||||||||||||||
|
|
|
|||||||||||||||||||
| j2 Global, Inc. | 211,893 | 10,459,039 | Century Aluminum Co.1 | 330,040 | 8,571,139 | |||||||||||||||
|
|
|
|||||||||||||||||||
| Web.com Group, Inc.1 | 563,620 | 11,249,855 | Kaiser Aluminum Corp. | 202,670 | 15,447,507 | |||||||||||||||
|
|
|
|
|
|||||||||||||||||
| 26,827,037 | 24,018,646 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| IT Services—1.6% | Paper & Forest Products—2.9% | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| Booz Allen Hamilton Holding Corp. | 416,010 | 9,734,634 | Boise Cascade Co.1 | 439,230 | 13,238,392 | |||||||||||||||
|
|
|
|||||||||||||||||||
| CACI International, Inc., Cl. A1 | 93,220 | 6,643,789 | P.H. Glatfelter Co. | 747,213 | 16,401,325 | |||||||||||||||
|
|
|
|
|
|||||||||||||||||
| 16,378,423 | 29,639,717 | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| Semiconductors & Semiconductor Equipment—3.9% | Utilities—0.3% | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| Cavium, Inc.1 | 309,230 | 15,378,008 | Water Utilities—0.3% | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Semtech Corp.1 | 561,618 | 15,247,929 | Aqua America, Inc. | 147,223 | 3,464,157 | |||||||||||||||
|
|
|
|
||||||||||||||||||
| Spansion, Inc., Cl. A1 | 393,300 | 8,963,307 | Total Common Stocks (Cost $864,512,339) | 1,015,496,376 | ||||||||||||||||
|
|
|
|
||||||||||||||||||
| 39,589,244 | Total Investments, at Value (Cost | |||||||||||||||||||
| $864,512,339) | 99.4% | $ | 1,015,496,376 | |||||||||||||||||
|
|
||||||||||||||||||||
| Net Other Assets (Liabilities) | 0.6 | 5,928,860 | ||||||||||||||||||
|
|
||||||||||||||||||||
| Net Assets | 100.0% | $ | 1,021,425,236 | |||||||||||||||||
|
|
||||||||||||||||||||
Footnotes to Statement of Investments
1. Non-income producing security.
The following issuer is or was an affiliate, as defined in the Investment Company Act of 1940, as amended, at or during the period ended September 30, 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. There were no affiliate securities held by the Fund as of September 30, 2014. Transactions during the period in which the issuer was an affiliate are as follows:
| Shares December 31, 2013 |
Gross Additions |
Gross Reductions |
Shares September 30, 2014 |
|||||||||||||
| Oppenheimer Institutional | ||||||||||||||||
| Money Market Fund, Cl. E | 33,794,445 | 294,026,422 | 327,820,867 | — | ||||||||||||
| Income | ||||||||||||||||
| Oppenheimer Institutional Money Market Fund, Cl. E | $ | 10,758 | ||||||||||||||
2 OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
| NOTES TO STATEMENT OF INVESTMENTS September 30, 2014 Unaudited | ||||
Oppenheimer Main Street Small Cap Fund/VA (the “Fund”), formerly Oppenheimer Main Street Small- & Mid-Cap Fund/VA, is a separate series of Oppenheimer Variable Account Funds, a diversified open-end management investment company registered under the Investment Company Act of 1940 (“1940 Act”), 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 OppenheimerFunds, Inc. (“OFI” or the “Sub-Adviser”). 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.
Equity Security Risk. Stocks and other equity securities fluctuate in price. The value of the Fund’s portfolio may be affected by changes in the equity markets generally. Equity markets may experience significant short-term volatility and may fall sharply at times. Different markets may behave differently from each other and U.S. equity markets may move in the opposite direction from one or more foreign stock markets.
The prices of individual equity securities generally do not all move in the same direction at the same time and a variety of factors can affect the price of a particular company’s securities. These factors may include, but are not limited to, poor earnings reports, a loss of customers, litigation against the company, general unfavorable performance of the company’s sector or industry, or changes in government regulations affecting the company or its industry.
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 or for defensive purposes. IMMF is a registered open-end management investment company, regulated as a money market fund under the 1940 Act. 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.
3 OPPENHEIMER MAIN STREET SMALL CAP 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 September 30, 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 |
$ | 126,501,221 | $ | — | $ | — | $ | 126,501,221 | ||||||||
| Consumer Staples |
12,308,465 | — | — | 12,308,465 | ||||||||||||
| Energy |
53,694,364 | — | — | 53,694,364 | ||||||||||||
| Financials |
231,149,342 | — | — | 231,149,342 | ||||||||||||
| Health Care |
146,220,369 | 5,590,274 | — | 151,810,643 | ||||||||||||
| Industrials |
180,228,068 | — | — | 180,228,068 | ||||||||||||
| Information Technology |
161,828,487 | — | — | 161,828,487 | ||||||||||||
| Materials |
94,511,629 | — | — | 94,511,629 | ||||||||||||
| Utilities |
3,464,157 | — | — | 3,464,157 | ||||||||||||
|
|
|
|||||||||||||||
| Total Assets | $ | 1,009,906,102 | $ | 5,590,274 | $ | — | $ | 1,015,496,376 | ||||||||
|
|
|
|||||||||||||||
4 OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
| NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued | ||||
Securities Valuation (Continued)
Forward currency exchange contracts and futures contracts, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract’s value from trade date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.
Federal Taxes
The approximate aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of September 30, 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 | $ | 865,804,366 | ||||
|
|
| |||||
| Gross unrealized appreciation | $ | 187,037,735 | ||||
| Gross unrealized depreciation | (37,345,725 | ) | ||||
|
|
| |||||
| Net unrealized appreciation | $ | 149,692,010 | ||||
|
|
| |||||
5 OPPENHEIMER MAIN STREET SMALL CAP FUND/VA
STATEMENT OF INVESTMENTS September 30, 2014 Unaudited
| Maturity Date* |
Final Legal Maturity Date** |
Principal Amount |
Value | |||||||||||||
| Certificates of Deposit—23.6% |
| |||||||||||||||
| Yankee Certificates of Deposit—23.6% |
| |||||||||||||||
| Bank of Nova Scotia, Houston TX: |
||||||||||||||||
| 0.242%1 |
11/20/14 | 2/20/15 | $ | 2,300,000 | $ | 2,300,000 | ||||||||||
| 0.25% |
1/5/15 | 1/5/15 | 2,000,000 | 2,000,000 | ||||||||||||
| 0.414% |
10/29/14 | 1/29/15 | 4,700,000 | 4,702,649 | ||||||||||||
| 0.484% |
10/14/14 | 1/14/15 | 900,000 | 900,635 | ||||||||||||
| 1.184% |
10/10/14 | 1/12/15 | 1,500,000 | 1,503,930 | ||||||||||||
| Canadian Imperial Bank of Commerce NY: |
||||||||||||||||
| 0.05% |
10/1/14 | 10/1/14 | 4,000,000 | 4,000,000 | ||||||||||||
| 0.224%1 |
10/22/14 | 7/22/15 | 3,000,000 | 3,000,000 | ||||||||||||
| 0.244%1 |
10/10/14 | 9/14/15 | 3,000,000 | 3,000,000 | ||||||||||||
| Nordea Bank Finland plc, New York: |
||||||||||||||||
| 0.21% |
11/14/14 | 11/14/14 | 1,700,000 | 1,700,000 | ||||||||||||
| 0.21% |
11/4/14 | 11/4/14 | 2,000,000 | 2,000,000 | ||||||||||||
| Rabobank Nederland NV, New York: |
||||||||||||||||
| 0.256%1 |
10/7/14 | 3/9/15 | 4,000,000 | 4,000,000 | ||||||||||||
| 0.267%1 |
10/31/14 | 10/31/14 | 800,000 | 800,000 | ||||||||||||
| 0.272%1 |
10/7/14 | 10/7/14 | 1,500,000 | 1,500,000 | ||||||||||||
| 0.314%1 |
10/20/14 | 7/17/15 | 1,800,000 | 1,800,000 | ||||||||||||
| Royal Bank of Canada, New York: |
||||||||||||||||
| 0.234%1 |
10/18/14 | 2/18/15 | 2,000,000 | 2,000,000 | ||||||||||||
| 0.244%1 |
10/14/14 | 8/13/15 | 3,300,000 | 3,300,004 | ||||||||||||
| Sumitomo Mutsui Bank NY: |
||||||||||||||||
| 0.08% |
10/1/14 | 10/1/14 | 4,500,000 | 4,500,000 | ||||||||||||
| 0.13% |
10/1/14 | 10/1/14 | 3,400,000 | 3,400,000 | ||||||||||||
| Svenska Handelsbanken, New York: |
||||||||||||||||
| 0.20% |
1/15/15 | 1/15/15 | 2,600,000 | 2,600,000 | ||||||||||||
| 0.205% |
11/17/14 | 11/17/14 | 800,000 | 800,005 | ||||||||||||
| 0.215% |
1/26/15 | 1/26/15 | 1,500,000 | 1,500,000 | ||||||||||||
| Swedbank AB, New York, 0.20% |
11/10/14 | 11/10/14 | 3,500,000 | 3,500,000 | ||||||||||||
| Toronto Dominion Bank, New York, 0.27% |
6/1/15 | 6/1/15 | 1,500,000 | 1,500,000 | ||||||||||||
| Wells Fargo Bank NA: |
||||||||||||||||
| 0.226%1 |
10/6/14 | 12/5/14 | 3,500,000 | 3,500,000 | ||||||||||||
| 0.233%1 |
10/20/14 | 5/19/15 | 3,500,000 | 3,500,000 | ||||||||||||
| Westpac Banking Corp., New York: |
||||||||||||||||
| 0.253%1 |
10/21/14 | 10/21/15 | 5,000,000 | 5,000,000 | ||||||||||||
| 0.255%1 |
10/27/14 | 10/26/15 | 5,000,000 | 5,000,000 | ||||||||||||
| Total Certificates of Deposit (Cost $73,307,223) |
|
73,307,223 | ||||||||||||||
| Direct Bank Obligations—17.0% |
||||||||||||||||
| Bank of Tokyo-Mitsubishi UFJ NY: |
||||||||||||||||
| 0.07%2 |
10/1/14 | 10/1/14 | 2,000,000 | 2,000,000 | ||||||||||||
| 0.09%2 |
10/7/14 | 10/7/14 | 2,600,000 | 2,599,961 | ||||||||||||
| 0.15%2 |
10/27/14 | 10/27/14 | 2,000,000 | 1,999,783 | ||||||||||||
| 0.15%2 |
10/10/14 | 10/10/14 | 1,000,000 | 999,963 | ||||||||||||
| Credit Agricole Corporate & Investment Bank, New York Branch, 0.06% |
10/1/14 | 10/1/14 | 10,500,000 | 10,500,000 | ||||||||||||
| DnB Bank ASA, 0.19%3 |
12/29/14 | 12/29/14 | 5,800,000 | 5,797,276 | ||||||||||||
| HSBC USA, Inc.: |
||||||||||||||||
| 0.17% |
1/22/15 | 1/22/15 | 500,000 | 499,733 | ||||||||||||
| 0.22% |
2/2/15 | 2/2/15 | 5,800,000 | 5,795,605 | ||||||||||||
1 OPPENHEIMER MONEY FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
| Maturity Date* |
Final Legal Maturity Date** |
Principal Amount |
Value | |||||||||||||
| HSBC USA, Inc.: (Continued) |
||||||||||||||||
| 0.25% |
4/1/15 | 4/1/15 | $ | 3,700,000 | $ | 3,695,324 | ||||||||||
|
|
||||||||||||||||
| PNC Bank NA, 0.31% |
2/23/15 | 2/23/15 | 5,000,000 | 5,000,000 | ||||||||||||
|
|
||||||||||||||||
| Skandinaviska Enskilda BankenAB: |
||||||||||||||||
| 0.06%3 |
10/24/14 | 10/24/14 | 4,400,000 | 4,399,831 | ||||||||||||
| 0.12%3 |
10/3/14 | 10/3/14 | 500,000 | 499,997 | ||||||||||||
| 0.25%3 |
10/14/14 | 10/14/14 | 1,000,000 | 999,910 | ||||||||||||
|
|
||||||||||||||||
| Svenska Handelsbanken, Inc., 0.20%3 |
10/24/14 | 10/24/14 | 3,500,000 | 3,499,553 | ||||||||||||
|
|
||||||||||||||||
| Swedbank AB, 0.187% |
11/14/14 | 11/14/14 | 4,500,000 | 4,498,973 | ||||||||||||
| Total Direct Bank Obligations (Cost $52,785,909) |
|
52,785,909 | ||||||||||||||
| Short-Term Notes/Commercial Paper—40.0% |
||||||||||||||||
| Capital Markets—0.7% |
||||||||||||||||
| BNP Paribas Finance, Inc.: |
||||||||||||||||
| 0.18% |
11/10/14 | 11/10/14 | 680,000 | 679,864 | ||||||||||||
| 0.29% |
11/24/14 | 11/24/14 | 1,500,000 | 1,499,347 | ||||||||||||
| 2,179,211 | ||||||||||||||||
| Chemicals—3.4% |
||||||||||||||||
| BASF SE, 0.03%3 |
10/1/14 | 10/1/14 | 10,500,000 | 10,500,000 | ||||||||||||
|
|
||||||||||||||||
| Leasing & Factoring—5.5% |
||||||||||||||||
| American Honda Finance Corp.: |
||||||||||||||||
| 0.233%1 |
12/4/14 | 6/4/15 | 5,000,000 | 5,000,000 | ||||||||||||
| 0.235%1 |
12/5/14 | 12/5/14 | 1,000,000 | 1,000,000 | ||||||||||||
| 1.45%2 |
2/27/15 | 2/27/15 | 5,000,000 | 5,024,376 | ||||||||||||
|
|
||||||||||||||||
| Toyota Motor Credit Corp.: |
||||||||||||||||
| 0.23% |
2/9/15 | 2/9/15 | 4,000,000 | 3,996,652 | ||||||||||||
| 0.234%1 |
10/14/14 | 1/14/15 | 2,000,000 | 2,000,000 | ||||||||||||
| 17,021,028 | ||||||||||||||||
| Municipal—3.7% |
||||||||||||||||
| CA Pollution Control Finance Authority Solid Waste Disposal Revenue Bonds, Zerep Management Corp., Series 2014, 0.09%1 | 10/7/14 | 10/7/14 | 3,150,000 | 3,150,000 | ||||||||||||
|
|
||||||||||||||||
| Calcasieu Parish, LA Public Trust Authority Solid Waste Disposal Revenue Bonds, WPT Corp. Project, Series 1997, 0.07%1 | 10/7/14 | 10/7/14 | 5,600,000 | 5,600,000 | ||||||||||||
|
|
||||||||||||||||
| San Antonio, TX Industrial Development Authority Revenue Bonds, Tindall Corp. Project, 0.20%1 | 10/7/14 | 10/7/14 | 1,800,000 | 1,800,000 | ||||||||||||
|
|
||||||||||||||||
| St. Paul, MN Bonds, Rivercentre Arena Project, Series 2009A, 0.15%1 | 10/7/14 | 10/7/14 | 1,000,000 | 1,000,000 | ||||||||||||
|
|
||||||||||||||||
| 11,550,000 | ||||||||||||||||
| Personal Products—1.6% |
||||||||||||||||
| Reckitt Benckiser Treasury Services plc: |
||||||||||||||||
| 0.22%3 |
2/12/15 | 2/12/15 | 1,100,000 | 1,099,099 | ||||||||||||
| 0.26%3 |
5/21/15 | 5/21/15 | 4,000,000 | 3,993,298 | ||||||||||||
| 5,092,397 | ||||||||||||||||
| Receivables Finance—16.4% |
||||||||||||||||
| Barton Capital LLC, 0.15%3 |
10/23/14 | 10/23/14 | 5,000,000 | 4,999,542 | ||||||||||||
|
|
||||||||||||||||
| CAFCO LLC: |
||||||||||||||||
| 0.16%3 |
12/1/14 | 12/1/14 | 500,000 | 499,864 | ||||||||||||
2 OPPENHEIMER MONEY FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
| Maturity Date* |
Final Legal Maturity Date** |
Principal Amount |
Value | |||||||||||||
|
|
||||||||||||||||
| Receivables Finance (Continued) |
| |||||||||||||||
|
|
||||||||||||||||
| CAFCO LLC: (Continued) |
||||||||||||||||
| 0.18%3 |
11/6/14 | 11/6/14 | $ | 3,400,000 | $ | 3,399,388 | ||||||||||
|
|
||||||||||||||||
| CRC Funding LLC: |
||||||||||||||||
| 0.18% |
11/4/14 | 11/4/14 | 1,015,000 | 1,014,827 | ||||||||||||
| 0.18% |
11/13/14 | 11/13/14 | 4,000,000 | 3,999,140 | ||||||||||||
| 0.18% |
12/2/14 | 12/2/14 | 2,150,000 | 2,149,334 | ||||||||||||
| 0.18% |
12/29/14 | 12/29/14 | 2,300,000 | 2,298,977 | ||||||||||||
| 0.18% |
11/12/14 | 11/12/14 | 2,600,000 | 2,599,454 | ||||||||||||
|
|
||||||||||||||||
| Fairway Finance Co. LLC, 0.15%3 |
12/16/14 | 12/16/14 | 800,000 | 799,747 | ||||||||||||
|
|
||||||||||||||||
| Gotham Funding Corp.: |
||||||||||||||||
| 0.145%3 |
10/16/14 | 10/16/14 | 2,103,000 | 2,102,873 | ||||||||||||
| 0.15%3 |
10/1/14 | 10/1/14 | 373,000 | 373,000 | ||||||||||||
|
|
||||||||||||||||
| Manhattan Asset Funding Co.: |
||||||||||||||||
| 0.03%3 |
10/1/14 | 10/1/14 | 353,000 | 353,000 | ||||||||||||
| 0.15%3 |
10/7/14 | 10/7/14 | 1,000,000 | 999,975 | ||||||||||||
| 0.16%3 |
10/23/14 | 10/23/14 | 2,600,000 | 2,599,746 | ||||||||||||
|
|
||||||||||||||||
| Old Line Funding Corp.: |
||||||||||||||||
| 0.22%3 |
1/12/15 | 1/12/15 | 3,500,000 | 3,497,797 | ||||||||||||
| 0.22%3 |
11/25/14 | 11/25/14 | 2,000,000 | 1,999,328 | ||||||||||||
| 0.22%3 |
10/6/14 | 10/6/14 | 1,500,000 | 1,499,954 | ||||||||||||
| 0.22%3 |
2/18/15 | 2/18/15 | 1,650,000 | 1,648,588 | ||||||||||||
| 0.22%3 |
1/20/15 | 1/20/15 | 1,300,000 | 1,299,118 | ||||||||||||
|
|
||||||||||||||||
| Thunder Bay Funding LLC: |
||||||||||||||||
| 0.213%3 |
2/2/15 | 2/2/15 | 6,300,000 | 6,295,374 | ||||||||||||
| 0.22%3 |
2/26/15 | 2/26/15 | 2,000,000 | 1,998,191 | ||||||||||||
| 0.22%3 |
10/10/14 | 10/10/14 | 2,000,000 | 1,999,890 | ||||||||||||
|
|
||||||||||||||||
| Victory Receivables Corp., 0.10%3 |
10/9/14 | 10/9/14 | 2,800,000 | 2,799,938 | ||||||||||||
|
|
|
|||||||||||||||
| 51,227,045 | ||||||||||||||||
| Special Purpose Financial—8.7% |
||||||||||||||||
| Anglesea Funding LLC, 0.12%2 |
10/3/14 | 10/3/14 | 4,000,000 | 3,999,973 | ||||||||||||
|
|
||||||||||||||||
| Collateralized Commercial Paper II Co. LLC, 0.401% |
10/24/14 | 10/24/14 | 1,000,000 | 999,744 | ||||||||||||
|
|
||||||||||||||||
| Concord Minutemen Cap. Corp. LLC: |
||||||||||||||||
| 0.12% |
10/6/14 | 10/6/14 | 1,000,000 | 999,983 | ||||||||||||
| 0.20% |
11/17/14 | 11/17/14 | 2,000,000 | 1,999,478 | ||||||||||||
| 0.20% |
10/10/14 | 10/10/14 | 1,400,000 | 1,399,930 | ||||||||||||
| 0.20% |
10/3/14 | 10/3/14 | 2,000,000 | 1,999,978 | ||||||||||||
|
|
||||||||||||||||
| Crown Point Capital Co.: |
||||||||||||||||
| 0.12% |
10/2/14 | 10/2/14 | 400,000 | 399,999 | ||||||||||||
| 0.20% |
11/21/14 | 11/21/14 | 5,300,000 | 5,298,498 | ||||||||||||
| 0.20% |
11/17/14 | 11/17/14 | 900,000 | 899,765 | ||||||||||||
| 0.20% |
10/10/14 | 10/10/14 | 2,000,000 | 1,999,900 | ||||||||||||
|
|
||||||||||||||||
| Lexington Parker Capital Co. LLC: |
||||||||||||||||
| 0.16%3 |
10/6/14 | 10/6/14 | 2,200,000 | 2,199,951 | ||||||||||||
| 0.16%3 |
10/2/14 | 10/2/14 | 2,300,000 | 2,299,990 | ||||||||||||
|
|
||||||||||||||||
| Ridgefield Funding Co. LLC, 0.226%1 |
10/3/14 | 11/4/14 | 2,500,000 | 2,500,000 | ||||||||||||
|
|
|
|||||||||||||||
| 26,997,189 | ||||||||||||||||
3 OPPENHEIMER MONEY FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued
| Maturity Date* |
Final Legal Maturity Date** |
Principal Amount |
Value | |||||||
|
|
||||||||||
| Total Short-Term Notes/Commercial Paper (Cost $124,566,870) |
$ | 124,566,870 | ||||||||
|
|
||||||||||
| Total Investments, at Value (Cost $250,660,002) |
80.6 | % | 250,660,002 | |||||||
|
|
||||||||||
| Net Other Assets (Liabilities) |
19.4 | 60,243,571 | ||||||||
|
|
|
|||||||||
| Net Assets |
100.0 | % | $ | 310,903,573 | ||||||
|
|
|
|||||||||
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 $16,624,056 or 5.35% of the Fund’s net assets as of September 30, 2014.
3. Security issued in an exempt transaction without registration under the Securities Act of 1933. Such securities amount to $74,454,218 or 23.95% 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 September 30, 2014 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 (“1940 Act”), 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 September 30, 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 |
$ | — | $ | 73,307,223 | $ | — | $ | 73,307,223 | ||||||||
| Direct Bank Obligations |
— | 52,785,909 | — | 52,785,909 | ||||||||||||
| Short-Term Notes/Commercial Paper |
— | 124,566,870 | — | 124,566,870 | ||||||||||||
|
|
|
|||||||||||||||
| Total Assets |
$ | — | $ | 250,660,002 | $ | — | $ | 250,660,002 | ||||||||
|
|
|
|||||||||||||||
6 OPPENHEIMER MONEY FUND/VA
CONSOLIDATED STATEMENT OF INVESTMENTS September 30, 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
16 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
17 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
| Shares | Value | |||||||
| Investment Companies—11.4% |
||||||||
| Oppenheimer Institutional Money Market Fund, Cl. E, 0.10%15,16 | 27,886,362 | $ | 27,886,362 | |||||
| Oppenheimer Master Event-Linked Bond Fund, LLC15 | 3,835,870 | 55,204,507 | ||||||
| Oppenheimer Master Loan Fund, LLC15 | 8,486,824 | 123,174,619 | ||||||
| Oppenheimer Ultra-Short Duration Fund, Cl. Y15 | 5,604,201 | 56,154,091 | ||||||
|
|
|
|||||||
| Total Investment Companies (Cost $264,213,289) | 262,419,579 | |||||||
| Counterparty | Exercise Price | Expiration Date | Contracts | Value | ||||||||||||||||||||||||
| Over-the-Counter Options Purchased—0.0% |
| |||||||||||||||||||||||||||
| BRL Currency Call12 | GSG | BRL | 2.288 | 12/12/14 | BRL | 14,100,000 | $ | 23,970 | ||||||||||||||||||||
| BRL Currency Call12 | GSG | BRL | 2.214 | 10/6/14 | BRL | 99,607,500 | — | |||||||||||||||||||||
| BRL Currency Call12 | GSG | JPY | 44.000 | 8/25/16 | BRL | 21,386,364 | 139,391 | |||||||||||||||||||||
| CAD Currency Put12 | TDB | CAD | 1.108 | 10/8/14 | CAD | 26,592,000 | 298,841 | |||||||||||||||||||||
| CNH Currency Call12 | JPM | CNH | 6.147 | 10/16/14 | CNH | 8,100,000 | 291 | |||||||||||||||||||||
| CNH Currency Put12 | JPM | CNH | 6.153 | 1/12/16 | CNH | 55,650,000 | 286,486 | |||||||||||||||||||||
| Total Over-the-Counter Options Purchased (Cost $719,982) | 748,979 | |||||||||||||||||||||||||||
| Counterparty | Pay / Receive Floating Rate |
Floating Rate | Fixed Rate | Expiration Date |
Notional Amount (000’s) |
Value | ||||||||||||||||||||||||||
| Over-the-Counter Interest Rate Swaptions Purchased—0.0% |
|
|||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 7/13/25 Call12 | JPM | Receive | |
Three-Month USD BBA LIBOR |
|
4.250 | 7/9/15 | USD | 11,700 | 46,937 | ||||||||||||||||||||||
| Interest Rate Swap maturing 7/13/25 Call12 | GSG | Receive | |
Three-Month USD BBA LIBOR |
|
3.285 | 7/9/15 | USD | 10,824 | 140,091 | ||||||||||||||||||||||
| Interest Rate Swap maturing 11/18/24 Call12 | JPM | Receive | |
Six-Month EUR EURIBOR |
|
2.798 | 11/14/14 | EUR | 31,790 | 278 | ||||||||||||||||||||||
| Interest Rate Swap maturing 12/24/19 Call12 | BAC | Receive | |
Three-Month USD BBA LIBOR |
|
2.123 | 12/22/14 | USD | 31,200 | 168,922 | ||||||||||||||||||||||
| Interest Rate Swap maturing 5/30/33 Call12 | BAC | Receive | |
Six-Month GBP BBA LIBOR |
|
3.990 | 5/30/23 | GBP | 1,235 | 80,287 | ||||||||||||||||||||||
| Interest Rate Swap maturing 7/14/25 Call12 | BOA | Receive | |
Three-Month USD BBA LIBOR |
|
3.386 | 7/10/15 | USD | 11,690 | 125,718 | ||||||||||||||||||||||
| Interest Rate Swap maturing 7/21/25 Call12 | GSG | Receive | |
Six-Month EUR EURIBOR |
|
2.750 | 7/17/15 | EUR | 43,410 | 171,277 | ||||||||||||||||||||||
| Interest Rate Swap maturing 7/21/25 Call12 | UBS | Receive | |
Six-Month EUR EURIBOR |
|
1.821 | 7/17/15 | EUR | 19,040 | 110,483 | ||||||||||||||||||||||
| Interest Rate Swap maturing 12/24/19 Call12 | GSG | Pay | |
Three-Month USD BBA LIBOR |
|
2.124 | 12/22/14 | USD | 31,200 | 167,976 | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
| Total Over-the-Counter Interest Rate Swaptions Purchased (Cost $1,959,499) |
|
1,011,969
|
| |||||||||||||||||||||||||||||
| Total Investments, at Value (Cost $2,390,512,695) |
|
102.3 | % | 2,350,800,952 | ||||||||||||||||||||||||||||
| Net Other Assets (Liabilities) |
(2.3 | ) | (53,169,532 | ) | ||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
| Net Assets |
100.0 | % | $ | 2,297,631,420 | ||||||||||||||||||||||||||||
Footnotes to Consolidated 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 $730,866,897 or 31.81% of the Fund’s net assets as of September 30, 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 September 30, 2014 was $66,077,710, which represents 2.88% 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) |
||||||||||||
| American Seafoods Group LLC/American Seafoods | ||||||||||||||||
| Finance, Inc., 10.75% Sr. Sub. Nts., 5/15/16 | 4/28/10 - 8/18/10 | $ | 2,763,185 | $ | 2,707,675 | $ | (55,510 | ) | ||||||||
| Amsted Industries, Inc., 5% Sr. Unsec. Nts., 3/15/22 | 3/3/14 - 4/14/14 | 2,201,190 | 2,135,250 | (65,940 | ) | |||||||||||
| Arco Capital Corp. Ltd. | 6/28/13 | — | — | — | ||||||||||||
| ASG Consolidated LLC/ASG Finance, Inc., 15% Sr. Unsec. Nts., 5/15/17 | 8/19/10 - 5/16/14 | 2,878,980 | 2,673,857 | (205,123 | ) | |||||||||||
| Astana Finance JSC, ADR | 5/8/14 | — | 606 | 606 | ||||||||||||
| Blackboard, Inc., 7.75% Sr. Unsec. Nts., 11/15/19 | 10/24/13 - 5/1/14 | 2,676,333 | 2,626,800 | (49,533 | ) | |||||||||||
| Brand Energy & Infrastructure Services, Inc., 8.50% Sr. Unsec. Nts., 12/1/21 | 11/22/13 - 11/25/13 | 3,099,727 | 3,100,700 | 973 | ||||||||||||
18 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) |
||||||||||||
| Building Materials Corp. of America, 6.75% Sr. Unsec. | ||||||||||||||||
| Nts., 5/1/21 | 4/26/11 | $ | 1,957,343 | $ | 2,073,750 | $ | 116,407 | |||||||||
| Calcipar SA, 6.875% Sr. Sec. Nts., 5/1/18 | 11/21/13 | 94,424 | 93,150 | (1,274 | ) | |||||||||||
| Ceridian LLC/Comdata, Inc., 8.125% Sr. Unsec. Nts., 11/15/17 | 5/21/14 | 583,537 | 587,194 | 3,657 | ||||||||||||
| Churchill Downs, Inc., 5.375% Sr. Unsec. Nts., 12/15/21 | 12/11/13 | 1,130,000 | 1,135,650 | 5,650 | ||||||||||||
| Citigroup Mortgage Loan Trust, Inc., Collateralized Mtg. Obligations, Series 2014-8, Cl. 1A2, 0.446%, 7/20/36 | 7/11/14 | 2,836,553 | 2,832,625 | (3,928 | ) | |||||||||||
| Coveris Holdings SA, 7.875% Sr. Unsec. Nts., 11/1/19 | 10/24/13 | 1,335,000 | 1,401,750 | 66,750 | ||||||||||||
| Credit Agricole SA, 8.375% Jr. Sub. Perpetual Bonds | 7/17/13 | 1,989,128 | 2,143,452 | 154,324 | ||||||||||||
| Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds, 25.692% Sr. Sec. Nts., 12/31/17 | 9/19/07 | 4,915,081 | 6,825,685 | 1,910,604 | ||||||||||||
| Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2A, 7.208%, 5/22/15 | 5/21/08 | 67,269 | 48,426 | (18,843 | ) | |||||||||||
| Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2B, 7.208%, 5/22/15 | 6/12/08 | 117,680 | 84,723 | (32,957 | ) | |||||||||||
| Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2C, 7.208%, 5/22/15 | 6/18/08 | 1,785,486 | 1,277,418 | (508,068 | ) | |||||||||||
| Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2D, 7.208%, 5/22/15 | 7/8/08 | 130,028 | 93,097 | (36,931 | ) | |||||||||||
| Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2E, 7.208%, 5/22/15 | 7/15/08 | 94,626 | 67,636 | (26,990 | ) | |||||||||||
| Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2F, 7.208%, 5/22/15 | 8/8/08 | 61,263 | 43,196 | (18,067 | ) | |||||||||||
| Deutsche Bank AG, Opic Reforma I Credit Linked Nts., Cl. 2G, 7.208%, 5/22/15 | 8/22/08 | 11,304 | 7,955 | (3,349 | ) | |||||||||||
| ICE EM CLO, Series 2007-1A, Cl. B, 2.031%, 8/15/22 | 11/6/07 | 7,246,093 | 7,273,454 | 27,361 | ||||||||||||
| ICE EM CLO, Series 2007-1A, Cl. C, 3.331%, 8/15/22 | 6/8/07 | 5,270,000 | 4,898,992 | (371,008 | ) | |||||||||||
| ICE EM CLO, Series 2007-1A, Cl. D, 5.331%, 8/15/22 | 6/8/07 | 5,270,000 | 4,809,402 | (460,598 | ) | |||||||||||
| Infinis plc, 7% Sr. Sec. Nts., 2/15/19 | 10/2/13 - 5/12/14 | 2,221,697 | 2,156,089 | (65,608 | ) | |||||||||||
| JPMorgan Hipotecaria su Casita, 6.47% Sec. Nts., 8/26/35 | 3/21/07 | 528,984 | 43,575 | (485,409 | ) | |||||||||||
| K Hovnanian Enterprises, Inc., 9.125% Sec. Nts., 11/15/20 | 1/7/14 - 1/9/14 | 1,906,411 | 1,946,625 | 40,214 | ||||||||||||
| Kenan Advantage Group, Inc. (The), 8.375% Sr. Unsec. Nts., 12/15/18 | 12/7/12 - 12/12/13 | 2,311,651 | 2,375,419 | 63,768 | ||||||||||||
| LBC Tank Terminals Holding Netherlands BV, 6.875% Sr. Unsec. Nts., 5/15/23 | 5/8/13 - 4/17/14 | 1,587,624 | 1,637,100 | 49,476 | ||||||||||||
| NC Finance Trust, Series 1999-I, Cl. D, 8.75%, 1/25/29 | 8/10/10 | 66,025 | 7,408 | (58,617 | ) | |||||||||||
| Premier Cruises Ltd., 11% Sr. Unsec. Nts., 3/15/08 | 3/6/98 | 242,675 | — | (242,675 | ) | |||||||||||
| Realogy Group LLC, 9% Sr. Sec. Nts., 1/15/20 | 1/25/12 - 2/1/12 | 862,550 | 949,338 | 86,788 | ||||||||||||
| Swiss Re Capital I LP, 6.854% Jr. Sub. Perpetual Bonds | 7/23/13 - 1/13/14 | 3,674,509 | 3,728,167 | 53,658 | ||||||||||||
| Wallace Theater Holdings, Inc. | 3/28/13 | 15 | 15 | — | ||||||||||||
| Western Express, Inc., 12.50% Sr. Sec. Nts., 4/15/15 | 4/9/10 - 5/4/11 | 4,763,794 | 4,291,531 | (472,263 | ) | |||||||||||
|
|
|
|||||||||||||||
| $ | 66,680,165 | $ | 66,077,710 | $ | (602,455 | ) | ||||||||||
|
|
|
|||||||||||||||
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 $5,051,928 or 0.22% of the Fund’s net assets as of September 30, 2014.
5. Interest rate is less than 0.0005%.
6. All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after September 30, 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. All or a portion of the security position is held in accounts at a futures clearing merchant and pledged to cover margin requirements on open futures contracts and written options on futures, if applicable. The aggregate market value of such securities is $4 970 510. See accompanying Consolidated Notes.
9. 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 $2,320,234. See accompanying Consolidated Notes.
10. Interest or dividend is paid-in-kind, when applicable.
19 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Consolidated Statement of Investments (Continued)
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. Non-income producing security.
13. Zero coupon bond reflects effective yield on the date of purchase.
14. Denotes an inflation-indexed security: coupon or principal are indexed to a consumer price index.
15. Is or was an affiliate, as defined in the Investment Company Act of 1940, as amended, at or during the period ended September 30, 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 September 30, 2014 |
|||||||||||||
| Oppenheimer Institutional Money Market Fund, Cl. E | 33,054,028 | 704,078,624 | 709,246,290 | 27,886,362 | ||||||||||||
| Oppenheimer Master Event-Linked Bond Fund, LLC | 4,827,322 | — | 991,452 | 3,835,870 | ||||||||||||
| Oppenheimer Master Loan Fund, LLC | 1,023,461 | 8,129,838 | 666,475 | 8,486,824 | ||||||||||||
| Oppenheimer Ultra-Short Duration Fund, Cl. Y | 3,707,723 | 1,896,478 | — | 5,604,201 | ||||||||||||
| Value | Income | Realized Gain | ||||||||||||||
| Oppenheimer Institutional Money Market Fund, Cl. E | $ | 27,886,362 | $ | 31,959 | $ | — | ||||||||||
| Oppenheimer Master Event-Linked Bond Fund, LLC | 55,204,507 | 2,713,262 | a | 325,718 | a | |||||||||||
| Oppenheimer Master Loan Fund, LLC | 123,174,619 | 4,669,576 | b | 716,895 | b | |||||||||||
| Oppenheimer Ultra-Short Duration Fund, Cl. Y | 56,154,091 | 132,042 | — | |||||||||||||
|
|
|
|||||||||||||||
| $ | 262,419,579 | $ | 7,546,839 | $ | 1,042,613 | |||||||||||
|
|
|
|||||||||||||||
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.
| 16. | Rate shown is the 7-day yield as of September 30, 2014. |
| Distribution of investments representing geographic holdings, as a percentage of total investments at value, is as follows: |
||||||||
| Geographic Holdings |
Value | Percent | ||||||
| United States | $ | 1,436,451,992 | 61.1 | % | ||||
| Brazil | 106,163,325 | 4.5 | ||||||
| Mexico | 100,498,903 | 4.3 | ||||||
| United Kingdom | 50,088,971 | 2.1 | ||||||
| Turkey | 36,953,154 | 1.6 | ||||||
| Indonesia | 34,788,018 | 1.5 | ||||||
| Greece | 32,607,803 | 1.4 | ||||||
| France | 32,422,085 | 1.4 | ||||||
| Netherlands | 31,894,335 | 1.4 | ||||||
| Canada | 30,243,967 | 1.3 | ||||||
| India | 29,400,523 | 1.3 | ||||||
| South Africa | 26,379,345 | 1.1 | ||||||
| Colombia | 25,657,828 | 1.1 | ||||||
| Russia | 23,348,211 | 1.0 | ||||||
| Hungary | 21,348,927 | 0.9 | ||||||
| Italy | 20,879,577 | 0.9 | ||||||
| Peru | 19,503,567 | 0.8 | ||||||
| Germany | 17,983,151 | 0.8 | ||||||
| Supranational | 16,981,848 | 0.7 | ||||||
| Israel | 15,302,334 | 0.7 | ||||||
| Spain | 15,172,159 | 0.6 | ||||||
| Luxembourg | 14,507,157 | 0.6 | ||||||
| China | 13,442,722 | 0.6 | ||||||
| Ireland | 13,286,503 | 0.6 | ||||||
| Chile | 13,218,020 | 0.6 | ||||||
| United Arab Emirates | 13,021,821 | 0.6 | ||||||
| Romania | 10,287,812 | 0.4 | ||||||
| Philippines | 10,238,895 | 0.4 | ||||||
| Australia | 8,237,343 | 0.3 | ||||||
| Switzerland | 7,495,954 | 0.3 | ||||||
| Thailand | 7,355,812 | 0.3 | ||||||
| Portugal | 7,444,426 | 0.3 | ||||||
| South Korea | 6,751,699 | 0.3 | ||||||
| Venezuela | 5,286,040 | 0.2 | ||||||
| Poland | 6,015,348 | 0.3 | ||||||
| Kazakhstan | 5,607,367 | 0.2 | ||||||
| Norway | 5,395,160 | 0.2 | ||||||
| Sri Lanka | 4,966,956 | 0.2 | ||||||
| Sweden | 4,149,240 | 0.2 | ||||||
| Ivory Coast | 4,098,656 | 0.2 | ||||||
| Denmark | 3,984,497 | 0.2 | ||||||
| Nigeria | 3,944,495 | 0.2 | ||||||
| Croatia | 3,695,162 | 0.2 | ||||||
| Dominican Republic | 3,499,150 | 0.1 |
20 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
| Geographic Holdings (Continued) | Value | Percent | ||||||
| Panama | $ | 3,393,150 | 0.1% | |||||
| Uruguay | 3,282,637 | 0.1 | ||||||
| Morocco | 3,194,641 | 0.1 | ||||||
| Lithuania | 3,099,656 | 0.1 | ||||||
| Serbia | 2,969,913 | 0.1 | ||||||
| Angola | 2,813,330 | 0.1 | ||||||
| Japan | 2,631,729 | 0.1 | ||||||
| Ukraine | 2,276,893 | 0.1 | ||||||
| Lebanon | 2,127,989 | 0.1 | ||||||
| Malaysia | 1,856,851 | 0.1 | ||||||
| Austria | 1,942,343 | 0.1 | ||||||
| Slovenia | 1,863,094 | 0.1 | ||||||
| Jersey, Channel Islands | 1,684,632 | 0.1 | ||||||
| Belgium | 1,637,100 | 0.1 | ||||||
| Tanzania | 1,553,388 | 0.1 | ||||||
| Ecuador | 1,546,600 | 0.1 | ||||||
| Puerto Rico | 1,434,600 | 0.1 | ||||||
| Kenya | 1,384,192 | 0.1 | ||||||
| Paraguay | 1,277,300 | 0.1 | ||||||
| Latvia | 1,220,235 | 0.1 | ||||||
| Gabon | 1,107,450 | 0.0 | ||||||
| Saudi Arabia | 1,060,900 | 0.0 | ||||||
| Trinidad | 1,026,742 | 0.0 | ||||||
| Jamaica | 915,457 | 0.0 | ||||||
| Azerbaijan | 896,875 | 0.0 | ||||||
| Barbados | 819,344 | 0.0 | ||||||
| Senegal | 802,000 | 0.0 | ||||||
| Hong Kong | 376,200 | 0.0 | ||||||
| Zambia | 318,675 | 0.0 | ||||||
| China Offshore | 286,778 | 0.0 | ||||||
|
|
|
|||||||
| Total | $ | 2,350,800,952 | 100.0% | |||||
|
|
|
|||||||
| Forward Currency Exchange Contracts as of September 30, 2014 | ||||||||||||||||||||||||||||
| Counterparty | Settlement Month(s) | Currency Purchased (000’s) | Currency Sold (000’s) | Unrealized Appreciation |
Unrealized Depreciation |
|||||||||||||||||||||||
| BAC | 10/2014 | BRL | 86,890 | USD | 37,643 | $ | 8,180 | $ | 2,153,286 | |||||||||||||||||||
| BAC | 12/2014 | HUF | 611,000 | USD | 2,583 | – | 102,632 | |||||||||||||||||||||
| BAC | 10/2014 | IDR | 25,503,000 | USD | 2,150 | – | 61,273 | |||||||||||||||||||||
| BAC | 10/2014 | MXN | 18,600 | USD | 1,405 | – | 20,264 | |||||||||||||||||||||
| BAC | 02/2015 | MYR | 12,060 | USD | 3,746 | – | 107,986 | |||||||||||||||||||||
| BAC | 11/2014 | RUB | 30,400 | USD | 825 | – | 62,764 | |||||||||||||||||||||
| BAC | 11/2014 | TRY | 190 | USD | 87 | – | 3,837 | |||||||||||||||||||||
| BAC | 10/2014 - 04/2015 | USD | 53,859 | BRL | 132,460 | 609,314 | 280,611 | |||||||||||||||||||||
| BAC | 12/2014 | USD | 50,869 | EUR | 37,430 | 3,571,090 | – | |||||||||||||||||||||
| BAC | 11/2014 | USD | 1,757 | IDR | 20,918,000 | 69,484 | – | |||||||||||||||||||||
| BAC | 10/2014 | USD | 1,247 | MYR | 4,100 | 37 | – | |||||||||||||||||||||
| BAC | 12/2014 | USD | 1,301 | NOK | 8,070 | 48,196 | – | |||||||||||||||||||||
| BAC | 10/2014 - 11/2014 | USD | 12,798 | RUB | 495,800 | 362,509 | 617 | |||||||||||||||||||||
| BAC | 10/2014 | USD | 13,189 | THB | 426,000 | 63,312 | – | |||||||||||||||||||||
| BAC | 11/2014 | USD | 5,828 | TRY | 12,965 | 184,461 | – | |||||||||||||||||||||
| BNP | 12/2014 | USD | 7,046 | PLN | 23,060 | 103,056 | – | |||||||||||||||||||||
| BNP | 10/2014 | USD | 8,864 | TRY | 19,930 | 155,899 | – | |||||||||||||||||||||
| BOA | 10/2014 - 01/2015 | BRL | 13,000 | USD | 5,439 | 3,521 | 199,700 | |||||||||||||||||||||
| BOA | 11/2014 | COP | 31,669,000 | USD | 16,811 | – | 1,217,156 | |||||||||||||||||||||
| BOA | 12/2014 | EUR | 2,095 | USD | 2,783 | – | 135,907 | |||||||||||||||||||||
| BOA | 12/2014 | GBP | 8,080 | USD | 13,560 | – | 468,237 | |||||||||||||||||||||
| BOA | 10/2014 - 11/2014 | IDR | 48,857,000 | USD | 4,069 | 6,840 | 117,604 | |||||||||||||||||||||
| BOA | 10/2014 - 11/2014 | INR | 876,000 | USD | 14,186 | – | 97,530 | |||||||||||||||||||||
| BOA | 02/2015 | KRW | 8,348,000 | USD | 8,125 | – | 260,269 | |||||||||||||||||||||
| BOA | 12/2014 | THB | 191,000 | USD | 5,899 | – | 30,164 | |||||||||||||||||||||
| BOA | 10/2014 - 01/2015 | USD | 6,435 | BRL | 15,500 | 200,701 | 3,945 | |||||||||||||||||||||
| BOA | 10/2014 - 11/2014 | USD | 18,011 | COP | 35,618,000 | 461,581 | – | |||||||||||||||||||||
| BOA | 01/2015 | USD | 790 | EUR | 580 | 56,864 | – | |||||||||||||||||||||
| BOA | 12/2014 | USD | 2,021 | HUF | 486,000 | 48,128 | – | |||||||||||||||||||||
| BOA | 10/2014 - 11/2014 | USD | 25,891 | IDR | 315,287,000 | 436,595 | 5,554 | |||||||||||||||||||||
| BOA | 10/2014 - 11/2014 | USD | 32,748 | INR | 2,017,250 | 325,539 | 9,356 | |||||||||||||||||||||
| BOA | 12/2014 | USD | 3,210 | PEN | 9,320 | 27,632 | – | |||||||||||||||||||||
| BOA | 01/2015 | USD | 2,710 | PHP | 118,000 | 92,831 | – | |||||||||||||||||||||
| BOA | 11/2014 | USD | 1,303 | TRY | 2,850 | 62,891 | – | |||||||||||||||||||||
| CITNA-B | 10/2014 | COP | 1,782,000 | USD | 897 | – | 18,016 | |||||||||||||||||||||
| CITNA-B | 10/2014 | MXN | 33,700 | USD | 2,594 | – | 85,754 | |||||||||||||||||||||
| CITNA-B | 11/2014 | TRY | 7,060 | USD | 3,094 | – | 20,767 | |||||||||||||||||||||
21 OPPENHEIMER GLOBAL STRATEGIC INCOME 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 |
|||||||||||||||||||||||
| CITNA-B | 10/2014 | USD | 6,337 | COP | 12,597,000 | $ | 122,574 | $ | – | |||||||||||||||||||
| CITNA-B | 12/2014 | USD | 324 | EUR | 250 | 8,590 | – | |||||||||||||||||||||
| CITNA-B | 02/2015 | USD | 802 | HUF | 191,000 | 28,096 | – | |||||||||||||||||||||
| CITNA-B | 12/2014 | USD | 6,868 | PLN | 22,440 | 111,408 | – | |||||||||||||||||||||
| CITNA-B | 02/2015 | USD | 1,207 | TRY | 2,720 | 55,812 | – | |||||||||||||||||||||
| CITNA-B | 12/2014 | USD | 1,954 | ZAR | 21,330 | 84,031 | – | |||||||||||||||||||||
| CITNA-B | 12/2014 | ZAR | 58,120 | USD | 5,326 | – | 230,545 | |||||||||||||||||||||
| DEU | 10/2014 | MXN | 2,900 | USD | 215 | 877 | – | |||||||||||||||||||||
| DEU | 11/2014 | TRY | 25,550 | USD | 11,633 | – | 511,570 | |||||||||||||||||||||
| DEU | 12/2014 | USD | 59,347 | EUR | 43,545 | 4,322,910 | – | |||||||||||||||||||||
| DEU | 12/2014 | USD | 51,001 | GBP | 29,830 | 2,669,367 | – | |||||||||||||||||||||
| DEU | 12/2014 | USD | 10,425 | HUF | 2,535,000 | 134,235 | – | |||||||||||||||||||||
| DEU | 12/2014 | USD | 9,453 | JPY | 963,000 | 667,901 | – | |||||||||||||||||||||
| DEU | 10/2014 - 02/2015 | USD | 17,073 | TRY | 38,315 | 390,740 | – | |||||||||||||||||||||
| DEU | 12/2014 | USD | 8,278 | ZAR | 92,600 | 159,475 | – | |||||||||||||||||||||
| GSCO-OT | 10/2014 - 01/2015 | BRL | 84,820 | USD | 34,854 | 27,427 | 459,383 | |||||||||||||||||||||
| GSCO-OT | 10/2014 - 01/2015 | USD | 70,066 | BRL | 168,850 | 2,416,889 | 101,430 | |||||||||||||||||||||
| GSCO-OT | 12/2014 | USD | 15,423 | JPY | 1,647,656 | 388,715 | – | |||||||||||||||||||||
| GSCO-OT | 10/2014 | USD | 458 | MXN | 6,200 | – | 3,192 | |||||||||||||||||||||
| JPM | 10/2014 | BRL | 10,060 | USD | 4,104 | 5,450 | – | |||||||||||||||||||||
| JPM | 01/2016 | CNH | 55,600 | USD | 9,041 | – | 279,812 | |||||||||||||||||||||
| JPM | 12/2014 | EUR | 13,130 | USD | 17,458 | – | 866,225 | |||||||||||||||||||||
| JPM | 12/2014 | HUF | 1,290,300 | USD | 5,423 | – | 185,003 | |||||||||||||||||||||
| JPM | 11/2014 | IDR | 98,994,000 | USD | 8,247 | – | 260,938 | |||||||||||||||||||||
| JPM | 10/2014 | INR | 144,000 | USD | 2,324 | 439 | – | |||||||||||||||||||||
| JPM | 10/2014 | MXN | 21,300 | USD | 1,612 | – | 26,757 | |||||||||||||||||||||
| JPM | 10/2014 - 02/2015 | MYR | 71,325 | USD | 22,142 | – | 552,624 | |||||||||||||||||||||
| JPM | 11/2014 | PEN | 35,130 | USD | 12,359 | – | 290,697 | |||||||||||||||||||||
| JPM | 12/2014 | PLN | 46,270 | USD | 14,463 | – | 532,019 | |||||||||||||||||||||
| JPM | 10/2014 | RON | 5,440 | USD | 1,683 | – | 125,616 | |||||||||||||||||||||
| JPM | 10/2014 | USD | 3,972 | BRL | 10,060 | – | 138,322 | |||||||||||||||||||||
| JPM | 10/2014 | USD | 1,155 | COP | 2,340,000 | 692 | – | |||||||||||||||||||||
| JPM | 12/2014 | USD | 34,368 | EUR | 25,310 | 2,386,037 | – | |||||||||||||||||||||
| JPM | 10/2014 | USD | 2,054 | IDR | 24,500,000 | 47,151 | – | |||||||||||||||||||||
| JPM | 10/2014 | USD | 2,846 | ILS | 10,190 | 79,174 | – | |||||||||||||||||||||
| JPM | 10/2014 | USD | 2,337 | INR | 144,000 | 12,668 | – | |||||||||||||||||||||
| JPM | 02/2015 | USD | 1,467 | KRW | 1,560,000 | – | 2,827 | |||||||||||||||||||||
| JPM | 11/2014 | USD | 12,273 | PEN | 35,130 | 204,802 | – | |||||||||||||||||||||
| JPM | 10/2014 | USD | 6,186 | RON | 21,230 | 109,456 | – | |||||||||||||||||||||
| JPM | 11/2014 | USD | 1,111 | RUB | 42,600 | 42,101 | – | |||||||||||||||||||||
| JPM | 12/2014 | ZAR | 17,710 | USD | 1,598 | – | 45,087 | |||||||||||||||||||||
| MSCO | 10/2014 | COP | 2,861,000 | USD | 1,423 | – | 12,087 | |||||||||||||||||||||
| MSCO | 10/2014 | MXN | 34,930 | USD | 2,652 | 1,791 | 54,105 | |||||||||||||||||||||
| MSCO | 10/2014 | USD | 507 | COP | 1,031,000 | – | 1,978 | |||||||||||||||||||||
| MSCO | 12/2014 - 03/2015 | USD | 62,394 | EUR | 46,775 | 3,269,015 | – | |||||||||||||||||||||
| MSCO | 11/2014 | USD | 10,880 | HUF | 2,480,000 | 811,054 | – | |||||||||||||||||||||
| MSCO | 10/2014 - 12/2014 | USD | 62,942 | MXN | 835,600 | 921,672 | – | |||||||||||||||||||||
| MSCO | 12/2014 | USD | 3,069 | ZAR | 34,160 | 74,417 | – | |||||||||||||||||||||
| MSCO | 12/2014 | ZAR | 10,100 | USD | 909 | – | 23,066 | |||||||||||||||||||||
| RBS | 12/2014 | USD | 6,005 | JPY | 654,000 | 37,569 | – | |||||||||||||||||||||
| TDB | 10/2014 - 11/2014 | BRL | 21,850 | USD | 8,992 | 2,492 | 75,867 | |||||||||||||||||||||
| TDB | 10/2014 - 04/2015 | USD | 15,153 | BRL | 37,220 | 148,990 | 8,607 | |||||||||||||||||||||
| TDB | 12/2014 | USD | 11,177 | CAD | 12,355 | 162,113 | – | |||||||||||||||||||||
| TDB | 11/2014 | USD | 1,277 | COP | 2,464,000 | 63,498 | – | |||||||||||||||||||||
| TDB | 12/2014 | USD | 4,679 | EUR | 3,460 | 307,136 | – | |||||||||||||||||||||
| TDB | 11/2014 | USD | 4,223 | IDR | 51,366,000 | 78,723 | – | |||||||||||||||||||||
| TDB | 10/2014 | USD | 25,748 | MXN | 341,300 | 344,785 | – | |||||||||||||||||||||
| TDB | 10/2014 | USD | 465 | RUB | 18,400 | 2,386 | – | |||||||||||||||||||||
| TDB | 11/2014 | USD | 2,169 | TRY | 4,800 | 79,756 | – | |||||||||||||||||||||
| TDB | 12/2014 | USD | 12,367 | ZAR | 137,180 | 339,902 | – | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| Total Unrealized Appreciation and Depreciation | $ | 28,020,977 | $ | 10,250,986 | ||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
22 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
| Futures Contracts as of September 30, 2014 | ||||||||||||||||||||||||
| Description | Exchange | Buy/Sell | Expiration Date |
Number of Contracts |
Value | Unrealized Appreciation (Depreciation) |
||||||||||||||||||
| Euro-Bundesobligation | EUX | Sell | 12/08/14 | 340 | 64,286,718 | $ | (647,750) | |||||||||||||||||
| United States Treasury Long Bonds | CBT | Sell | 12/19/14 | 63 | 8,688,094 | (18,293) | ||||||||||||||||||
| United States Treasury Long Bonds | CBT | Buy | 12/19/14 | 224 | 30,891,000 | (149,978) | ||||||||||||||||||
| United States Treasury Nts., 10 yr. | CBT | Sell | 12/19/14 | 173 | 21,562,829 | 134,649 | ||||||||||||||||||
| United States Treasury Nts., 10 yr. | CBT | Buy | 12/19/14 | 744 | 92,732,629 | (488,682) | ||||||||||||||||||
| United States Treasury Nts., 2 yr. | CBT | Buy | 12/31/14 | 159 | 34,796,158 | (7,356) | ||||||||||||||||||
| United States Treasury Nts., 2 yr. | CBT | Sell | 12/31/14 | 73 | 15,975,594 | (1,951) | ||||||||||||||||||
| United States Treasury Ultra Bonds | CBT | Buy | 12/19/14 | 197 | 30,042,500 | (11,461) | ||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| $ | (1,190,822) | |||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| Over-the-Counter Options Written at September 30, 2014 | ||||||||||||||||||||||||||||||||
| Description | Counterparty | Exercise Price |
Expiration Date |
Number of Contracts |
Premiums Received | Value | ||||||||||||||||||||||||||
| BRL Currency Put | GSG | JPY | 28.000 | 8/25/16 | BRL | (21,392,857 | ) | $ | 193,467 | $ | (239,661 | ) | ||||||||||||||||||||
| BRL Currency Put | GSG | BRL | 2.522 | 12/12/14 | BRL | (15,545,000 | ) | 56,090 | (160,906 | ) | ||||||||||||||||||||||
| CAD Currency Call | TDB | CAD | 1.083 | 10/8/14 | CAD | (25,980,000 | ) | 56,400 | (182 | ) | ||||||||||||||||||||||
| IDR Currency Put | BAC | IDR | 12130.000 | 11/12/14 | IDR | (69,100,000,000 | ) | 62,663 | (138,200 | ) | ||||||||||||||||||||||
| IDR Currency Put | BOA | IDR | 12140.000 | 11/11/14 | IDR | (69,100,000,000 | ) | 64,205 | (138,200 | ) | ||||||||||||||||||||||
| JPY Currency Call | GSG | JPY | 84.550 | 12/18/15 | JPY | (446,000,000 | ) | 132,033 | (4,460 | ) | ||||||||||||||||||||||
| Republic of Portugal Bonds Put | JPM | EUR | 112.410 | 12/19/14 | EUR | (7,000,000 | ) | 60,330 | (59,396 | ) | ||||||||||||||||||||||
| Republic of Portugal Bonds Put | JPM | EUR | 118.600 | 12/19/14 | EUR | (7,000,000 | ) | 112,555 | (108,793 | ) | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
| Total Over-the-Counter Options Written | $ | 737,743 | $ | (849,798 | ) | |||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
| Over-the-Counter Credit Default Swaps at September 30, 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 | ) | $ | 12,212 | |||||||||||||||||||||
| Banco Bilbao Vizcaya Argentaria | ||||||||||||||||||||||||||||||||
| Sociedad Anonima | UBS | Sell | 3.000 | 12/20/17 | EUR | 125 | (60 | ) | 12,212 | |||||||||||||||||||||||
| Banco Santander SA | UBS | Sell | 3.000 | 9/20/17 | EUR | 250 | (997 | ) | 23,322 | |||||||||||||||||||||||
| Bolivarian Republic of Venezuela | FIB | Buy | 5.000 | 6/20/19 | USD | 2,170 | (404,122 | ) | 772,073 | |||||||||||||||||||||||
| Republic of Ireland | GSG | Buy | 1.000 | 3/20/18 | EUR | 585 | (21,618 | ) | (14,834 | ) | ||||||||||||||||||||||
| Republic of Ireland | GSG | Buy | 1.000 | 3/20/18 | USD | 660 | (27,725 | ) | (13,322 | ) | ||||||||||||||||||||||
| Republic of Italy | GSG | Sell | 1.000 | 3/20/23 | USD | 660 | 105,519 | (33,096 | ) | |||||||||||||||||||||||
| State Bank of India | BNP | Sell | 1.000 | 9/20/19 | USD | 1,740 | 71,791 | (58,168 | ) | |||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
| Total Over-the-Counter Credit Default Swaps | $ | (277,272 | ) | $ | 700,399 | |||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
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 Single Name Corporate Debt | $ | 1,740,000 | $ | — | BBB- | |||||||||||||||
| Investment Grade Sovereign Debt | $ | 660,000 | $ | — | BBB | |||||||||||||||
|
|
|
|
|
|||||||||||||||||
| Total USD | $ | 2,400,000 | $ | — | ||||||||||||||||
|
|
|
|||||||||||||||||||
| 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 Swap at September 30, 2014 | ||||||||||||||||||||||||||||||||||||
| Counterparty | Pay/Receive Floating Rate |
Floating Rate | Fixed Rate |
Maturity Date |
Notional Amount Currency Received |
Notional Amount Currency Delivered |
Value | |||||||||||||||||||||||||||||
| BOA | Pay | |
Six-Month USD BBA LIBOR |
|
7.100 | 1/21/19 | INR | 139,250 | USD | 2,270 | $ | 105,466 | ||||||||||||||||||||||||
| GSG | Pay | |
Six-Month USD BBA LIBOR |
|
7.210 | 1/13/19 | INR | 140,500 | USD | 2,260 | $ | 161,386 | ||||||||||||||||||||||||
| GSG | Pay | |
Six-Month USD BBA LIBOR |
|
7.100 | 1/15/19 | INR | 140,000 | USD | 2,261 | 141,905 | |||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||||||
| Total Over-the-Counter Currency Swap | $ | 408,757 | ||||||||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||||||
23 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
| Cleared Interest Rate Swaps at September 30, 2014 | ||||||||||||||||||||||||||||
| Counterparty | Pay/Receive Floating Rate | Floating Rate | Fixed Rate | Maturity Date | Notional Amount (000’s) | Value | ||||||||||||||||||||||
| BAC | Receive | Three-Month USD BBA LIBOR | 2.702 | 6/18/24 | USD | 2,590 | $ | (37,032) | ||||||||||||||||||||
| GSG | Receive | Three-Month USD BBA LIBOR | 2.695 | 6/19/24 | USD | 2,570 | (34,909) | |||||||||||||||||||||
| JPM | Receive | Three-Month USD BBA LIBOR | 2.570 | 8/15/24 | USD | 2,090 | 6,773 | |||||||||||||||||||||
| JPM | Pay | Six-Month PLN WIBOR WIBO | 2.847 | 8/29/24 | PLN | 7,900 | (6,009) | |||||||||||||||||||||
| JPM | Pay | MXN TIIE BANXICO | 6.070 | 8/1/24 | MXN | 30,400 | (48,365) | |||||||||||||||||||||
| JPM | Receive | Three-Month USD BBA LIBOR | 2.550 | 8/12/24 | USD | 2,090 | 9,994 | |||||||||||||||||||||
| JPM | Pay | MXN TIIE BANXICO | 6.090 | 7/29/24 | MXN | 31,300 | (45,492) | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| Total of Cleared Interest Rate Swaps | $ | (155,040) | ||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| Over-the-Counter Interest Rate Swaps at September 30, 2014 | ||||||||||||||||||||||||||||
| Counterparty | Pay/Receive Floating Rate | Floating Rate | Fixed Rate | Maturity Date | Notional Amount (000’s) | Value | ||||||||||||||||||||||
| BOA | Pay | BZDI | 11.920 | 7/1/16 | BRL | 87,600 | $ | (118,105) | ||||||||||||||||||||
| BOA | Pay | Three-Month MYR KLIBOR | 4.510 | 6/17/24 | MYR | 8,600 | 56,554 | |||||||||||||||||||||
| GSG | Pay | BZDI | 10.850 | 1/4/16 | BRL | 16,240 | (71,380) | |||||||||||||||||||||
| GSG | Pay | BZDI | 12.200 | 7/1/16 | BRL | 59,600 | (55,785) | |||||||||||||||||||||
| GSG | Pay | MXN TIIE BANXICO | 4.260 | 6/15/16 | MXN | 126,300 | (2,651) | |||||||||||||||||||||
| GSG | Pay | Three-Month MYR KLIBOR | 4.515 | 6/17/24 | MYR | 8,570 | 57,405 | |||||||||||||||||||||
| JPM | Pay | MXN TIIE BANXICO | 4.280 | 6/15/16 | MXN | 125,400 | (831) | |||||||||||||||||||||
| JPM | Pay | BZDI | 11.750 | 7/1/16 | BRL | 38,000 | (70,897) | |||||||||||||||||||||
| JPM | Pay | BZDI | 11.580 | 7/1/16 | BRL | 43,900 | (81,254) | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| Total Over-the-Counter Interest Rate Swaps | $ | (286,944) | ||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| Over-the-Counter Credit Default Swaptions Written at September 30, 2014 | ||||||||||||||||||||||||||||||||
| Description | Counterparty | Buy/Sell Protection |
Reference Asset |
Fixed Rate | Expiration Date |
Notional Amount (000’s) |
Premiums Received |
Value | ||||||||||||||||||||||||
| Credit Default Swap maturing 6/20/19 Call | JPM | Sell | |
iTraxx Europe Crossover Series 21 Version 1 |
|
5.000 | 10/15/14 | EUR 11,500 | $ | 81,861 | $ | (54,064 | ) | |||||||||||||||||||
| Over-the-Counter Interest Rate Swaptions Written at September 30, 2014 | ||||||||||||||||||||||||||||||||||||
| Description | Counterparty | Pay/Receive Floating Rate |
Floating Rate | Fixed Rate |
Expiration Date |
Notional Amount (000’s) |
Premiums Received |
Value | ||||||||||||||||||||||||||||
| Interest Rate Swap maturing 12/24/19 Call | BAC | Pay | |
Three-Month USD BBA LIBOR |
|
2.373 | 12/22/14 | USD | 31,200 | $ | 81,432 | $ | (59,529) | |||||||||||||||||||||||
| Interest Rate Swap maturing 12/24/19 Call | BAC | Receive | |
Three-Month USD BBA LIBOR |
|
1.873 | 12/22/14 | USD | 31,200 | 62,712 | (67,407) | |||||||||||||||||||||||||
| Interest Rate Swap maturing 10/6/24 Call | BOA | Receive | |
Three-Month USD BBA LIBOR |
|
2.690 | 10/2/14 | USD | 29,950 | 164,725 | (102,729) | |||||||||||||||||||||||||
| Interest Rate Swap maturing 12/24/19 Call | GSG | Receive | |
Three-Month USD BBA LIBOR |
|
1.874 | 12/22/14 | USD | 31,200 | 63,180 | (68,017) | |||||||||||||||||||||||||
| Interest Rate Swap maturing 12/24/19 Call | GSG | Pay | |
Three-Month USD BBA LIBOR |
|
2.374 | 12/22/14 | USD | 31,200 | 81,900 | (59,120) | |||||||||||||||||||||||||
| Interest Rate Swap maturing 1/27/17 Call | GSG | Pay | |
Six-Month PLN WIBOR WIBO |
|
2.380 | 1/23/15 | PLN | 64,100 | 62,610 | (16,091) | |||||||||||||||||||||||||
| Interest Rate Swap maturing 11/21/19 Call | GSG | Pay | |
Three-Month ZAR JIBAR SAFEX |
|
7.450 | 11/21/14 | ZAR | 35,300 | 29,795 | (46,875) | |||||||||||||||||||||||||
| Interest Rate Swap maturing 1/28/17 Call | GSG | Pay | |
Six-Month PLN WIBOR WIBO |
|
2.507 | 1/26/15 | PLN | 64,100 | 68,203 | (10,275) | |||||||||||||||||||||||||
| Interest Rate Swap maturing 1/29/17 Call | GSG | Pay | |
Six-Month PLN WIBOR WIBO |
|
2.380 | 1/27/15 | PLN | 64,100 | 62,923 | (16,932) | |||||||||||||||||||||||||
| Interest Rate Swap maturing 1/26/17 Call | GSG | Pay | |
Six-Month PLN WIBOR WIBO |
|
2.507 | 1/22/15 | PLN | 64,100 | 67,785 | (9,602) | |||||||||||||||||||||||||
| Interest Rate Swap maturing 7/21/25 Call | UBS | Receive | |
Six-Month EUR EURIBOR |
|
1.421 | 7/17/15 | EUR | 19,040 | 308,859 | (551,204) | |||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||||||
| Total Over-the-Counter Interest Rate Swaptions Written | $ | 1,054,124 | $ | (1,007,781) | ||||||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||||||
24 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
| 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) | |
| JPM |
JPMorgan Chase Bank NA | |
| MSCO |
Morgan Stanley Capital Services, Inc. | |
| RBS |
Royal Bank of Scotland plc (The) | |
| TDB |
Toronto Dominion Bank | |
| UBS |
UBS AG | |
| Currency abbreviations indicate amounts reporting in currencies | ||
| BRL |
Brazilian Real | |
| CAD |
Canadian Dollar | |
| CNH |
Offshore Chinese Renminbi | |
| COP |
Colombian Peso | |
| EUR |
Euro | |
| GBP |
British Pound Sterling | |
| 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 | |
| NGN |
Nigerian Naira | |
| NOK |
Norwegian Krone | |
| PEN |
Peruvian New Sol | |
| PHP |
Philippines Peso | |
| PLN |
Polish Zloty | |
| RON |
New Romanian Leu | |
| RUB |
Russian Ruble | |
| THB |
Thailand Baht | |
| TRY |
New Turkish Lira | |
| ZAR |
South African Rand | |
| Definitions | ||
| BANXICO |
Banco de Mexico | |
| BBA LIBOR |
British Bankers’ Association London - Interbank Offered Rate | |
| BZDI |
Brazil Interbank Deposit Rate | |
| EURIBOR |
Euro Interbank Offered Rate | |
| JIBAR |
South Africa Johannesburg Interbank Agreed Rate | |
| SAFEX |
South African Futures Exchange | |
| TIIE |
Interbank Equilibrium Interest Rate | |
| WIBOR WIBO |
Poland Warsaw Interbank Offer Bid Rate | |
| Exchange Abbreviations | ||
| CBT |
Chicago Board of Trade | |
| EUX |
European Stock Exchange | |
25 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
NOTES TO CONSOLIDATED STATEMENT OF INVESTMENTS September 30, 2014 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 (“1940 Act”), 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 (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 exchange traded funds related to gold or other special minerals (“Gold ETFs”). The Subsidiary is subject to the same investment restrictions and guidelines, and follows the same compliance policies and procedures, as the Fund.
The financial statements have been consolidated and include accounts of the Fund and the Subsidiary. Accordingly, all inter-company transactions and balances have been eliminated. At September 30, 2014, the Fund owned 15,000 shares with a market value of $1,355,308.
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 September 30, 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 |
$118,284,691 | |||
| Sold securities |
15,867,175 | |||
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 September 30, 2014 is as follows:
| Cost |
$ | 20,105,524 | ||
| Market Value |
$4,216,302 | |||
| Market value as % of Net Assets |
0.18% |
26 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.
Equity Security Risk. Stocks and other equity securities fluctuate in price. The value of the Fund’s portfolio may be affected by changes in the equity markets generally. Equity markets may experience significant short-term volatility and may fall sharply at times. Different markets may behave differently from each other and U.S. equity markets may move in the opposite direction from one or more foreign stock markets.
The prices of individual equity securities generally do not all move in the same direction at the same time and a variety of factors can affect the price of a particular company’s securities. These factors may include, but are not limited to, poor earnings reports, a loss of customers, litigation against the company, general unfavorable performance of the company’s sector or industry, or changes in government regulations affecting the company or its industry.
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 or for defensive purposes. IMMF is a registered open-end management investment company, regulated as a money market fund under the 1940 Act. 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.
Reported net realized gains and losses from foreign currency transactions arise from sales of portfolio securities, sales and maturities of short-term securities, sales of foreign currencies, exchange rate fluctuations between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized appreciation and depreciation on the translation of assets and liabilities denominated in foreign currencies arise from changes in the values of assets and liabilities, including investments in securities at fiscal period end, resulting from changes in exchange rates.
The effect of changes in foreign currency exchange rates on investments is separately identified from the fluctuations arising from changes in market values of securities held and reported with all other foreign currency gains and losses in the Fund’s Consolidated Statement of Operations in the annual and semiannual reports.
Securities Valuation
The Fund calculates the net asset value of its shares as of the close of the New York Stock Exchange (the “Exchange”), normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading.
The 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
27 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
NOTES TO CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
Securities Valuation (Continued)
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.
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
28 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
NOTES TO CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
Securities Valuation (Continued)
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 September 30, 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 |
$ | — | $ | 43,823,830 | $ | 18,666,480 | $ | 62,490,310 | ||||||||
| Mortgage-Backed Obligations |
— | 375,384,425 | 7,408 | 375,391,833 | ||||||||||||
| U.S. Government Obligations |
— | 79,441,108 | — | 79,441,108 | ||||||||||||
| Foreign Government Obligations |
— | 352,659,437 | — | 352,659,437 | ||||||||||||
| Corporate Loans |
— | 93,523,840 | 335,280 | 93,859,120 | ||||||||||||
| Corporate Bonds and Notes |
— | 1,008,383,408 | 2,994,188 | 1,011,377,596 | ||||||||||||
| Preferred Stock |
— | 4,042,863 | — | 4,042,863 | ||||||||||||
| Common Stocks |
1,795,078 | 39,343 | 621 | 1,835,042 | ||||||||||||
| Rights, Warrants and Certificates |
— | — | — | — | ||||||||||||
| Structured Securities |
— | 9,988,141 | 8,968,280 | 18,956,421 | ||||||||||||
| Short-Term Notes |
— | 86,566,695 | — | 86,566,695 | ||||||||||||
| Investment Companies |
84,040,453 | 178,379,126 | — | 262,419,579 | ||||||||||||
| Over-the-Counter Options Purchased |
— | 748,979 | — | 748,979 | ||||||||||||
| Over-the-Counter Interest Rate Swaptions Purchased |
— | 1,011,969 | — | 1,011,969 | ||||||||||||
| Total Investments, at Value |
85,835,531 | 2,233,993,164 | 30,972,257 | 2,350,800,952 | ||||||||||||
| Other Financial Instruments: |
||||||||||||||||
| Swaps, at value |
— | 1,342,535 | — | 1,342,535 | ||||||||||||
| Centrally cleared swaps, at value |
— | 16,767 | — | 16,767 | ||||||||||||
| Futures contracts |
134,649 | — | — | 134,649 | ||||||||||||
| Foreign currency exchange contracts |
— | 28,020,977 | — | 28,020,977 | ||||||||||||
| Total Assets |
$ | 85,970,180 | $ | 2,263,373,443 | $ | 30,972,257 | $ | 2,380,315,880 | ||||||||
| Liabilities Table |
||||||||||||||||
| Other Financial Instruments: |
||||||||||||||||
| Swaps, at value |
$ | — | $ | (520,323 | ) | $ | — | $ | (520,323 | ) | ||||||
| Centrally cleared swaps, at value |
— | (171,807 | ) | — | (171,807 | ) | ||||||||||
| Options written, at value |
— | (849,798 | ) | — | (849,798 | ) | ||||||||||
| Futures contracts |
(1,325,471 | ) | — | — | (1,325,471 | ) | ||||||||||
| Foreign currency exchange contracts |
— | (10,250,986 | ) | — | (10,250,986 | ) | ||||||||||
| Swaptions written, at value |
— | (1,061,845 | ) | — | (1,061,845 | ) | ||||||||||
| Total Liabilities |
$ | (1,325,471 | ) | $ | (12,854,759 | ) | $ | — | $ | (14,180,230 | ) | |||||
Forward currency exchange contracts and futures contracts, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract’s value from trade date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.
29 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
NOTES TO CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
Securities Valuation (Continued)
The table below shows the transfers between Level 2 and Level 3. The Fund’s policy is to recognize transfers in and transfers out as of the beginning of the reporting period.
| Transfers out of Level 2* |
Transfers into Level 3* |
|||||||
| Assets Table |
||||||||
| Investments, at Value: |
||||||||
| Asset-Backed Securities |
$ | (1,804,570 | ) | $ | 1,804,570 | |||
| Corporate Loans |
(1,264,526 | ) | 1,264,526 | |||||
| Total Assets |
$ | (3,069,096 | ) | $ | 3,069,096 | |||
| * | Transferred from Level 2 to Level 3 because of the lack of observable market data. |
Risk Exposures and the Use of Derivative Instruments
The Fund’s investment objective not only permits the Fund to purchase investment securities, it also allows 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.
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
30 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
NOTES TO CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
| Risk Exposures and the Use of Derivative Instruments (Continued) |
close, the difference between the original cost of the contract and the value at the close date is recorded as a realized gain (loss) in the Consolidated Statement of Operations in the annual and semiannual reports.
The Fund has entered into forward contracts with the obligation to purchase specified foreign currencies in the future at a currently negotiated forward rate in order to take a positive investment perspective on the related currency. These forward contracts seek to increase exposure to foreign exchange rate risk.
The Fund has entered into forward contracts with the obligation to purchase specified foreign currencies in the future at a currently negotiated forward rate in order to decrease exposure to foreign exchange rate risk associated with foreign currency denominated securities held by the Fund.
The Fund has entered into forward contracts with the obligation to sell specified foreign currencies in the future at a currently negotiated forward rate in order to take a negative investment perspective on the related currency. These forward contracts seek to increase exposure to foreign exchange rate risk.
The Fund has entered into forward contracts with the obligation to sell specified foreign currencies in the future at a currently negotiated forward rate in order to decrease exposure to foreign exchange rate risk associated with foreign currency denominated securities held by the Fund.
During the period ended September 30, 2014, the Fund had daily average contract amounts on forward contracts to buy and sell of $367,346,784 and $705,964,947, 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.
The Fund has sold futures contracts on various bonds and notes to decrease exposure to interest rate risk.
During the period ended September 30, 2014, the Fund had an ending monthly average market value of $165,592,678 and $65,564,578 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.
The Fund has purchased call options on volatility indexes to increase exposure to volatility risk. A purchased call option becomes more valuable as the level of the underlying volatility index increases relative to the strike price.
31 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
NOTES TO CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
| Risk Exposures and the Use of Derivative Instruments (Continued) |
During the period ended September 30, 2014, the Fund had an ending monthly average market value of $871,485 and $475,584 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 call options on treasury and/or euro futures to decrease exposure to interest rate risk. A written call option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price.
The Fund has written put options on treasury and/or euro futures to increase exposure to interest rate risk. A written put option becomes more valuable as the price of the underlying financial instrument appreciates relative to the strike price.
The Fund has written call options on volatility indexes to decrease exposure to volatility risk. A written call option becomes more valuable as the level of the underlying volatility index decreases relative to the strike price.
During the period ended September 30, 2014, the Fund had an ending monthly average market value of $174,328 and $312,383 on written call options and written put options, respectively.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
Written option activity for the period ended September 30, 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 |
179,425,384 | 2,170,383 | 193,880,752,857 | 2,064,250 | ||||||||
| Options closed or expired |
(490,534,860) | (1,066,830) | (40,429,740,000) | (294,041) | ||||||||
| Options exercised |
(38,350,524) | (1,268,580) | (16,666,370,000) | (1,771,286) | ||||||||
|
|
||||||||||||
| Options outstanding as of September 30, 2014 |
471,980,000 | $ | 188,433 | 138,250,937,857 | $ | 549,310 | ||||||
|
|
||||||||||||
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 (“centrally 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. The values of centrally cleared swap and 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.
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 ongoing value of the contract will fluctuate throughout the term of the contract based primarily on the credit risk of the reference asset. If the credit quality of the reference asset improves relative to the credit quality at contract initiation, the buyer of protection may have an unrealized loss greater than the anticipated periodic fee owed. This unrealized loss would be the result of current credit protection being cheaper than the cost of credit protection at contract initiation. If the buyer elects to terminate the contract prior to its maturity, and there has been no credit event, this unrealized loss will become realized. If the contract is held to maturity, and there has been no credit event, the realized loss will be equal to the periodic fee paid over the life of the contract.
If there is a credit event, the buyer of protection can exercise its rights under the contract and receive a payment from the seller of protection equal to the notional amount of the swap less the market value of specified debt securities issued by the reference asset. Upon exercise of the contract the difference between such value and the notional amount is recorded as realized gain (loss) and is included on the Consolidated Statement of Operations in the annual and semiannual reports.
The Fund has sold credit protection through credit default swaps to increase exposure to the credit risk of individual issuers and/or indexes of issuers that are either unavailable or considered to be less attractive in the bond market.
The Fund has purchased credit protection through credit default swaps to decrease exposure to the credit risk of individual issuers and/or indexes of issuers.
The Fund has engaged in spread curve trades by simultaneously purchasing and selling protection through credit default swaps referenced to the same reference asset but with different maturities. Spread curve trades attempt to gain exposure to credit risk on a forward basis by realizing gains on the expected differences in spreads.
For the period ended September 30, 2014, the Fund had ending monthly average notional amounts of $5,574,036 and $2,051,910 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.
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 the 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 September 30, 2014, the Fund had ending monthly average notional amounts of $6,219,125 on currency swaps which receive a fixed rate.
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.
The Fund has entered into interest rate swaps in which it pays a floating interest rate and receives a fixed interest rate in order to increase exposure to interest rate risk. Typically, if relative interest rates rise, payments made by the Fund under a swap agreement will be greater than the payments received by the Fund.
The Fund has entered into interest rate swaps in which it pays a fixed interest rate and receives a floating interest rate in order to decrease exposure to interest rate risk. Typically, if relative interest rates rise, payments received by the Fund under the swap agreement will be greater than the payments made by the Fund.
For the period ended September 30, 2014, the Fund had ending monthly average notional amounts of $44,425,684 and $173,574,446 on interest rate swaps which pay a fixed rate and interest rate swaps which receive a fixed rate, respectively.
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.
33 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 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.
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.
The Fund has written swaptions which give it the obligation, if exercised by the purchaser, to buy credit protection through credit default swaps in order to decrease exposure to the credit risk of individual issuers and/or, indexes of issuers. A written swaption of this type becomes more valuable as the likelihood of a credit event on the reference asset increases.
During the period ended September 30, 2014, the Fund had an ending monthly average market value of $1,623,591 and $2,431,972 on purchased and written swaptions, respectively.
Written swaption activity for the period ended September 30, 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 |
2,262,223,000 | 8,797,739 | ||||||
| Swaptions closed or expired |
(504,987,000 | ) | (1,719,422) | |||||
| Swaptions exercised |
(1,752,791,000 | ) | (10,017,813) | |||||
|
|
|
|||||||
| Swaptions outstanding as of September 30, 2014 |
476,990,000 | $ | 1,135,985 | |||||
|
|
|
|||||||
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.
As of September 30, 2014, the Fund has required certain counterparties to post collateral of $15,610,343.
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.
34 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, 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 centrally 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 centrally cleared swaps.
With respect to centrally 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 centrally 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 centrally cleared swaps. Brokers, futures commission merchants and clearinghouses can ask for margin in excess of the regulatory minimum, or increase the margin amount, in certain circumstances.
Collateral terms are contract specific for OTC derivatives. For derivatives traded under an ISDA master agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund or the counterparty.
For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund, if any, is reported separately on the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports as cash pledged as collateral. Non-cash collateral pledged by the Fund, if any, is noted in the Consolidated Statement of Investments. Generally, the amount of collateral due from or to a party must exceed a minimum transfer amount threshold (e.g. $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance.
Restricted Securities
As of September 30, 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 September 30, 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 |
$ | 2,391,399,607 | ||
| Federal tax cost of other investments |
78,255,017 | |||
|
|
|
|||
| Total federal tax cost |
$ | 2,469,654,624 | ||
|
|
|
|||
| Gross unrealized appreciation |
$ | 46,523,857 | ||
| Gross unrealized depreciation |
(88,007,676) | |||
|
|
|
|||
| Net unrealized depreciation |
$ | (41,483,819) | ||
|
|
|
35 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
| STATEMENT OF INVESTMENTS September 30, 2014 Unaudited | ||||
| Shares | Value | Shares | Value | |||||||||||||||||
| Common Stocks—82.5% | Capital Markets (Continued) | |||||||||||||||||||
| Consumer Discretionary—14.0% |
Morgan Stanley | 3,900 | $ | 134,823 | ||||||||||||||||
|
|
|
|
||||||||||||||||||
| Auto Components—1.8% | 464,225 | |||||||||||||||||||
|
|
||||||||||||||||||||
| American Axle & Manufacturing Holdings, Inc.1 | 500 | $ | 8,385 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Lear Corp. | 2,200 | 190,102 | Commercial Banks—9.8% | |||||||||||||||||
|
|
|
|
|
|||||||||||||||||
| 198,487 | Banco Bilbao Vizcaya Argentaria SA, Sponsored ADR | 2,200 | 26,400 | |||||||||||||||||
|
|
||||||||||||||||||||
| Bank of America Corp. | 2,500 | 42,625 | ||||||||||||||||||
|
|
|
|||||||||||||||||||
| Automobiles—4.5% | CIT Group, Inc. | 1,475 | 67,791 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Ford Motor Co.2 | 17,500 | 258,825 | Citigroup, Inc.2 | 9,350 | 484,517 | |||||||||||||||
|
|
|
|||||||||||||||||||
| General Motors Co. | 7,750 | 247,535 | JPMorgan Chase & Co. | 7,500 | 451,800 | |||||||||||||||
|
|
|
|
||||||||||||||||||
| 506,360 | Wells Fargo & Co. | 625 | 32,419 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| 1,105,552 | ||||||||||||||||||||
|
|
||||||||||||||||||||
| Household Durables—1.3% | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| MDC Holdings, Inc. | 4,000 | 101,280 | Insurance—6.0% | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Standard Pacific Corp.1 | 6,375 | 47,749 | ACE Ltd. | 100 | 10,487 | |||||||||||||||
|
|
|
|
||||||||||||||||||
| 149,029 | American International Group, Inc. | 750 | 40,515 | |||||||||||||||||
|
|
||||||||||||||||||||
| Assured Guaranty Ltd. | 10,000 | 221,600 | ||||||||||||||||||
|
|
|
|||||||||||||||||||
| Media—1.1% | MBIA, Inc.1 | 4,650 | 42,687 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Time Warner Cable, Inc. | 825 | 118,379 | MetLife, Inc. | 5,000 | 268,600 | |||||||||||||||
|
|
||||||||||||||||||||
| XL Group plc, Cl. A | 2,750 | 91,217 | ||||||||||||||||||
|
|
|
|
||||||||||||||||||
| Multiline Retail—2.2% | 675,106 | |||||||||||||||||||
|
|
||||||||||||||||||||
| J.C. Penney Co., Inc.1 | 1,000 | 10,040 | ||||||||||||||||||
|
|
|
|||||||||||||||||||
| Kohl’s Corp. | 1,800 | 109,854 | Real Estate Investment Trusts (REITs)—3.9% | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Target Corp. | 2,100 | 131,628 | Apollo Commercial Real Estate Finance, Inc. | 4,000 | 62,840 | |||||||||||||||
|
|
|
|
||||||||||||||||||
| 251,522 | Ashford Hospitality Trust, Inc. | 3,880 | 39,654 | |||||||||||||||||
|
|
||||||||||||||||||||
| Blackstone Mortgage Trust, Inc., Cl. A | 725 | 19,647 | ||||||||||||||||||
|
|
|
|||||||||||||||||||
| Specialty Retail—3.1% | Colony Financial, Inc. | 5,000 | 111,900 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Best Buy Co., Inc. | 6,205 | 208,426 | CYS Investments, Inc. | 1,625 | 13,390 | |||||||||||||||
|
|
|
|||||||||||||||||||
| Foot Locker, Inc. | 1,975 | 109,908 | Digital Realty Trust, Inc. | 350 | 21,833 | |||||||||||||||
|
|
|
|||||||||||||||||||
| Staples, Inc. | 2,500 | 30,250 | Starwood Property Trust, Inc. | 5,500 | 120,780 | |||||||||||||||
|
|
|
|
||||||||||||||||||
| 348,584 | Two Harbors Investment Corp. | 5,225 | 50,526 | |||||||||||||||||
|
|
|
|
||||||||||||||||||
| Consumer Staples—3.4% | 440,570 | |||||||||||||||||||
|
|
||||||||||||||||||||
| Beverages—0.4% | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Molson Coors Brewing Co., Cl. B, Non-Vtg. | 500 | 37,220 | Thrifts & Mortgage Finance—0.4% | |||||||||||||||||
|
|
||||||||||||||||||||
| MGIC Investment Corp.1 | 2,450 | 19,134 | ||||||||||||||||||
|
|
|
|||||||||||||||||||
| Food & Staples Retailing—1.2% | Radian Group, Inc. | 1,775 | 25,312 | |||||||||||||||||
|
|
|
|
||||||||||||||||||
| Kroger Co. (The) | 1,500 | 78,000 | 44,446 | |||||||||||||||||
|
|
||||||||||||||||||||
| Walgreen Co. | 1,000 | 59,270 | ||||||||||||||||||
|
|
|
|
||||||||||||||||||
| 137,270 | Health Care—6.7% | |||||||||||||||||||
|
|
||||||||||||||||||||
| Health Care Equipment & Supplies—1.0% | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Food Products—1.2% | Baxter International, Inc. | 775 | 55,622 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Archer-Daniels-Midland Co. | 850 | 43,435 | Medtronic, Inc. | 950 | 58,852 | |||||||||||||||
|
|
|
|
||||||||||||||||||
| ConAgra Foods, Inc. | 1,150 | 37,996 | 114,474 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Pinnacle Foods, Inc. | 1,600 | 52,240 | Health Care Providers & Services—0.8% | |||||||||||||||||
|
|
|
|
||||||||||||||||||
| 133,671 | UnitedHealth Group, Inc. | 1,000 | 86,250 | |||||||||||||||||
|
|
||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Tobacco—0.6% | Pharmaceuticals—4.9% | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| Philip Morris International, Inc. | 850 | 70,890 | AbbVie, Inc. | 250 | 14,440 | |||||||||||||||
|
|
|
|||||||||||||||||||
| Energy—11.3% | GlaxoSmithKline plc, Sponsored ADR | 1,285 | 59,071 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Energy Equipment & Services—1.8% | Merck & Co., Inc. | 3,350 | 198,588 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Ensco plc, Cl. A | 2,250 | 92,948 | Pfizer, Inc.2 | 6,750 | 199,598 | |||||||||||||||
|
|
|
|||||||||||||||||||
| Halliburton Co. | 1,675 | 108,054 | Roche Holding AG, Sponsored ADR | 200 | 7,398 | |||||||||||||||
|
|
|
|
||||||||||||||||||
| 201,002 | Teva Pharmaceutical Industries Ltd., Sponsored ADR | 1,425 | 76,594 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| 555,689 | ||||||||||||||||||||
|
|
||||||||||||||||||||
| Oil, Gas & Consumable Fuels—9.5% | ||||||||||||||||||||
|
|
|
|||||||||||||||||||
| Apache Corp. | 1,200 | 112,644 | Industrials—3.5% | |||||||||||||||||
|
|
|
|||||||||||||||||||
| BP plc, Sponsored ADR | 3,135 | 137,783 | Aerospace & Defense—0.9% | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Chevron Corp. | 2,700 | 322,164 | General Dynamics Corp. | 500 | 63,545 | |||||||||||||||
|
|
|
|||||||||||||||||||
| Kinder Morgan Management LLC1 | 600 | 56,490 | Textron, Inc. | 1,000 | 35,990 | |||||||||||||||
|
|
|
|
||||||||||||||||||
| Kinder Morgan, Inc. | 5,450 | 208,953 | 99,535 | |||||||||||||||||
|
|
||||||||||||||||||||
| Marathon Oil Corp. | 750 | 28,192 | Commercial Services & Supplies—0.8% | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Royal Dutch Shell plc, Cl. A, ADR | 1,475 | 112,292 | R.R. Donnelley & Sons Co. | 5,375 | 88,472 | |||||||||||||||
|
|
|
|||||||||||||||||||
| Williams Cos., Inc. (The) | 1,750 | 96,863 | ||||||||||||||||||
|
|
|
|
||||||||||||||||||
| 1,075,381 | Electrical Equipment—0.2% | |||||||||||||||||||
|
|
||||||||||||||||||||
|
|
||||||||||||||||||||
| Financials—24.3% | General Cable Corp. | 1,875 | 28,275 | |||||||||||||||||
|
|
|
|||||||||||||||||||
| Capital Markets—4.2% | Industrial Conglomerates—1.0% | |||||||||||||||||||
|
|
|
|||||||||||||||||||
| Credit Suisse Group AG, Sponsored ADR1 | 2,350 | 64,954 | General Electric Co.2 | 4,250 | 108,885 | |||||||||||||||
|
|
||||||||||||||||||||
| Goldman Sachs Group, Inc. (The) | 900 | 165,213 | ||||||||||||||||||
|
|
||||||||||||||||||||
| KKR & Co. LP | 4,450 | 99,235 | ||||||||||||||||||
1 OPPENHEIMER EQUITY INCOME FUND/VA
| STATEMENT OF INVESTMENTS Unaudited / Continued | ||||
| Shares | Value | Shares | Value | |||||||||||||||||||
| Machinery—0.1% | Preferred Stocks—3.1% | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||
| Navistar International Corp.1 | 500 | $ | 16,455 | Alcoa, Inc., 5.375% Cv., Non-Vtg.1 | 300 | $ | 14,970 | |||||||||||||||
|
|
|
|||||||||||||||||||||
| Marine—0.2% | American Homes 4 Rent, 5% Cum., Series A, Non- Vtg. | 1,000 | 24,130 | |||||||||||||||||||
|
|
|
|||||||||||||||||||||
| Costamare, Inc. | 1,200 | 26,352 | American Homes 4 Rent, 5% Cum., Series B, Non-Vtg. | 1,300 | 31,018 | |||||||||||||||||
|
|
|
|||||||||||||||||||||
| Road & Rail—0.3% | Beazer Homes USA, Inc., 7.50% Cv. | 3,075 | 83,179 | |||||||||||||||||||
|
|
|
|||||||||||||||||||||
| CSX Corp. | 1,000 | 32,060 | Continental Airlines Finance Trust II, 6% Cv., Non- Vtg. | 761 | 38,740 | |||||||||||||||||
|
|
|
|||||||||||||||||||||
| Information Technology—6.2% | Dominion Resources, Inc., 6.375% Cv. | 200 | 9,980 | |||||||||||||||||||
|
|
|
|||||||||||||||||||||
| Communications Equipment—1.3% | iStar Financial, Inc., 4.50% Cv., Non-Vtg. | 1,325 | 79,169 | |||||||||||||||||||
|
|
|
|||||||||||||||||||||
| Cisco Systems, Inc. | 3,000 | 75,510 | Post Holdings, Inc., 2.50% Cv.3 | 250 | 17,812 | |||||||||||||||||
|
|
|
|||||||||||||||||||||
| QUALCOMM, Inc. | 1,000 | 74,770 | Post Holdings, Inc., 3.75% Cv.3 | 250 | 21,320 | |||||||||||||||||
|
|
|
|
||||||||||||||||||||
| 150,280 | Post Holdings, Inc., 5.25% Cv.1 | 400 | 30,690 | |||||||||||||||||||
|
|
||||||||||||||||||||||
| Total Preferred Stocks (Cost $369,884) | 351,008 | |||||||||||||||||||||
|
|
|
|
||||||||||||||||||||
| Semiconductors & Semiconductor Equipment—0.1% | ||||||||||||||||||||||
|
|
||||||||||||||||||||||
| Maxim Integrated Products, Inc. | 175 | 5,292 | Units | |||||||||||||||||||
|
|
||||||||||||||||||||||
| Rights, Warrants and Certificates—0.1% | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||
| Software—2.1% | Kinder Morgan, Inc. Wts., Strike Price $40, | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||
| Microsoft Corp.2 | 5,000 | 231,800 | Exp. 2/15/171 (Cost $15,787) | 4,100 | 14,924 | |||||||||||||||||
|
|
|
|||||||||||||||||||||
| Technology Hardware, Storage & Peripherals—2.7% | ||||||||||||||||||||||
|
|
||||||||||||||||||||||
| Apple, Inc. | 2,675 | 269,506 |
|
Principal Amount |
|
|||||||||||||||||
|
|
|
|||||||||||||||||||||
| EMC Corp. | 600 | 17,556 | Non-Convertible Corporate Bonds and Notes—0.7% | |||||||||||||||||||
|
|
|
|||||||||||||||||||||
| Seagate Technology plc | 325 | 18,613 | J.C. Penney Corp., Inc., 5.65% Sr. Unsec. Nts., 6/1/20 $ | 30,000 | 25,350 | |||||||||||||||||
|
|
|
|
||||||||||||||||||||
| 305,675 | MBIA Insurance Corp., 11.494% Sub. Nts., 1/15/333,4 | 65,000 | 46,637 | |||||||||||||||||||
|
|
|
|||||||||||||||||||||
| Materials—4.7% | NII Capital Corp., 7.625% Sr. Unsec. Nts., 4/1/214 | 35,500 | 6,923 | |||||||||||||||||||
|
|
|
|||||||||||||||||||||
| Chemicals—1.4% | Total Non-Convertible Corporate Bonds and Notes (Cost $92,952) | 78,910 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||
| Celanese Corp., Series A, Cl. A | 825 | 48,279 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||
| LyondellBasell Industries NV, Cl. A | 500 | 54,330 | Convertible Corporate Bonds and Notes—7.6% | |||||||||||||||||||
|
|
|
|||||||||||||||||||||
| Mosaic Co. (The) | 825 | 36,638 | General Cable Corp., 4.50% Cv. Unsec. Sub. | |||||||||||||||||||
|
|
|
|||||||||||||||||||||
| Potash Corp. of Saskatchewan, Inc. | 500 | 17,280 | Nts., 11/15/295 | 120,000 | 83,850 | |||||||||||||||||
|
|
|
|
||||||||||||||||||||
| 156,527 | iStar Financial, Inc., 3% Cv. Sr. Unsec. Nts., 11/15/16 | 50,000 | 63,188 | |||||||||||||||||||
|
|
||||||||||||||||||||||
| Liberty Interactive LLC, 0.75% Cv. Sr. Unsec. | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||
| Metals & Mining—0.9% | Nts., 3/30/43 | 15,000 | 19,941 | |||||||||||||||||||
|
|
|
|||||||||||||||||||||
| Allegheny Technologies, Inc. | 1,000 | 37,100 | MGIC Investment Corp.: | |||||||||||||||||||
|
|
|
|||||||||||||||||||||
| Freeport-McMoRan, Inc. | 2,000 | 65,300 | 5.00% Cv. Sr. Unsec. Nts., 5/1/17 | 45,000 | 49,247 | |||||||||||||||||
|
|
|
|
||||||||||||||||||||
| 102,400 | 9.00% Cv. Jr. Sub. Nts., 4/1/633 | 150,000 | 193,875 | |||||||||||||||||||
| Micron Technology, Inc., 3% Cv. Sr. Unsec. | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||
| Paper & Forest Products—2.4% | Nts., 11/15/43 | 57,000 | 75,240 | |||||||||||||||||||
|
|
|
|||||||||||||||||||||
| Domtar Corp. | 2,625 | 92,216 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||
| International Paper Co. | 2,575 | 122,931 | Navistar International Corp.: | |||||||||||||||||||
|
|
|
|||||||||||||||||||||
| 4.50% Cv. Sr. Sub. Nts., 10/15/183 | 87,000 | 85,097 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||
| Louisiana-Pacific Corp.1 | 4,325 | 58,777 | 4.75% Cv. Sr. Sub. Nts., 4/15/193 | 23,000 | 23,129 | |||||||||||||||||
|
|
|
|
||||||||||||||||||||
| 273,924 | Peabody Energy Corp., 4.75% Cv. Jr. Sub. | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||
| Telecommunication Services—5.7% | Nts., 12/15/41 | 92,000 | 63,480 | |||||||||||||||||||
| Diversified Telecommunication Services—5.6% | Radian Group, Inc., 2.25% Cv. Sr. Unsec. | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||
| AT&T, Inc. | 3,125 | 110,125 | Nts., 3/1/192 | 62,000 | 88,854 | |||||||||||||||||
|
|
|
|||||||||||||||||||||
| CenturyLink, Inc. | 6,100 | 249,429 | United Airlines, Inc., 4.50% Cv. Sr. Unsec. | |||||||||||||||||||
|
|
|
|||||||||||||||||||||
| Verizon Communications, Inc. | 2,300 | 114,977 | Nts., 1/15/15 | 44,000 | 109,092 | |||||||||||||||||
|
|
|
|||||||||||||||||||||
| Windstream Holdings, Inc. | 13,800 | 148,764 | Total Convertible Corporate Bonds and Notes | |||||||||||||||||||
|
|
|
|
||||||||||||||||||||
| 623,295 | (Cost $788,021) | 854,993 | ||||||||||||||||||||
| Wireless Telecommunication Services—0.1% | Shares | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||
| Telephone & Data Systems, Inc. | 550 | 13,178 | Structured Securities—3.9% | |||||||||||||||||||
|
|
|
|||||||||||||||||||||
| Bank of America Corp., American Axle & | ||||||||||||||||||||||
|
|
Manufacturing Holdings, Inc. Equity Linked |
|||||||||||||||||||||
| Utilities—2.7% | ||||||||||||||||||||||
|
|
||||||||||||||||||||||
| Electric Utilities—2.6% | Nts., 11/3/141,3 | 1,150 | 19,557 | |||||||||||||||||||
|
|
|
|||||||||||||||||||||
| American Electric Power Co., Inc. | 1,325 | 69,178 | Bank of America Corp., Teva Pharmaceutical | |||||||||||||||||||
|
|
||||||||||||||||||||||
| Edison International | 1,325 | 74,094 | Industries Ltd. Equity Linked Nts., 2/4/151,3 | 505 | 27,624 | |||||||||||||||||
|
|
|
|||||||||||||||||||||
| Exelon Corp. | 475 | 16,193 | Citigroup, Inc., Apple, Inc. Equity Linked Nts., | |||||||||||||||||||
|
|
||||||||||||||||||||||
| FirstEnergy Corp. | 1,825 | 61,265 | 3/30/151,3 | 245 | 24,649 | |||||||||||||||||
|
|
|
|||||||||||||||||||||
| PPL Corp. | 1,975 | 64,859 | Citigroup, Inc., J.C. Penney Co., Inc. Equity | |||||||||||||||||||
|
|
||||||||||||||||||||||
| Southern Co. (The) | 250 | 10,913 | Linked Nts., 11/19/141,3 | 1,098 | 10,887 | |||||||||||||||||
|
|
|
|
||||||||||||||||||||
| 296,502 | Credit Suisse AG (New York Branch), Apple, Inc. Equity Linked Nts., 12/3/141 | 40 | 27,585 | |||||||||||||||||||
|
|
|
|||||||||||||||||||||
| Independent Power and Renewable Electricity Producers—0.1% | Credit Suisse AG (New York Branch), Apple, | |||||||||||||||||||||
|
|
||||||||||||||||||||||
| NRG Energy, Inc. | 425 | 12,954 | Inc. Equity Linked Nts., 3/11/151 | 151 | 15,294 | |||||||||||||||||
|
|
|
|||||||||||||||||||||
| Total Common Stocks (Cost $8,151,672) | 9,285,968 | |||||||||||||||||||||
2 OPPENHEIMER EQUITY INCOME FUND/VA
| STATEMENT OF INVESTMENTS Unaudited / Continued | ||||
| Shares | Value | Shares | Value | |||||||||||||||||||
| Structured Securities (Continued) | Structured Securities (Continued) | |||||||||||||||||||||
| Credit Suisse AG (New York Branch), J.C. Penney Co., Inc. Equity Linked Nts., 11/21/141 | 2,650 | $ | 26,588 | Goldman Sachs Group, Inc. (The), MBIA, Inc. Equity Lnked Nts., 1/2/151,3 | 1,266 | $ | 11,956 | |||||||||||||||
|
|
|
|||||||||||||||||||||
| Credit Suisse AG (New York Branch), Rite Aid Corp. Equity Linked Nts., 3/25/151 | 4,817 | 23,591 | Goldman Sachs Group, Inc. (The), Standard Pacific Corp. Equity Linked Nts., 3/9/151,3 | 3,000 | 22,869 | |||||||||||||||||
|
|
|
|||||||||||||||||||||
| Credit Suisse AG (New York Branch), Standard Pacific Corp. Equity Linked Nts., 11/7/141 | 1,269 | 9,644 | JPMorgan Chase & Co., Navistar International Corp. Equity Linked Nts., 11/25/141,3 | 398 | 13,443 | |||||||||||||||||
|
|
|
|||||||||||||||||||||
| Deutsche Bank AG (London Branch), J.C. Penney Co., Inc. Equity Linked Nts., 12/24/141,3 | 1,738 | 16,522 | Merrill Lynch International & Co. CV Curacao, Standard Pacific Corp. Equity Linked Nts., 11/12/141 | 1,316 | 9,973 | |||||||||||||||||
|
|
|
|||||||||||||||||||||
| Deutsche Bank AG (London Branch). American Axle & Manufacturing Holdings, Inc. Equity Linked Nts., 3/11/151,3 | 1,375 | 23,150 | Merrill Lynch International & Co. CV, Apple, Inc. Equity Linked Nts., 12/9/141 | 39 | 27,310 | |||||||||||||||||
|
|
|
|||||||||||||||||||||
| Goldman Sachs Group, Inc. (The), Apple, Inc. Equity Linked Nts., 12/5/141,3 | 55 | 38,134 | Morgan Stanley, Rite Aid Corp. Performance Equity Linked Redemption Quarterly-pay Securities, 12/15/141,3 | 3,234 | 16,257 | |||||||||||||||||
|
|
|
|||||||||||||||||||||
| Goldman Sachs Group, Inc. (The), Apple, Inc. Equity Linked Nts., 2/27/151,3 | 495 | 50,142 | Wells Fargo & Co., Navistar International Corp. Equity Linked Nts., 3/9/151,3 | 633 | 21,169 | |||||||||||||||||
|
|
|
|||||||||||||||||||||
| Total Structured Securities (Cost $446,276) | 436,344 | |||||||||||||||||||||
| Investment Company—2.2% | ||||||||||||||||||||||
|
|
||||||||||||||||||||||
| Oppenheimer Institutional Money Market Fund, Cl. E, 0.10%6,7 (Cost $247,840) | 247,840 | 247,840 | ||||||||||||||||||||
| Exercise Price |
Expiration Date |
Contracts | Value | |||||||||||||||||||||
|
|
||||||||||||||||||||||||
| Exchange-Traded Options Purchased—0.0% | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||
| ExxonMobil Corp. Put1 | USD | 92.500 | 10/18/14 | USD | 5 | $ | 405 | |||||||||||||||||
|
|
||||||||||||||||||||||||
| Genworth Financial, Inc. Put1 | USD | 13.000 | 10/18/14 | USD | 5 | 130 | ||||||||||||||||||
|
|
||||||||||||||||||||||||
| Halliburton Co. Put1 | USD | 60.000 | 10/18/14 | USD | 20 | 620 | ||||||||||||||||||
|
|
||||||||||||||||||||||||
| Kinder Morgan, Inc. Put1 | USD | 35.000 | 10/18/14 | USD | 10 | 70 | ||||||||||||||||||
|
|
||||||||||||||||||||||||
| Micron Technology, Inc. Put1 | USD | 25.000 | 10/18/14 | USD | 10 | 20 | ||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| Total Exchange-Traded Options Purchased (Cost $ 1,540) | 1,245 | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||
| Total Investments, at Value (Cost $ 10,113,972) | 100.1 | % | 11,271,232 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||
| Net Other Assets (Liabilities) | (0 .1 | ) | (16,364 | ) | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| Net Assets | 100 .0 | % | $ | 11,254,868 | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
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 $209,478. 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 $684,229 or 6.08% of the Fund’s net assets as of September 30, 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, as amended, at or during the period ended September 30, 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 2013 |
Gross Additions |
Gross Reductions |
Shares 2014 |
|||||||||||||
| Oppenheimer Institutional Money |
||||||||||||||||
| Market Fund, Cl. E |
59,001 | 2,332,359 | 2,143,520 | 247,840 | ||||||||||||
| Value | Income | |||||||||||||||
| Oppenheimer Institutional Money Market Fund, Cl. E |
$ | 247,840 | $ | 34 | ||||||||||||
7. Rate shown is the 7-day yield as of September 30, 2014.
3 OPPENHEIMER EQUITY INCOME FUND/VA
| STATEMENT OF INVESTMENTS Unaudited / Continued | ||||
| Exchange-Traded Options Written at September 30, 2014 | ||||||||||||||||||||||||
| Exercise Expiration | Number of | Premiums | ||||||||||||||||||||||
| Description | Price | Date | Contracts | Received | Value | |||||||||||||||||||
|
|
||||||||||||||||||||||||
| Apache Corp. Put | USD | 97.500 | 10/18/14 USD | (5) | $ | 1,185 | $ | (2,200) | ||||||||||||||||
|
|
||||||||||||||||||||||||
| Apple, Inc. Call | USD | 102.140 | 10/18/14 USD | (10) | 1,030 | (1,160) | ||||||||||||||||||
|
|
||||||||||||||||||||||||
| Apple, Inc. Call | USD | 107.860 | 10/18/14 USD | (5) | 335 | (60) | ||||||||||||||||||
|
|
||||||||||||||||||||||||
| Archer-Daniels-Midland Co. Call | USD | 50.000 | 10/18/14 USD | (5) | 836 | (755) | ||||||||||||||||||
|
|
||||||||||||||||||||||||
| Bank of America Corp. Call | USD | 17.000 | 10/18/14 USD | (20) | 644 | (820) | ||||||||||||||||||
|
|
||||||||||||||||||||||||
| Bank of America Corp. Call | USD | 17.500 | 10/18/14 USD | (5) | 100 | (95) | ||||||||||||||||||
|
|
||||||||||||||||||||||||
| Best Buy Co., Inc. Call | USD | 37.000 | 10/18/14 USD | (5) | 188 | (38) | ||||||||||||||||||
|
|
||||||||||||||||||||||||
| Best Buy Co., Inc. Call | USD | 36.000 | 10/18/14 USD | (15) | 763 | (225) | ||||||||||||||||||
|
|
||||||||||||||||||||||||
| CenturyLink, Inc. Call | USD | 42.000 | 10/18/14 USD | (5) | 108 | (75) | ||||||||||||||||||
|
|
||||||||||||||||||||||||
| ExxonMobil Corp. Put | USD | 97.500 | 10/18/14 USD | (5) | 890 | (1,810) | ||||||||||||||||||
|
|
||||||||||||||||||||||||
| Foot Locker, Inc. Call | USD | 57.500 | 10/18/14 USD | (1) | 162 | (41) | ||||||||||||||||||
|
|
||||||||||||||||||||||||
| Foot Locker, Inc. Call | USD | 55.000 | 10/18/14 USD | (19) | 5,927 | (2,755) | ||||||||||||||||||
|
|
||||||||||||||||||||||||
| Genworth Financial, Inc. Put | USD | 14.000 | 12/20/14 USD | (10) | 1,179 | (1,300) | ||||||||||||||||||
|
|
||||||||||||||||||||||||
| Genworth Financial, Inc. Put | USD | 13.000 | 12/20/14 USD | (10) | 640 | (680) | ||||||||||||||||||
|
|
||||||||||||||||||||||||
| Halliburton Co. Put | USD | 65.000 | 10/18/14 USD | (10) | 1,430 | (1,720) | ||||||||||||||||||
|
|
||||||||||||||||||||||||
| Kinder Morgan, Inc. Put | USD | 37.500 | 10/18/14 USD | (10) | 675 | (370) | ||||||||||||||||||
|
|
||||||||||||||||||||||||
| Marathon Oil Corp. Put | USD | 40.000 | 10/18/14 USD | (5) | 515 | (1,350) | ||||||||||||||||||
|
|
||||||||||||||||||||||||
| MBIA, Inc. Put | USD | 11.000 | 11/22/14 USD | (5) | 935 | (950) | ||||||||||||||||||
|
|
||||||||||||||||||||||||
| MBIA, Inc. Put | USD | 10.000 | 10/18/14 USD | (10) | 358 | (880) | ||||||||||||||||||
|
|
||||||||||||||||||||||||
| MDC Holdings, Inc. Put | USD | 29.000 | 12/20/14 USD | (5) | 1,485 | (2,025) | ||||||||||||||||||
|
|
||||||||||||||||||||||||
| Micron Technology, Inc. Put | USD | 29.500 | 10/18/14 USD | (5) | 545 | (45) | ||||||||||||||||||
|
|
||||||||||||||||||||||||
| Microsoft Corp. Call | USD | 47.000 | 10/18/14 USD | (15) | 1,069 | (480) | ||||||||||||||||||
|
|
||||||||||||||||||||||||
| Microsoft Corp. Call | USD | 48.000 | 10/18/14 USD | (5) | 210 | (50) | ||||||||||||||||||
|
|
||||||||||||||||||||||||
| Molson Coors Brewing Co. Call | USD | 80.000 | 10/18/14 USD | (5) | 802 | (175) | ||||||||||||||||||
|
|
||||||||||||||||||||||||
| Morgan Stanley Call | USD | 35.000 | 10/18/14 USD | (10) | 970 | (610) | ||||||||||||||||||
|
|
||||||||||||||||||||||||
| Morgan Stanley Call | USD | 36.000 | 10/18/14 USD | (5) | 264 | (130) | ||||||||||||||||||
|
|
||||||||||||||||||||||||
| Potash Corp. of Saskatchewan, Inc. Call | USD | 35.500 | 10/18/14 USD | (5) | 175 | (55) | ||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| Total of Exchange-Traded Options Written | $ | 23,420 | $ | (20,854) | ||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
4 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 (“1940 Act”), 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 OppenheimerFunds, Inc. (“OFI” or the “Sub-Adviser”). 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.
Equity Security Risk. Stocks and other equity securities fluctuate in price. The value of the Fund’s portfolio may be affected by changes in the equity markets generally. Equity markets may experience significant short-term volatility and may fall sharply at times. Different markets may behave differently from each other and U.S. equity markets may move in the opposite direction from one or more foreign stock markets.
The prices of individual equity securities generally do not all move in the same direction at the same time and a variety of factors can affect the price of a particular company’s securities. These factors may include, but are not limited to, poor earnings reports, a loss of customers, litigation against the company, general unfavorable performance of the company’s sector or industry, or changes in government regulations affecting the company or its industry.
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 or for defensive purposes. IMMF is a registered open-end management investment company, regulated as a money market fund under the 1940 Act. 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 September 30, 2014 is as follows:
| Cost | $ | 70,182 | ||
| Market Value | $ | 53,560 | ||
| Market value as % of Net Assets | 0.48% |
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.
5 OPPENHEIMER EQUITY INCOME FUND/VA
| NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued | ||||
Securities Valuation (Continued)
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.
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.
6 OPPENHEIMER EQUITY INCOME FUND/VA
| NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued | ||||
Securities Valuation (Continued)
The table below categorizes amounts as of September 30, 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 |
$ | 1,572,361 | $ | — | $ | — | $ | 1,572,361 | ||||||||
| Consumer Staples |
379,051 | — | — | 379,051 | ||||||||||||
| Energy |
1,276,383 | — | — | 1,276,383 | ||||||||||||
| Financials |
2,729,899 | — | — | 2,729,899 | ||||||||||||
| Health Care |
756,413 | — | — | 756,413 | ||||||||||||
| Industrials |
400,034 | — | — | 400,034 | ||||||||||||
| Information Technology |
693,047 | — | — | 693,047 | ||||||||||||
| Materials |
532,851 | — | — | 532,851 | ||||||||||||
| Telecommunication Services |
636,473 | — | — | 636,473 | ||||||||||||
| Utilities |
309,456 | — | — | 309,456 | ||||||||||||
| Preferred Stocks |
193,967 | 157,041 | — | 351,008 | ||||||||||||
| Rights, Warrants and Certificates |
14,924 | — | — | 14,924 | ||||||||||||
| Non-Convertible Corporate Bonds and Notes | — | 78,910 | — | 78,910 | ||||||||||||
| Convertible Corporate Bonds and | ||||||||||||||||
| Notes | — | 854,993 | — | 854,993 | ||||||||||||
| Structured Securities | — | 436,344 | — | 436,344 | ||||||||||||
| Investment Company | 247,840 | — | — | 247,840 | ||||||||||||
| Exchange-Traded Options Purchased | 1,245 | — | — | 1,245 | ||||||||||||
|
|
|
|||||||||||||||
| Total Assets | $ | 9,743,944 | $ | 1,527,288 | $ | — | $ | 11,271,232 | ||||||||
|
|
|
|||||||||||||||
| Liabilities Table |
| |||||||||||||||
| Other Financial Instruments: |
| |||||||||||||||
| Options written, at value | $ | — | $ | (20,854 | ) | $ | — | $ | (20,854 | ) | ||||||
|
|
|
|||||||||||||||
| Total Liabilities | $ | — | $ | (20,854) | $ | — | $ | (20,854 | ) | |||||||
|
|
|
|||||||||||||||
Forward currency exchange contracts and futures contracts, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract’s value from trade 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 objective not only permits the Fund to purchase investment securities, it also allows 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.
7 OPPENHEIMER EQUITY INCOME FUND/VA
| NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued | ||||
Risk Exposures and the Use of Derivative Instruments (Continued)
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.
Option ActivityThe 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 September 30, 2014, the Fund had an ending monthly average market value of $477 on purchased put options.
Options written, if any, are reported in a schedule following the Statement of Investments and as a liability in the Statement of Assets and Liabilities in the annual and semiannual reports. Securities held in 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 September 30, 2014, the Fund had an ending monthly average market value of $3,566 and $7,261 on written call options and written put options, respectively.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
Written option activity for the period ended September 30, 2014 was as follows:
8 OPPENHEIMER EQUITY INCOME FUND/VA
| NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued | ||||
Risk Exposures and the Use of Derivative Instruments (Continued)
| 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 | 651 | 45,271 | 592 | 64,711 | ||||||||||||
| Options closed or expired | (372) | (23,297) | (330) | (35,949) | ||||||||||||
| Options exercised | (169) | (11,135) | (267) | (25,524) | ||||||||||||
|
|
|
|||||||||||||||
| Options outstanding as of September 30, 2014 | 135 | $ | 13,583 | 80 | $ | 9,837 | ||||||||||
|
|
|
|||||||||||||||
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 centrally 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 centrally cleared swaps.
With respect to centrally 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 centrally 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 centrally cleared swaps. Brokers, futures commission merchants and clearinghouses can ask for margin in excess of the regulatory minimum, or increase the margin amount, in certain circumstances.
For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund, if any, is reported separately on the Statement of Assets and Liabilities in the annual and semiannual reports as cash pledged as collateral. Non-cash collateral pledged by the Fund, if any, is noted in the Statement of Investments. Generally, the amount of collateral due from or to a party must exceed a minimum transfer amount threshold (e.g. $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance.
Federal Taxes
The approximate aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of September 30, 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 | $ | 10,183,426 | ||
| Federal tax cost of other investments | (23,419) | |||
|
|
|
|||
| Total federal tax cost | $ | 10,160,007 | ||
|
|
|
|||
| Gross unrealized appreciation | $ | 1,426,324 | ||
| Gross unrealized depreciation | (335,953) | |||
|
|
|
|||
| Net unrealized appreciation | $ | 1,090,371 | ||
|
|
|
9 OPPENHEIMER EQUITY INCOME FUND/VA
CONSOLIDATED STATEMENT OF INVESTMENTS September 30, 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
4 OPPENHEIMER DIVERSIFIED ALTERNATIVES FUND/VA
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
5 OPPENHEIMER DIVERSIFIED ALTERNATIVES FUND/VA
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
| Exercise Price | Expiration Date | Contracts | Value | |||||||||||||||||||||||||
| Exchange-Traded Option Purchased—0.0% | ||||||||||||||||||||||||||||
| United States Treasury Bonds, 10 yr. Futures, 3/15 Call1 (Cost $11,931) | USD | 123.000 | 2/20/15 | USD | 7 | $ | 12,906 | |||||||||||||||||||||
| Counterparty | Exercise Price | Expiration Date | Contracts | |||||||||||||||||||||||||
| Over-the-Counter Options Purchased—0.2% | ||||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| CAD Currency Put1 | RBS | MXN | 12.000 | 3/26/15 | CAD | 12,000,000 | 263,081 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| INR Currency Call1 | NOM | INR | 62.500 | 3/26/15 | INR | 989,500,000 | 156,341 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| NOK Currency Put1 | DEU | SEK | 1.120 | 12/18/14 | NOK | 40,000,000 | 65,147 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| NOK Currency Put1 | BOA | SEK | 1.120 | 12/19/14 | NOK | 40,000,000 | 65,872 | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| Total Over-the-Counter Options Purchased (Cost $625,560) | 550,441 | |||||||||||||||||||||||||||
| 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 4/11/161 | JPM | Pay | |
Three-Month USD BBA LIBOR |
|
3.410 | % | 4/11/16 | USD | 4,200 | 109,802 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 4/11/161 | JPM | Pay | |
Three-Month USD BBA LIBOR |
|
3.410 | 4/11/16 | USD | 1,750 | 45,681 | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 4/11/161 | JPM | Pay | |
Three-Month USD BBA LIBOR |
|
3.410 | 4/11/16 | USD | 1,800 | 46,987 | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Interest Rate Swap maturing 4/11/161 | JPM | Pay | |
Three-Month USD BBA LIBOR |
|
3.410 | 4/11/16 | USD | 1,800 | 46,987 | ||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
| Total Over-the-Counter Interest Rate Swaptions Purchased (Cost $239,841) | 249,457 | |||||||||||||||||||||||||||||||
| Total Investments, at Value (Cost $253,681,803) | 96.1 | % | 250,482,947 | |||||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Net Other Assets (Liabilities) | 3 .9 | 10,123,485 | ||||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
| Net Assets | 100.0 | % | $ | 260,606,432 | ||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
Footnotes to Consolidated Statement of Investments
1. Non-income producing security.
2. All or portion of the security position is held in segregated accounts and pledged to cover margin requirements with respect to securities sold short. The aggregate market value of such securities is $11,900,716. See accompanying Consolidated Notes.
3. Represents the current interest rate for a variable or increasing rate security.
4. Restricted security. The aggregate value of restricted securities as of September 30, 2014 was $6,872,798, which represents 2.64% 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) |
||||||||||||
| Airspeed Ltd., Series 2007-1A, Cl. G1, 0.424%, 6/15/32 | 7/24/14-8/27/14 | $ | 1,891,672 | $ | 1,866,573 | $ | (25,099 | ) | ||||||||
| Blade Engine Securitization Ltd., Series 2006-1AW, Cl. A1, 0.454%, 9/15/41 | 7/25/14-8/28/14 | 1,706,698 | 1,664,500 | (42,198 | ) | |||||||||||
| Bosphorus Re Ltd. Catastrophe Linked Nts., 2.515%, 5/3/16 | 3/11/14-9/16/14 | 399,993 | 401,450 | 1,457 | ||||||||||||
| Ceridian LLC/Comdata, Inc., 8.125% Sr. Unsec. Nts., 11/15/17 | 7/22/14-7/29/14 | 654,645 | 652,438 | (2,207 | ) | |||||||||||
| Kizuna II Re Ltd. Catastrophe Linked Nts., 2.265%, 4/6/18 | 3/13/14-9/26/14 | 505,355 | 508,125 | 2,770 | ||||||||||||
| Kizuna II Re Ltd. Catastrophe Linked Nts., 2.515%, 4/6/18 | 5/2/14 | 252,660 | 253,212 | 552 | ||||||||||||
| Merna Reinsurance V Ltd. Catastrophe Linked Nts., 2.015%, 4/7/17 | 3/18/14-5/30/14 | 752,171 | 753,262 | 1,091 | ||||||||||||
| Nakama Re Ltd. Catastrophe Linked Nts., 2.515%, 4/13/18 | 5/23/14-9/8/14 | 503,203 | 506,350 | 3,147 | ||||||||||||
| Residential Reinsurance 2013 Ltd. Catastrophe Linked Nts., 8.015%, 6/6/17 | 9/11/14 | 265,404 | 266,888 | 1,484 | ||||||||||||
|
|
|
|||||||||||||||
| $ | 6,931,801 | $ | 6,872,798 | $ | (59,003 | ) | ||||||||||
|
|
|
|||||||||||||||
6 OPPENHEIMER DIVERSIFIED ALTERNATIVES FUND/VA
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Consolidated Statement of Investments (Continued)
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 $27,448,892 or 10.53% of the Fund’s net assets as of September 30, 2014.
6. 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.
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. All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after September 30, 2014. See accompanying Consolidated Notes.
9. Zero coupon bond reflects effective yield on the date of purchase.
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 $1,749,932. See accompanying Consolidated Notes.
11. Is or was an affiliate, as defined in the Investment Company Act of 1940, as amended, at or during the period ended September 30, 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 September 30, 2014 |
|||||||||||||
| Oppenheimer Institutional Money Market Fund, Cl. E | 2,007,344 | 461,460,756 | 423,877,433 | 39,590,667 | ||||||||||||
| 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 | $ | 39,590,667 | $ | 19,554 | $ | — | ||||||||
| Oppenheimer Master Event-Linked Bond Fund, LLC | — | 207a | (193)a | |||||||||||
| Oppenheimer Master Loan Fund, LLC | — | 141b | 634 b | |||||||||||
|
|
|
|||||||||||||
| Total | $ | 39,590,667 | $ | 19,902 | $ | 441 | ||||||||
|
|
|
|||||||||||||
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 September 30, 2014.
13. All or a portion of this security is owned by the subsidiary. See accompanying Consolidated Notes.
| Shares Sold Short | Value | |||||
| Securities Sold Short—(4.4)% | ||||||
| Common Stock Securities Sold Short—(4.4)% | ||||||
| Aflac, Inc. | (9,160 | ) | $ (533,570) | |||
| Air Lease Corp., Cl. A | (11,580 | ) | (376,350) | |||
| Aircastle Ltd. | (10,910 | ) | (178,488) | |||
| Assurant, Inc. | (4,180 | ) | (268,774) | |||
| BHP Billiton Ltd., Sponsored ADR | (6,440 | ) | (379,187) | |||
| BJ’s Restaurants, Inc. | (10,920 | ) | (393,011) | |||
| Boeing Co. (The) | (4,860 | ) | (619,067) | |||
| Camden Property Trust | (3,900 | ) | (267,267) | |||
| Caterpillar, Inc. | (2,770 | ) | (274,313) | |||
| CBL & Associates Properties, Inc. | (23,880 | ) | (427,452) | |||
| Chesapeake Energy Corp. | (14,300 | ) | (328,757) | |||
| Cliffs Natural Resources, Inc. | (18,950 | ) | (196,701) | |||
| CME Group, Inc., Cl. A | (3,840 | ) | (307,027) | |||
| Comerica, Inc. | (12,230 | ) | (609,788) | |||
| Commerce Bancshares, Inc. | (4,530 | ) | (202,242) | |||
| First Niagara Financial Group, Inc. | (26,050 | ) | (216,996) | |||
| FirstMerit Corp. | (10,260 | ) | (180,576) | |||
| KCG Holdings, Inc., Cl. A | (13,170 | ) | (133,412) | |||
| Kohl’s Corp. | (6,140 | ) | (374,724) | |||
| Montpelier Re Holdings Ltd. | (7,990 | ) | (248,409) | |||
| NASDAQ OMX Group, Inc. (The) | (11,230 | ) | (476,377) | |||
| Nationstar Mortgage Holdings, Inc. | (6,590 | ) | (225,642) | |||
| Oracle Corp. | (7,510 | ) | (287,483) | |||
| Pennsylvania Real Estate Investment Trust | (28,300 | ) | (564,302) | |||
| Rio Tinto plc, Sponsored ADR | (3,670 | ) | (180,491) | |||
| Rouse Properties, Inc. | (13,460 | ) | (217,648) | |||
| SanDisk Corp. | (8,350 | ) | (817,883) | |||
| SandRidge Energy, Inc. | (53,760 | ) | (230,630) | |||
| Seventy Seven Energy, Inc. | (980 | ) | (23,265) | |||
| Southern Copper Corp. | (25,730 | ) | (762,895) | |||
| Transocean Ltd. | (15,620 | ) | (499,371) | |||
| United Technologies Corp. | (1,760 | ) | (185,856) | |||
| Walter Energy, Inc. | (17,510 | ) | (40,973) | |||
| Weingarten Realty Investors | (13,000 | ) | (409,500) | |||
|
| ||||||
| Total Securities Sold Short (Proceeds $(12,264,225)) | $ (11,438,427) | |||||
|
| ||||||
7 OPPENHEIMER DIVERSIFIED ALTERNATIVES FUND/VA
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
| Forward Currency Exchange Contracts as of September 30, 2014 |
| Counterparty | Settlement Month(s) |
Currency Purchased (000’s) |
Currency Sold (000’s) | Unrealized Appreciation |
Unrealized Depreciation |
|||||||||||||||||||||||
| BAC | 01/2015 | AUD | 150 | USD | 137 | $ | — | $ | 6,666 | |||||||||||||||||||
| BAC | 10/2014 | BRL | 2,410 | USD | 1,033 | 493 | 48,816 | |||||||||||||||||||||
| BAC | 01/2015 | CAD | 128 | USD | 116 | — | 1,696 | |||||||||||||||||||||
| BAC | 01/2015 | CHF | 25 | USD | 28 | — | 1,977 | |||||||||||||||||||||
| BAC | 01/2015 | INR | 92,000 | USD | 1,495 | — | 38,237 | |||||||||||||||||||||
| BAC | 01/2015 | JPY | 17,000 | USD | 166 | — | 10,981 | |||||||||||||||||||||
| BAC | 01/2015 | MXN | 6,800 | USD | 514 | — | 11,167 | |||||||||||||||||||||
| BAC | 01/2015 | SEK | 16,250 | USD | 2,321 | — | 69,955 | |||||||||||||||||||||
| BAC | 01/2015 | TRY | 1,660 | USD | 745 | — | 34,309 | |||||||||||||||||||||
| BAC | 01/2015 | USD | 352 | AUD | 395 | 9,975 | 920 | |||||||||||||||||||||
| BAC | 10/2014 | USD | 1,028 | BRL | 2,410 | 43,601 | — | |||||||||||||||||||||
| BAC | 01/2015 | USD | 58 | GBP | 35 | 1,129 | — | |||||||||||||||||||||
| BAC | 01/2015 | USD | 105 | JPY | 11,000 | 4,194 | — | |||||||||||||||||||||
| BAC | 01/2015 | USD | 343 | TRY | 790 | 5,781 | — | |||||||||||||||||||||
| BAC | 01/2015 | USD | 3,151 | TWD | 94,900 | 22,099 | — | |||||||||||||||||||||
| BNP | 01/2015 | MXN | 15,400 | USD | 1,168 | — | 30,057 | |||||||||||||||||||||
| BNP | 06/2015 | MYR | 1,285 | USD | 396 | — | 11,260 | |||||||||||||||||||||
| BNP | 01/2015 | TWD | 31,900 | USD | 1,069 | — | 17,402 | |||||||||||||||||||||
| BNP | 06/2015 | USD | 268 | MYR | 870 | 7,218 | — | |||||||||||||||||||||
| BOA | 01/2015 | AUD | 730 | USD | 672 | — | 37,232 | |||||||||||||||||||||
| BOA | 01/2015 | CAD | 250 | USD | 233 | — | 10,503 | |||||||||||||||||||||
| BOA | 01/2015 | CHF | 20 | USD | 23 | — | 1,614 | |||||||||||||||||||||
| BOA | 01/2015 | GBP | 50 | USD | 83 | — | 1,870 | |||||||||||||||||||||
| BOA | 01/2015 | INR | 228,500 | USD | 3,691 | — | 74,102 | |||||||||||||||||||||
| BOA | 01/2015 | JPY | 37,000 | USD | 362 | — | 24,549 | |||||||||||||||||||||
| BOA | 01/2015 | KRW | 1,740,000 | USD | 1,699 | — | 57,641 | |||||||||||||||||||||
| BOA | 01/2015 | NOK | 21,250 | USD | 3,331 | — | 36,162 | |||||||||||||||||||||
| BOA | 01/2015 | NZD | 1,745 | USD | 1,460 | — | 112,721 | |||||||||||||||||||||
| BOA | 01/2015 | SEK | 11,310 | USD | 1,657 | — | 90,521 | |||||||||||||||||||||
| BOA | 01/2015 | TWD | 10,000 | USD | 337 | — | 7,075 | |||||||||||||||||||||
| BOA | 01/2015 | USD | 165 | AUD | 180 | 9,224 | — | |||||||||||||||||||||
| BOA | 12/2014 - 07/2015 | USD | 13,632 | BRL | 33,402 | 921,545 | — | |||||||||||||||||||||
| BOA | 01/2015 | USD | 1,027 | CAD | 1,105 | 42,488 | — | |||||||||||||||||||||
| BOA | 01/2015 | USD | 1,095 | CHF | 1,010 | 35,615 | — | |||||||||||||||||||||
| BOA | 01/2015 | USD | 841 | CLP | 472,000 | 59,191 | — | |||||||||||||||||||||
| BOA | 01/2015 | USD | 1,308 | CZK | 27,900 | 24,431 | — | |||||||||||||||||||||
| BOA | 01/2015 - 02/2015 | USD | 6,537 | EUR | 5,005 | 209,719 | — | |||||||||||||||||||||
| BOA | 01/2015 | USD | 34 | GBP | 20 | 1,699 | — | |||||||||||||||||||||
| BOA | 01/2015 | USD | 231 | HUF | 53,000 | 15,858 | — | |||||||||||||||||||||
| BOA | 10/2014 - 01/2015 | USD | 1,299 | JPY | 132,300 | 91,527 | — | |||||||||||||||||||||
| BOA | 01/2015 - 06/2015 | USD | 11,566 | KRW | 12,022,666 | 259,093 | — | |||||||||||||||||||||
| BOA | 06/2015 - 10/2015 | USD | 6,384 | MYR | 20,900 | 159,952 | — | |||||||||||||||||||||
| BOA | 01/2015 | USD | 1,214 | NOK | 7,560 | 42,412 | — | |||||||||||||||||||||
| BOA | 01/2015 | USD | 3,409 | NZD | 3,980 | 337,694 | — | |||||||||||||||||||||
| BOA | 01/2015 | USD | 3,574 | SEK | 25,604 | 26,315 | — | |||||||||||||||||||||
| BOA | 02/2015 | USD | 4,783 | SGD | 5,940 | 126,681 | — | |||||||||||||||||||||
| BOA | 01/2015 | USD | 226 | TRY | 500 | 12,397 | — | |||||||||||||||||||||
| CITNA-B | 01/2015 | CAD | 2,575 | USD | 2,346 | — | 53,213 | |||||||||||||||||||||
| CITNA-B | 01/2015 | CZK | 143,570 | USD | 6,753 | — | 146,650 | |||||||||||||||||||||
| CITNA-B | 01/2015 | EUR | 3,280 | USD | 4,422 | — | 275,915 | |||||||||||||||||||||
| CITNA-B | 01/2015 | GBP | 155 | USD | 255 | — | 3,603 | |||||||||||||||||||||
| CITNA-B | 01/2015 | NZD | 875 | USD | 705 | — | 29,805 | |||||||||||||||||||||
| CITNA-B | 01/2015 | PLN | 11,900 | USD | 3,802 | — | 225,705 | |||||||||||||||||||||
| CITNA-B | 01/2015 | TRY | 970 | USD | 442 | — | 26,346 | |||||||||||||||||||||
| CITNA-B | 01/2015 | USD | 394 | AUD | 425 | 24,903 | — | |||||||||||||||||||||
| CITNA-B | 01/2015 | USD | 3,464 | CAD | 3,802 | 77,786 | — | |||||||||||||||||||||
| CITNA-B | 01/2015 | USD | 5,601 | CZK | 115,670 | 278,757 | — | |||||||||||||||||||||
| CITNA-B | 01/2015 | USD | 3,798 | EUR | 2,810 | 245,445 | — | |||||||||||||||||||||
| CITNA-B | 01/2015 | USD | 450 | GBP | 270 | 13,277 | 436 | |||||||||||||||||||||
| CITNA-B | 01/2015 | USD | 310 | HUF | 75,000 | 5,721 | — | |||||||||||||||||||||
| CITNA-B | 01/2015 | USD | 77 | JPY | 8,000 | 3,707 | — | |||||||||||||||||||||
| CITNA-B | 01/2015 | USD | 3,292 | NOK | 20,840 | 60,497 | — | |||||||||||||||||||||
| CITNA-B | 01/2015 | USD | 3,871 | PLN | 12,660 | 66,631 | — | |||||||||||||||||||||
| CITNA-B | 01/2015 | USD | 529 | SGD | 660 | 10,994 | — | |||||||||||||||||||||
| CITNA-B | 01/2015 | USD | 1,018 | TRY | 2,310 | 29,171 | — | |||||||||||||||||||||
| CITNA-B | 01/2015 | USD | 371 | ZAR | 4,140 | 12,111 | — | |||||||||||||||||||||
| CITNA-B | 01/2015 | ZAR | 7,830 | USD | 711 | — | 30,802 | |||||||||||||||||||||
8 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 |
|||||||||||||||||||||||
| DEU | 01/2015 | AUD | 250 | USD | 231 | $ | — | $ | 13,999 | |||||||||||||||||||
| DEU | 01/2015 | CHF | 465 | USD | 523 | — | 35,040 | |||||||||||||||||||||
| DEU | 01/2015 | EUR | 610 | USD | 840 | — | 68,948 | |||||||||||||||||||||
| DEU | 01/2015 | GBP | 1,125 | USD | 1,893 | — | 71,577 | |||||||||||||||||||||
| DEU | 01/2015 | JPY | 48,000 | USD | 473 | — | 35,344 | |||||||||||||||||||||
| DEU | 01/2015 | NOK | 20,000 | USD | 3,148 | — | 47,505 | |||||||||||||||||||||
| DEU | 01/2015 | PLN | 12,300 | USD | 3,784 | — | 88,111 | |||||||||||||||||||||
| DEU | 01/2015 | SEK | 40,140 | USD | 5,859 | — | 298,312 | |||||||||||||||||||||
| DEU | 01/2015 | TRY | 790 | USD | 351 | — | 14,520 | |||||||||||||||||||||
| DEU | 01/2015 | USD | 1,026 | AUD | 1,145 | 30,987 | — | |||||||||||||||||||||
| DEU | 01/2015 | USD | 3,331 | CHF | 2,972 | 214,122 | — | |||||||||||||||||||||
| DEU | 01/2015 | USD | 1,756 | EUR | 1,265 | 156,736 | — | |||||||||||||||||||||
| DEU | 01/2015 | USD | 1,819 | GBP | 1,105 | 29,255 | — | |||||||||||||||||||||
| DEU | 01/2015 - 09/2015 | USD | 3,517 | JPY | 378,000 | 54,999 | — | |||||||||||||||||||||
| DEU | 12/2014 | USD | 2,856 | MXN | 38,200 | 25,355 | 138 | |||||||||||||||||||||
| DEU | 01/2015 | USD | 4,273 | NOK | 26,620 | 146,246 | — | |||||||||||||||||||||
| DEU | 01/2015 | USD | 2,727 | PLN | 8,900 | 52,569 | — | |||||||||||||||||||||
| DEU | 01/2015 | USD | 3,685 | SEK | 26,144 | 63,175 | — | |||||||||||||||||||||
| DEU | 02/2015 | USD | 7,278 | SGD | 9,200 | 66,347 | — | |||||||||||||||||||||
| DEU | 01/2015 | USD | 427 | TRY | 950 | 20,577 | — | |||||||||||||||||||||
| FIB | 01/2015 | MXN | 13,700 | USD | 1,044 | — | 31,457 | |||||||||||||||||||||
| FIB | 01/2015 | USD | 459 | JPY | 46,500 | 34,148 | — | |||||||||||||||||||||
| GSCO-OT | 01/2015 | AUD | 45 | USD | 41 | — | 2,117 | |||||||||||||||||||||
| GSCO-OT | 10/2014 | BRL | 1,220 | USD | 503 | — | 4,987 | |||||||||||||||||||||
| GSCO-OT | 01/2015 | KRW | 797,000 | USD | 772 | — | 20,086 | |||||||||||||||||||||
| GSCO-OT | 01/2015 | USD | 26 | AUD | 30 | 164 | — | |||||||||||||||||||||
| GSCO-OT | 10/2014 - 11/2014 | USD | 997 | BRL | 1,240 | 5,766 | — | |||||||||||||||||||||
| GSCO-OT | 01/2015 | USD | 1,370 | EUR | 1,005 | 99,609 | — | |||||||||||||||||||||
| GSCO-OT | 01/2015 | USD | 157 | JPY | 16,000 | 10,925 | — | |||||||||||||||||||||
| JPM | 10/2014 | BRL | 520 | USD | 212 | 282 | — | |||||||||||||||||||||
| JPM | 01/2015 | GBP | 100 | USD | 167 | — | 5,357 | |||||||||||||||||||||
| JPM | 01/2015 - 06/2015 | KRW | 1,547,000 | USD | 1,505 | — | 47,892 | |||||||||||||||||||||
| JPM | 01/2015 | PLN | 3,875 | USD | 1,261 | — | 96,263 | |||||||||||||||||||||
| JPM | 01/2015 | SEK | 1,610 | USD | 230 | — | 6,967 | |||||||||||||||||||||
| JPM | 01/2015 | TWD | 53,000 | USD | 1,778 | — | 30,863 | |||||||||||||||||||||
| JPM | 10/2014 | USD | 229 | BRL | 520 | 16,655 | — | |||||||||||||||||||||
| JPM | 01/2015 | USD | 577 | CAD | 640 | 6,863 | — | |||||||||||||||||||||
| JPM | 01/2015 | USD | 114 | GBP | 70 | 1,130 | — | |||||||||||||||||||||
| JPM | 12/2014 | USD | 3,339 | MXN | 43,759 | 96,279 | — | |||||||||||||||||||||
| JPM | 09/2015 | USD | 8,501 | MYR | 27,700 | 248,903 | — | |||||||||||||||||||||
| JPM | 01/2015 | USD | 1,908 | ZAR | 21,250 | 57,275 | — | |||||||||||||||||||||
| JPM | 01/2015 | ZAR | 4,920 | USD | 446 | — | 17,498 | |||||||||||||||||||||
| MOS | 10/2014 | USD | 94 | BRL | 230 | — | 125 | |||||||||||||||||||||
| MSCO | 01/2015 | AUD | 230 | USD | 197 | 2,402 | — | |||||||||||||||||||||
| MSCO | 10/2014 | BRL | 230 | USD | 102 | — | 7,730 | |||||||||||||||||||||
| MSCO | 01/2015 | CHF | 10 | USD | 11 | — | 642 | |||||||||||||||||||||
| MSCO | 01/2015 | JPY | 20,000 | USD | 198 | — | 15,534 | |||||||||||||||||||||
| MSCO | 01/2015 | MXN | 46,600 | USD | 3,526 | — | 82,239 | |||||||||||||||||||||
| MSCO | 01/2015 | NOK | 18,780 | USD | 2,956 | — | 44,755 | |||||||||||||||||||||
| MSCO | 01/2015 | NZD | 280 | USD | 231 | — | 14,224 | |||||||||||||||||||||
| MSCO | 01/2015 | USD | 620 | AUD | 675 | 33,816 | — | |||||||||||||||||||||
| MSCO | 01/2015 | USD | 1,115 | CAD | 1,220 | 28,681 | — | |||||||||||||||||||||
| MSCO | 01/2015 | USD | 102 | CHF | 95 | 2,498 | — | |||||||||||||||||||||
| MSCO | 01/2015 | USD | 946 | CLP | 532,510 | 63,958 | — | |||||||||||||||||||||
| MSCO | 10/2014 - 01/2015 | USD | 349 | EUR | 261 | 19,599 | — | |||||||||||||||||||||
| MSCO | 10/2014 - 01/2015 | USD | 955 | JPY | 100,000 | 42,678 | — | |||||||||||||||||||||
| MSCO | 01/2015 | USD | 3,625 | MXN | 48,300 | 55,205 | — | |||||||||||||||||||||
| MSCO | 01/2015 | USD | 2,891 | NZD | 3,510 | 180,600 | — | |||||||||||||||||||||
| MSCO | 01/2015 | USD | 2,979 | SEK | 21,133 | 50,850 | — | |||||||||||||||||||||
| NOM | 01/2015 | USD | 5,285 | INR | 331,000 | 45,620 | — | |||||||||||||||||||||
| RBS | 01/2015 | CAD | 3,003 | USD | 2,698 | — | 24,400 | |||||||||||||||||||||
| RBS | 01/2015 | CLP | 1,004,510 | USD | 1,721 | — | 57,999 | |||||||||||||||||||||
| RBS | 01/2015 | EUR | 1,135 | USD | 1,545 | — | 109,867 | |||||||||||||||||||||
| RBS | 01/2015 | GBP | 135 | USD | 231 | — | 12,199 | |||||||||||||||||||||
| RBS | 01/2015 | INR | 167,000 | USD | 2,701 | — | 57,597 | |||||||||||||||||||||
| RBS | 01/2015 | JPY | 74,000 | USD | 727 | — | 50,984 | |||||||||||||||||||||
| RBS | 01/2015 | KRW | 1,608,000 | USD | 1,570 | — | 53,458 | |||||||||||||||||||||
9 OPPENHEIMER DIVERSIFIED ALTERNATIVES FUND/VA
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
| Foward Currency Exchange Contracts (Continued) |
| Counterparty | Settlement Month(s) | Currency Purchased (000’s) | Currency Sold (000’s) | Unrealized Appreciation |
Unrealized Depreciation |
|||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| RBS | 01/2015 | MXN | 16,900 | USD | 1,276 | $ | — | $ | 27,222 | |||||||||||||||||||
| RBS | 01/2015 | NOK | 4,100 | USD | 660 | — | 23,974 | |||||||||||||||||||||
| RBS | 01/2015 | SEK | 16,830 | USD | 2,376 | — | 43,821 | |||||||||||||||||||||
| RBS | 01/2015 | USD | 83 | AUD | 90 | 4,768 | — | |||||||||||||||||||||
| RBS | 01/2015 | USD | 1,123 | CAD | 1,235 | 23,001 | — | |||||||||||||||||||||
| RBS | 01/2015 | USD | 2,698 | CHF | 2,470 | 107,869 | — | |||||||||||||||||||||
| RBS | 10/2014 - 02/2015 | USD | 7,770 | EUR | 5,736 | 519,474 | — | |||||||||||||||||||||
| RBS | 01/2015 | USD | 651 | GBP | 390 | 18,866 | — | |||||||||||||||||||||
| RBS | 10/2014 - 01/2015 | USD | 3,156 | JPY | 325,600 | 184,293 | — | |||||||||||||||||||||
| RBS | 12/2014 - 01/2015 | USD | 11,194 | MXN | 148,655 | 186,882 | — | |||||||||||||||||||||
| RBS | 01/2015 | USD | 4,428 | NOK | 27,510 | 162,815 | — | |||||||||||||||||||||
| RBS | 01/2015 | ZAR | 6,970 | USD | 636 | — | 28,619 | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| Total Unrealized Appreciation and Depreciation | $ | 6,471,573 | $ | 3,122,278 | ||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| Futures Contracts as of September 30, 2014 |
| Description | Exchange | Buy/Sell | Expiration Date | Number of Contracts |
Value | Unrealized Appreciation (Depreciation) |
||||||||||||||||||
|
|
||||||||||||||||||||||||
| 90 Day Euro | CME | Sell | 12/19/16 | 15 | $ | 3,667,313 | $ | (294) | ||||||||||||||||
| Aluminum* | LME | Sell | 10/13/14 | 1 | 48,338 | 235 | ||||||||||||||||||
| CAC 40 10 Euro Index | PAR | Sell | 10/17/14 | 114 | 6,355,617 | 22,168 | ||||||||||||||||||
| Copper* | LME | Sell | 12/15/14 | 1 | 166,838 | 2,836 | ||||||||||||||||||
| Corn* | CBT | Sell | 12/12/14 | 4 | 64,150 | 15,708 | ||||||||||||||||||
| Euro-BTP | EUX | Sell | 12/8/14 | 2 | 329,606 | (2,503) | ||||||||||||||||||
| FTSE 100 Index | LIF | Sell | 12/19/14 | 60 | 6,425,104 | 169,686 | ||||||||||||||||||
| Lead* | LME | Buy | 12/15/14 | 2 | 105,000 | (2,385) | ||||||||||||||||||
| Natural Gas* | NYM | Sell | 11/25/14 | 1 | 41,900 | (1,272) | ||||||||||||||||||
| Natural Gas* | NYM | Sell | 12/29/14 | 1 | 42,520 | (471) | ||||||||||||||||||
| Nickel* | LME | Buy | 3/16/15 | 2 | 196,476 | (12,232) | ||||||||||||||||||
| Palladium* | NYM | Sell | 12/29/14 | 2 | 155,030 | 24,494 | ||||||||||||||||||
| Platinum* | NYM | Buy | 1/28/15 | 7 | 455,175 | (7,233) | ||||||||||||||||||
| Primary Aluminum* | LME | Sell | 12/15/14 | 3 | 146,869 | 5,905 | ||||||||||||||||||
| S&P 500 E-Mini Index | CME | Buy | 12/19/14 | 83 | 8,156,825 | (96,647) | ||||||||||||||||||
| S&P/TSX 60 Index | MON | Sell | 12/18/14 | 4 | 615,170 | 22,365 | ||||||||||||||||||
| Silver* | CMX | Buy | 12/29/14 | 3 | 255,855 | (14,026) | ||||||||||||||||||
| Soybean* | CBT | Sell | 11/14/14 | 2 | 91,325 | 33,851 | ||||||||||||||||||
| SPI 200 Index | SFE | Sell | 12/18/14 | 17 | 1,965,850 | 85,929 | ||||||||||||||||||
| Sugar #11 World* | NYB | Buy | 4/30/15 | 2 | 37,386 | (433) | ||||||||||||||||||
| Sugar #11 World* | NYB | Sell | 2/27/15 | 2 | 36,848 | (189) | ||||||||||||||||||
| United States Treasury Long Bonds | CBT | Buy | 12/19/14 | 38 | 5,240,438 | 34,397 | ||||||||||||||||||
| WTI Crude Oil* | NYM | Buy | 11/20/14 | 3 | 270,810 | (11,798) | ||||||||||||||||||
| WTI Crude Oil* | NYM | Buy | 10/21/14 | 5 | 455,800 | (3,761) | ||||||||||||||||||
|
|
|
|||||||||||||||||||||||
| $ | 264,330 | |||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||
* All or a portion of this security is owned by the subsidiary. See accompanying Consolidated Notes.
| Over-the-Counter Options Written at September 30, 2014 |
| Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Premiums Received | Value | ||||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| CAD Currency Put |
RBS | MXN | 11.500 | 3/26/15 | CAD | (12,000,000 | ) | $ | 73,322 | $ | (86,214) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| EUR Currency Put |
BOA | EUR | 1 .272 | 10/2/14 | EUR | (345,000 | ) | 1,939 | (3,162) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| EUR Currency Call |
BOA | EUR | 1 .272 | 10/2/14 | EUR | (345,000 | ) | 1,939 | (235) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| EUR Currency Call |
CITNA-B | EUR | 1 .259 | 10/7/14 | EUR | (345,000 | ) | 2,041 | (2,041) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| EUR Currency Put |
CITNA-B | EUR | 1 .259 | 10/7/14 | EUR | (345,000 | ) | 2,042 | (2,042) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| EUR Currency Put |
DEU | EUR | 1 .272 | 10/3/14 | EUR | (345,000 | ) | 2,014 | (3,454) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| EUR Currency Call |
DEU | EUR | 1 .272 | 10/3/14 | EUR | (345,000 | ) | 2,014 | (357) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| EUR Currency Put |
RBS | EUR | 1 .270 | 10/6/14 | EUR | (340,000 | ) | 2,062 | (3,254) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| EUR Currency Call |
RBS | EUR | 1 .270 | 10/6/14 | EUR | (340,000 | ) | 2,094 | (891) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| INR Currency Call |
NOM | INR | 60.000 | 3/26/15 | INR | (950,000,000 | ) | 54,783 | (37,050) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| JPY Currency Call |
CITNA-B | JPY | 109.750 | 10/7/14 | JPY | (48,000,000 | ) | 2,318 | (2,304) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| JPY Currency Call |
CITNA-B | JPY | 109.200 | 10/3/14 | JPY | (48,000,000 | ) | 2,271 | (864) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| JPY Currency Put |
CITNA-B | JPY | 109.750 | 10/7/14 | JPY | (48,000,000 | ) | 2,318 | (2,304) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| JPY Currency Put |
CITNA-B | JPY | 109.200 | 10/3/14 | JPY | (48,000,000 | ) | 2,270 | (2,784) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| NOK Currency Call |
BOA | SEK | 1 .145 | 12/19/14 | NOK | (40,000,000 | ) | 38,184 | (21,890) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| NOK Currency Put |
BOA | SEK | 1 .096 | 12/19/14 | NOK | (40,000,000 | ) | 19,111 | (20,870) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| NOK Currency Call |
DEU | SEK | 1 .145 | 12/18/14 | NOK | (40,000,000 | ) | 33,373 | (21,474) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| NOK Currency Put |
DEU | SEK | 1 .096 | 12/18/14 | NOK | (40,000,000 | ) | 37,418 | (20,386) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Total of Over-the-Counter Options Written |
|
$ | 281,513 | $ (231,576) | ||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
10 OPPENHEIMER DIVERSIFIED ALTERNATIVES FUND/VA
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
| Cleared Credit Default Swaps at September 30, 2014 | ||||||||||||||||
| Reference Asset | Buy/Sell Protection |
Fixed Rate |
Maturity Date |
Notional Amount (000’s) |
Premiums Received/(Paid) | Value | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| CDX.HY.22 | Buy | 5.000 | 6/20/19 | USD | 2,475 | $ | 164,203 | $ | (120,818) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| CDX.IG.22 | Sell | 1.000 | 6/20/19 | USD | 1,650 | (32,737) | 23,709 | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| CDX.HY.22 | Buy | 5.000 | 6/20/19 | USD | 1,287 | 84,842 | (62,825) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| CDX.HY.22 | Buy | 5.000 | 6/20/19 | USD | 2,312 | 164,589 | (112,844) | |||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||
| iTraxx.Main.21 | Buy | 1.000 | 6/20/19 | EUR | 1,250 | 32,681 | (24,529) | |||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||
| Total of Cleared Credit Default Swaps |
|
$ | 413,578 | $ | (297,307) | |||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||
| Over-the-Counter Credit Default Swaps at September 30, 2014 | ||||||||||||||||
| Reference Asset | Counterparty | Buy/Sell Protection |
Fixed Rate |
Maturity Date |
Notional Amount (000’s) |
Premiums Received/(Paid) | Value | |||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Alcoa, Inc. | CITNA-B | Sell | 1.000 | 9/20/19 | USD | 580 | $ | 9,241 | $ | (22,677) | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Alcoa, Inc. | CITNA-B | Sell | 1.000 | 9/20/19 | USD | 500 | 7,765 | (19,549) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| American Electric Power Co., Inc. | BOA | Sell | 1.000 | 12/20/19 | USD | 1,080 | (40,938) | 33,928 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Anadarko Petroleum Corp. | GSG | Sell | 1.000 | 12/20/19 | USD | 1,080 | (22,861) | 2,780 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Barrick Gold Corp. | BAC | Buy | 1.000 | 12/20/19 | USD | 1,080 | (28,689) | 62,503 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Boeing Capital Corp. | JPM | Sell | 1.000 | 12/20/19 | USD | 1,080 | (48,816) | 46,165 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Boston Scientific Corp. | BAC | Buy | 1.000 | 12/20/19 | USD | 1,080 | 12,320 | (4,594) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| CBS Corp. | BNP | Buy | 1.000 | 9/20/19 | USD | 580 | 6,452 | (4,942) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| CBS Corp. | BNP | Buy | 1.000 | 9/20/19 | USD | 500 | 8,598 | (4,261) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Computer Sciences Corp. | JPM | Buy | 5.000 | 12/20/19 | USD | 1,080 | 219,149 | (156,876) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Darden Restaurants, Inc. | FIB | Buy | 1.000 | 12/20/19 | USD | 1,080 | (36,264) | 48,686 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Eastman Chemical Co. | BAC | Buy | 1.000 | 9/20/19 | USD | 580 | 5,315 | (2,380) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Eastman Chemical Co. | BAC | Buy | 1.000 | 9/20/19 | USD | 500 | 7,381 | (2,052) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| FirstEnergy Corp. | DEU | Sell | 1.000 | 12/20/19 | USD | 1,080 | 4,363 | (21,003) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Ford Motor Co. | DEU | Sell | 1.000 | 9/20/19 | USD | 500 | (4,239) | (5,719) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Ford Motor Co. | DEU | Sell | 1.000 | 9/20/19 | USD | 580 | (4,756) | (6,635) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Johnson Controls, Inc. | BAC | Buy | 1.000 | 9/20/19 | USD | 580 | 9,885 | (8,227) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Johnson Controls, Inc. | BAC | Buy | 1.000 | 9/20/19 | USD | 500 | 10,311 | (7,092) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Kinder Morgan Energy Partners | BOA | Sell | 1.000 | 12/20/19 | USD | 1,080 | (5,225) | (10,638) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Republic of Austria | GSG | Buy | 1.000 | 12/20/16 | USD | 925 | 17,916 | (18,439) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Republic of Austria | GSG | Buy | 1.000 | 12/20/16 | USD | 700 | 14,467 | (13,954) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Republic of Italy | GSG | Buy | 1.000 | 12/20/19 | USD | 2,950 | (1,788) | 32,192 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Ryder System, Inc. | BNP | Sell | 1.000 | 12/20/19 | USD | 1,080 | (23,744) | 16,418 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Southwest Airlines Co. | GSG | Sell | 1.000 | 9/20/19 | USD | 500 | (10,065) | 7,225 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Southwest Airlines Co. | GSG | Sell | 1.000 | 9/20/19 | USD | 580 | (9,539) | 8,381 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Twenty-First Century Fox America, Inc. | FIB | Buy | 1.000 | 12/20/19 | USD | 1,080 | 28,394 | (22,042) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Tyson Foods, Inc. | BNP | Buy | 1.000 | 9/20/19 | USD | 500 | 6,169 | (1,356) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Tyson Foods, Inc. | BNP | Buy | 1.000 | 9/20/19 | USD | 580 | 4,781 | (1,573) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Union Pacific Corp. | FIB | Sell | 1.000 | 12/20/19 | USD | 1,080 | (43,953) | 41,125 | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Yum! Brands, Inc. | CITNA-B | Buy | 1.000 | 9/20/19 | USD | 580 | 10,893 | (9,200) | ||||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||||||
| Yum! Brands, Inc. | GSG | Buy | 1.000 | 9/20/19 | USD | 500 | 10,802 | (7,931) | ||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
| Total of Over-the-Counter Credit Default Swaps | $ | 113,325 | $ | (51,737) | ||||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||||||
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 Corporate Debt Indexes |
$ 1,650,000 | $ — | BBB+ | |||
| Investment Grade Single Name Corporate Debt |
9,720,000 | — | A to BBB- | |||
| Non-Investment Grade Single Name Corporate Debt |
1,080,000 | — | BB+ | |||
|
|
||||||
| Total |
$ 12,450,000 | $ — | ||||
|
|
||||||
* The Fund has no amounts recoverable from related purchased protection. In addition, the Fund has no recourse provisions under the credit derivatives and holds no collateral which can offset or reduce potential payments under a triggering event.
** The period end reference asset security ratings, as rated by any rating organization, are included in the equivalent Standard & Poor’s rating category. The reference asset rating represents the likelihood of a potential credit event on the reference asset which would result in a related payment of the Fund.
11 OPPENHEIMER DIVERSIFIED ALTERNATIVES FUND/VA
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
| Cleared Interest Rate Swaps at September 30, 2014 | ||||||||||||||
| Counterparty | Pay/Receive Floating Rate |
Floating Rate | Fixed Rate | Maturity Date | Notional Amount (000’s) | Value | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| BAC | Receive | |
Six-Month CHF BBA LIBOR |
|
0.830 | 9/10/24 | CHF | 730 | $ | (498) | ||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| BAC | Receive | |
Six-Month JPY BBA LIBOR |
|
0.640 | 9/10/24 | JPY | 79,000 | 310 | |||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| BAC | Receive | |
Six-Month CHF BBA LIBOR |
|
0.820 | 9/4/24 | CHF | 2,970 | 384 | |||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| BAC | Pay | |
Three-Month USD BBA LIBOR |
|
2.550 | 9/4/24 | USD | 3,230 | (21,739) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| BAC | Receive | |
Six-Month JPY BBA LIBOR |
|
0.640 | 9/4/24 | JPY | 339,000 | 2,748 | |||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| BOA | Pay | |
Three-Month USD BBA LIBOR |
|
2.545 | 9/10/24 | USD | 740 | (5,721) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| BOA | Pay | |
Three-Month NZD BBR FRA |
|
4.668 | 9/10/24 | NZD | 910 | 6,157 | |||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| BOA | Pay | |
Three-Month NZD BBR FRA |
|
4.555 | 9/4/24 | NZD | 3,875 | (94) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| Total of Cleared Interest Rate Swaps |
|
$ | (18,453) | |||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| Over-the-Counter Total Return Swaps at September 30, 2014 | ||||||||||||||
| Reference Asset | Counterparty | Pay/Receive Total Return* |
Floating Rate | Maturity Date | Notional Amount (000’s) | Value | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| BCOM Index** | MAC | Receive | |
Official Settlement price of BCOM Index |
|
11/4/14 | USD | (700 | ) | $ | — | |||||||||||||||||
|
|
||||||||||||||||||||||||||||
| BX Index | GSG | Receive | |
One-Month USD BBA LIBOR plus 65 basis points |
|
3/16/15 | USD | 438 | (14,037) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| CGAU0PA2 Custom Basket | CITNA-B | Receive | |
One-Month AUD BBR BBSW plus 50 basis points |
|
3/11/15 | AUD | 454 | (19,727) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| CGAUOPAU Custom Basket | CITNA-B | Receive | |
One-Month AUD BBR BBSW plus 50 basis points |
|
3/11/15 | AUD | 2,443 | (136,602) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| CGCNOCAD Custom Basket | CITNA-B | Receive | |
One-Month CAD BA CDOR plus 30 basis points |
|
4/8/15 | CAD | 2,060 | (98,950) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| CGCNOCD2 Custom Basket | CITNA-B | Receive | |
One-Month CAD BA CDOR plus 30 basis points |
|
4/8/15 | CAD | 1,218 | (46,685) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| CIBZC8DE Index** | CIBC | Receive | |
Official Settlement price of CIBZC8DE Index |
|
11/4/14 | USD | (5,200 | ) | 1 | ||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| CIBZOPQR Index** | CIBC | Receive | |
Official Settlement price of CIBZOPQR Index |
|
11/4/14 | USD | (2,600 | ) | 1 | ||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| DBOPSPLG Custom Basket | DEU | Receive | |
One-Month USD BBA LIBOR plus 30 basis points |
|
2/6/15 | USD | 2,732 | (44,411) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| DBOPSPST Custom Basket | DEU | Receive | |
One-Month USD BBA LIBOR plus 30 basis points |
|
2/6/15 | USD | 2,742 | 83,175 | |||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| GSEHOPH3 Custom Basket | GSG | Receive | |
One-Month HKD HIBOR HKAB plus 40 basis points |
|
9/18/15 | HKD | 4,965 | (35,495) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| GSEHOPHK Custom Basket | GSG | Receive | |
One-Month HKD HIBOR HKAB plus 40 basis points |
|
9/11/15 | HKD | 15,907 | (129,076) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| GSOPSPS3 Custom Basket | GSG | Receive | |
One-Month USD BBA LIBOR plus 35 basis points |
|
9/14/15 | USD | 9,183 | (99,959) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| HIV4 Index | GSG | Pay | No Floating Rate | 11/7/14 | HKD | 11,941 | 68,321 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| iBoxx USD Liquid Leveraged Loans Index | JPM | Pay | One-Month USD BBA LIBOR | 12/29/14 | USD | 16,530 | (130,163) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| iBoxx USD Liquid Leveraged Loans Index | JPM | Pay | One-Month USD BBA LIBOR | 12/29/14 | USD | 12,720 | (110,433) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| iBoxx USD Liquid Leveraged Loans Index | JPM | Pay | One-Month USD BBA LIBOR | 12/29/14 | USD | 1,300 | (11,278) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| iBoxx USD Liquid Leveraged Loans Index | JPM | Pay | One-Month USD BBA LIBOR | 12/29/14 | USD | 3,950 | (31,104) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| MLCILPRE Index** | BOA | Receive | |
Official Settlement price of MLCILPRE Index |
|
11/4/14 | USD | (5,250 | ) | 1 | ||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| MLEIOPF2 Custom Basket | BOA | Receive | |
One-Month EUR EURIBOR plus 29 basis points |
|
9/8/15 | EUR | 2,046 | (67,753) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| MLEIOPU2 Custom Basket | BOA | Receive | |
One-Month GBP BBA LIBOR plus 34 basis points |
|
9/8/15 | GBP | 1,567 | (117,893) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| MLTROPF3 Custom Basket | BOA | Receive | |
One-Month EUR EURIBOR plus 29 basis points |
|
9/14/15 | EUR | 942 | (27,786) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| MLTROPFR Custom Basket | BOA | Receive | |
One-Month EUR EURIBOR plus 29 basis points |
|
7/8/15 | EUR | 2,145 | (65,650) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| MLTROPU3 Custom Basket | BOA | Receive | |
One-Month GBP BBA LIBOR plus 34 basis points |
|
9/14/15 | GBP | 881 | (52,663) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| MLTROPUK Custom Basket | BOA | Receive | |
One-Month GBP BBA LIBOR plus 34 basis points |
|
7/8/15 | GBP | 1,708 | (129,514) | |||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| OEX Index | GSG | Pay | |
One-Month USD BBA LIBOR plus 5 basis points |
|
7/7/15 | USD | 1,718 | 15,952 | |||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| OEX Index | GSG | Pay | |
One-Month USD BBA LIBOR plus 5 basis points |
|
7/7/15 | USD | 3,354 | 25,990 | |||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| OEX Index | GSG | Pay | |
One-Month USD BBA LIBOR minus 5 basis points |
|
7/7/15 | USD | 4,171 | 34,265 | |||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| Total of Over-the-Counter Total Return Swaps | $ | (1,141,473) | ||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
12 OPPENHEIMER DIVERSIFIED ALTERNATIVES FUND/VA
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
* Fund will pay ore receive the total return of the reference asset depending on whether the return is positive or negative. For contracts where the Fund has elected to receive the total return of the reference asset if positive, it will be responsible for paying the floating rate and the total return of the reference asset if negative. If the Fund has elected to pay the total return of the reference asset if positive, it will receive the floating rate and the total return of the reference asset if negative.
** All or a portion of this security is owned by the subsidiary. See accompanying Consolidated Notes.
| Over-the-Counter Volatility Swaps at September 30, 2014 | ||||||||||||||
| Reference Asset | Counterparty | Pay/Receive Volatility |
Strike Price | Maturity Date | Notional Amount | Value | ||||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| EUR/CAD spot exchange rate | BAC | Receive | 6.550 | 10/8/14 | EUR | 1,080 | $ | 2,374 | ||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| EUR/CAD spot exchange rate | BNP | Receive | 6.500 | 10/9/14 | EUR | 1,080 | 2,687 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| EUR/NOK spot exchange rate | JPM | Receive | 5.550 | 10/22/14 | EUR | 1,390 | (544) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| EUR/NOK spot exchange rate | GSG | Receive | 5.600 | 10/23/14 | EUR | 1,400 | (530) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| GBP/NOK spot exchange rate | BOA | Pay | 9.800 | 10/14/14 | GBP | 1,120 | 3,958 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| iShares MSCI Emerging Markets | GSG | Pay | 275.560 | 10/8/14 | USD | 166 | 13,595 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| iShares MSCI Emerging Markets | GSG | Receive | 467.265 | 1/5/15 | USD | 309 | — | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| iShares MSCI Emerging Markets | GSG | Pay | 448.802 | 1/5/15 | USD | 316 | — | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| iShares MSCI Emerging Markets | GSG | Pay | 275.560 | 10/9/14 | USD | 166 | 17,364 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| iShares MSCI Emerging Markets | GSG | Receive | 277.473 | 10/7/14 | USD | 165 | (11,715) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| iShares MSCI Emerging Markets | GSG | Receive | 300.329 | 10/6/14 | USD | 159 | (15,821) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| iShares MSCI Emerging Markets | GSG | Pay | 282.240 | 10/3/14 | USD | 164 | 24,846 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| iShares MSCI Emerging Markets | GSG | Pay | 286.625 | 10/6/14 | USD | 162 | 20,525 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| iShares MSCI Emerging Markets | GSG | Pay | 264.307 | 10/7/14 | USD | 169 | 6,338 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| iShares MSCI Emerging Markets | GSG | Receive | 295.840 | 10/3/14 | USD | 160 | (16,064) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| iShares MSCI Emerging Markets | GSG | Receive | 289.000 | 10/8/14 | USD | 162 | (12,263) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| iShares MSCI Emerging Markets | GSG | Receive | 289.000 | 10/9/14 | USD | 162 | (11,405) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| NZD/CAD spot exchange rate | DEU | Receive | 8.750 | 11/3/14 | NZD | 2,320 | 1,376 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| NZD/CAD spot exchange rate | BOA | Receive | 8.500 | 11/3/14 | NZD | 2,310 | — | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| NZD/CAD spot exchange rate | JPM | Receive | 8.000 | 10/29/14 | NZD | 2,260 | 3,052 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| NZD/GBP spot exchange rate | GSG | Pay | 10.350 | 10/14/14 | GBP | 1,120 | (5,102) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| NZD/JPY spot exchange rate | CITNA-B | Pay | 8.300 | 10/16/14 | NZD | 2,200 | (6,011) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| NZD/JPY spot exchange rate | BOA | Pay | 6.800 | 10/10/14 | NZD | 2,170 | (7,572) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| NZD/JPY spot exchange rate | BOA | Pay | 8.450 | 10/20/14 | NZD | 2,210 | (6,901) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| NZD/JPY spot exchange rate | DEU | Pay | 8.600 | 10/17/14 | NZD | 2,210 | (5,849) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| NZD/JPY spot exchange rate | GSG | Pay | 8.100 | 10/17/14 | NZD | 2,200 | (7,162) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| NZD/JPY spot exchange rate | MOS-A | Pay | 8.100 | 10/20/14 | NZD | 2,210 | (8,074) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| NZD/USD spot exchange rate | JPM | Receive | 8.125 | 10/31/14 | NZD | 2,280 | 3,222 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| NZD/USD spot exchange rate | JPM | Pay | 8.700 | 10/28/14 | USD | 1,800 | (9,378) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| SEK/CHF spot exchange rate | CITNA-B | Pay | 6.750 | 10/6/14 | CHF | 1,290 | 1,284 | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| USD/NOK spot exchange rate | JPM | Pay | 9.000 | 10/28/14 | USD | 1,800 | (8,118) | |||||||||||||||||||||
|
|
||||||||||||||||||||||||||||
| USD/NOK spot exchange rate | CITNA-B | Pay | 7.150 | 10/6/14 | USD | 1,400 | (3,626) | |||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
| Total of Over-the-Counter Volatility Swaps | $ | (35,514) | ||||||||||||||||||||||||||
|
|
|
|||||||||||||||||||||||||||
* Fund will pay or receive the volatility of the reference asset depending on whether the realized volatility of the reference asset exceeds or is less than the strike price. For contracts where the Fund has elected to receive the volatility of the reference asset, it will receive a net payment of the difference between the realized volatility and the strike price multiplied by the notional amount if the realized volatility exceeds the strike price; the Fund will make a net payment of the absolute value of the difference of the realized volatility and the strike price multiplied by the notional amount if the realized volatility is less than the strike price. For contracts where the Fund has elected to pay the volatility of the reference asset, it will make a net payment of the difference between the realized volatility and the strike price multiplied by the notional amount if the realized volatility exceeds the strike price; the Fund will receive a net payment of the absolute value of the difference of the realized and the strike price multiplied by the notional amount if the realized volatility is less than the strike price.
| Glossary: | ||
| Counterparty Abbreviations | ||
| BAC | Barclays Bank plc | |
| BNP | BNP Paribas | |
| BOA | Bank of America NA | |
| CIBC | Candadian Imperial Bank of Commerce | |
| CITNA-B | Citibank NA | |
| DEU | Deutsche Bank AG | |
| FIB | Credit Suisse International | |
| GSCO-OT | Goldman Sachs Bank USA | |
| GSG | Goldman Sachs Group, Inc. (The) | |
| JPM | JPMorgan Chase Bank NA | |
| MAC | Macquarie Bank Ltd. | |
| MOS | Morgan Stanley & Co., Inc. | |
| MOS-A | Morgan Stanley | |
| MSCO | Morgan Stanley Capital Services, Inc. | |
| NOM | Nomura Global Financial Products, Inc. | |
| RBS | Royal Bank of Scotland plc (The) |
13 OPPENHEIMER DIVERSIFIED ALTERNATIVES FUND/VA
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
| Glossary: (Continued) | ||
| Currency abbreviations indicate amounts reporting in currencies | ||
| AUD | Australian Dollar | |
| BRL | Brazilian Real | |
| CAD | Canadian Dollar | |
| CHF | Swiss Franc | |
| CLP | Chilean Peso | |
| CZK | Czech Koruna | |
| EUR | Euro | |
| GBP | British Pound Sterling | |
| HKD | Hong Kong Dollar | |
| HUF | Hungarian Forint | |
| INR | Indian Rupee | |
| JPY | Japanese Yen | |
| KRW | South Korean Won | |
| MXN | Mexican Nuevo Peso | |
| MYR | Malaysian Ringgit | |
| NOK | Norwegian Krone | |
| NZD | New Zealand Dollar | |
| PLN | Polish Zloty | |
| SEK | Swedish Krona | |
| SGD | Singapore Dollar | |
| 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) | |
| BCOM | Bloomberg Commodity Index | |
| BX | The Blackstone Group LP Index | |
| CDX.HY.22 | Markit CDX High Yield | |
| CDX.IG.22 | Markit CDX Investment Grade | |
| CGAUOPA2 | Custom Basket of Securities | |
| CGAUOPAU | Custom Basket of Securities | |
| CGCNOCAD | Custom Basket of Securities | |
| CGCNOCD2 | Custom Basket of Securities | |
| CIBZC8DE | CIBC Custom 8 Enhanced Roll Commodity Index | |
| CIBZOPQR | CIBC Oppenheimer Quarterly Roll Index | |
| DBOPSPLG | Custom Basket of Securities | |
| DBOPSPST | Custom Basket of Securities | |
| EURIBOR | Euro Interbank Offered Rate | |
| GSEHOPH3 | Custom Basket of Securities | |
| GSEHOPHK | Custom Basket of Securities | |
| GSOPSPS3 | Custom Basket of Securities | |
| HIBOR | Hong Kong Interbank Offered Rate | |
| HIV4 | The Hang Seng Index Futures | |
| HKAB | Hong Kong Association of Banks | |
| iTraxx.Main.21 | Credit Default Swap Trading Index CDXE for a specific Basket of Securities | |
| MLCILPRE | Merrill Lynch Commodity Index Extra LPR Excess Return Index | |
| MLEIOPF2 | Custom Basket of Securities | |
| MLEIOPU2 | Custom Basket of Securities | |
| MLTROPF3 | Custom Basket of Securities | |
| MLTROPFR | Custom Basket of Securities | |
| MLTROPU3 | Custom Basket of Securities | |
| MLTROPUK | Custom Basket of Securities | |
| MSCI | Morgan Stanley Capital International | |
| OEX | S&P 100 Index | |
| Exchange Abbreviations | ||
| CBT | Chicago Board of Trade | |
| CME | Chicago Mercantile Exchanges | |
| CMX | Commodity Exchange, Inc. | |
| EUX | European Stock Exchange | |
| 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 Exchange | |
| PAR | Paris Stock Exchange | |
| SFE | Sydney Futures Exchange | |
14 OPPENHEIMER DIVERSIFIED ALTERNATIVES FUND/VA
NOTES TO CONSOLIDATED STATEMENTS OF INVESTMENTS September 30, 2014 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 (“1940 Act”), 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.
Event-Linked Bonds. The Fund may invest 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 Sold Short. The Fund sells securities that it does not own, and it will therefore be obligated to purchase such securities at a future date. Upon entering into a short position, the Fund is required to segregate cash or securities at its custodian which are pledged for the benefit of the lending broker and/or to deposit and pledge cash directly at the lending broker, with a value equal to a certain percentage, exceeding 100%, of the value of the securities that it sold short. Cash that has been segregated and pledged for this purpose will be disclosed on the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports; securities that have been segregated and pledged for this purpose are disclosed as such in the Consolidated Statement of Investments. The aggregate market value of such cash and securities at period end is $24,175,386. The value of the open short position is recorded as a liability, and the Fund records an unrealized gain or loss to the extent of the difference between the proceeds received and the change in value of the open short position. The Fund records a realized gain or loss when the short position is closed out. By entering into short sales, the Fund bears the market risk of increases in value of the security sold short in excess of the proceeds received. Until the security is replaced, the Fund is required to pay the lender any dividend or interest earned. Dividend expense on short sales is treated as an expense in the Consolidated Statement of Operations in the annual and semiannual reports.
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 September 30, 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 |
$ | 4,904,407 | ||
| Sold securities | 105,278 | |||
Credit Risk. The Fund invests in high-yield, non-investment-grade bonds, which may be subject to a greater degree of credit risk. Credit risk relates to the ability of the issuer to meet interest or principal payments or both as they become due. The Fund may acquire securities that have missed an interest payment, and is not obligated to dispose of securities whose issuers or underlying obligors subsequently miss an interest payment. Information concerning securities not accruing interest as of September 30, 2014 is as follows:
| Cost | $23,154 | |||||||
| Market Value | $9,750 | |||||||
| Market value as % of Net Assets | Less than 0.005% |
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.
15 OPPENHEIMER DIVERSIFIED ALTERNATIVES FUND/VA
NOTES TO CONSOLIDATED STATEMENTS OF INVESTMENTS Unaudited / Continued
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 September 30, 2014, the Fund owned 15,616 shares of the Subsidiary with a market value of $11,468,170.
Equity Security Risk. Stocks and other equity securities fluctuate in price. The value of the Fund’s portfolio may be affected by changes in the equity markets generally. Equity markets may experience significant short-term volatility and may fall sharply at times. Different markets may behave differently from each other and U.S. equity markets may move in the opposite direction from one or more foreign stock markets.
The prices of individual equity securities generally do not all move in the same direction at the same time and a variety of factors can affect the price of a particular company’s securities. These factors may include, but are not limited to, poor earnings reports, a loss of customers, litigation against the company, general unfavorable performance of the company’s sector or industry, or changes in government regulations affecting the company or its industry.
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 or for defensive purposes. IMMF is a registered open-end management investment company, regulated as a money market fund under the 1940 Act. 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.
Investment in Oppenheimer Master Limited Partnerships (“MLP”). 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 SteelPath Master MLP Fund, LLC (the “MLP Fund”). The MLP 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.
The investment objective of Oppenheimer SteelPath Master MLP Fund, LLC is to seek total return. It emphasizes investments in energy infrastructure Master Limited Partnerships.
The Fund’s investment in the MLP Fund is included in the Consolidated Statement of Investments. The Fund recognizes income and gain (loss) on its investment in the MLP Fund according to its allocated pro-rata share, based on its relative proportion of total outstanding MLP Fund shares held, of the total net income (loss) earned and the net gain (loss) realized on investments sold by the MLP Fund. As a shareholder, the Fund is subject to its proportional share of the MLP Fund’s expenses, including its management fee.
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.
Reported net realized gains and losses from foreign currency transactions arise from sales of portfolio securities, sales and maturities of short-term securities, sales of foreign currencies, exchange rate fluctuations between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Fund’s books and the U.S. dollar equivalent of the amounts
16 OPPENHEIMER DIVERSIFIED ALTERNATIVES FUND/VA
NOTES TO CONSOLIDATED STATEMENTS OF INVESTMENTS Unaudited / Continued
actually received or paid. Net unrealized appreciation and depreciation on the translation of assets and liabilities denominated in foreign currencies arise from changes in the values of assets and liabilities, including investments in securities at fiscal period end, resulting from changes in exchange rates.
The effect of changes in foreign currency exchange rates on investments is separately identified from the fluctuations arising from changes in market values of securities held and reported with all other foreign currency gains and losses in the Fund’s Consolidated Statement of Operations in the annual and semiannual reports.
Securities Valuation
The Fund calculates the net asset value of its shares as of the close of the New York Stock Exchange (the “Exchange”), normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading.
The 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.
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. |
17 OPPENHEIMER DIVERSIFIED ALTERNATIVES FUND/VA
NOTES TO CONSOLIDATED STATEMENTS 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 September 30, 2014 based on valuation input level:
| Level 1— Unadjusted |
Level 2— Other Significant |
Level 3— Significant |
Value | |||||||||||||
|
|
||||||||||||||||
| Assets Table | ||||||||||||||||
| Investments, at Value: | ||||||||||||||||
| Common Stocks | ||||||||||||||||
| Consumer Discretionary |
$ | 4,236,138 | $ | — | $ | — | $ | 4,236,138 | ||||||||
| Consumer Staples |
1,162,965 | — | — | 1,162,965 | ||||||||||||
| Energy |
17,521,172 | — | — | 17,521,172 | ||||||||||||
| Financials |
10,916,417 | 5,747,442 | — | 16,663,859 | ||||||||||||
| Health Care |
4,505,641 | 624,921 | — | 5,130,562 | ||||||||||||
| Industrials |
3,842,731 | — | — | 3,842,731 | ||||||||||||
| Information Technology |
3,684,025 | 433,449 | — | 4,117,474 | ||||||||||||
| Materials |
1,998,843 | — | — | 1,998,843 | ||||||||||||
| Telecommunication Services |
569,991 | — | — | 569,991 | ||||||||||||
| Utilities |
1,826,907 | — | — | 1,826,907 | ||||||||||||
| Preferred Stocks | 806,375 | 504,713 | — | 1,311,088 | ||||||||||||
| Rights, Warrants and Certificates | 1,835 | — | — | 1,835 | ||||||||||||
| Asset-Backed Securities | — | 3,957,629 | — | 3,957,629 | ||||||||||||
| Foreign Government Obligations | — | 59,178,337 | — | 59,178,337 | ||||||||||||
| Non-Convertible Corporate Bonds and Notes | — | 17,471,503 | — | 17,471,503 | ||||||||||||
| Convertible Corporate Bond and Note | — | 214,730 | — | 214,730 | ||||||||||||
| Corporate Loans | — | 7,304,014 | — | 7,304,014 | ||||||||||||
| Event-Linked Bonds | — | 20,604,871 | — | 20,604,871 | ||||||||||||
| Exchange-Traded Option Purchased | 12,906 | — | — | 12,906 | ||||||||||||
| Over-the-Counter Options Purchased | — | 550,441 | — | 550,441 | ||||||||||||
| Over-the-Counter Interest Rate Swaptions Purchased | — | 249,457 | — | 249,457 | ||||||||||||
| Investment Companies | 40,636,557 | — | — | 40,636,557 | ||||||||||||
| Short-Term Notes | — | 41,849,911 | — | 41,849,911 | ||||||||||||
| Municipal Bonds and Notes | — | 69,026 | — | 69,026 | ||||||||||||
|
|
|
|||||||||||||||
| Total Investments, at Value | 91,722,503 | 158,760,444 | — | 250,482,947 | ||||||||||||
18 OPPENHEIMER DIVERSIFIED ALTERNATIVES FUND/VA
NOTES TO CONSOLIDATED STATEMENTS OF INVESTMENTS Unaudited / Continued
Securities Valuation (Continued)
| Level 1— Unadjusted |
Level 2— Other Significant |
Level 3— Significant |
Value | |||||||||||||
|
|
||||||||||||||||
| Other Financial Instruments: | ||||||||||||||||
| Swaps, at value | $ | — | $ | 627,730 | $ | — | $ | 627,730 | ||||||||
| Centrally cleared swaps, at value | — | 33,308 | — | 33,308 | ||||||||||||
| Futures contracts | 417,574 | — | — | 417,574 | ||||||||||||
| Foreign currency exchange contracts | — | 6,471,573 | — | 6,471,573 | ||||||||||||
|
|
|
|||||||||||||||
| Total Assets | 92,140,077 | 165,893,055 | — | 258,033,132 | ||||||||||||
|
|
|
|||||||||||||||
| Liabilities Table | ||||||||||||||||
| Other Financial Instruments: | ||||||||||||||||
| Common Stock Securities Sold Short | (11,438,427) | — | — | (11,438,427) | ||||||||||||
| Other Financial Instruments: | ||||||||||||||||
| Swaps, at value | — | (1,856,454) | — | (1,856,454) | ||||||||||||
| Centrally cleared swaps, at value | — | (349,068) | — | (349,068) | ||||||||||||
| Futures contracts | (153,244) | — | — | (153,244) | ||||||||||||
| Options written, at value | — | (231,576) | — | (231,576) | ||||||||||||
| Foreign currency exchange contracts | — | (3,122,278) | — | (3,122,278) | ||||||||||||
|
|
|
|||||||||||||||
| Total Liabilities | $ | (11,591,671) | $ | (5,559,376) | $ | — | $ | (17,151,047) | ||||||||
|
|
|
|||||||||||||||
Forward currency exchange contracts and futures contracts, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract’s value from trade date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.
The table below shows the transfers between Level 1 and Level 2. The Fund’s policy is to recognize transfers in and transfers out as of the beginning of the reporting period.
| Transfers out of Level 2* | Transfers into Level 1* | |||||||
|
|
||||||||
| Assets Table | ||||||||
| Investments, at Value: | ||||||||
| Common Stocks | ||||||||
| Financials |
$ | (15,939) | $ | 15,939 | ||||
|
|
|
|||||||
| Total Assets | $ | (15,939) | $ | 15,939 | ||||
|
|
|
|||||||
* Transferred from Level 2 to Level 1 due to the presence of a readily available unadjusted quoted market price.
Risk Exposures and the Use of Derivative Instruments
The Fund’s investment objective not only permits the Fund to purchase investment securities, it also allows 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.
19 OPPENHEIMER DIVERSIFIED ALTERNATIVES FUND/VA
NOTES TO CONSOLIDATED STATEMENTS OF INVESTMENTS Unaudited / Continued
Risk Exposures and the Use of Derivative Instruments (Continued)
Derivatives may have little or no initial cash investment relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost due to unanticipated changes in the market risk factors and the overall market. This use of embedded leverage allows the Fund to increase its market value exposure relative to its net assets and can substantially increase the volatility of the 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 September 30, 2014, the Fund had daily average contract amounts on forward contracts to buy and sell of $75,785,627 and $158,463,543, 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.
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.
20 OPPENHEIMER DIVERSIFIED ALTERNATIVES FUND/VA
NOTES TO CONSOLIDATED STATEMENTS OF INVESTMENTS Unaudited / Continued
Risk Exposures and the Use of Derivative Instruments (Continued)
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 September 30, 2014, the Fund had an ending monthly average market value of $7,416,112 and $10,531,650 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.
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.
The Fund has purchased put options on individual commodities and/or commodity indexes to decrease exposure to commodity risk. A purchased put option becomes more valuable as the price of the underlying financial instrument depreciates relative to the strike price.
During the period ended September 30, 2014, the Fund had an ending monthly average market value of $75,006 and $81,696 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 September 30, 2014, the Fund had an ending monthly average market value of $53,884 and $53,473 on written call options and written put options, respectively.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
21 OPPENHEIMER DIVERSIFIED ALTERNATIVES FUND/VA
NOTES TO CONSOLIDATED STATEMENTS OF INVESTMENTS Unaudited / Continued
Risk Exposures and the Use of Derivative Instruments (Continued)
Written option activity for the period ended September 30, 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 | 9,380,006 | $ | 6,517 | 29,725,128 | $ | 14,506 | ||||||||||||||
| Options written | 1,575,831,554 | 424,115 | 1,784,913,900 | 470,178 | ||||||||||||||||
| Options closed or expired | (191,039,041) | (78,390) | (51,979,153) | (62,032) | ||||||||||||||||
| Options exercised | (266,797,519) | (213,226) | (1,573,284,875) | (280,155) | ||||||||||||||||
|
|
|
|||||||||||||||||||
| Options outstanding as of September 30, 2014 | 1,127,375,000 | $ | 139,016 | 189,375,000 | $ | 142,497 | ||||||||||||||
|
|
|
|||||||||||||||||||
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 (“centrally 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. The values of centrally cleared swap and 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 September 30, 2014, the Fund had ending monthly average notional amounts of $6,502,161 and $4,752,000 on credit default swaps to buy protection and credit default swaps to sell protection, respectively.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
Interest Rate Swap Contracts. An interest rate swap is an agreement between counterparties to exchange periodic payments based on interest rates. One cash flow stream will typically be a floating rate payment based upon a specified floating interest rate while the other is typically a fixed interest rate.
The Fund has entered into interest rate swaps in which it pays a floating interest rate and receives a fixed interest rate in order to increase exposure to interest rate risk. Typically, if relative interest rates rise, payments made by the Fund under a swap agreement will be greater than the payments received by the Fund.
The Fund has entered into interest rate swaps in which it pays a fixed interest rate and receives a floating interest rate in order to decrease exposure to interest rate risk. Typically, if relative interest rates rise, payments received by the Fund under the swap agreement will be greater than the payments made by the Fund.
22 OPPENHEIMER DIVERSIFIED ALTERNATIVES FUND/VA
NOTES TO CONSOLIDATED STATEMENTS OF INVESTMENTS Unaudited / Continued
Risk Exposures and the Use of Derivative Instruments (Continued)
For the period ended September 30, 2014, the Fund had ending monthly average notional amounts of $2,603,127 and $3,233,523 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 to increase exposure to the credit risk of various indexes or basket of securities. These credit risk related total return swaps require the Fund to pay to, or receive payments from, the counterparty based on the movement of credit spreads of the related indexes or securities.
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.
The Fund has entered into total return swaps on various commodity indexes to decrease exposure to commodity risk. These commodity risk related total return swaps require the Fund to pay an amount equal to the positive price movement of an index (expressed as a percentage) multiplied by the notional amount of the contract. The Fund will receive payments of a fixed or a floating reference interest rate and an amount equal to the negative price movement of the same index (expressed as a percentage) multiplied by the notional amount of the contract.
For the period ended September 30, 2014, the Fund had ending monthly average notional amounts of $35,172,921 and $6,575,109 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.
23 OPPENHEIMER DIVERSIFIED ALTERNATIVES FUND/VA
NOTES TO CONSOLIDATED STATEMENTS OF INVESTMENTS Unaudited / Continued
Risk Exposures and the Use of Derivative Instruments (Continued)
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.
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 September 30, 2014, the Fund had ending monthly average notional amounts of $11,148 and $3,175 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.
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.
During the period ended September 30, 2014, the Fund had an ending monthly average market value of $51,734 on purchased swaptions.
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.
As of September 30, 2014, the Fund has required certain counterparties to post collateral of $1,903,248.
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 centrally 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 centrally cleared swaps.
24 OPPENHEIMER DIVERSIFIED ALTERNATIVES FUND/VA
NOTES TO CONSOLIDATED STATEMENTS OF INVESTMENTS Unaudited / Continued
Risk Exposures and the Use of Derivative Instruments (Continued)
With respect to centrally 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 centrally 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 centrally cleared swaps. Brokers, futures commission merchants and clearinghouses can ask for margin in excess of the regulatory minimum, or increase the margin amount, in certain circumstances.
Collateral terms are contract specific for OTC derivatives. For derivatives traded under an ISDA master agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund or the counterparty.
For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund, if any, is reported separately on the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports as cash pledged as collateral. Non-cash collateral pledged by the Fund, if any, is noted in the Consolidated Statement of Investments. Generally, the amount of collateral due from or to a party must exceed a minimum transfer amount threshold (e.g. $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance.
Restricted Securities
As of September 30, 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 September 30, 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 | $ | 253,717,806 | ||
| Federal tax cost of other investments | (18,118,260) | |||
|
|
|
|||
| Total federal tax cost | $ | 235,599,546 | ||
|
|
|
|||
| Gross unrealized appreciation | $ | 4,166,945 | ||
| Gross unrealized depreciation | (7,281,582) | |||
|
|
|
|||
| Net unrealized depreciation | $ | (3,114,637) | ||
|
|
|
25 OPPENHEIMER DIVERSIFIED ALTERNATIVES FUND/VA
| STATEMENT OF INVESTMENTS September 30, 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. Rate shown is the 7-day yield as of September 30, 2014.
3. Is or was an affiliate, as defined in the Investment Company Act of 1940, as amended, at or during the period ended September 30, 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 September 30, 2014 | |||||||||||
| Oppenheimer Institutional Money Market Fund, Cl. E |
18,850,174 | 162,039,391 | 158,460,666 | 22,428,899 | ||||||||||
| Value | Income | |||||
| Oppenheimer Institutional Money Market Fund, Cl. E |
$ | 22,428,899 | $ 7,484 | |||
| Distribution of investments representing geographic holdings, as a percentage of total investments at value, is as follows: | ||||||
| Geographic Holdings | Value | Percent | ||||
| United Kingdom |
$ | 135,340,664 | 26.2% | |||
| Switzerland |
68,588,466 | 13.3 | ||||
| France |
59,584,890 | 11.5 | ||||
| Netherlands |
37,527,850 | 7.3 | ||||
| Germany |
35,023,867 | 6.8 | ||||
| United States |
28,963,008 | 5.6 | ||||
| Japan |
26,012,021 | 5.0 | ||||
| Spain |
22,045,372 | 4.3 | ||||
| Italy |
20,241,853 | 3.9 | ||||
| Sweden |
15,742,930 | 3.1 | ||||
| Australia |
12,074,170 | 2.3 | ||||
| Canada |
11,820,363 | 2.3 | ||||
| Denmark |
11,024,615 | 2.1 | ||||
| Thailand |
6,435,123 | 1.3 | ||||
| India |
6,066,247 | 1.2 | ||||
| Mexico |
5,331,357 | 1.0 | ||||
| China |
4,148,574 | 0.8 | ||||
| Ireland |
4,100,798 | 0.8 | ||||
| Brazil |
3,852,022 | 0.7 | ||||
| Austria |
2,338,423 | 0.5 | ||||
|
|
| |||||
| Total |
$ | 516,262,613 | 100.0% | |||
|
|
| |||||
| 3 |
OPPENHEIMER INTERNATIONAL GROWTH FUND/VA |
NOTES TO STATEMENT OF INVESTMENTS September 30, 2014 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 (“1940 Act”), 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 OppenheimerFunds, Inc., (“OFI” or the “Sub-Adviser”). 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.
Equity Security Risk. Stocks and other equity securities fluctuate in price. The value of the Fund’s portfolio may be affected by changes in the equity markets generally. Equity markets may experience significant short-term volatility and may fall sharply at times. Different markets may behave differently from each other and U.S. equity markets may move in the opposite direction from one or more foreign stock markets.
The prices of individual equity securities generally do not all move in the same direction at the same time and a variety of factors can affect the price of a particular company’s securities. These factors may include, but are not limited to, poor earnings reports, a loss of customers, litigation against the company, general unfavorable performance of the company’s sector or industry, or changes in government regulations affecting the company or its industry.
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 or for defensive purposes. IMMF is a registered open-end management investment company, regulated as a money market fund under the 1940 Act. 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.
| 4 |
OPPENHEIMER INTERNATIONAL GROWTH 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 September 30, 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 |
$ | 21,628,046 | $ | 87,847,484 | $ | — | $ | 109,475,530 | ||||||||
| Consumer Staples |
4,487,384 | 52,569,885 | — | 57,057,269 | ||||||||||||
| Energy |
— | 17,797,694 | — | 17,797,694 | ||||||||||||
| Financials |
4,188,967 | 16,887,362 | — | 21,076,329 | ||||||||||||
| Health Care |
— | 50,831,987 | — | 50,831,987 | ||||||||||||
| Industrials |
— | 115,351,244 | — | 115,351,244 | ||||||||||||
| Information Technology |
— | 76,069,752 | — | 76,069,752 | ||||||||||||
| 5 |
OPPENHEIMER INTERNATIONAL GROWTH FUND/VA |
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
Securities Valuation (Continued)
| Level 1— Unadjusted Quoted Prices |
Level 2— Other Significant Observable Inputs |
Level 3— Significant Unobservable Inputs |
Value | |||||||||||
| Investments, at Value: (Continued) | ||||||||||||||
| Common Stocks (Continued) |
||||||||||||||
| Materials |
$ | — | $ | 22,677,951 | $ | — | $ 22,677,951 | |||||||
| Telecommunication Services |
— | 22,102,115 | — | 22,102,115 | ||||||||||
| Utilities |
— | 1,259,217 | — | 1,259,217 | ||||||||||
| Preferred Stock |
81,544 | — | — | 81,544 | ||||||||||
| Rights, Warrants and Certificates |
— | 53,082 | — | 53,082 | ||||||||||
| Investment Company |
22,428,899 | — | — | 22,428,899 | ||||||||||
|
|
| |||||||||||||
| Total Assets |
$ | 52,814,840 | $ | 463,447,773 | $ | — | $ 516,262,613 | |||||||
|
|
| |||||||||||||
Forward currency exchange contracts and futures contracts, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contract’s value from trade date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.
Federal Taxes
The approximate aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of September 30, 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 |
$ | 372,649,494 | ||
|
|
|
|||
| Gross unrealized appreciation |
$ | 165,546,360 | ||
| Gross unrealized depreciation |
(21,933,241) | |||
|
|
|
|||
| Net unrealized appreciation |
$ | 143,613,119 | ||
|
|
|
| 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 9/30/2014, 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/ Arthur P. Steinmetz | |
| Arthur P. Steinmetz | ||
| Principal Executive Officer | ||
| Date: | 11/10/2014 | |
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/ Arthur P. Steinmetz | |
| Arthur P. Steinmetz | ||
| Principal Executive Officer | ||
| Date: | 11/10/2014 | |
| By: | /s/ Brian W. Wixted | |
| Brian W. Wixted | ||
| Principal Financial Officer | ||
| Date: | 11/10/2014 | |
Exhibit 99.CERT
Section 302 Certifications
CERTIFICATIONS
I, Arthur P. Steinmetz, 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/ Arthur P. Steinmetz |
| Arthur P. Steinmetz |
| Principal Executive Officer |
Date: 11/10/2014
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: 11/10/2014 |