Oppenheimer Variable Account Funds


	Shares		Value
Common Stocks—99.0%
Consumer Discretionary—22.8%
Auto Components—0.8%
Delphi Automotive plc		74,620	$	5,950,199
Hotels, Restaurants & Leisure—6.0%
Chipotle Mexican Grill, Inc., Cl. A¹		11,110		7,227,499
Domino’s Pizza, Inc.		110,790		11,139,935
Jack in the Box, Inc.		58,290		5,591,177
Marriott International, Inc., Cl. A		187,160		15,032,691
Norwegian Cruise Line Holdings Ltd.¹		107,510		5,806,615
				44,797,917
Household Durables—2.3%
Harman International Industries, Inc.		70,700		9,447,641
Mohawk Industries, Inc.¹		40,460		7,515,445
				16,963,086
Multiline Retail—1.9%
Dollar Tree, Inc.¹		178,800		14,508,726
Specialty Retail—8.1%
L Brands, Inc.		122,140		11,516,581
O’Reilly Automotive, Inc.¹		76,850		16,618,044
Ross Stores, Inc.		117,950		12,427,212
Tractor Supply Co.		119,000		10,122,140
Ulta Salon, Cosmetics & Fragrance, Inc.¹		68,100		10,272,885
				60,956,862
Textiles, Apparel & Luxury Goods—3.7%
Hanesbrands, Inc.		467,504		15,666,059
Under Armour, Inc., Cl. A¹		152,410		12,307,107
				27,973,166
Consumer Staples—7.7%
Beverages—2.6%
Constellation Brands, Inc., Cl. A¹		83,650		9,720,966
Monster Beverage Corp.¹		68,670		9,503,585
				19,224,551
Food & Staples Retailing—1.0%
Kroger Co. (The)		99,800		7,650,668
Food Products—4.1%
Hain Celestial Group, Inc. (The)¹		103,000		6,597,150
Hormel Foods Corp.		140,160		7,968,096
Mead Johnson Nutrition Co., Cl. A		91,320		9,180,399
WhiteWave Foods Co. (The), Cl. A¹		165,440		7,335,610
				31,081,255
Energy—2.0%
Energy Equipment & Services—0.2%
Patterson-UTI Energy, Inc.		97,400		1,828,685
Oil, Gas & Consumable Fuels—1.8%
Cimarex Energy Co.		16,210		1,865,609
Concho Resources, Inc.¹		83,550		9,685,116
Memorial Resource Development Corp.¹		108,899		1,931,868
				13,482,593
Financials—7.5%
Capital Markets—3.1%
Affiliated Managers Group, Inc.¹		27,830		5,977,327
Lazard Ltd., Cl. A²		120,490		6,336,569
Legg Mason, Inc.		97,750		5,395,800
TD Ameritrade Holding Corp.		153,060		5,703,016
				23,412,712
Commercial Banks—2.2%
Signature Bank¹		68,020		8,814,032
SVB Financial Group¹		59,430		7,549,987
				16,364,019


	Shares		Value
Diversified Financial Services—0.6%
Moody’s Corp.		40,639	$	4,218,328
Real Estate Management & Development—1.6%
CBRE Group, Inc., Cl. A¹		212,559		8,228,159
Jones Lang LaSalle, Inc.		22,610		3,852,744
				12,080,903
Health Care—16.6%
Biotechnology—3.2%
Alnylam Pharmaceuticals, Inc.¹		36,730		3,835,347
BioMarin Pharmaceutical, Inc.¹		29,670		3,697,476
Incyte Corp.¹		90,840		8,326,394
Medivation, Inc.¹		34,990		4,516,159
Vertex Pharmaceuticals, Inc.¹		30,560		3,605,163
				23,980,539
Health Care Equipment & Supplies—3.6%
DexCom, Inc.¹		99,490		6,202,206
Edwards Lifesciences Corp.¹		89,210		12,708,857
IDEXX Laboratories, Inc.¹		27,220		4,204,946
STERIS Corp.		59,230		4,162,092
				27,278,101
Health Care Providers & Services—6.6%
AmerisourceBergen Corp., Cl. A		109,050		12,395,714
Centene Corp.¹		185,920		13,142,685
Team Health Holdings, Inc.¹		84,630		4,951,701
Universal Health Services, Inc., Cl. B		79,290		9,333,226
VCA, Inc.¹		172,810		9,473,444
				49,296,770
Health Care Technology—1.2%
Cerner Corp.¹		127,450		9,336,987
Life Sciences Tools & Services—1.2%
Illumina, Inc.¹		48,038		8,917,774
Pharmaceuticals—0.8%
Jazz Pharmaceuticals plc¹		34,830		6,018,276
Industrials—15.2%
Aerospace & Defense—1.5%
Hexcel Corp.		37,420		1,924,137
TransDigm Group, Inc.		41,460		9,068,131
				10,992,268
Airlines—1.4%
Southwest Airlines Co.		235,410		10,428,663
Building Products—2.4%
A.O. Smith Corp.		139,560		9,163,510
Lennox International, Inc.		78,640		8,783,301
				17,946,811
Electrical Equipment—1.5%
Acuity Brands, Inc.		65,030		10,935,445
Industrial Conglomerates—1.0%
Carlisle Cos., Inc.		82,030		7,598,439
Machinery—4.5%
Middleby Corp. (The)¹		93,850		9,633,702
Snap-on, Inc.		69,219		10,179,346
Wabtec Corp.		143,980		13,679,540
				33,492,588
Professional Services—1.5%
Robert Half International, Inc.		191,160		11,569,003
Road & Rail—1.4%
Old Dominion Freight Line, Inc.¹		139,360		10,772,528


	Shares		Value
Information Technology—21.2%
Communications Equipment—2.2%
F5 Networks, Inc.¹		46,830	$	5,382,640
Palo Alto Networks, Inc.¹		78,840		11,516,947
				16,899,587
Electronic Equipment, Instruments, & Components—1.7%
Amphenol Corp., Cl. A		139,770		8,236,646
IPG Photonics Corp.¹		49,390		4,578,453
				12,815,099
Internet Software & Services—4.3%
Akamai Technologies, Inc.¹		104,990		7,459,015
CoStar Group, Inc.¹		51,590		10,206,050
LinkedIn Corp., Cl. A¹		35,070		8,762,590
Rackspace Hosting, Inc.¹		113,670		5,864,235
				32,291,890
IT Services—1.3%
Fiserv, Inc.¹		119,010		9,449,394
Semiconductors & Semiconductor Equipment—5.1%
Avago Technologies Ltd., Cl. A		90,040		11,433,279
Lam Research Corp.		80,860		5,679,202
NXP Semiconductors NV¹		116,510		11,692,944
Skyworks Solutions, Inc.		93,920		9,231,397
				38,036,822


	Shares			Value
Software—6.6%
Electronic Arts, Inc.¹		161,440		$	9,495,094
Fortinet, Inc.¹		167,260			5,845,737
NetSuite, Inc.¹		66,197			6,140,434
ServiceNow, Inc.¹		138,230			10,889,759
Tableau Software, Inc., Cl. A¹		87,250			8,072,370
Ultimate Software Group, Inc. (The)¹		53,200			9,041,606
					49,485,000
Materials—4.1%
Chemicals—2.0%
Sherwin-Williams Co. (The)		51,900			14,765,550
Construction Materials—1.1%
Vulcan Materials Co.		97,670			8,233,581
Containers & Packaging—1.0%
Sealed Air Corp.		163,650			7,455,894
Telecommunication Services—1.9%
Wireless Telecommunication Services—1.9%
SBA Communications Corp., Cl. A¹		119,350			13,975,885
Total Common Stocks (Cost $534,681,927)					742,466,564
Investment Company—2.3%
Oppenheimer Institutional Money Market Fund, Cl. E, 0.12%^3,4 (Cost $17,080,817)		17,080,817			17,080,817
Total Investments, at Value (Cost $551,762,744)		101.3	%		759,547,381

Net Other Assets (Liabilities)		(1.3	)		(9,810,250	)

Net Assets		100.0	%	$	749,737,131

3. Is or was an affiliate, as defined in the Investment Company Act of 1940, as amended, at or during the period ended March 31, 2015, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows:

Oppenheimer Discovery Mid Cap Growth Fund/VA (the “Fund”), a separate series of Oppenheimer Variable Account Funds, is 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.

The Fund calculates the net asset value of its shares as of the close of the New York Stock Exchange (the “Exchange”), normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading.

The Fund’s Board has adopted procedures for the valuation of the Fund’s securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a “fair valuation” for any security for which market quotations are not “readily available.” The Valuation Committee’s fair valuation determinations are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined.

Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or dealers.

The following methodologies are used to determine the market value or the fair value of the types of securities described below:

Securities traded on a registered U.S. securities exchange (including exchange-traded derivatives other than futures and futures options) are valued based on the last sale price of the security reported on the principal exchange on which it is traded, prior to the time when the Fund’s assets are valued. In the absence of a sale, the security is valued at the last sale price on the prior trading day, if it is within the spread of the current day’s closing “bid” and “asked” prices, and if not, at the current day’s closing bid price. A security of a foreign issuer traded on a foreign exchange, but not listed on a registered U.S. securities exchange, is valued based on the last sale price on the principal exchange on which the security is traded, as identified by the third party pricing service used by the Manager, prior to the time when the Fund’s assets are valued. If the last sale price is unavailable, the security is valued at the most recent official closing price on the principal exchange on which it is traded. If the last sales price or official closing price for a foreign security is not available, the security is valued at the mean between the bid and asked price per the exchange or, if not available from the exchange, obtained from two dealers. If bid and asked prices are not available from either the exchange or two dealers, the security is valued by using one of the following methodologies (listed in order of priority): (1) using a bid from the exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer.

Shares of a registered investment company that are not traded on an exchange are valued at that investment company’s net asset value per share.

Corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, event-linked bonds, loans, mortgage-backed securities, collateralized mortgage obligations, and asset-backed securities are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers who may use matrix pricing methods to determine the evaluated prices.

Short-term money market type debt securities with a remaining maturity of sixty days or less are valued at cost adjusted by the amortization of discount or premium to maturity (amortized cost), which approximates market value. Short-term debt securities with a remaining maturity in excess of sixty days are valued at the mean between the “bid” and “asked” prices utilizing evaluated prices obtained from third party pricing services or broker-dealers.

A description of the standard inputs that may generally be considered by the third party pricing vendors in determining their evaluated prices is provided below.

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.

Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Various data inputs are used in determining the value of each of the Fund’s investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards:

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

2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.)

3) Level 3-significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset or liability).

The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities.

The table below categorizes amounts as of March 31, 2015 based on valuation input level:

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.

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.

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. Adverse events in any part of the equity or fixed-income markets may have unexpected negative effects on other market segments.

company, general unfavorable performance of the company’s sector or industry, or changes in government regulations affecting the company or its industry.

The approximate aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of March 31, 2015 are noted below. The primary difference between book and tax appreciation or depreciation of securities and other investments, if applicable, is attributable to the tax deferral of losses.


	Shares		Value
Common Stocks—33.9%
Consumer Discretionary—4.4%
Auto Components—0.4%
Delphi Automotive plc		12,820	$	1,022,267

Automobiles—0.4%
General Motors Co.		27,900		1,046,250

Diversified Consumer Services—0.2%
LifeLock, Inc.¹		37,340		526,867
Hotels, Restaurants & Leisure—0.4%
Brinker International, Inc.		12,230		752,879
International Speedway Corp., Cl. A		7,500		244,575
				997,454

Household Durables—0.3%
Toll Brothers, Inc.¹		22,620		889,871

Media—1.1%
Comcast Corp., Cl. A		31,470		1,777,111
Twenty-First Century Fox, Inc., Cl. A		30,380		1,028,059
				2,805,170

Specialty Retail—1.3%
AutoZone, Inc.¹		2,730		1,862,297
Ross Stores, Inc.		9,910		1,044,118
Sally Beauty Holdings, Inc.¹		17,920		615,910
				3,522,325

Textiles, Apparel & Luxury Goods—0.3%
PVH Corp.		7,180		765,101

Consumer Staples—2.8%
Beverages—0.5%
Diageo plc		48,700		1,342,815

Food Products—1.2%
Flowers Foods, Inc.		46,655		1,060,935
Mondelez International, Inc., Cl. A		58,150		2,098,633
				3,159,568

Household Products—0.7%
Henkel AG & Co. KGaA		16,738		1,731,114

Tobacco—0.4%
Philip Morris International, Inc.		15,010		1,130,703

Energy—2.1%
Oil, Gas & Consumable Fuels—2.1%
Antero Midstream Partners LP¹²		24,480		592,171
Chevron Corp.		11,180		1,173,676
HollyFrontier Corp.		10,750		432,903
Noble Energy, Inc.		31,040		1,517,856
Shell Midstream Partners LP¹²		12,177		474,903
Western Refining, Inc.		27,240		1,345,384
				5,536,893

Financials—5.8%
Commercial Banks—2.9%
BancorpSouth, Inc.		33,520		778,334
Citigroup, Inc.		44,040		2,268,941
FirstMerit Corp.		39,200		747,152
Huntington Bancshares, Inc.		92,120		1,017,926
JPMorgan Chase & Co.		33,940		2,056,085
Webster Financial Corp.		18,620		689,871
				7,558,309

Consumer Finance—0.4%
Discover Financial Services		21,221		1,195,803

Insurance—1.1%
American International Group, Inc.		24,960		1,367,558


	Shares		Value
Insurance (Continued)
FNF Group		38,610	$	1,419,304
				2,786,862

Real Estate Investment Trusts (REITs)—1.4%
Apollo Commercial Real Estate Finance, Inc.		44,110		757,810
Digital Realty Trust, Inc.		13,760		907,610
Simon Property Group, Inc.		8,150		1,594,466
STAG Industrial, Inc.		19,950		469,224
				3,729,110

Health Care—5.4%
Biotechnology—0.6%
BioMarin Pharmaceutical, Inc.¹		6,690		833,708
Celldex Therapeutics, Inc.¹		9,230		257,240
Puma Biotechnology, Inc.¹		1,800		424,998
				1,515,946

Health Care Equipment & Supplies—0.6%
DexCom, Inc.¹		10,640		663,297
Medtronic plc		13,039		1,016,912
				1,680,209

Health Care Providers & Services—1.7%
Centene Corp.¹		12,120		856,763
Express Scripts Holding Co.¹		10,830		939,719
Omnicare, Inc.		7,070		544,814
Team Health Holdings, Inc.¹		8,420		492,654
Universal Health Services, Inc., Cl. B		8,870		1,044,088
WellCare Health Plans, Inc.¹		6,230		569,796
				4,447,834

Pharmaceuticals—2.5%
Actavis plc¹		10,630		3,163,700
Bristol-Myers Squibb Co.		23,480		1,514,460
Pfizer, Inc.		27,405		953,420
Prestige Brands Holdings, Inc.¹		21,820		935,860
				6,567,440

Industrials—3.8%
Aerospace & Defense—1.0%
L-3 Communications Holdings, Inc.		6,080		764,803
United Technologies Corp.		15,740		1,844,728
				2,609,531

Airlines—0.3%
Spirit Airlines, Inc.¹		9,600		742,656

Commercial Services & Supplies—1.1%
KAR Auction Services, Inc.		16,260		616,742
Republic Services, Inc., Cl. A		19,700		799,032
Tyco International plc		33,760		1,453,705
				2,869,479

Construction & Engineering—0.2%
AECOM¹		15,730		484,799

Machinery—0.5%
Deere & Co.		10,290		902,330
Joy Global, Inc.		11,550		452,529
				1,354,859

Professional Services—0.4%
Robert Half International, Inc.		20,170		1,220,688

Trading Companies & Distributors—0.3%
NOW, Inc.¹		39,579		856,490

Information Technology—6.7%
Internet Software & Services—1.0%
eBay, Inc.¹		19,740		1,138,603


	Shares		Value
Internet Software & Services (Continued)
Facebook, Inc., Cl. A¹		19,750	$	1,623,747
				2,762,350

IT Services—1.4%
Amdocs Ltd.		22,910		1,246,304
MasterCard, Inc., Cl. A		12,130		1,047,911
Xerox Corp.		105,510		1,355,803
				3,650,018

Semiconductors & Semiconductor Equipment—1.2%
Applied Materials, Inc.		62,160		1,402,330
Cavium, Inc.¹		9,570		677,747
Skyworks Solutions, Inc.		12,020		1,181,446
				3,261,523

Software—1.1%
Fortinet, Inc.¹		17,990		628,750
Guidewire Software, Inc.¹		8,570		450,868
Imperva, Inc.¹		10,970		468,419
ServiceNow, Inc.¹		8,210		646,784
Splunk, Inc.¹		10,090		597,328
				2,792,149

Technology Hardware, Storage & Peripherals—2.0%
Apple, Inc.		35,300		4,392,379
Western Digital Corp.		9,740		886,437
				5,278,816

Materials—1.3%
Construction Materials—0.4%
Vulcan Materials Co.		11,140		939,102

Containers & Packaging—0.3%
Packaging Corp. of America		9,850		770,171

Metals & Mining—0.3%
Alcoa, Inc.		71,440		923,005

Paper & Forest Products—0.3%
PH Glatfelter Co.		27,990		770,565

Telecommunication Services—0.6%
Diversified Telecommunication Services—0.6%
ORBCOMM, Inc.¹		375		2,239
Verizon Communications, Inc.		31,450		1,529,413
				1,531,652

Utilities—1.0%
Multi-Utilities—1.0%
Consolidated Edison, Inc.		15,400		939,400
PG&E Corp.		35,360		1,876,555
				2,815,955
Total Common Stocks (Cost $72,293,370)				89,591,719

	Principal Amount
Asset-Backed Securities—10.4%
Auto Loan—9.4%
American Credit Acceptance Receivables Trust:
Series 2012-2,Cl. D, 5.91%, 7/15/19²	$	310,000		310,234
Series 2013-2,Cl. B, 2.84%, 5/15/19²		443,000		446,037
Series 2014-1,Cl. B, 2.39%, 11/12/19²		625,000		627,469
Series 2014-2,Cl. B, 2.26%, 3/10/20²		160,000		160,259
Series 2014-3,Cl. B, 2.43%, 6/10/20²		355,000		355,708
Series 2014-4,Cl. B, 2.60%, 10/12/20²		175,000		175,153
Series 2015-1,Cl. B, 2.85%, 2/12/21²		445,000		452,319
AmeriCredit Automobile Receivables Trust:
Series 2012-2,Cl. E, 4.85%, 8/8/19²		210,000		217,177
Series 2012-4,Cl. D, 2.68%, 10/9/18		70,000		70,718
Series 2012-5,Cl. D, 2.35%, 12/10/18		925,000		934,433
Series 2013-1,Cl. C, 1.57%, 1/8/19		875,000		875,063


	Principal Amount		Value
Auto Loan (Continued)
AmeriCredit Automobile Receivables Trust: (Continued)
Series 2013-2,Cl. E, 3.41%, 10/8/20²	$	415,000	$	421,413
Series 2013-4,Cl. D, 3.31%, 10/8/19		677,000		695,494
Series 2014-1,Cl. E, 3.58%, 8/9/21		110,000		110,717
Series 2014-2,Cl. E, 3.37%, 11/8/21		330,000		329,405
Series 2014-4,Cl. D, 3.07%, 11/9/20		190,000		191,430
California Republic Auto Receivables Trust:
Series 2014-2,Cl. C, 3.29%, 3/15/21		95,000		95,526
Series 2014-4,Cl. C, 3.56%, 9/15/21		125,000		126,266
Capital Auto Receivables Asset Trust:
Series 2013-1,Cl. D, 2.19%, 9/20/21		125,000		125,328
Series 2014-1,Cl. D, 3.39%, 7/22/19		140,000		142,455
Series 2014-3,Cl. D, 3.14%, 2/20/20		195,000		196,530
Series 2015-1,Cl. D, 3.16%, 8/20/20		195,000		195,375
CarFinance Capital Auto Trust:
Series 2013-1A,Cl. A, 1.65%, 7/17/17²		18,100		18,111
Series 2013-2A,Cl. B, 3.15%, 8/15/19²		635,000		645,231
Series 2014-1A,Cl. A, 1.46%, 12/17/18²		100,732		100,596
Series 2015-1A,Cl. A, 1.75%, 6/15/21²		273,260		273,727
Centre Point Funding LLC, Series 2010-1A, Cl. 1, 5.43%, 7/20/16²		22,447		22,555
CPS Auto Receivables Trust:
Series 2012-B,Cl. A, 2.52%, 9/16/19²		109,378		110,027
Series 2014-A,Cl. A, 1.21%, 8/15/18²		375,629		374,313
Series 2014-B,Cl. A, 1.11%, 11/15/18²		294,777		293,040
Series 2014-C,Cl. A, 1.31%, 2/15/19²		307,032		305,954
CPS Auto Trust, Series 2012-C, Cl. A, 1.82%, 12/16/19²		39,501		39,626
Credit Acceptance Auto Loan Trust:
Series 2013-1A,Cl. B, 1.83%, 4/15/21²		165,000		164,901
Series 2013-2A,Cl. B, 2.26%, 10/15/21²		310,000		312,156
Series 2014-1A,Cl. B, 2.29%, 4/15/22²		240,000		240,940
Series 2014-2A,Cl. B, 2.67%, 9/15/22²		195,000		195,333
Series 2015-1A,Cl. C, 3.30%, 7/17/23²		265,000		268,724
Drive Auto Receivables Trust, Series 2015-AA, Cl. C, 3.06%, 5/17/21²		285,000		284,943
DT Auto Owner Trust:
Series 2012-1A,Cl. D, 4.94%, 7/16/18²		336,572		339,449
Series 2013-1A,Cl. D, 3.74%, 5/15/20²		200,000		201,665
Series 2013-2A,Cl. D, 4.18%, 6/15/20²		545,000		553,132
Series 2014-1A,Cl. D, 3.98%, 1/15/21²		435,000		439,806
Series 2014-2A,Cl. D, 3.68%, 4/15/21²		615,000		618,294
Series 2014-3A,Cl. D, 4.47%, 11/15/21²		245,000		248,781
Series 2015-1A,Cl. C, 2.87%, 11/16/20²		205,000		206,024
Exeter Automobile Receivables Trust:
Series 2012-2A,Cl. C, 3.06%, 7/16/18²		516,000		517,024
Series 2013-2A,Cl. C, 4.35%, 1/15/19²		375,000		381,606
Series 2014-1A,Cl. B, 2.42%, 1/15/19²		280,000		281,073
Series 2014-1A,Cl. C, 3.57%, 7/15/19²		280,000		282,197
Series 2014-2A,Cl. A, 1.06%, 8/15/18²		76,577		76,398
Series 2014-2A,Cl. C, 3.26%, 12/16/19²		135,000		133,607
First Investors Auto Owner Trust:
Series 2012-1A,Cl. D, 5.65%, 4/15/18²		140,000		143,896
Series 2013-3A,Cl. B, 2.32%, 10/15/19²		465,000		470,136
Series 2013-3A,Cl. C, 2.91%, 1/15/20²		200,000		202,397
Series 2013-3A,Cl. D, 3.67%, 5/15/20²		165,000		166,680
Series 2014-1A,Cl. D, 3.28%, 4/15/21²		270,000		268,912
Series 2014-3A,Cl. D, 3.85%, 2/15/22²		175,000		176,545
Flagship Credit Auto Trust:
Series 2014-1,Cl. A, 1.21%, 4/15/19²		169,764		169,500
Series 2014-2,Cl. A, 1.43%, 12/16/19²		315,654		315,479
GM Financial Automobile Leasing Trust:
Series 2014-1A,Cl. D, 2.51%, 3/20/19²		470,000		472,087
Series 2015-1,Cl. D, 3.01%, 3/20/20		280,000		281,146
Navistar Financial Dealer Note Master Owner Trust
II, Series 2014-1, Cl. D, 2.474%, 10/25/19^2,3		145,000		145,067
Santander Drive Auto Receivables Trust:
Series 2012-6,Cl. D, 2.52%, 9/17/18		235,000		236,777
Series 2012-AA,Cl. D, 2.46%, 12/17/18²		945,000		949,125


	Principal Amount		Value
Auto Loan (Continued)
Santander Drive Auto Receivables Trust: (Continued)
Series 2013-1,Cl. C, 1.76%, 1/15/19	$	295,000	$	296,086
Series 2013-2,Cl. D, 2.57%, 3/15/19		715,000		729,637
Series 2013-3,Cl. C, 1.81%, 4/15/19		950,000		951,774
Series 2013-4,Cl. D, 3.92%, 1/15/20		130,000		135,338
Series 2013-5,Cl. C, 2.25%, 6/17/19		715,000		723,328
Series 2013-A,Cl. E, 4.71%, 1/15/21²		325,000		340,470
Series 2014-1,Cl. D, 2.91%, 4/15/20		265,000		267,944
Series 2014-4,Cl. D, 3.10%, 11/16/20		225,000		226,769
Series 2015-1,Cl. D, 3.24%, 4/15/21		300,000		302,450
SNAAC Auto Receivables Trust:
Series 2012-1A,Cl. C, 4.38%, 6/15/17²		142,357		142,549
Series 2013-1A,Cl. C, 3.07%, 8/15/18²		100,000		101,426
Series 2014-1A,Cl. A, 1.03%, 9/17/18²		107,518		107,489
Series 2014-1A,Cl. D, 2.88%, 1/15/20²		165,000		166,999
TCF Auto Receivables Owner Trust, Series 2014-1A, Cl. C, 3.12%, 4/15/21²		115,000		114,849
United Auto Credit Securitization Trust:
Series 2013-1,Cl. C, 2.22%, 12/15/17²		144,961		145,117
Series 2014-1,Cl. D, 2.38%, 10/15/18²		190,000		187,673
Series 2015-1,Cl. D, 2.92%, 6/17/19²		260,000		260,249
Westlake Automobile Receivables Trust:
Series 2014-1A,Cl. D, 2.20%, 2/15/21²		180,000		179,573
Series 2014-2A,Cl. D, 2.86%, 7/15/21²		195,000		196,024
				24,757,233

Equipment—0.7%
CLI Funding V LLC:
Series 2014-1A,Cl. A, 3.29%, 6/18/29²		563,543		571,269
Series 2014-2A,Cl. A, 3.38%, 10/18/29²		455,208		462,242
Cronos Containers Program I Ltd., Series 2014-2A, Cl. A, 3.27%, 11/18/29²		515,185		523,049
FRS I LLC, Series 2013-1A, Cl. A1, 1.80%, 4/15/43²		53,753		53,346
Trip Rail Master Funding LLC, Series 2014-1A, Cl. A1, 2.863%, 4/15/44²		148,080		148,869
				1,758,775

Home Equity Loan—0.3%
Element Rail Leasing I LLC, Series 2014-1A, Cl. A1, 2.299%, 4/19/44²		323,694		322,558
TAL Advantage V LLC:
Series 2014-1A,Cl. A, 3.51%, 2/22/39²		414,625		421,741
Series 2014-2A,Cl. A1, 1.70%, 5/20/39²		122,031		121,271
				865,570
Total Asset-Backed Securities (Cost $27,221,504)				27,381,578

Mortgage-Backed Obligations—38.3%
Government Agency—27.5%
FHLMC/FNMA/FHLB/Sponsored—27.3%
Federal Home Loan Mortgage Corp. Gold Pool:
4.50%, 10/1/18		42,060		44,101
5.00%, 12/1/34		3,929		4,373
5.50%, 9/1/39		596,820		669,366
6.50%, 4/1/18-4/1/34		41,376		47,269
7.00%, 10/1/31-10/1/37		195,993		220,136
8.00%, 4/1/16		1,999		2,023
9.00%, 8/1/22-5/1/25		4,764		5,274
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security:
Series 183,Cl. IO, 12.111%, 4/1/27⁴		98,750		19,702
Series 192,Cl. IO, 4.508%, 2/1/28⁴		27,097		4,917
Series 243,Cl. 6, 0.00%, 12/15/32^4,5		78,652		15,040
Federal Home Loan Mortgage Corp., Mtg.-Linked Amortizing Global Debt Securities, Series 2012-1, Cl. A10, 2.06%, 1/15/22		335,305		342,310


	Principal Amount		Value
FHLMC/FNMA/FHLB/Sponsored (Continued)
Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 4.195%, 6/1/26⁶	$	29,882	$	28,314
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates:
Series 2426,Cl. BG, 6.00%, 3/15/17		54,372		56,416
Series 2427,Cl. ZM, 6.50%, 3/15/32		153,663		180,140
Series 2461,Cl. PZ, 6.50%, 6/15/32		70,948		83,689
Series 2564,Cl. MP, 5.00%, 2/15/18		162,399		169,921
Series 2585,Cl. HJ, 4.50%, 3/15/18		91,306		95,696
Series 2626,Cl. TB, 5.00%, 6/15/33		162,781		176,641
Series 2635,Cl. AG, 3.50%, 5/15/32		58,391		61,431
Series 2707,Cl. QE, 4.50%, 11/15/18		403,238		423,309
Series 2770,Cl. TW, 4.50%, 3/15/19		17,459		18,383
Series 3010,Cl. WB, 4.50%, 7/15/20		50,001		52,793
Series 3025,Cl. SJ, 24.11%, 8/15/35³		26,120		39,537
Series 3030,Cl. FL, 0.575%, 9/15/35³		129,663		130,601
Series 3741,Cl. PA, 2.15%, 2/15/35		393,274		400,634
Series 3815,Cl. BD, 3.00%, 10/15/20		15,706		16,119
Series 3822,Cl. JA, 5.00%, 6/15/40		121,486		129,707
Series 3840,Cl. CA, 2.00%, 9/15/18		11,711		11,868
Series 3848,Cl. WL, 4.00%, 4/15/40		202,212		208,409
Series 3857,Cl. GL, 3.00%, 5/15/40		11,577		11,915
Series 4221,Cl. HJ, 1.50%, 7/15/23		1,050,278		1,061,912
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security:
Series 2130,Cl. SC, 50.464%, 3/15/29⁴		95,393		22,301
Series 2796,Cl. SD, 51.588%, 7/15/26⁴		126,124		27,122
Series 2920,Cl. S, 52.993%, 1/15/35⁴		649,791		136,261
Series 2922,Cl. SE, 5.696%, 2/15/35⁴		38,639		7,961
Series 2981,Cl. AS, 30.097%, 5/15/35⁴		379,206		76,612
Series 3201,Cl. SG, 1.508%, 8/15/36⁴		102,931		17,587
Series 3397,Cl. GS, 15.065%, 12/15/37⁴		43,933		7,871
Series 3424,Cl. EI, 8.207%, 4/15/38⁴		26,411		3,022
Series 3450,Cl. BI, 8.323%, 5/15/38⁴		120,643		25,817
Series 3606,Cl. SN, 0.501%, 12/15/39⁴		64,970		10,515
Federal National Mortgage Assn.:
3.00%, 4/1/30⁷		10,720,000		11,236,318
3.50%, 4/25/45⁷		30,855,000		32,418,239
4.00%, 4/1/45⁷		9,485,000		10,142,837
4.50%, 4/1/30⁷		504,000		528,255
5.00%, 4/1/45⁷		4,165,000		4,632,131
6.00%, 4/25/45⁷		425,000		484,898
Federal National Mortgage Assn. Pool:
3.50%, 12/1/20-2/1/22		471,342		500,249
5.00%, 3/1/21		20,590		21,670
5.50%, 9/1/20		3,993		4,279
6.00%, 11/1/17-3/1/37		283,870		321,816
6.50%, 5/1/17-10/1/19		49,930		51,859
7.00%, 11/1/17-10/1/35		11,973		12,364
7.50%, 1/1/33		90,765		112,027
8.50%, 7/1/32		5,917		6,860
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security:
Series 222,Cl. 2, 18.587%, 6/25/23⁴		205,964		36,942
Series 233,Cl. 2, 39.977%, 8/25/23⁴		150,609		32,568
Series 252,Cl. 2, 37.333%, 11/25/23⁴		198,336		32,611
Series 319,Cl. 2, 0.055%, 2/25/32⁴		43,722		9,968
Series 320,Cl. 2, 7.745%, 4/25/32⁴		14,002		2,851
Series 321,Cl. 2, 0.00%, 4/25/32^4,5		151,086		34,731
Series 331,Cl. 9, 10.992%, 2/25/33⁴		170,045		36,242
Series 334,Cl. 17, 18.307%, 2/25/33⁴		99,008		21,473
Series 339,Cl. 12, 0.00%, 6/25/33^4,5		140,101		35,892
Series 339,Cl. 7, 0.00%, 11/25/33^4,5		404,177		78,170
Series 343,Cl. 13, 0.00%, 9/25/33^4,5		137,223		26,882
Series 345,Cl. 9, 0.00%, 1/25/34^4,5		127,636		24,742
Series 351,Cl. 10, 0.00%, 4/25/34^4,5		18,218		3,563
Series 351,Cl. 8, 0.00%, 4/25/34^4,5		60,885		11,885
Series 356,Cl. 10, 0.00%, 6/25/35^4,5		44,782		8,810


	Principal Amount		Value
FHLMC/FNMA/FHLB/Sponsored (Continued)
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: (Continued)
Series 356,Cl. 12, 0.00%, 2/25/35^4,5	$	23,719	$	4,871
Series 362,Cl. 13, 0.00%, 8/25/35^4,5		164,656		33,723
Series 364,Cl. 16, 0.00%, 9/25/35^4,5		115,185		23,396
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates:
Series 1998-61,Cl. PL, 6.00%, 11/25/28		68,629		78,484
Series 2003-100,Cl. PA, 5.00%, 10/25/18		322,803		339,965
Series 2003-130,Cl. CS, 13.753%, 12/25/33³		16,301		19,038
Series 2003-84,Cl. GE, 4.50%, 9/25/18		24,902		26,101
Series 2004-101,Cl. BG, 5.00%, 1/25/20		165,264		170,099
Series 2004-25,Cl. PC, 5.50%, 1/25/34		211,797		223,974
Series 2005-104,Cl. MC, 5.50%, 12/25/25		328,662		361,628
Series 2005-31,Cl. PB, 5.50%, 4/25/35		250,000		300,576
Series 2005-73,Cl. DF, 0.424%, 8/25/35³		312,096		313,445
Series 2006-11,Cl. PS, 23.93%, 3/25/36³		96,897		142,937
Series 2006-46,Cl. SW, 23.562%, 6/25/36³		70,541		102,841
Series 2006-50,Cl. KS, 23.563%, 6/25/36³		15,578		22,953
Series 2008-75,Cl. DB, 4.50%, 9/25/23		96,162		100,381
Series 2009-113,Cl. DB, 3.00%, 12/25/20		339,269		348,519
Series 2009-36,Cl. FA, 1.114%, 6/25/37³		103,837		106,558
Series 2009-37,Cl. HA, 4.00%, 4/25/19		100,099		103,458
Series 2009-70,Cl. TL, 4.00%, 8/25/19		1,066,601		1,102,352
Series 2010-43,Cl. KG, 3.00%, 1/25/21		158,722		163,367
Series 2011-15,Cl. DA, 4.00%, 3/25/41		60,027		63,407
Series 2011-3,Cl. EL, 3.00%, 5/25/20		562,301		577,667
Series 2011-3,Cl. KA, 5.00%, 4/25/40		235,226		258,930
Series 2011-38,Cl. AH, 2.75%, 5/25/20		12,863		13,158
Series 2011-82,Cl. AD, 4.00%, 8/25/26		345,242		359,443
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security:
Series 2001-65,Cl. S, 27.636%, 11/25/31⁴		162,281		31,865
Series 2001-81,Cl. S, 24.297%, 1/25/32⁴		42,309		10,912
Series 2002-47,Cl. NS, 30.093%, 4/25/32⁴		114,767		29,460
Series 2002-51,Cl. S, 30.286%, 8/25/32⁴		105,384		25,990
Series 2002-52,Cl. SD, 35.326%, 9/25/32⁴		150,392		36,432
Series 2002-77,Cl. SH, 34.657%, 12/18/32⁴		65,565		13,138
Series 2002-84,Cl. SA, 34.009%, 12/25/32⁴		160,243		39,202
Series 2002-9,Cl. MS, 25.206%, 3/25/32⁴		45,799		9,883
Series 2003-33,Cl. SP, 28.50%, 5/25/33⁴		175,506		37,711
Series 2003-4,Cl. S, 30.098%, 2/25/33⁴		98,378		24,082
Series 2003-46,Cl. IH, 0.00%, 6/25/23^4,5		352,344		45,167
Series 2004-54,Cl. DS, 39.302%, 11/25/30⁴		124,638		24,346
Series 2004-56,Cl. SE, 11.147%, 10/25/33⁴		34,279		5,964
Series 2005-12,Cl. SC, 9.374%, 3/25/35⁴		18,735		4,055
Series 2005-14,Cl. SE, 36.91%, 3/25/35⁴		60,166		9,384
Series 2005-40,Cl. SA, 49.035%, 5/25/35⁴		325,364		56,342
Series 2005-52,Cl. JH, 1.345%, 5/25/35⁴		796,471		139,435
Series 2005-93,Cl. SI, 18.477%, 10/25/35⁴		80,117		12,722
Series 2007-88,Cl. XI, 35.446%, 6/25/37⁴		190,204		32,961
Series 2008-55,Cl. SA, 10.591%, 7/25/38⁴		93,472		12,793
Series 2009-8,Cl. BS, 0.00%, 2/25/24^4,5		36,210		2,242
Series 2012-40,Cl. PI, 0.00%, 4/25/41^4,5		368,119		68,396
Series 2012-134,Cl. SA, 10.46%, 12/25/42⁴		625,536		161,436
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Principal-Only Stripped Mtg.-Backed Security, Series 1993-184, Cl. M, 4.973%, 9/25/23⁶		75,694		74,256
				72,207,592

GNMA/Guaranteed—0.2%
Government National Mortgage Assn. I Pool:
7.00%, 1/15/24		37,609		40,442
7.50%, 1/15/23-6/15/24		36,770		39,899
8.00%, 5/15/17-4/15/23		26,208		28,789
8.50%, 8/15/17-12/15/17		4,960		5,214
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security:
Series 2002-15,Cl. SM, 59.119%, 2/16/32⁴		206,490		40,291


	Principal Amount		Value
GNMA/Guaranteed (Continued)
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: (Continued)
Series 2002-76,Cl. SY, 62.521%, 12/16/26⁴	$	425,665	$	86,790
Series 2007-17,Cl. AI, 18.976%, 4/16/37⁴		456,060		96,037
Series 2011-52,Cl. HS, 8.886%, 4/16/41⁴		225,455		45,966
				383,428

Non-Agency—10.8%
Commercial—9.7%
Banc of America Commercial Mortgage Trust:
Series 2006-5,Cl. AM, 5.448%, 9/10/47		85,000		89,300
Series 2006-6,Cl. AM, 5.39%, 10/10/45		830,000		878,605
Banc of America Funding Trust:
Series 2006-G,Cl. 2A4, 0.466%, 7/20/36³		950,000		888,324
Series 2014-R7,Cl. 3A1, 2.615%, 3/26/36³		333,284		342,482
BCAP LLC Trust, Series 2011-R11, Cl. 18A5, 2.27%, 9/26/35^2,3		286,952		291,992
Bear Stearns ARM Trust:
Series 2005-2,Cl. A1, 2.68%, 3/25/35³		342,530		346,762
Series 2005-9,Cl. A1, 2.41%, 10/25/35³		972,072		960,559
Bear Stearns Commercial Mortgage Securities Trust, Series 2006-T24, Cl. AM, 5.568%, 10/12/41³		365,000		386,210
CD Commercial Mortgage Trust, Series 2006-CD2, Cl. AM, 5.351%, 1/15/46³		515,000		532,047
Chase Mortgage Finance Trust, Series 2005-A2, Cl. 1A3, 2.441%, 1/25/36³		219,273		207,031
Citigroup Commercial Mortgage Trust:
Series 2008-C7,Cl. AM, 6.134%, 12/10/49³		105,000		114,940
Series 2013-GC11,Cl. D, 4.458%, 4/10/46^2,3		185,000		184,152
Citigroup Mortgage Loan Trust, Inc., Series 2006-AR1, Cl. 1A1, 2.57%, 10/25/35³		848,817		843,685
COMM Mortgage Trust:
Series 2006-C7,Cl. AM, 5.776%, 6/10/46³		855,000		897,585
Series 2012-CR4,Cl. D, 4.576%, 10/15/45^2,3		185,000		187,096
Series 2012-CR5,Cl. E, 4.336%, 12/10/45^2,3		480,000		482,116
Series 2013-CR7,Cl. D, 4.354%, 3/10/46^2,3		445,000		430,557
Series 2014-CR21,Cl. AM, 3.987%, 12/10/47		860,000		918,839
COMM Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 2012-CR5, Cl. XA, 0%, 12/10/45^4,5		432,999		39,889
Commercial Mortgage Trust:
Series 2006-GG7,Cl. AM, 5.785%, 7/10/38³		230,000		240,957
Series 2007-GG11,Cl. AM, 5.867%, 12/10/49³		500,000		541,877
Series 2007-GG9,Cl. AM, 5.475%, 3/10/39		815,000		860,500
Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Cl. AJ, 5.466%, 2/15/39³		208,000		215,065
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C6, Cl. AJ, 5.23%, 12/15/40³		275,000		280,301
CSMC:
Series 2006-6,Cl. 1A4, 6.00%, 7/25/36		220,020		181,620
Series 2009-13R,Cl. 4A1, 2.623%, 9/26/36^2,3		121,424		122,377
DBUBS Mortgage Trust, Series 2011-LC1A, Cl. E, 5.558%, 11/10/46^2,3		50,000		55,170
First Horizon Alternative Mortgage Securities Trust:
Series 2004-FA2,Cl. 3A1, 6.00%, 1/25/35		148,143		142,481
Series 2005-FA8,Cl. 1A6, 0.824%, 11/25/35³		154,778		117,833
FREMF Mortgage Trust:
Series 2012-K501,Cl. C, 3.443%, 11/25/46^2,3		50,000		51,176
Series 2013-K25,Cl. C, 3.618%, 11/25/45^2,3		60,000		60,176
Series 2013-K26,Cl. C, 3.60%, 12/25/45^2,3		40,000		40,274
Series 2013-K27,Cl. C, 3.497%, 1/25/46^2,3		110,000		109,251
Series 2013-K28,Cl. C, 3.494%, 6/25/46^2,3		450,000		446,469
Series 2013-K502,Cl. C, 3.188%, 3/25/45^2,3		220,000		224,384
Series 2013-K712,Cl. C, 3.368%, 5/25/45^2,3		70,000		70,668
Series 2013-K713,Cl. C, 3.165%, 4/25/46^2,3		145,000		144,265
Series 2014-K715,Cl. C, 4.124%, 2/25/46^2,3		35,000		36,367
GS Mortgage Securities Trust, Series 2006-GG6, Cl. AM, 5.553%, 4/10/38³		200,000		205,754


	Principal Amount		Value
Commercial (Continued)
GSMSC Pass-Through Trust, Series 2009-3R, Cl. 1A2, 6%, 4/25/37^2,3	$	478,151	$	441,715
GSR Mortgage Loan Trust, Series 2005-AR4, Cl. 6A1, 5.201%, 7/25/35³		52,916		52,433
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2012-LC9, Cl. E, 4.422%, 12/15/47^2,3		285,000		287,385
JP Morgan Chase Commercial Mortgage Securities Trust:
Series 2005-CB13,Cl. AM, 5.50%, 1/12/43³		365,000		373,431
Series 2006-CB16,Cl. AJ, 5.623%, 5/12/45		340,000		347,510
Series 2006-LDP8,Cl. AJ, 5.48%, 5/15/45³		690,000		721,708
Series 2012-C6,Cl. E, 5.207%, 5/15/45^2,3		380,000		397,975
JP Morgan Mortgage Trust:
Series 2007-A1,Cl. 5A1, 2.556%, 7/25/35³		196,814		197,457
Series 2007-S3,Cl. 1A90, 7.00%, 8/25/37		201,567		186,626
JP Morgan Resecuritization Trust:
Series 2009-11,Cl. 5A1, 2.623%, 9/26/36^2,3		451,059		452,217
Series 2009-5,Cl. 1A2, 2.629%, 7/26/36^2,3		253,910		220,334
JPMBB Commercial Mortgage Securities Trust:
Series 2014-C25,Cl. AS, 4.065%, 11/15/47		360,000		390,271
Series 2014-C26,Cl. AS, 3.80%, 1/15/48		180,000		191,061
LB-UBS Commercial Mortgage Trust, Series 2006- C4, Cl. AM, 5.858%, 6/15/38³		225,000		236,955
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Cl. 2A2, 2.645%, 4/21/34³		84,504		86,442
Merrill Lynch Mortgage Trust, Series 2006-C2, Cl. AM, 5.782%, 8/12/43³		500,000		527,681
Morgan Stanley Bank of America Merrill Lynch Trust:
Series 2012-C6,Cl. E, 4.661%, 11/15/45^2,3		385,000		395,522
Series 2013-C7,Cl. D, 4.302%, 2/15/46^2,3		115,000		114,714
Series 2013-C8,Cl. D, 4.171%, 12/15/48^2,3		80,000		78,903
Series 2014-C19,Cl. AS, 3.832%, 12/15/47		720,000		763,180
Morgan Stanley Capital I Trust:
Series 2007-IQ13,Cl. AM, 5.406%, 3/15/44		470,000		501,208
Series 2007-IQ15,Cl. AM, 5.909%, 6/11/49³		345,000		370,322
Morgan Stanley Re-Remic Trust, Series 2012-R3, Cl. 1B, 1.959%, 11/26/36^2,3		251,811		185,622
Morgan Stanley Resecuritization Trust, Series 2013-R9, Cl. 3A, 2.364%, 6/26/46^2,3		661,931		668,984
RBSSP Resecuritization Trust, Series 2010-1, Cl. 2A1, 2.31%, 7/26/45^2,3		47,884		47,809
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-10, Cl. 2A, 2.417%, 8/25/34³		381,504		378,611
UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Cl. E, 4.89%, 5/10/63^2,3		45,000		46,370
WaMu Mortgage Pass-Through Certificates Trust:
Series 2005-AR14,Cl. 1A4, 2.342%, 12/25/35³		168,047		163,064
Series 2005-AR16,Cl. 1A1, 2.34%, 12/25/35³		158,613		151,572
Wells Fargo Mortgage-Backed Securities Trust:
Series 2005-AR1,Cl. 1A1, 2.617%, 2/25/35³		37,114		37,388
Series 2005-AR10,Cl. 1A1, 2.619%, 6/25/35³		725,986		743,836
Series 2005-AR15,Cl. 1A6, 2.613%, 9/25/35³		515,729		491,991
Series 2006-AR7,Cl. 2A4, 2.619%, 5/25/36³		250,580		238,018
Series 2006-AR8,Cl. 2A4, 2.604%, 4/25/36³		185,365		181,187
Series 2007-16,Cl. 1A1, 6.00%, 12/28/37		117,081		121,299
Series 2007-AR8,Cl. A1, 2.61%, 11/25/37³		509,291		449,867
WF-RBS Commercial Mortgage Trust:
Series 2012-C10,Cl. D, 4.458%, 12/15/45^2,3		160,000		158,895
Series 2012-C7,Cl. E, 4.845%, 6/15/45^2,3		80,000		82,333
Series 2012-C8,Cl. E, 4.876%, 8/15/45^2,3		365,000		381,352
Series 2013-C11,Cl. D, 4.182%, 3/15/45^2,3		49,000		48,281
Series 2013-C15,Cl. D, 4.482%, 8/15/46^2,3		225,000		222,273
WF-RBS Commercial Mortgage Trust, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2011-C3, Cl. XA, 0%, 3/15/44^2,4,5		3,805,139		195,706
				25,498,644


	Principal Amount		Value
Multi-Family—0.1%
Wells Fargo Mortgage-Backed Securities Trust:
Series 2005-AR15,Cl. 1A2, 2.613%, 9/25/35³	$	262,764	$	257,275
Series 2006-AR2,Cl. 2A3, 2.615%, 3/25/36³		48,150		47,705

Residential—1.0%
Alternative Loan Trust, Series 2005-29CB, Cl. A4, 5%, 7/25/35		459,187		420,465
Banc of America Funding Trust:
Series 2007-1,Cl. 1A3, 6.00%, 1/25/37		110,070		101,884
Series 2007-C,Cl. 1A4, 5.278%, 5/20/36³		43,789		41,451
Banc of America Mortgage Trust, Series 2004-E, Cl. 2A6, 2.736%, 6/25/34³		123,409		123,112
Bear Stearns ARM Trust, Series 2006-1, Cl. A1, 2.36%, 2/25/36³		353,366		353,146
Carrington Mortgage Loan Trust, Series 2006- FRE1, Cl. A2, 0.284%, 7/25/36³		71,845		70,701
CD Commercial Mortgage Trust, Series 2007-CD4, Cl. AMFX, 5.366%, 12/11/49³		970,000		1,015,805
CHL Mortgage Pass-Through Trust:
Series 2005-26,Cl. 1A8, 5.50%, 11/25/35		136,599		132,473
Series 2006-6,Cl. A3, 6.00%, 4/25/36		67,054		65,247
RALI Trust:
Series 2003-QS1,Cl. A2, 5.75%, 1/25/33		20,808		20,945
Series 2006-QS13,Cl. 1A8, 6.00%, 9/25/36		15,321		12,540
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR10, Cl. A7, 2.419%, 10/25/33³		174,876		178,993
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR14, Cl. 1A2, 5.765%, 10/25/36³		96,987		94,271
				2,631,033
Total Mortgage-Backed Obligations (Cost $99,946,067)				101,025,677

U.S. Government Obligations—0.3%
Federal Home Loan Mortgage Corp. Nts., 5.50%, 7/18/16		65,000		69,220
Federal National Mortgage Assn. Nts., 1%, 9/27/17		193,000		193,831
United States Treasury Nts., 1.50%, 5/31/19		552,000		557,908
Total U.S. Government Obligations (Cost $814,891)				820,959

Non-Convertible Corporate Bonds and Notes—35.3%
Consumer Discretionary—4.8%
Auto Components—0.1%
BorgWarner, Inc., 4.375% Sr. Unsec. Nts., 3/15/45		128,000		133,477
Johnson Controls, Inc., 1.40% Sr. Unsec. Nts., 11/2/17		77,000		76,803
				210,280

Automobiles—1.2%
Daimler Finance North America LLC:
1.30% Sr. Unsec. Nts., 7/31/15²		463,000		464,267
8.50% Sr. Unsec. Unsub. Nts., 1/18/31		271,000		430,126
Ford Motor Credit Co. LLC, 3.664% Sr. Unsec. Nts., 9/8/24		970,000		1,002,811
General Motors Co., 6.25% Sr. Unsec. Nts., 10/2/43		437,000		537,375
Hyundai Capital America, 1.45% Sr. Unsec. Nts., 2/6/17²		468,000		468,662
Kia Motors Corp., 3.625% Sr. Unsec. Nts., 6/14/16²		341,000		350,088
				3,253,329


	Principal Amount		Value
Diversified Consumer Services—0.2%
Service Corp. International, 5.375% Sr. Unsec. Nts., 5/15/24	$	406,000	$	426,300

Hotels, Restaurants & Leisure—0.5%
Brinker International, Inc., 2.60% Sr. Unsec. Nts., 5/15/18		151,000		151,783
Carnival Corp., 1.20% Sr. Unsec. Nts., 2/5/16		465,000		465,765
Hyatt Hotels Corp., 3.875% Sr. Unsec. Unsub. Nts., 8/15/16		77,000		79,782
Starwood Hotels & Resorts Worldwide, Inc., 7.15% Sr. Unsec. Unsub. Nts., 12/1/19		164,000		194,518
Wyndham Worldwide Corp., 6% Sr. Unsec. Nts., 12/1/16		403,000		430,456
				1,322,304

Household Durables—0.6%
Jarden Corp., 6.125% Sr. Unsec. Nts., 11/15/22		416,000		435,240
Lennar Corp., 4.75% Sr. Unsec. Nts., 11/15/22		430,000		439,675
Toll Brothers Finance Corp., 4.375% Sr. Unsec. Nts., 4/15/23		357,000		362,355
Whirlpool Corp.:
1.35% Sr. Unsec. Nts., 3/1/17		123,000		123,320
1.65% Sr. Unsec. Nts., 11/1/17		105,000		105,723
				1,466,313

Leisure Equipment & Products—0.2%
Mattel, Inc., 1.70% Sr. Unsec. Nts., 3/15/18		433,000		431,219

Media—1.2%
21st Century Fox America, Inc., 6.15% Sr. Unsec. Nts., 2/15/41		183,000		237,477
CCO Holdings LLC/CCO Holdings Capital Corp., 6.50% Sr. Unsec. Nts., 4/30/21		262,000		276,082
Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22		211,000		307,441
Comcast Corp., 4.65% Sr. Unsec. Unsub. Nts., 7/15/42		156,000		175,173
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 5.15% Sr. Unsec. Nts., 3/15/42		275,000		288,916
Historic TW, Inc.:
8.05% Sr. Unsec. Nts., 1/15/16		77,000		81,178
9.15% Debs., 2/1/23		118,000		163,212
Interpublic Group of Cos., Inc. (The), 4.20% Sr. Unsec. Nts., 4/15/24		226,000		239,872
Lamar Media Corp., 5% Sr. Unsec. Sub. Nts., 5/1/23		441,000		453,128
Pearson Funding Two plc, 4% Sr. Unsec. Nts., 5/17/16²		101,000		104,242
Sky plc, 3.75% Sr. Unsec. Nts., 9/16/24²		217,000		224,790
Time Warner Cable, Inc., 4.50% Sr. Unsec. Unsub. Nts., 9/15/42		323,000		335,326
Time Warner, Inc., 4.65% Sr. Unsec. Nts., 6/1/44		98,000		106,017
Viacom, Inc., 2.50% Sr. Unsec. Nts., 12/15/16		183,000		187,159
				3,180,013

Multiline Retail—0.0%
Macy’s Retail Holdings, Inc., 4.50% Sr. Unsec. Nts., 12/15/34		104,000		110,443

Specialty Retail—0.5%
Best Buy Co., Inc., 5.50% Sr. Unsec. Nts., 3/15/21		415,000		439,900
Home Depot, Inc. (The), 4.875% Sr. Unsec. Nts., 2/15/44		167,000		200,195
Ross Stores, Inc., 3.375% Sr. Unsec. Nts., 9/15/24		425,000		436,203
Sally Holdings LLC/Sally Capital, Inc., 5.75% Sr. Unsec. Nts., 6/1/22		5,000		5,344
Signet UK Finance plc, 4.70% Sr. Unsec. Nts., 6/15/24		228,000		234,465
				1,316,107


	Principal Amount		Value
Textiles, Apparel & Luxury Goods—0.3%
Levi Strauss & Co., 6.875% Sr. Unsec. Nts., 5/1/22	$	400,000	$	439,000
PVH Corp., 4.50% Sr. Unsec. Unsub. Nts., 12/15/22		431,000		439,620
				878,620

Consumer Staples—2.5%
Beverages—0.5%
Anheuser-Busch InBev Worldwide, Inc., 8.20% Sr. Unsec. Unsub. Nts., 1/15/39		386,000		605,364
Pernod Ricard SA:
2.95% Sr. Unsec. Nts., 1/15/17²		423,000		435,211
4.25% Sr. Unsec. Nts., 7/15/22²		260,000		280,662
				1,321,237

Food & Staples Retailing—0.5%
CVS Health Corp., 5.30% Sr. Unsec. Nts., 12/5/43		101,000		123,891
Delhaize Group SA, 5.70% Sr. Unsec. Nts., 10/1/40		251,000		278,378
Kroger Co., 6.90% Sr. Unsec. Nts., 4/15/38		109,000		149,317
Kroger Co. (The), 6.40% Sr. Unsec. Nts., 8/15/17		385,000		429,438
Walgreens Boots Alliance, Inc., 1.75% Sr. Unsec. Nts., 11/17/17		185,000		186,774
Wal-Mart Stores, Inc., 4.30% Sr. Unsec. Nts., 4/22/44		197,000		220,426
				1,388,224

Food Products—1.2%
Bunge Ltd. Finance Corp.:
5.10% Sr. Unsec. Unsub. Nts., 7/15/15		381,000		385,473
8.50% Sr. Unsec. Nts., 6/15/19		320,000		395,035
ConAgra Foods, Inc., 1.35% Sr. Unsec. Nts., 9/10/15		412,000		412,890
Ingredion, Inc., 1.80% Sr. Unsec. Nts., 9/25/17		249,000		249,081
JM Smucker Co.:
1.75% Sr. Unsec. Nts., 3/15/18²		334,000		335,586
3.50% Sr. Unsec. Nts., 3/15/25²		261,000		268,874
Kraft Foods Group, Inc., 5% Sr. Unsec. Nts., 6/4/42		99,000		110,502
TreeHouse Foods, Inc., 4.875% Sr. Unsec. Nts., 3/15/22		420,000		429,450
Tyson Foods, Inc.:
4.875% Sr. Unsec. Nts., 8/15/34		140,000		158,348
6.60% Sr. Unsec. Nts., 4/1/16		402,000		424,143
				3,169,382

Tobacco—0.3%
Altria Group, Inc., 10.20% Sr. Unsec. Nts., 2/6/39		241,000		427,544
Reynolds American, Inc., 6.75% Sr. Unsec. Nts., 6/15/17		388,000		430,717
				858,261
Energy—3.2%
Energy Equipment & Services—0.5%
Ensco plc, 5.20% Sr. Unsec. Nts., 3/15/25		85,000		85,617
Nabors Industries, Inc.:
2.35% Sr. Unsec. Nts., 9/15/16		348,000		347,082
4.625% Sr. Unsec. Nts., 9/15/21		182,000		175,395
Rowan Cos., Inc., 4.875% Sr. Unsec. Unsub. Nts., 6/1/22		179,000		172,299
Sinopec Group Overseas Development 2014 Ltd., 1.75% Sr. Unsec. Nts., 4/10/17²		431,000		431,816
Weatherford International Ltd., 5.95% Sr. Unsec. Nts., 4/15/42		118,000		104,053
				1,316,262

Oil, Gas & Consumable Fuels—2.7%
Anadarko Petroleum Corp., 6.20% Sr. Unsec. Nts., 3/15/40		196,000		239,485
Boardwalk Pipelines LP, 4.95% Sr. Unsec. Nts., 12/15/24		234,000		236,289


	Principal Amount		Value
Oil, Gas & Consumable Fuels (Continued)
Canadian Natural Resources Ltd.:
1.75% Sr. Unsec. Nts., 1/15/18	$	165,000	$	164,270
5.90% Sr. Unsec. Nts., 2/1/18		186,000		205,384
CNOOC Nexen Finance 2014 ULC, 1.625% Sr. Unsec. Nts., 4/30/17		444,000		443,128
DCP Midstream LLC, 5.375% Sr. Unsec. Nts., 10/15/15²		342,000		343,966
Devon Energy Corp., 4.75% Sr. Unsec. Nts., 5/15/42		197,000		211,529
EnLink Midstream Partners LP:
2.70% Sr. Unsec. Nts., 4/1/19		356,000		356,253
4.40% Sr. Unsec. Nts., 4/1/24		112,000		117,945
Enterprise Products Operating LLC, 3.75% Sr. Unsec. Nts., 2/15/25		195,000		202,106
Kinder Morgan Energy Partners LP, 4.10% Sr. Unsec. Nts., 11/15/15		181,000		184,214
Kinder Morgan, Inc., 5% Sr. Unsec. Nts., 2/15/21²		521,000		557,547
Noble Energy, Inc., 5.05% Sr. Unsec. Nts., 11/15/44		120,000		126,421
Origin Energy Finance Ltd.:
3.50% Sr. Unsec. Nts., 10/9/18²		468,000		482,446
5.45% Sr. Unsec. Nts., 10/14/21²		295,000		324,844
Phillips 66 Partners LP, 3.605% Sr. Unsec. Nts., 2/15/25		86,000		86,319
Pioneer Natural Resources Co., 6.65% Sr. Unsec. Nts., 3/15/17		385,000		418,622
Plains All American Pipeline LP/PAA Finance Corp., 3.60% Sr. Unsec. Nts., 11/1/24		322,000		323,923
Southwestern Energy Co., 4.05% Sr. Unsec. Nts., 1/23/20		389,000		402,412
Spectra Energy Partners LP:
4.50% Sr. Unsec. Nts., 3/15/45		85,000		86,639
4.60% Sr. Unsec. Nts., 6/15/21		277,000		304,487
4.75% Sr. Unsec. Nts., 3/15/24		229,000		251,933
Western Gas Partners LP, 4% Sr. Unsec. Nts., 7/1/22		273,000		277,928
Williams Partners LP:
3.60% Sr. Unsec. Nts., 3/15/22		36,000		35,830
4.50% Sr. Unsec. Nts., 11/15/23		405,000		420,680
Woodside Finance Ltd., 4.60% Sr. Unsec. Unsub. Nts., 5/10/21²		372,000		402,831
				7,207,431

Financials—10.7%
Capital Markets—2.4%
Apollo Management Holdings LP, 4% Sr. Unsec. Nts., 5/30/24²		368,000		378,963
Blackstone Holdings Finance Co. LLC, 5% Sr. Unsec. Nts., 6/15/44²		458,000		497,915
Credit Suisse, New York, 3.625% Sr. Unsec. Nts., 9/9/24		604,000		625,022
Deutsche Bank AG, 4.50% Sub. Nts., 4/1/25		435,000		435,272
Goldman Sachs Group, Inc. (The):
3.50% Sr. Unsec. Nts., 1/23/25		436,000		445,450
5.70% Jr. Sub. Perpetual Bonds, Series L^3,8		448,000		462,420
KKR Group Finance Co. III LLC, 5.125% Sr. Unsec. Nts., 6/1/44²		355,000		368,175
Lazard Group LLC:
3.75% Sr. Unsec. Nts., 2/13/25		104,000		102,778
4.25% Sr. Unsec. Nts., 11/14/20		401,000		429,096
Morgan Stanley:
4.30% Sr. Unsec. Nts., 1/27/45		255,000		265,394
5.00% Sub. Nts., 11/24/25		395,000		436,885
5.45% Jr. Sub. Perpetual Bonds, Series H^3,8		428,000		431,745
Nomura Holdings, Inc., 2% Sr. Unsec. Nts., 9/13/16		452,000		456,505
Raymond James Financial, Inc., 5.625% Sr. Unsec. Unsub. Nts., 4/1/24		265,000		306,896


	Principal Amount		Value
Capital Markets (Continued)
UBS Preferred Funding Trust V, 6.243% Jr. Sub. Perpetual Bonds, Series 1^3,8	$	638,000	$	665,912
				6,308,428

Commercial Banks—4.0%
Bank of America Corp.:
7.75% Jr. Sub. Nts., 5/14/38		424,000		612,591
8.00% Jr. Sub. Perpetual Bonds, Series K^3,8		393,000		423,949
Barclays plc, 3.65% Sr. Unsec. Nts., 3/16/25		353,000		354,836
CIT Group, Inc., 3.875% Sr. Unsec. Nts., 2/19/19		434,000		430,745
Citigroup, Inc.:
2.40% Sr. Unsec. Nts., 2/18/20		694,000		697,272
6.675% Sub. Nts., 9/13/43		199,000		266,362
5.95% Jr. Sub. Perpetual Bonds, Series D^3,8		465,000		471,394
Citizens Financial Group, Inc., 5.50% Jr. Sub. Perpetual Bonds^2,3,7,8		433,000		433,000
Credit Agricole SA, 8.375% Jr. Sub. Perpetual Bonds^3,8,9		370,000		439,227
FirstMerit Bank NA, 4.27% Sub. Nts., 11/25/26		432,000		453,686
HSBC Finance Capital Trust IX, 5.911% Unsec. Sub. Nts., 11/30/35³		1,120,000		1,141,280
Intesa Sanpaolo SpA, 5.017% Sub. Nts., 6/26/24²		445,000		456,291
JPMorgan Chase & Co., 6.75% Jr. Sub. Perpetual Bonds, Series S^3,8		399,000		434,910
Lloyds Banking Group plc, 6.657% Jr. Sub. Perpetual Bonds^2,3,8		400,000		457,000
Rabobank Capital Funding Trust III, 5.254% Jr. Sub. Perpetual Bonds^3,8,9		751,000		783,856
Regions Bank, Birmingham AL, 6.45% Sub. Nts., 6/26/37		334,000		422,799
Royal Bank of Scotland Group plc, 7.64% Jr. Sub. Perpetual Bonds, Series U^3,8		500,000		550,000
Societe Generale SA, 5.922% Jr. Sub. Perpetual Bonds^2,3,8		440,000		461,450
SunTrust Banks, Inc.:
3.60% Sr. Unsec. Nts., 4/15/16		460,000		471,583
5.625% Jr. Sub. Perpetual Bonds^3,8		438,000		447,581
Wells Fargo & Co.:
5.875% Jr. Sub. Perpetual Bonds^3,8		162,000		171,752
5.90% Jr. Sub. Perpetual Bonds, Series S^3,8		318,000		331,913
				10,713,477

Consumer Finance—0.8%
Ally Financial, Inc., 8% Sr. Unsec. Nts., 11/1/31		339,000		425,021
Capital One Financial Corp., 3.20% Sr. Unsec. Nts., 2/5/25		519,000		515,770
Discover Financial Services:
3.75% Sr. Unsec. Nts., 3/4/25		338,000		341,166
3.95% Sr. Unsec. Nts., 11/6/24		331,000		341,066
Synchrony Financial:
2.70% Sr. Unsec. Nts., 2/3/20		316,000		317,725
3.75% Sr. Unsec. Nts., 8/15/21		155,000		160,858
				2,101,606

Diversified Financial Services—0.3%
Peachtree Corners Funding Trust, 3.976% Sr. Unsec. Nts., 2/15/25²		221,000		224,645
Voya Financial, Inc., 5.65% Jr. Sub. Nts., 5/15/53³		495,000		519,750
				744,395

Insurance—2.0%
AIA Group Ltd., 4.875% Sr. Unsec. Nts., 3/11/44²		347,000		405,522
AXIS Specialty Finance plc, 5.15% Sr. Unsec. Nts., 4/1/45		368,000		412,549
Five Corners Funding Trust, 4.419% Unsec. Nts., 11/15/23²		374,000		401,958
Liberty Mutual Group, Inc.:
4.25% Sr. Unsec. Nts., 6/15/23²		543,000		579,371


	Principal Amount		Value
Insurance (Continued)
Liberty Mutual Group, Inc.: (Continued)
4.85% Sr. Unsec. Nts., 8/1/44²	$	269,000	$	292,909
Lincoln National Corp., 6.05% Jr. Unsec. Sub. Nts., 4/20/67³		811,000		785,453
MetLife, Inc., 4.05% Sr. Unsec. Nts., 3/1/45		262,000		270,183
Prudential Financial, Inc., 5.20% Jr. Sub. Nts., 3/15/44³		331,000		338,199
Swiss Re Capital I LP, 6.854% Jr. Sub. Perpetual Bonds^3,8,9		780,000		820,950
TIAA Asset Management Finance Co. LLC, 4.125% Sr. Unsec. Nts., 11/1/24²		437,000		462,166
XLIT Ltd., 4.45% Sub. Nts., 3/31/25		220,000		221,867
ZFS Finance USA Trust V, 6.50% Jr. Sub. Nts., 5/9/37^3,9		437,000		462,127
				5,453,254

Real Estate—0.1%
Ventas Realty LP, 1.25% Sr. Unsec. Nts., 4/17/17		178,000		177,673

Real Estate Investment Trusts (REITs)—0.9%
American Tower Corp.:
5.05% Sr. Unsec. Unsub. Nts., 9/1/20		285,000		315,179
5.90% Sr. Unsec. Nts., 11/1/21		233,000		268,931
Corrections Corp. of America, 4.625% Sr. Unsec. Nts., 5/1/23		425,000		427,125
HCP, Inc., 5.625% Sr. Unsec. Nts., 5/1/17		125,000		135,691
Health Care REIT, Inc., 2.25% Sr. Unsec. Nts., 3/15/18		88,000		89,245
Hospitality Properties Trust, 4.65% Sr. Unsec. Nts., 3/15/24		225,000		233,594
Liberty Property LP, 5.50% Sr. Unsec. Nts., 12/15/16		268,000		284,942
Prologis LP, 4% Sr. Unsec. Nts., 1/15/18		219,000		231,542
WEA Finance LLC/Westfield UK & Europe Finance plc, 1.75% Sr. Unsec. Nts., 9/15/17²		369,000		371,056
				2,357,305

Real Estate Management & Development—0.2%
Brookfield Asset Management, Inc., 4% Sr. Unsec. Nts., 1/15/25		475,000		477,831

Health Care—2.3%
Biotechnology—0.1%
Gilead Sciences, Inc., 5.65% Sr. Unsec. Unsub. Nts., 12/1/41		263,000		336,360

Health Care Equipment & Supplies—0.5%
CareFusion Corp.:
1.45% Sr. Unsec. Nts., 5/15/17		453,000		453,502
3.875% Sr. Unsec. Nts., 5/15/24		221,000		233,228
DENTSPLY International, Inc., 2.75% Sr. Unsec. Nts., 8/15/16		425,000		433,275
Zimmer Holdings, Inc., 3.55% Sr. Unsec. Nts., 4/1/25		130,000		132,751
				1,252,756

Health Care Providers & Services—0.9%
Cardinal Health, Inc., 3.50% Sr. Unsec. Nts., 11/15/24		214,000		221,186
CHS/Community Health Systems, Inc., 5.125% Sr. Sec. Nts., 8/1/21		420,000		434,700
Fresenius Medical Care US Finance II, Inc., 5.875% Sr. Unsec. Nts., 1/31/22²		422,000		466,310
Laboratory Corp. of America Holdings, 3.60% Sr. Unsec. Nts., 2/1/25		414,000		416,526
LifePoint Hospitals, Inc., 5.50% Sr. Unsec. Nts., 12/1/21		425,000		447,312
McKesson Corp., 4.883% Sr. Unsec. Nts., 3/15/44		180,000		207,433


	Principal Amount		Value
Health Care Providers & Services (Continued)
Quest Diagnostics, Inc., 3.50% Sr. Unsec. Nts., 3/30/25	$	69,000	$	69,258
				2,262,725

Life Sciences Tools & Services—0.1%
Life Technologies Corp., 3.50% Sr. Unsec. Nts., 1/15/16		28,000		28,554
Thermo Fisher Scientific, Inc.:
4.15% Sr. Unsec. Nts., 2/1/24		144,000		155,767
5.30% Sr. Unsec. Nts., 2/1/44		165,000		197,890
				382,211

Pharmaceuticals—0.7%
Actavis Funding SCS:
1.30% Sr. Unsec. Nts., 6/15/17		287,000		284,650
1.85% Sr. Unsec. Nts., 3/1/17		150,000		151,130
3.80% Sr. Unsec. Nts., 3/15/25		169,000		174,625
4.75% Sr. Unsec. Nts., 3/15/45		182,000		193,933
Hospira, Inc., 5.20% Sr. Unsec. Nts., 8/12/20		441,000		503,595
Mallinckrodt International Finance SA, 3.50% Sr. Unsec. Nts., 4/15/18		468,000		463,320
				1,771,253

Industrials—3.5%
Aerospace & Defense—0.5%
BAE Systems Holdings, Inc., 3.80% Sr. Unsec. Nts., 10/7/24²		314,000		330,274
L-3 Communications Corp.:
1.50% Sr. Unsec. Nts., 5/28/17		118,000		117,303
3.95% Sr. Unsec. Nts., 5/28/24		272,000		279,689
Northrop Grumman Corp., 4.75% Sr. Unsec. Nts., 6/1/43		105,000		118,946
Textron, Inc.:
3.875% Sr. Unsec. Nts., 3/1/25		129,000		133,531
4.30% Sr. Unsec. Nts., 3/1/24		230,000		246,668
				1,226,411

Building Products—0.2%
Owens Corning, 4.20% Sr. Unsec. Nts., 12/15/22		505,000		527,838

Commercial Services & Supplies—0.7%
Clean Harbors, Inc., 5.25% Sr. Unsec. Unsub. Nts., 8/1/20		468,000		480,870
Pitney Bowes, Inc., 4.625% Sr. Unsec. Nts., 3/15/24		575,000		604,227
R.R. Donnelley & Sons Co., 7.625% Sr. Unsec. Nts., 6/15/20		385,000		441,788
Republic Services, Inc., 5.70% Sr. Unsec. Nts., 5/15/41		177,000		223,700
				1,750,585

Electrical Equipment—0.1%
Sensata Technologies BV, 4.875% Sr. Unsec. Nts., 10/15/23²		349,000		360,343

Industrial Conglomerates—0.3%
General Electric Capital Corp., 6.25% Jr. Sub. Perpetual Bonds, Series B^3,8		682,000		770,660
Machinery—0.4%
Crane Co., 4.45% Sr. Unsec. Nts., 12/15/23		234,000		250,857
Ingersoll-Rand Global Holding Co. Ltd., 4.25% Sr. Unsec. Nts., 6/15/23		410,000		438,525
Starwood Hotels & Resorts Worldwide, Inc.,
7.375% Sr. Unsec. Nts., 11/15/15		384,000		398,630
				1,088,012

Professional Services—0.3%
Experian Finance plc, 2.375% Sr. Unsec. Nts.,
6/15/17²		427,000		431,596


	Principal Amount		Value
Professional Services (Continued)
Nielsen Finance LLC/Nielsen Finance Co., 4.50% Sr. Unsec. Nts., 10/1/20	$	470,000	$	480,575
				912,171

Road & Rail—0.6%
Burlington Northern Santa Fe LLC, 3% Sr. Unsec. Nts., 3/15/23		365,000		372,966
ERAC USA Finance LLC, 4.50% Sr. Unsec. Nts., 2/15/45²		126,000		128,005
Kansas City Southern de Mexico SA de CV, 3% Sr. Unsec. Nts., 5/15/23		372,000		367,654
Penske Truck Leasing Co. LP/PTL Finance Corp.:
2.50% Sr. Unsec. Nts., 3/15/16²		446,000		452,530
4.25% Sr. Unsec. Nts., 1/17/23²		250,000		260,513
				1,581,668

Trading Companies & Distributors—0.4%
Air Lease Corp., 3.875% Sr. Unsec. Nts., 4/1/21		456,000		471,960
International Lease Finance Corp., 5.875% Sr.
Unsec. Unsub. Nts., 4/1/19		437,000		475,237
				947,197

Information Technology—1.4%
Communications Equipment—0.1%
Motorola Solutions, Inc., 3.50% Sr. Unsec. Nts., 3/1/23		316,000		317,639

Electronic Equipment, Instruments, & Components—0.5%
Arrow Electronics, Inc., 5.125% Sr. Unsec. Unsub. Nts., 3/1/21		525,000		579,831
Avnet, Inc., 4.875% Sr. Unsec. Unsub. Nts., 12/1/22		550,000		592,544
				1,172,375

Internet Software & Services—0.1%
VeriSign, Inc., 5.25% Sr. Unsec. Nts., 4/1/25²		310,000		315,813

IT Services—0.3%
Fidelity National Information Services, Inc.:
1.45% Sr. Unsec. Nts., 6/5/17		351,000		350,839
3.50% Sr. Unsec. Nts., 4/15/23		244,000		245,258
Xerox Corp.:
2.95% Sr. Unsec. Nts., 3/15/17		149,000		153,489
6.75% Sr. Unsec. Nts., 2/1/17		75,000		82,050
				831,636

Software—0.1%
Oracle Corp., 3.40% Sr. Unsec. Nts., 7/8/24		322,000		338,877

Technology Hardware, Storage & Peripherals—0.3%
Apple, Inc., 4.45% Sr. Unsec. Nts., 5/6/44		248,000		277,505
Hewlett-Packard Co., 2.65% Sr. Unsec. Unsub. Nts., 6/1/16		443,000		451,369
				728,874

Materials—2.4%
Chemicals—0.8%
Agrium, Inc.:
3.375% Sr. Unsec. Nts., 3/15/25		174,000		174,298
4.125% Sr. Unsec. Nts., 3/15/35		87,000		86,555
Eastman Chemical Co.:
3.00% Sr. Unsec. Nts., 12/15/15		218,000		221,262
4.65% Sr. Unsec. Nts., 10/15/44		112,000		118,030
LYB International Finance BV, 5.25% Sr. Unsec. Nts., 7/15/43		144,000		161,105
Methanex Corp., 4.25% Sr. Unsec. Nts., 12/1/24		256,000		259,882
Rockwood Specialties Group, Inc., 4.625% Sr. Unsec. Nts., 10/15/20		450,000		469,688
RPM International, Inc., 3.45% Sr. Unsec. Unsub. Nts., 11/15/22		378,000		377,132


	Principal Amount		Value
Chemicals (Continued)
Valspar Corp. (The), 3.30% Sr. Unsec. Nts., 2/1/25	$	122,000	$	122,854
				1,990,806

Construction Materials—0.3%
CRH America, Inc., 4.125% Sr. Unsec. Nts., 1/15/16		440,000		449,805
James Hardie International Finance Ltd., 5.875% Sr. Unsec. Nts., 2/15/23²		421,000		435,735
				885,540

Containers & Packaging—0.7%
Ball Corp., 4% Sr. Unsec. Nts., 11/15/23		370,000		362,600
Packaging Corp. of America:
3.65% Sr. Unsec. Nts., 9/15/24		113,000		113,844
4.50% Sr. Unsec. Nts., 11/1/23		358,000		386,219
Rock-Tenn Co., 3.50% Sr. Unsec. Unsub. Nts., 3/1/20		729,000		757,623
Silgan Holdings, Inc., 5% Sr. Unsec. Nts., 4/1/20		355,000		366,537
				1,986,823

Metals & Mining—0.5%
Carpenter Technology Corp., 4.45% Sr. Unsec. Unsub. Nts., 3/1/23		159,000		163,106
Freeport-McMoRan, Inc., 3.875% Sr. Unsec. Nts., 3/15/23		142,000		131,682
Glencore Canada Corp., 6% Sr. Unsec. Unsub. Nts., 10/15/15		397,000		407,180
Glencore Funding LLC, 4.625% Sr. Unsec. Nts., 4/29/24²		159,000		166,021
Goldcorp, Inc., 5.45% Sr. Unsec. Nts., 6/9/44		116,000		121,397
Yamana Gold, Inc., 4.95% Sr. Unsec. Nts., 7/15/24		230,000		226,554
				1,215,940

Paper & Forest Products—0.1%
International Paper Co., 4.80% Sr. Unsec. Nts., 6/15/44		183,000		189,006

Telecommunication Services—2.3%
Diversified Telecommunication Services—2.1%
AT&T, Inc., 4.35% Sr. Unsec. Nts., 6/15/45		297,000		286,216
British Telecommunications plc, 9.625% Sr. Unsec. Nts., 12/15/30		288,000		475,691
CenturyLink, Inc., 6.45% Sr. Unsec. Nts., 6/15/21		390,000		422,662
Cox Communications, Inc.:
3.85% Sr. Unsec. Nts., 2/1/25²		250,000		257,575
5.875% Sr. Unsec. Nts., 12/1/16²		396,000		425,305
Deutsche Telekom International Finance BV, 5.75% Sr. Unsec. Nts., 3/23/16		402,000		420,793
Frontier Communications Corp., 7.625% Sr. Unsec. Nts., 4/15/24		395,000		413,269
Telecom Italia Capital SA, 7.721% Sr. Unsec. Unsub. Nts., 6/4/38		277,000		324,783
Telefonica Emisiones SAU, 7.045% Sr. Unsec. Unsub. Nts., 6/20/36		169,000		234,196
T-Mobile USA, Inc., 6.25% Sr. Unsec. Nts., 4/1/21		455,000		474,906
Verizon Communications, Inc.:
3.50% Sr. Unsec. Nts., 11/1/24		189,000		193,808
4.50% Sr. Unsec. Nts., 9/15/20		1,050,000		1,160,332
4.522% Sr. Unsec. Nts., 9/15/48²		288,000		286,975
5.012% Sr. Unsec. Nts., 8/21/54		105,000		109,438
				5,485,949

Wireless Telecommunication Services—0.2%
America Movil SAB de CV, 4.375% Sr. Unsec. Unsub. Nts., 7/16/42		164,000		164,797
Vodafone Group plc:
4.375% Sr. Unsec. Unsub. Nts., 2/19/43		142,000		140,467


	Principal Amount			Value
Wireless Telecommunication Services (Continued)
Vodafone Group plc: (Continued) 6.25% Sr. Unsec. Nts., 11/30/32	$	150,000		$	183,958
					489,222
Utilities—2.2%
Electric Utilities—1.0%
American Transmission Systems, Inc., 5% Sr. Unsec. Nts., 9/1/44²		118,000			133,809
EDP Finance BV, 5.25% Sr. Unsec. Nts., 1/14/21²		325,000			353,093
Enel Finance International NV, 6.25% Sr. Unsec. Nts., 9/15/17²		389,000			433,113
ITC Holdings Corp.:
3.65% Sr. Unsec. Nts., 6/15/24		390,000			404,995
5.30% Sr. Unsec. Nts., 7/1/43		93,000			110,726
Pennsylvania Electric Co., 5.20% Sr. Unsec. Nts., 4/1/20		88,000			97,528
PPL Capital Funding, Inc.:
3.50% Sr. Unsec. Unsub. Nts., 12/1/22		158,000			164,966
4.20% Sr. Sec. Nts., 6/15/22		82,000			89,460
PPL WEM Holdings Ltd., 5.375% Sr. Unsec. Unsub. Nts., 5/1/21²		590,000			679,939
Trans-Allegheny Interstate Line Co., 3.85% Sr. Unsec. Nts., 6/1/25²		277,000			289,942
					2,757,571

Independent Power and Renewable Electricity Producers—0.3%
Dayton Power & Light Co. (The), 1.875% Sec. Nts., 9/15/16		329,000			332,627
NRG Yield Operating LLC, 5.375% Sr. Unsec. Nts., 8/15/24²		405,000			423,225
					755,852

Multi-Utilities—0.9%
Berkshire Hathaway Energy Co., 4.50% Sr. Unsec. Nts., 2/1/45		224,000			244,918
CenterPoint Energy, Inc., 5.95% Sr. Unsec. Nts., 2/1/17		386,000			418,800
CMS Energy Corp.:
3.875% Sr. Unsec. Nts., 3/1/24		240,000			257,098
5.05% Sr. Unsec. Unsub. Nts., 3/15/22		349,000			399,749
Consolidated Edison Co. of New York, Inc., 4.625% Sr. Unsec. Nts., 12/1/54		100,000			112,639
Dominion Gas Holdings LLC, 4.60% Sr. Unsec. Nts., 12/15/44		170,000			183,967
Dominion Resources, Inc., 2.50% Sr. Unsec. Nts., 12/1/19		308,000			313,350
NiSource Finance Corp., 4.80% Sr. Unsec. Nts., 2/15/44		179,000			202,075
TECO Finance, Inc., 6.75% Sr. Unsec. Nts., 5/1/15		259,000			260,122
					2,392,718
Total Non-Convertible Corporate Bonds and Notes (Cost $89,624,318)					93,214,525

	Shares
Investment Company—2.0%
Oppenheimer Institutional Money Market Fund, Cl. E, 0.12%^10,11 (Cost $5,367,607)		5,367,607			5,367,607
Total Investments, at Value (Cost $295,267,757)		120.2	%		317,402,065
Net Other Assets (Liabilities)		(20.2	)		(53,231,531	)
Net Assets		100.0	%	$	264,170,534

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 $44,400,838 or 16.81% of the Fund’s net assets as of March 31, 2015.

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 $2,172,645 or 0.82% of the Fund’s net assets as of March 31, 2015.

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 $102,570 or 0.04% of the Fund’s net assets as of March 31, 2015.

7. All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after March 31, 2015. See Note 4 of the accompanying Notes.

8. This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest. Rate reported represents the current interest rate for this variable rate security.

9. Restricted security. The aggregate value of restricted securities as of March 31, 2015 was $2,506,160, which represents 0.95% of the Fund’s net assets. See Note 4 of the accompanying Notes. Information concerning restricted securities is as follows:

11. Is or was an affiliate, as defined in the Investment Company Act of 1940, as amended, at or during the period ended March 31, 2015, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows:

Oppenheimer Conservative Balanced Fund/VA (the “Fund”), formerly named Oppenheimer Capital Income Fund/VA, a separate series of Oppenheimer Variable Account Funds, is 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.

Security Valuation. All investments in securities are recorded at their estimated fair value, as described in Note 3.

Foreign Currency Translation. The Fund’s accounting records are maintained in U.S. dollars. The values of securities denominated in foreign currencies and amounts related to the purchase and sale of foreign securities and foreign investment income are translated into U.S. dollars as of the close of the New York Stock Exchange (the “Exchange”), normally 4:00 P.M. Eastern time, on each day the Exchange is open for trading. Foreign exchange rates may be valued primarily using a reliable bank, dealer or service authorized by the Board of Trustees.

Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or dealers.

The following methodologies are used to determine the market value or the fair value of the types of securities described below:

Shares of a registered investment company that are not traded on an exchange are valued at that investment company’s net asset value per share.

Futures contracts and futures options traded on a commodities or futures exchange will be valued at the final settlement price or official closing price on the principal exchange as reported by such principal exchange at its trading session ending at, or most recently prior to, the time when the Fund’s assets are valued.

A description of the standard inputs that may generally be considered by the third party pricing vendors in determining their evaluated prices is provided below.

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

3) Level 3-significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset or liability).

The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities.

The table below categorizes amounts as of March 31, 2015 based on valuation input level:

Securities on a When-Issued or Delayed Delivery Basis. The Fund may purchase securities on a “when-issued” basis, and may purchase or sell securities on a “delayed delivery” basis. “When-issued” or “delayed delivery” refers to securities whose terms and indenture are available and for which a market exists, but which are not available for immediate delivery. Delivery and payment for securities that have been purchased by the Fund on a when-issued basis normally takes place within six months and possibly as long as two years or more after the trade date. During this period, such securities do not earn interest, are subject to market fluctuation and may increase or decrease in value prior to their delivery. The purchase of securities on a when-issued basis may increase the volatility of the Fund’s net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. When the Fund engages in when-issued or delayed delivery transactions, it relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do so may cause the Fund to lose the opportunity to obtain or dispose of the security at a price and yield it considers advantageous. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase.

As of March 31, 2015, the Fund had purchased securities issued on a when-issued or delayed delivery basis and sold securities issued on a delayed delivery basis as follows:

The Fund may enter into “forward roll” transactions with respect to mortgage-related securities. In this type of transaction, the Fund sells a mortgage-related security to a buyer and simultaneously agrees to repurchase a similar security (same type, coupon and maturity) at a later date at a set price. During the period between the sale and the repurchase, the Fund will not be entitled to receive interest and principal payments on the securities that have been sold. The Fund records the incremental difference between the forward purchase and sale of each forward roll as realized gain (loss) on investments or as fee income in the case of such transactions that have an associated fee in lieu of a difference in the forward purchase and sale price.

Forward roll transactions may be deemed to entail embedded leverage since the Fund purchases mortgage-related securities with extended settlement dates rather than paying for the securities under a normal settlement cycle. This embedded leverage increases the Fund’s market value of investments relative to its net assets which can incrementally increase the volatility of the Fund’s performance. Forward roll transactions can be replicated over multiple settlement periods.

Risks of entering into forward roll transactions include the potential inability of the counterparty to meet the terms of the agreement; the potential of the Fund to receive inferior securities at redelivery as compared to the securities sold to the counterparty; and counterparty credit risk.

Restricted Securities. As of March 31, 2015, 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.

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.

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.

A futures contract is a commitment to buy or sell a specific amount of a commodity, financial instrument or currency at a negotiated price on a stipulated future date. The Fund may buy and sell futures contracts and may also buy or write put or call options on these futures contracts. Futures contracts and options thereon are generally entered into on a regulated futures exchange and cleared through a clearinghouse associated with the exchange.

Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin) in an amount equal to a certain percentage of the contract value in an account registered in the futures commission merchant’s name. Subsequent payments (variation margin) are paid to or from the futures commission merchant each day equal to the daily changes in the contract value. Such payments are recorded as unrealized gains and losses. Should the Fund fail to make requested variation margin payments, the futures commission merchant can gain access to the initial margin to satisfy the Fund’s payment obligations.

Futures contracts are reported on a schedule following the Statement of Investments. Securities held by a futures commission merchant to cover initial margin requirements on open futures contracts are noted in the Statement of Investments. Cash held by a futures commission merchant to cover initial margin requirements on open futures contracts and the receivable and/or payable for the daily mark to market for the variation margin are noted in the Statement of Assets and Liabilities in the annual and semiannual reports. The net change in unrealized appreciation and depreciation is reported in the Statement of Operations in the annual and semiannual reports. Realized gains (losses) are reported in the Statement of Operations in the annual and semiannual reports at the closing or expiration of futures contracts.

The Fund has purchased futures contracts on various bonds and notes to increase exposure to interest rate risk.

The Fund has sold futures contracts on various bonds and notes to decrease exposure to interest rate risk.

During the period ended March 31, 2015, the Fund had an ending monthly average market value of $8,677,498 and $26,187,773 on futures contracts purchased and sold, respectively.

Additional associated risks of entering into futures contracts (and related options) include the possibility that there may be an illiquid market where the Fund is unable to liquidate the contract or enter into an offsetting position and, if used for hedging purposes, the risk that the price of the contract will correlate imperfectly with the prices of the Fund’s securities.

Counterparty Credit Risk. Derivative positions are subject to the risk that the counterparty will not fulfill its obligation to the Fund. The Fund intends to enter into derivative transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction.

For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the Statement of Assets and Liabilities in the annual and semiannual reports. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.

The Fund’s risk of loss from counterparty credit risk on exchange-traded derivatives cleared through a clearinghouse and for 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.



	Shares		Value

Common Stocks—99.5%

Consumer Discretionary—18.7%

Auto Components—0.5%

Magna International, Inc.		88,760	$	4,762,862


Hotels, Restaurants & Leisure—2.3%

Chipotle Mexican Grill, Inc., Cl. A¹		15,210		9,894,713

Dunkin’ Brands Group, Inc.		268,730		12,780,799

				22,675,512


Household Durables—1.1%

Harman International Industries, Inc.		81,970		10,953,651


Internet & Catalog Retail—1.3%

Amazon.com, Inc.¹		3,074		1,143,835

TripAdvisor, Inc.¹		137,570		11,441,697

				12,585,532


Media—5.2%

Time Warner, Inc.		235,695		19,902,086

Twenty-First Century Fox, Inc., Cl. B		704,910		23,177,441

Walt Disney Co. (The)		71,540		7,503,830

				50,583,357


Multiline Retail—3.0%

Dollar Tree, Inc.¹		150,810		12,237,477

Macy’s, Inc.		250,580		16,265,148

				28,502,625


Specialty Retail—2.6%

TJX Cos., Inc. (The)		361,010		25,288,751


Textiles, Apparel & Luxury Goods—2.7%

NIKE, Inc., Cl. B		62,750		6,295,707

VF Corp.		256,390		19,308,731

				25,604,438


Consumer Staples—6.7%

Beverages—1.7%

Brown-Forman Corp., Cl. B		47,095		4,255,033

Constellation Brands, Inc., Cl. A¹		25,530		2,966,842

SABMiller plc		186,400		9,754,074

				16,975,949


Food & Staples Retailing—4.2%

Costco Wholesale Corp.		146,840		22,245,526

CVS Health Corp.		178,290		18,401,311

				40,646,837


Food Products—0.8%

Hershey Co. (The)		75,840		7,653,014


Energy—1.7%

Energy Equipment & Services—0.4%

Halliburton Co.		93,950		4,122,526


Oil, Gas & Consumable Fuels—1.3%

Antero Resources Corp.¹		68,930		2,434,608

Cimarex Energy Co.		18,000		2,071,620

EOG Resources, Inc.		54,050		4,955,844

Pioneer Natural Resources Co.		19,660		3,214,607

				12,676,679


Financials—4.8%

Capital Markets—3.4%

Ameriprise Financial, Inc.		58,330		7,631,897

Charles Schwab Corp. (The)		584,660		17,797,051

Invesco Ltd.		197,960		7,857,032

				33,285,980


Insurance—1.4%

Aon plc		137,160		13,183,819



	Shares		Value

Health Care—23.6%

Biotechnology—11.9%

Biogen, Inc.¹		114,260	$	48,245,142

Celgene Corp.¹		242,664		27,974,306

Gilead Sciences, Inc.¹		368,700		36,180,531

Vertex Pharmaceuticals, Inc.¹		23,405		2,761,088

				115,161,067


Health Care Equipment & Supplies—1.7%

Hologic, Inc.¹		126,490		4,177,332

Medtronic plc		25,250		1,969,248

ResMed, Inc.		137,400		9,862,572

				16,009,152


Life Sciences Tools & Services—2.1%

Illumina, Inc.¹		84,960		15,771,975

Thermo Fisher Scientific, Inc.		33,480		4,497,703

				20,269,678


Pharmaceuticals—7.9%

Actavis plc¹		133,060		39,601,317

Bristol-Myers Squibb Co.		153,370		9,892,365

Perrigo Co. plc		86,250		14,278,687

Valeant Pharmaceuticals International, Inc.¹		64,974		12,905,136

				76,677,505


Industrials—10.1%

Aerospace & Defense—0.9%

Raytheon Co.		81,220		8,873,285


Airlines—1.1%

Delta Air Lines, Inc.		231,610		10,413,186


Building Products—0.3%

Allegion plc		45,770		2,799,751


Commercial Services & Supplies—2.1%

Cintas Corp.		128,600		10,497,618

Tyco International plc		235,680		10,148,381

				20,645,999


Machinery—4.0%

Ingersoll-Rand plc		72,580		4,941,246

Pall Corp.		143,850		14,441,101

Parker-Hannifin Corp.		118,720		14,101,562

Pentair plc		76,036		4,781,904

				38,265,813


Road & Rail—1.2%

Canadian Pacific Railway Ltd.		62,500		11,418,750


Trading Companies & Distributors—0.5%

United Rentals, Inc.¹		56,580		5,157,833


Information Technology—33.0%

Communications Equipment—1.5%

Cisco Systems, Inc.		537,220		14,786,981


Internet Software & Services—12.3%

Alibaba Group Holding Ltd., Sponsored ADR¹		51,600		4,295,184

eBay, Inc.¹		475,930		27,451,642

Facebook, Inc., Cl. A¹		544,330		44,752,091

Google, Inc., Cl. A¹		14,030		7,782,441

LinkedIn Corp., Cl. A¹		136,830		34,188,344

				118,469,702


IT Services—6.6%

Computer Sciences Corp.		162,300		10,594,944

MasterCard, Inc., Cl. A		315,730		27,275,915

Visa, Inc., Cl. A		391,708		25,621,620

				63,492,479

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 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.

Security Valuation. All investments in securities are recorded at their estimated fair value, as described in Note 3.

Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or dealers.

The following methodologies are used to determine the market value or the fair value of the types of securities described below:

Shares of a registered investment company that are not traded on an exchange are valued at that investment company’s net asset value per share.

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.

materially affect the value of the security, the security is fair valued either (i) by a standardized fair valuation methodology applicable to the security type or the significant event as previously approved by the Valuation Committee and the Fund’s Board or (ii) as determined in good faith by the Manager’s Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. Fair value determinations by the Manager are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Those fair valuation standardized methodologies include, but are not limited to, valuing securities at the last sale price or initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be further adjusted for any discounts related to security-specific resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security.

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

3) Level 3-significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset or liability).

The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities.

The table below categorizes amounts as of March 31, 2015 based on valuation input level:


	Principal Amount		Value
Asset-Backed Securities—16.0%
Auto Loan—14.6%
American Credit Acceptance Receivables Trust:
Series 2012-2,Cl. D, 5.91%, 7/15/19¹	$	260,000	$	260,196
Series 2013-2,Cl. B, 2.84%, 5/15/19¹		381,000		383,612
Series 2014-1,Cl. B, 2.39%, 11/12/19¹		520,000		522,055
Series 2014-2,Cl. B, 2.26%, 3/10/20¹		135,000		135,218
Series 2014-3,Cl. B, 2.43%, 6/10/20¹		295,000		295,589
Series 2014-4,Cl. B, 2.60%, 10/12/20¹		145,000		145,127
Series 2015-1,Cl. B, 2.85%, 2/12/21¹		385,000		391,332
AmeriCredit Automobile Receivables Trust:
Series 2012-2,Cl. E, 4.85%, 8/8/19¹		305,000		315,424
Series 2012-4,Cl. D, 2.68%, 10/9/18		75,000		75,769
Series 2012-5,Cl. D, 2.35%, 12/10/18		365,000		368,722
Series 2013-1,Cl. C, 1.57%, 1/8/19		670,000		670,048
Series 2013-2,Cl. E, 3.41%, 10/8/20¹		345,000		350,332
Series 2013-4,Cl. D, 3.31%, 10/8/19		30,000		30,820
Series 2013-5,Cl. D, 2.86%, 12/9/19		225,000		228,353
Series 2014-1,Cl. E, 3.58%, 8/9/21		95,000		95,620
Series 2014-2,Cl. E, 3.37%, 11/8/21		280,000		279,495
Series 2014-3,Cl. D, 3.13%, 10/8/20		155,000		156,605
Series 2014-4,Cl. D, 3.07%, 11/9/20		160,000		161,204
California Republic Auto Receivables Trust:
Series 2013-2,Cl. C, 3.32%, 8/17/20		230,000		232,663
Series 2014-2,Cl. C, 3.29%, 3/15/21		80,000		80,443
Series 2014-4,Cl. C, 3.56%, 9/15/21		100,000		101,013
Capital Auto Receivables Asset Trust:
Series 2013-4,Cl. D, 3.22%, 5/20/19		105,000		106,535
Series 2014-1,Cl. D, 3.39%, 7/22/19		115,000		117,016
Series 2014-3,Cl. D, 3.14%, 2/20/20		160,000		161,255
Series 2015-1,Cl. D, 3.16%, 8/20/20		165,000		165,317
CarFinance Capital Auto Trust:
Series 2013-1A,Cl. A, 1.65%, 7/17/17¹		15,780		15,789
Series 2013-2A,Cl. B, 3.15%, 8/15/19¹		530,000		538,539
Series 2014-1A,Cl. A, 1.46%, 12/17/18¹		86,741		86,624
Series 2015-1A,Cl. A, 1.75%, 6/15/21¹		234,223		234,623
Centre Point Funding LLC, Series 2010-1A, Cl. 1, 5.43%, 7/20/16¹		30,255		30,400
CPS Auto Receivables Trust:
Series 2012-B,Cl. A, 2.52%, 9/16/19¹		177,020		178,071
Series 2014-A,Cl. A, 1.21%, 8/15/18¹		315,381		314,276
Series 2014-B,Cl. A, 1.11%, 11/15/18¹		210,029		208,791
Series 2014-C,Cl. A, 1.31%, 2/15/19¹		257,243		256,340
Credit Acceptance Auto Loan Trust:
Series 2013-1A,Cl. B, 1.83%, 4/15/21¹		235,000		234,859
Series 2013-2A,Cl. B, 2.26%, 10/15/21¹		585,000		589,068
Series 2014-1A,Cl. B, 2.29%, 4/15/22¹		200,000		200,784
Series 2014-2A,Cl. B, 2.67%, 9/15/22¹		160,000		160,274
Series 2015-1A,Cl. C, 3.30%, 7/17/23¹		225,000		228,162
Drive Auto Receivables Trust, Series 2015-AA, Cl. C, 3.06%, 5/17/21¹		250,000		249,950
DT Auto Owner Trust:
Series 2012-1A,Cl. D, 4.94%, 7/16/18¹		156,360		157,697
Series 2013-1A,Cl. D, 3.74%, 5/15/20¹		175,000		176,456
Series 2013-2A,Cl. D, 4.18%, 6/15/20¹		485,000		492,236
Series 2014-1A,Cl. D, 3.98%, 1/15/21¹		360,000		363,977
Series 2014-2A,Cl. D, 3.68%, 4/15/21¹		525,000		527,812
Series 2014-3A,Cl. D, 4.47%, 11/15/21¹		205,000		208,164
Series 2015-1A,Cl. C, 2.87%, 11/16/20¹		180,000		180,899
Exeter Automobile Receivables Trust:
Series 2012-2A,Cl. C, 3.06%, 7/16/18¹		35,000		35,069
Series 2013-2A,Cl. C, 4.35%, 1/15/19¹		320,000		325,637
Series 2014-1A,Cl. B, 2.42%, 1/15/19¹		230,000		230,881
Series 2014-1A,Cl. C, 3.57%, 7/15/19¹		230,000		231,805
Series 2014-2A,Cl. A, 1.06%, 8/15/18¹		62,396		62,250
Series 2014-2A,Cl. C, 3.26%, 12/16/19¹		110,000		108,865
First Investors Auto Owner Trust:
Series 2012-1A,Cl. C, 3.54%, 11/15/17¹		60,000		60,705
Series 2012-1A,Cl. D, 5.65%, 4/15/18¹		155,000		159,314
Series 2013-3A,Cl. B, 2.32%, 10/15/19¹		385,000		389,253
Series 2013-3A,Cl. C, 2.91%, 1/15/20¹		165,000		166,977


	Principal Amount		Value
Auto Loan (Continued)
First Investors Auto Owner Trust: (Continued)
Series 2013-3A,Cl. D, 3.67%, 5/15/20¹	$	125,000	$	126,272
Series 2014-1A,Cl. D, 3.28%, 4/15/21¹		225,000		224,093
Series 2014-3A,Cl. D, 3.85%, 2/15/22¹		140,000		141,236
Flagship Credit Auto Trust:
Series 2014-1,Cl. A, 1.21%, 4/15/19¹		147,342		147,113
Series 2014-2,Cl. A, 1.43%, 12/16/19¹		273,567		273,415
GM Financial Automobile Leasing Trust:
Series 2014-1A,Cl. D, 2.51%, 3/20/19¹		545,000		547,420
Series 2015-1,Cl. D, 3.01%, 3/20/20		240,000		240,982
Navistar Financial Dealer Note Master Owner Trust II, Series 2014-1, Cl. D, 2.474%, 10/25/19^1,2		125,000		125,058
Navistar Financial Dealer Note Master Trust, Series 2013-2, Cl. D, 2.424%, 9/25/18^1,2		385,000		385,316
Santander Drive Auto Receivables Trust:
Series 2012-5,Cl. D, 3.30%, 9/17/18		835,000		854,900
Series 2012-6,Cl. D, 2.52%, 9/17/18		880,000		886,654
Series 2012-AA,Cl. D, 2.46%, 12/17/18¹		480,000		482,095
Series 2013-2,Cl. C, 1.95%, 3/15/19		475,000		477,879
Series 2013-2,Cl. D, 2.57%, 3/15/19		325,000		331,653
Series 2013-3,Cl. C, 1.81%, 4/15/19		100,000		100,187
Series 2013-4,Cl. D, 3.92%, 1/15/20		110,000		114,517
Series 2013-4,Cl. E, 4.67%, 1/15/20¹		360,000		376,933
Series 2013-5,Cl. C, 2.25%, 6/17/19		35,000		35,408
Series 2013-5,Cl. D, 2.73%, 10/15/19		215,000		216,856
Series 2013-A,Cl. E, 4.71%, 1/15/21¹		270,000		282,852
Series 2014-3,Cl. C, 2.13%, 8/17/20		180,000		180,410
Series 2014-4,Cl. D, 3.10%, 11/16/20		185,000		186,455
Series 2015-1,Cl. D, 3.24%, 4/15/21		260,000		262,124
SNAAC Auto Receivables Trust:
Series 2012-1A,Cl. C, 4.38%, 6/15/17¹		68,475		68,568
Series 2013-1A,Cl. C, 3.07%, 8/15/18¹		145,000		147,068
Series 2014-1A,Cl. A, 1.03%, 9/17/18¹		92,158		92,133
Series 2014-1A,Cl. D, 2.88%, 1/15/20¹		140,000		141,696
TCF Auto Receivables Owner Trust, Series 2014-1A, Cl. C, 3.12%, 4/15/21¹		100,000		99,869
United Auto Credit Securitization Trust:
Series 2013-1,Cl. C, 2.22%, 12/15/17¹		123,643		123,776
Series 2014-1,Cl. D, 2.38%, 10/15/18¹		160,000		158,041
Series 2015-1,Cl. D, 2.92%, 6/17/19¹		225,000		225,215
Westlake Automobile Receivables Trust:
Series 2014-1A,Cl. D, 2.20%, 2/15/21¹		155,000		154,632
Series 2014-2A,Cl. D, 2.86%, 7/15/21¹		165,000		165,866
				21,611,002
Equipment—0.9%
CLI Funding V LLC:
Series 2014-1A,Cl. A, 3.29%, 6/18/29¹		286,391		290,317
Series 2014-2A,Cl. A, 3.38%, 10/18/29¹		488,750		496,302
Cronos Containers Program I Ltd., Series 2014-2A,
Cl. A, 3.27%, 11/18/29¹		438,148		444,836
FRS I LLC, Series 2013-1A, Cl. A1, 1.80%, 4/15/43¹		77,270		76,685
Trip Rail Master Funding LLC, Series 2014-1A, Cl.
A1, 2.863%, 4/15/44¹		92,550		93,043
				1,401,183
Home Equity Loan—0.5%
Element Rail Leasing I LLC,
Series 2014-1A, Cl. A1, 2.299%, 4/19/44¹		271,903		270,949
TAL Advantage V LLC:
Series 2014-1A,Cl. A, 3.51%, 2/22/39¹		343,292		349,184
Series 2014-2A,Cl. A1, 1.70%, 5/20/39¹		102,349		101,711
				721,844
Total Asset-Backed Securities (Cost $23,600,388)				23,734,029


	Principal Amount		Value
Mortgage-Backed Obligations—56.0%
Government Agency—39.7%
FHLMC/FNMA/FHLB/Sponsored—39.5%
Federal Home Loan Mortgage Corp. Gold Pool:
5.00%, 12/1/34	$	6,679	$	7,434
5.50%, 9/1/39		581,672		652,377
6.00%, 5/1/18-10/1/29		880,992		997,867
6.50%, 4/1/18-4/1/34		218,522		250,071
7.00%, 8/1/16-10/1/37		265,786		303,034
8.00%, 4/1/16		9,311		9,422
9.00%, 8/1/22-5/1/25		21,022		23,277
Federal Home Loan Mortgage Corp. Non Gold Pool, 10.50%, 10/1/20		1,601		1,805
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security:
Series 205,Cl. IO, 11.782%, 9/1/29³		9,121		2,081
Series 206,Cl. IO, 0.00%, 12/1/29^3,4		140,306		36,993
Series 243,Cl. 6, 0.00%, 12/15/32^3,4		106,561		20,376
Federal Home Loan Mortgage Corp., Mtg.-Linked Amortizing Global Debt Securities, Series 2012-1, Cl. A10, 2.06%, 1/15/22		630,176		643,341
Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 4.218%, 6/1/26⁵		49,803		47,190
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates:
Series 151,Cl. F, 9.00%, 5/15/21		5,234		5,848
Series 1674,Cl. Z, 6.75%, 2/15/24		17,806		19,861
Series 2034,Cl. Z, 6.50%, 2/15/28		2,666		3,059
Series 2042,Cl. N, 6.50%, 3/15/28		6,858		7,679
Series 2043,Cl. ZP, 6.50%, 4/15/28		319,926		359,543
Series 2046,Cl. G, 6.50%, 4/15/28		19,119		21,923
Series 2053,Cl. Z, 6.50%, 4/15/28		2,858		3,280
Series 2066,Cl. Z, 6.50%, 6/15/28		346,623		397,404
Series 2195,Cl. LH, 6.50%, 10/15/29		241,656		277,602
Series 2220,Cl. PD, 8.00%, 3/15/30		1,505		1,786
Series 2326,Cl. ZP, 6.50%, 6/15/31		67,156		75,642
Series 2461,Cl. PZ, 6.50%, 6/15/32		299,664		353,476
Series 2470,Cl. LF, 1.175%, 2/15/32²		2,381		2,446
Series 2564,Cl. MP, 5.00%, 2/15/18		115,886		121,254
Series 2585,Cl. HJ, 4.50%, 3/15/18		65,219		68,354
Series 2635,Cl. AG, 3.50%, 5/15/32		46,292		48,702
Series 2707,Cl. QE, 4.50%, 11/15/18		23,175		24,328
Series 2770,Cl. TW, 4.50%, 3/15/19		13,967		14,706
Series 3010,Cl. WB, 4.50%, 7/15/20		33,334		35,195
Series 3025,Cl. SJ, 24.11%, 8/15/35²		26,120		39,537
Series 3030,Cl. FL, 0.575%, 9/15/35²		3,740		3,767
Series 3645,Cl. EH, 3.00%, 12/15/20		122,449		126,253
Series 3741,Cl. PA, 2.15%, 2/15/35		318,870		324,839
Series 3815,Cl. BD, 3.00%, 10/15/20		7,853		8,059
Series 3822,Cl. JA, 5.00%, 6/15/40		11,964		12,774
Series 3840,Cl. CA, 2.00%, 9/15/18		5,855		5,934
Series 3848,Cl. WL, 4.00%, 4/15/40		48,681		50,173
Series 3857,Cl. GL, 3.00%, 5/15/40		9,923		10,213
Series 4221,Cl. HJ, 1.50%, 7/15/23		117,117		118,415
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security:
Series 2074,Cl. S, 54.18%, 7/17/28³		1,975		436
Series 2079,Cl. S, 0.00%, 7/17/28^3,4		3,627		825
Series 2130,Cl. SC, 50.583%, 3/15/29³		147,242		34,422
Series 2526,Cl. SE, 26.92%, 6/15/29³		4,307		1,008
Series 2796,Cl. SD, 50.305%, 7/15/26³		214,234		46,069
Series 2920,Cl. S, 53.31%, 1/15/35³		824,948		172,992
Series 2922,Cl. SE, 5.741%, 2/15/35³		98,494		20,294
Series 2981,Cl. AS, 30.097%, 5/15/35³		141,164		28,520
Series 3004,Cl. SB, 0.00%, 7/15/35^3,4		41,623		7,487
Series 3201,Cl. SG, 1.64%, 8/15/36³		238,093		40,680
Series 3397,Cl. GS, 15.065%, 12/15/37³		20,452		3,664
Series 3424,Cl. EI, 8.207%, 4/15/38³		23,702		2,712
Series 3450,Cl. BI, 8.623%, 5/15/38³		526,709		112,713
Series 3606,Cl. SN, 0.501%, 12/15/39³		140,768		22,782


	Principal Amount		Value
FHLMC/FNMA/FHLB/Sponsored (Continued)
Federal National Mortgage Assn.:
3.00%, 4/1/30⁶	$	5,760,000	$	6,037,425
3.50%, 4/25/45⁶		26,520,000		27,863,610
4.00%, 4/1/45⁶		8,125,000		8,688,514
5.00%, 4/1/45⁶		2,660,000		2,958,336
6.00%, 4/25/45⁶		160,000		182,550
Federal National Mortgage Assn. Pool:
3.50%, 12/1/20-2/1/22		274,255		291,071
5.00%, 3/1/21-7/1/22		18,198		19,211
5.50%, 2/1/35-5/1/36		230,346		260,868
6.50%, 5/1/17-1/1/34		231,034		241,626
7.00%, 11/1/17-7/1/35		61,204		68,569
7.50%, 1/1/33		5,800		7,159
8.50%, 7/1/32		13,948		16,171
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security:
Series 221,Cl. 2, 38.485%, 5/25/23³		3,241		528
Series 222,Cl. 2, 19.10%, 6/25/23³		342,079		61,356
Series 252,Cl. 2, 36.903%, 11/25/23³		338,200		55,608
Series 294,Cl. 2, 12.302%, 2/25/28³		36,864		8,262
Series 301,Cl. 2, 0.00%, 4/25/29^3,4		3,334		723
Series 303,Cl. IO, 7.712%, 11/25/29³		65,298		16,062
Series 320,Cl. 2, 7.827%, 4/25/32³		246,621		50,217
Series 321,Cl. 2, 0.00%, 4/25/32^3,4		673,168		154,745
Series 324,Cl. 2, 0.00%, 7/25/32^3,4		7,071		1,262
Series 331,Cl. 5, 2.127%, 2/25/33³		10,050		2,091
Series 331,Cl. 9, 10.754%, 2/25/33³		210,819		44,932
Series 334,Cl. 12, 0.00%, 3/25/33^3,4		16,694		3,499
Series 334,Cl. 17, 18.378%, 2/25/33³		141,339		30,654
Series 339,Cl. 12, 0.00%, 6/25/33^3,4		236,634		60,622
Series 339,Cl. 7, 0.00%, 11/25/33^3,4		505,529		97,771
Series 343,Cl. 13, 0.00%, 9/25/33^3,4		230,399		45,136
Series 343,Cl. 18, 0.00%, 5/25/34^3,4		59,817		11,529
Series 345,Cl. 9, 0.00%, 1/25/34^3,4		169,576		32,872
Series 351,Cl. 10, 0.00%, 4/25/34^3,4		79,430		15,533
Series 351,Cl. 8, 0.00%, 4/25/34^3,4		130,089		25,395
Series 356,Cl. 10, 0.00%, 6/25/35^3,4		97,989		19,278
Series 356,Cl. 12, 0.00%, 2/25/35^3,4		47,438		9,742
Series 362,Cl. 13, 0.00%, 8/25/35^3,4		181,853		37,246
Series 364,Cl. 15, 0.00%, 9/25/35^3,4		9,627		1,985
Series 364,Cl. 16, 0.00%, 9/25/35^3,4		194,964		39,601
Series 365,Cl. 16, 0.00%, 3/25/36^3,4		286,995		55,191
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates:
Series 1993-87,Cl. Z, 6.50%, 6/25/23		239,259		267,061
Series 1998-58,Cl. PC, 6.50%, 10/25/28		179,027		202,770
Series 1998-61,Cl. PL, 6.00%, 11/25/28		89,032		101,817
Series 1999-54,Cl. LH, 6.50%, 11/25/29		147,166		169,112
Series 2001-44,Cl. QC, 6.00%, 9/25/16		2,829		2,904
Series 2001-51,Cl. OD, 6.50%, 10/25/31		11,588		13,313
Series 2001-74,Cl. QE, 6.00%, 12/25/31		225,441		258,499
Series 2002-12,Cl. PG, 6.00%, 3/25/17		1,828		1,891
Series 2003-100,Cl. PA, 5.00%, 10/25/18		239,667		252,409
Series 2003-28,Cl. KG, 5.50%, 4/25/23		785,285		861,348
Series 2003-84,Cl. GE, 4.50%, 9/25/18		11,493		12,047
Series 2004-101,Cl. BG, 5.00%, 1/25/20		224,791		231,368
Series 2004-25,Cl. PC, 5.50%, 1/25/34		8,472		8,959
Series 2005-73,Cl. DF, 0.424%, 8/25/35²		12,816		12,871
Series 2006-11,Cl. PS, 23.93%, 3/25/36²		129,503		191,034
Series 2006-46,Cl. SW, 23.562%, 6/25/36²		94,364		137,572
Series 2006-50,Cl. KS, 23.563%, 6/25/36²		135,617		199,828
Series 2008-75,Cl. DB, 4.50%, 9/25/23		75,257		78,559
Series 2009-113,Cl. DB, 3.00%, 12/25/20		249,683		256,491
Series 2009-36,Cl. FA, 1.114%, 6/25/37²		109,899		112,779
Series 2009-70,Cl. TL, 4.00%, 8/25/19		115,059		118,916
Series 2010-43,Cl. KG, 3.00%, 1/25/21		67,796		69,780
Series 2011-3,Cl. EL, 3.00%, 5/25/20		413,823		425,131
Series 2011-38,Cl. AH, 2.75%, 5/25/20		6,926		7,085
Series 2011-82,Cl. AD, 4.00%, 8/25/26		133,360		138,846


	Principal Amount		Value
FHLMC/FNMA/FHLB/Sponsored (Continued)
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security:
Series 2001-61,Cl. SH, 28.233%, 11/18/31³	$	8,618	$	1,955
Series 2001-63,Cl. SD, 29.12%, 12/18/31³		3,137		720
Series 2001-65,Cl. S, 27.67%, 11/25/31³		216,237		42,459
Series 2001-68,Cl. SC, 19.884%, 11/25/31³		2,009		464
Series 2001-81,Cl. S, 24.336%, 1/25/32³		64,178		16,553
Series 2002-28,Cl. SA, 33.709%, 4/25/32³		1,960		488
Series 2002-38,Cl. SO, 45.956%, 4/25/32³		5,475		1,090
Series 2002-39,Cl. SD, 37.028%, 3/18/32³		3,620		945
Series 2002-47,Cl. NS, 30.107%, 4/25/32³		195,034		50,063
Series 2002-48,Cl. S, 29.394%, 7/25/32³		3,244		653
Series 2002-51,Cl. S, 30.323%, 8/25/32³		179,042		44,156
Series 2002-52,Cl. SD, 35.071%, 9/25/32³		254,794		61,722
Series 2002-52,Cl. SL, 31.897%, 9/25/32³		2,026		520
Series 2002-53,Cl. SK, 32.236%, 4/25/32³		12,614		3,362
Series 2002-56,Cl. SN, 31.138%, 7/25/32³		4,423		1,027
Series 2002-60,Cl. SM, 29.543%, 8/25/32³		28,906		5,542
Series 2002-7,Cl. SK, 26.056%, 1/25/32³		13,455		2,738
Series 2002-77,Cl. BS, 24.213%, 12/18/32³		17,892		4,148
Series 2002-77,Cl. IS, 41.508%, 12/18/32³		9,328		2,473
Series 2002-77,Cl. SH, 31.292%, 12/18/32³		93,877		18,811
Series 2002-84,Cl. SA, 34.034%, 12/25/32³		213,688		52,276
Series 2002-9,Cl. MS, 25.451%, 3/25/32³		3,403		734
Series 2002-90,Cl. SN, 30.651%, 8/25/32³		14,870		2,851
Series 2002-90,Cl. SY, 36.303%, 9/25/32³		10,695		1,992
Series 2003-26,Cl. DI, 7.615%, 4/25/33³		9,481		2,314
Series 2003-33,Cl. SP, 28.54%, 5/25/33³		221,591		47,613
Series 2003-4,Cl. S, 30.163%, 2/25/33³		140,878		34,486
Series 2004-54,Cl. DS, 39.402%, 11/25/30³		183,310		35,807
Series 2005-12,Cl. SC, 9.374%, 3/25/35³		47,863		10,360
Series 2005-14,Cl. SE, 37.065%, 3/25/35³		143,507		22,384
Series 2005-40,Cl. SA, 49.165%, 5/25/35³		415,006		71,864
Series 2005-40,Cl. SB, 53.532%, 5/25/35³		19,396		3,223
Series 2005-52,Cl. JH, 1.345%, 5/25/35³		103,389		18,100
Series 2005-93,Cl. SI, 12.504%, 10/25/35³		329,553		52,332
Series 2008-55,Cl. SA, 9.973%, 7/25/38³		24,816		3,396
Series 2009-8,Cl. BS, 0.00%, 2/25/24^3,4		116,954		7,240
Series 2012-40,Cl. PI, 0.00%, 4/25/41^3,4		184,059		34,198
Series 2012-134,Cl. SA, 10.46%, 12/25/42³		217,200		56,054
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Principal-Only Stripped Mtg.-Backed Security, Series 1993-184, Cl. M, 4.982%, 9/25/23⁵		108,468		106,407
				58,504,784
GNMA/Guaranteed—0.2%
Government National Mortgage Assn. I Pool:
7.00%, 12/15/23-3/15/26		10,490		11,552
8.50%, 8/15/17-12/15/17		23,064		24,244
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security:
Series 2002-15,Cl. SM, 60.42%, 2/16/32³		317,390		61,929
Series 2007-17,Cl. AI, 18.976%, 4/16/37³		95,454		20,101
Series 2011-52,Cl. HS, 8.882%, 4/16/41³		642,285		130,951
Government National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates:
Series 1999-32,Cl. ZB, 8.00%, 9/16/29		44,222		52,293
Series 2000-7,Cl. Z, 8.00%, 1/16/30		16,584		19,167
				320,237
Non-Agency—16.3%
Commercial—14.5%
Asset Securitization Corp., Interest-Only Stripped Mtg.-Backed Security, Series 1997-D4, Cl. PS1, 0.00%, 4/14/29^3,4		1,675,287		50,249
Banc of America Commercial Mortgage Trust:
Series 2006-5,Cl. AM, 5.448%, 9/10/47		425,000		446,502
Series 2006-6,Cl. AM, 5.39%, 10/10/45		685,000		725,114
Banc of America Funding Trust:
Series 2006-G,Cl. 2A4, 0.466%, 7/20/36²		795,000		743,387


	Principal Amount		Value
Commercial (Continued)
Banc of America Funding Trust: (Continued)
Series 2014-R7,Cl. 3A1, 2.615%, 3/26/36²	$	314,239	$	322,912
BCAP LLC Trust, Series 2011-R11, Cl. 18A5, 2.27%, 9/26/35^1,2		217,207		221,022
Bear Stearns ARM Trust:
Series 2005-2,Cl. A1, 2.68%, 3/25/35²		230,504		233,352
Series 2005-9,Cl. A1, 2.41%, 10/25/35²		262,072		258,968
Bear Stearns Commercial Mortgage Securities Trust, Series 2006-T24, Cl. AM, 5.568%, 10/12/41²		295,000		312,142
Capital Lease Funding Securitization LP, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 1997-CTL1, Cl. IO, 0.00%, 6/22/24^1,3,4		1,438,036		60,525
CD Commercial Mortgage Trust, Series 2006-CD2, Cl. AM, 5.345%, 1/15/46²		420,000		433,902
Chase Mortgage Finance Trust, Series 2005-A2, Cl. 1A3, 2.441%, 1/25/36²		172,519		162,887
CHL Mortgage Pass-Through Trust, Series 2005-17, Cl. 1A8, 5.50%, 9/25/35		30,722		30,333
Citigroup Commercial Mortgage Trust:
Series 2008-C7,Cl. AM, 6.134%, 12/10/49²		410,000		448,813
Series 2013-GC11,Cl. D, 4.458%, 4/10/46^1,2		160,000		159,267
Citigroup Mortgage Loan Trust, Inc., Series 2006-AR1, Cl. 1A1, 2.57%, 10/25/35²		731,456		727,034
COMM Mortgage Trust:
Series 2006-C7,Cl. AM, 5.776%, 6/10/46²		695,000		729,616
Series 2012-CR4,Cl. D, 4.576%, 10/15/45^1,2		50,000		50,566
Series 2012-CR5,Cl. E, 4.336%, 12/10/45^1,2		300,000		301,322
Series 2013-CR7,Cl. D, 4.354%, 3/10/46^1,2		390,000		377,342
Series 2014-CR21,Cl. AM, 3.987%, 12/10/47		710,000		758,576
COMM Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 2012-CR5, Cl. XA, 0.00%, 12/10/45^3,4		2,732,706		251,742
Commercial Mortgage Trust:
Series 2006-GG7,Cl. AM, 5.785%, 7/10/38²		35,000		36,667
Series 2007-GG11,Cl. AM, 5.867%, 12/10/49²		500,000		541,877
Series 2007-GG9,Cl. AM, 5.475%, 3/10/39		220,000		232,282
Credit Suisse Commercial Mortgage Trust, Series 2006-C1, Cl. AJ, 5.469%, 2/15/39²		275,000		284,341
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C6, Cl. AJ, 5.23%, 12/15/40²		410,000		417,904
CSMC:
Series 2006-6,Cl. 1A4, 6.00%, 7/25/36		258,395		213,298
Series 2009-13R,Cl. 4A1, 2.623%, 9/26/36^1,2		67,650		68,181
DBUBS Mortgage Trust, Series 2011-LC1A, Cl. E, 5.558%, 11/10/46^1,2		75,000		82,755
First Horizon Alternative Mortgage Securities Trust:
Series 2004-FA2,Cl. 3A1, 6.00%, 1/25/35		214,599		206,398
Series 2005-FA8,Cl. 1A6, 0.824%, 11/25/35²		234,513		178,535
FREMF Mortgage Trust:
Series 2012-K501,Cl. C, 3.443%, 11/25/46^1,2		35,000		35,823
Series 2013-K25,Cl. C, 3.618%, 11/25/45^1,2		90,000		90,265
Series 2013-K26,Cl. C, 3.60%, 12/25/45^1,2		60,000		60,411
Series 2013-K27,Cl. C, 3.497%, 1/25/46^1,2		95,000		94,353
Series 2013-K28,Cl. C, 3.495%, 6/25/46^1,2		285,000		282,764
Series 2013-K502,Cl. C, 3.191%, 3/25/45^1,2		175,000		178,487
Series 2013-K712,Cl. C, 3.369%, 5/25/45^1,2		75,000		75,716
Series 2013-K713,Cl. C, 3.165%, 4/25/46^1,2		115,000		114,417
Series 2014-K715,Cl. C, 4.124%, 2/25/46^1,2		50,000		51,953
GS Mortgage Securities Trust, Series 2006-GG6, Cl. AM, 5.553%, 4/10/38²		165,000		169,747
GSMSC Pass-Through Trust, Series 2009-3R, Cl. 1A2, 6%, 4/25/37^1,2		444,888		410,987
GSR Mortgage Loan Trust, Series 2005-AR4, Cl. 6A1, 5.201%, 7/25/35²		149,519		148,153
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2012-LC9, Cl. E, 4.422%, 12/15/47^1,2		245,000		247,050
JP Morgan Chase Commercial Mortgage Securities Trust:
Series 2005-CB13,Cl. AM, 5.30%, 1/12/43²		30,000		30,693
Series 2006-CB16,Cl. AJ, 5.623%, 5/12/45		305,000		311,737


	Principal Amount		Value
Commercial (Continued)
JP Morgan Chase Commercial Mortgage Securities Trust: (Continued)
Series 2006-LDP8,Cl. AJ, 5.48%, 5/15/45²	$	275,000	$	287,637
Series 2012-C6,Cl. E, 5.208%, 5/15/45^1,2		325,000		340,374
JP Morgan Mortgage Trust:
Series 2007-A1,Cl. 5A1, 2.556%, 7/25/35²		139,489		139,945
Series 2007-S3,Cl. 1A90, 7.00%, 8/25/37		391,936		362,885
JP Morgan Resecuritization Trust:
Series 2009-11,Cl. 5A1, 2.623%, 9/26/36^1,2		257,624		258,285
Series 2009-5,Cl. 1A2, 2.629%, 7/26/36^1,2		406,256		352,535
JPMBB Commercial Mortgage Securities Trust:
Series 2014-C25,Cl. AS, 4.065%, 11/15/47		300,000		325,226
Series 2014-C26,Cl. AS, 3.80%, 1/15/48		145,000		153,910
LB Commercial Conduit Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 1998-C1, Cl. IO, 0.00%, 2/18/30^3,4		492,444		10,426
LB-UBS Commercial Mortgage Trust, Series 2006-C4, Cl. AM, 5.842%, 6/15/38²		185,000		194,829
Lehman Structured Securities Corp., Series 2002-GE1, Cl. A, 2.514%, 7/26/24^1,2		65,391		56,776
Merrill Lynch Mortgage Trust, Series 2006-C2, Cl. AM, 5.782%, 8/12/43²		565,000		596,279
Morgan Stanley Bank of America Merrill Lynch Trust:
Series 2012-C6,Cl. E, 4.662%, 11/15/45^1,2		400,000		410,932
Series 2013-C7,Cl. D, 4.302%, 2/15/46^1,2		175,000		174,565
Series 2013-C8,Cl. D, 4.171%, 12/15/48^1,2		130,000		128,218
Series 2014-C19,Cl. AS, 3.832%, 12/15/47		595,000		630,683
Morgan Stanley Capital I Trust:
Series 2007-IQ13,Cl. AM, 5.406%, 3/15/44		540,000		575,856
Series 2007-IQ15,Cl. AM, 5.909%, 6/11/49²		490,000		525,965
Morgan Stanley Re-Remic Trust, Series 2012-R3, Cl. 1B, 1.959%, 11/26/36^1,2		455,026		335,423
Morgan Stanley Resecuritization Trust, Series 2013-R9, Cl. 3A, 2.364%, 6/26/46^1,2		366,426		370,330
RBSSP Resecuritization Trust, Series 2010-1, Cl. 2A1, 2.31%, 7/26/45^1,2		37,803		37,744
Salomon Brothers Mortgage Securities VII, Inc., Interest-Only Stripped Mtg.-Backed Security, Series 1999-C1, Cl. X, 0.00%, 5/18/32^3,4		3,171,370		32
UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Cl. E, 4.89%, 5/10/63^1,2		65,000		66,979
Wachovia Bank Commercial Mortgage Trust, Series 2005-C22, Cl. AM, 5.321%, 12/15/44²		260,000		264,818
WaMu Mortgage Pass-Through Certificates Trust:
Series 2005-AR14,Cl. 1A4, 2.342%, 12/25/35²		290,017		281,418
Series 2005-AR16,Cl. 1A1, 2.34%, 12/25/35²		130,243		124,462
Wells Fargo Mortgage-Backed Securities Trust:
Series 2005-AR10,Cl. 1A1, 2.619%, 6/25/35²		612,930		628,000
Series 2005-AR15,Cl. 1A6, 2.613%, 9/25/35²		72,638		69,295
Series 2006-AR8,Cl. 2A4, 2.604%, 4/25/36²		172,785		168,890
Series 2007-16,Cl. 1A1, 6.00%, 12/28/37		179,117		185,569
Series 2007-AR3,Cl. A4, 5.755%, 4/25/37²		83,021		81,547
Series 2007-AR8,Cl. A1, 2.61%, 11/25/37²		210,432		185,879
WF-RBS Commercial Mortgage Trust:
Series 2012-C10,Cl. D, 4.458%, 12/15/45^1,2		175,000		173,792
Series 2012-C7,Cl. E, 4.845%, 6/15/45^1,2		120,000		123,499
Series 2012-C8,Cl. E, 4.876%, 8/15/45^1,2		355,000		370,904
Series 2013-C11,Cl. D, 4.182%, 3/15/45^1,2		74,000		72,914
				21,437,188
Multi-Family—0.2%
Wells Fargo Mortgage-Backed Securities Trust:
Series 2005-AR15,Cl. 1A2, 2.613%, 9/25/35²		182,937		179,115
Series 2006-AR2,Cl. 2A3, 2.615%, 3/25/36²		153,811		152,393
				331,508
Residential—1.6%
Banc of America Funding Trust:
Series 2007-1,Cl. 1A3, 6.00%, 1/25/37		205,464		190,184
Series 2007-C,Cl. 1A4, 5.278%, 5/20/36²		84,841		80,311


	Principal Amount		Value
Residential (Continued)
Banc of America Mortgage Trust, Series 2007-1, Cl. 1A24, 6%, 3/25/37	$	132,647	$	118,393
Bear Stearns ARM Trust, Series 2006-1, Cl. A1, 2.36%, 2/25/36²		317,893		317,695
Carrington Mortgage Loan Trust, Series 2006-FRE1, Cl. A2, 0.284%, 7/25/36²		139,245		137,028
CD Commercial Mortgage Trust, Series 2007-CD4, Cl. AMFX, 5.366%, 12/11/49²		115,000		120,431
CHL Mortgage Pass-Through Trust:
Series 2005-26,Cl. 1A8, 5.50%, 11/25/35		161,762		156,876
Series 2005-J4,Cl. A7, 5.50%, 11/25/35		23,269		24,517
MASTR Asset Backed Securities Trust, Series 2006-WMC3, Cl. A3, 0.274%, 8/25/36²		53,795		26,843
NC Finance Trust, Series 1999-I, Cl. D, 8.75%, 1/25/29^7,8		3,370,016		876,204
RALI Trust:
Series 2003-QS1,Cl. A2, 5.75%, 1/25/33		28,265		28,452
Series 2006-QS13,Cl. 1A8, 6.00%, 9/25/36		1,212		992
Series 2007-QS6,Cl. A28, 5.75%, 4/25/37		14,812		12,092
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR10, Cl. A7, 2.419%, 10/25/33²		154,383		158,017
Wells Fargo Mortgage-Backed Securities Trust, Series 2006-AR14, Cl. 1A2, 5.765%, 10/25/36²		189,683		184,371
				2,432,406
Total Mortgage-Backed Obligations (Cost $85,765,510)				83,026,123

U.S. Government Obligations—1.2%
Federal National Mortgage Assn. Nts., 1%, 9/27/17		259,000		260,115
United States Treasury Nts., 1.50%, 5/31/19		1,438,000		1,453,391
Total U.S. Government Obligations (Cost $1,703,907)				1,713,506

Corporate Bonds and Notes—53.3%
Consumer Discretionary—7.7%
Auto Components—0.1%
BorgWarner, Inc., 4.375% Sr. Unsec. Nts., 3/15/45		109,000		113,664
Johnson Controls, Inc., 1.40% Sr. Unsec. Nts., 11/2/17		66,000		65,831
				179,495

Automobiles—1.8%
Daimler Finance North America LLC:
1.30% Sr. Unsec. Nts., 7/31/15¹		316,000		316,865
8.50% Sr. Unsec. Unsub. Nts., 1/18/31		237,000		376,161
Ford Motor Credit Co. LLC, 3.664% Sr. Unsec. Nts., 9/8/24		796,000		822,925
General Motors Co., 6.25% Sr. Unsec. Nts., 10/2/43		363,000		446,378
Hyundai Capital America, 1.45% Sr. Unsec. Nts., 2/6/17¹		392,000		392,555
Kia Motors Corp., 3.625% Sr. Unsec. Nts., 6/14/16¹		284,000		291,569
				2,646,453
Diversified Consumer Services—0.3%
Service Corp. International, 5.375% Sr. Unsec. Nts., 5/15/24		353,000		370,650
Hotels, Restaurants & Leisure—0.9%
Brinker International, Inc., 2.60% Sr. Unsec. Nts., 5/15/18		134,000		134,695
Carnival Corp., 1.20% Sr. Unsec. Nts., 2/5/16		386,000		386,635


	Principal Amount		Value
Hotels, Restaurants & Leisure (Continued)
Hyatt Hotels Corp., 3.875% Sr. Unsec. Unsub. Nts., 8/15/16	$	65,000	$	67,348
Starwood Hotels & Resorts Worldwide, Inc., 7.15% Sr. Unsec. Unsub. Nts., 12/1/19		261,000		309,569
Wyndham Worldwide Corp., 6% Sr. Unsec. Nts., 12/1/16		335,000		357,823
				1,256,070
Household Durables—0.8%
Jarden Corp., 6.125% Sr. Unsec. Nts., 11/15/22		354,000		370,373
Lennar Corp., 4.75% Sr. Unsec. Nts., 11/15/22		365,000		373,213
Toll Brothers Finance Corp., 4.375% Sr. Unsec. Nts., 4/15/23		307,000		311,605
Whirlpool Corp.:
1.35% Sr. Unsec. Nts., 3/1/17		104,000		104,270
1.65% Sr. Unsec. Nts., 11/1/17		85,000		85,585
				1,245,046
Leisure Equipment & Products—0.3%
Mattel, Inc., 1.70% Sr. Unsec. Nts., 3/15/18		371,000		369,474
Media—2.0%
21st Century Fox America, Inc., 6.15% Sr. Unsec. Nts., 2/15/41		162,000		210,225
CCO Holdings LLC/CCO Holdings Capital Corp., 6.50% Sr. Unsec. Nts., 4/30/21		338,000		356,168
Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22		242,000		352,610
Comcast Corp., 4.65% Sr. Unsec. Unsub. Nts., 7/15/42		130,000		145,978
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 5.15% Sr. Unsec. Nts., 3/15/42		235,000		246,892
Historic TW, Inc.:
8.05% Sr. Unsec. Nts., 1/15/16		64,000		67,473
9.15% Debs., 2/1/23		96,000		132,782
Interpublic Group of Cos., Inc. (The), 4.20% Sr. Unsec. Nts., 4/15/24		191,000		202,724
Lamar Media Corp., 5% Sr. Unsec. Sub. Nts., 5/1/23		373,000		383,258
Pearson Funding Two plc, 4% Sr. Unsec. Nts., 5/17/16¹		85,000		87,728
Sky plc, 3.75% Sr. Unsec. Nts., 9/16/24¹		187,000		193,713
Time Warner Cable, Inc., 4.50% Sr. Unsec. Unsub. Nts., 9/15/42		280,000		290,685
Time Warner, Inc., 4.65% Sr. Unsec. Nts., 6/1/44		96,000		103,853
Viacom, Inc., 2.50% Sr. Unsec. Nts., 12/15/16		155,000		158,523
				2,932,612
Multiline Retail—0.3%
Family Tree Escrow LLC, 5.75% Sr. Sec. Nts., 3/1/23¹		375,000		395,625
Macy’s Retail Holdings, Inc., 4.50% Sr. Unsec. Nts., 12/15/34		87,000		92,390
				488,015
Specialty Retail—0.7%
Best Buy Co., Inc., 5.50% Sr. Unsec. Nts., 3/15/21		349,000		369,940
Home Depot, Inc. (The), 4.875% Sr. Unsec. Nts., 2/15/44		142,000		170,226
Ross Stores, Inc., 3.375% Sr. Unsec. Nts., 9/15/24		355,000		364,357
Sally Holdings LLC/Sally Capital, Inc., 5.75% Sr. Unsec. Nts., 6/1/22		5,000		5,344


	Principal Amount		Value
Specialty Retail (Continued)
Signet UK Finance plc, 4.70% Sr. Unsec. Nts., 6/15/24	$	192,000	$	197,444
				1,107,311
Textiles, Apparel & Luxury Goods—0.5%
Levi Strauss & Co., 6.875% Sr. Unsec. Nts., 5/1/22		335,000		367,663
PVH Corp., 4.50% Sr. Unsec. Unsub. Nts., 12/15/22		371,000		378,420
				746,083
Consumer Staples—3.9%
Beverages—0.8%
Anheuser-Busch InBev Worldwide, Inc., 8.20% Sr. Unsec. Unsub. Nts., 1/15/39		324,000		508,129
Pernod Ricard SA:
2.95% Sr. Unsec. Nts., 1/15/17¹		357,000		367,305
4.25% Sr. Unsec. Nts., 7/15/22¹		222,000		239,643
				1,115,077
Food & Staples Retailing—0.8%
CVS Health Corp., 5.30% Sr. Unsec. Nts., 12/5/43		84,000		103,038
Delhaize Group SA, 5.70% Sr. Unsec. Nts., 10/1/40		215,000		238,451
Kroger Co., 6.90% Sr. Unsec. Nts., 4/15/38		90,000		123,289
Kroger Co. (The), 6.40% Sr. Unsec. Nts., 8/15/17		326,000		363,628
Walgreens Boots Alliance, Inc., 1.75% Sr. Unsec. Nts., 11/17/17		156,000		157,496
Wal-Mart Stores, Inc., 4.30% Sr. Unsec. Nts., 4/22/44		170,000		190,215
				1,176,117
Food Products—1.8%
Bunge Ltd. Finance Corp.:
5.10% Sr. Unsec. Unsub. Nts., 7/15/15		332,000		335,898
8.50% Sr. Unsec. Nts., 6/15/19		289,000		356,766
ConAgra Foods, Inc., 1.35% Sr. Unsec. Nts., 9/10/15		352,000		352,761
Ingredion, Inc., 1.80% Sr. Unsec. Nts., 9/25/17		214,000		214,070
JM Smucker Co.:
1.75% Sr. Unsec. Nts., 3/15/18¹		288,000		289,367
3.50% Sr. Unsec. Nts., 3/15/25¹		225,000		231,787
Kraft Foods Group, Inc., 5% Sr. Unsec. Nts., 6/4/42		85,000		94,876
TreeHouse Foods, Inc., 4.875% Sr. Unsec. Nts., 3/15/22		365,000		373,212
Tyson Foods, Inc.:
4.875% Sr. Unsec. Nts., 8/15/34		118,000		133,465
6.60% Sr. Unsec. Nts., 4/1/16		341,000		359,783
				2,741,985
Tobacco—0.5%
Altria Group, Inc., 10.20% Sr. Unsec. Nts., 2/6/39		202,000		358,357
Reynolds American, Inc., 6.75% Sr. Unsec. Nts., 6/15/17		325,000		360,781
				719,138
Energy—4.8%
Energy Equipment & Services—0.8%
Ensco plc, 5.20% Sr. Unsec. Nts., 3/15/25		74,000		74,537
Nabors Industries, Inc.:
2.35% Sr. Unsec. Nts., 9/15/16		294,000		293,224
4.625% Sr. Unsec. Nts., 9/15/21		155,000		149,375
Rowan Cos., Inc., 4.875% Sr. Unsec. Unsub. Nts., 6/1/22		153,000		147,273


	Principal Amount		Value
Energy Equipment & Services (Continued)
Sinopec Group Overseas Development 2014
Ltd., 1.75% Sr. Unsec. Nts., 4/10/17¹	$	369,000	$	369,698
Weatherford International Ltd., 5.95% Sr.
Unsec. Nts., 4/15/42		97,000		85,535
				1,119,642
Oil, Gas & Consumable Fuels—4.0%
Anadarko Petroleum Corp., 6.20% Sr.
Unsec. Nts., 3/15/40		169,000		206,494
Boardwalk Pipelines LP, 4.95% Sr. Unsec.
Nts., 12/15/24		201,000		202,966
Canadian Natural Resources Ltd.:
1.75% Sr. Unsec. Nts., 1/15/18		142,000		141,372
5.90% Sr. Unsec. Nts., 2/1/18		160,000		176,675
CNOOC Nexen Finance 2014 ULC, 1.625%
Sr. Unsec. Nts., 4/30/17		373,000		372,267
DCP Midstream LLC, 5.375% Sr. Unsec.
Nts., 10/15/15¹		290,000		291,668
Devon Energy Corp., 4.75% Sr. Unsec. Nts.,
5/15/42		162,000		173,947
EnLink Midstream Partners LP, 2.70% Sr.
Unsec. Nts., 4/1/19		299,000		299,213
Enterprise Products Operating LLC, 3.75%
Sr. Unsec. Nts., 2/15/25		164,000		169,976
Kinder Morgan Energy Partners LP, 4.10%
Sr. Unsec. Nts., 11/15/15		152,000		154,699
Kinder Morgan, Inc., 5% Sr. Unsec. Nts.,
2/15/21¹		437,000		467,654
Noble Energy, Inc., 5.05% Sr. Unsec. Nts.,
11/15/44		102,000		107,458
Origin Energy Finance Ltd.:
3.50% Sr. Unsec. Nts., 10/9/18¹		394,000		406,162
5.45% Sr. Unsec. Nts., 10/14/21¹		245,000		269,785
Phillips 66 Partners LP, 3.605% Sr. Unsec.
Nts., 2/15/25		75,000		75,278
Pioneer Natural Resources Co., 6.65% Sr.
Unsec. Nts., 3/15/17		328,000		356,644
Plains All American Pipeline LP/PAA Finance
Corp., 3.60% Sr. Unsec. Nts., 11/1/24		279,000		280,667
Southwestern Energy Co., 4.05% Sr. Unsec.
Nts., 1/23/20		335,000		346,550
Spectra Energy Partners LP:
4.50% Sr. Unsec. Nts., 3/15/45		73,000		74,407
4.60% Sr. Unsec. Nts., 6/15/21		238,000		261,617
4.75% Sr. Unsec. Nts., 3/15/24		194,000		213,428
Western Gas Partners LP, 4% Sr. Unsec.
Nts., 7/1/22		239,000		243,314
Williams Partners LP:
3.60% Sr. Unsec. Nts., 3/15/22		32,000		31,849
4.50% Sr. Unsec. Nts., 11/15/23		351,000		364,590
Woodside Finance Ltd., 4.60% Sr. Unsec.
Unsub. Nts., 5/10/21¹		284,000		307,538
				5,996,218
Financials—16.0%
Capital Markets—3.7%
Apollo Management Holdings LP, 4% Sr.
Unsec. Nts., 5/30/24¹		312,000		321,295
Blackstone Holdings Finance Co. LLC, 5%
Sr. Unsec. Nts., 6/15/44¹		382,000		415,292
Credit Suisse, New York, 3.625% Sr. Unsec.
Nts., 9/9/24		498,000		515,332
Deutsche Bank AG, 4.50% Sub. Nts., 4/1/25⁶		380,000		380,237
Goldman Sachs Group, Inc. (The):
3.50% Sr. Unsec. Nts., 1/23/25		372,000		380,063
5.70% Jr. Sub. Perpetual Bonds, Series L^2,9		381,000		393,263
KKR Group Finance Co. III LLC, 5.125% Sr.
Unsec. Nts., 6/1/44¹		305,000		316,320


	Principal Amount		Value
Capital Markets (Continued)
Lazard Group LLC:
3.75% Sr. Unsec. Nts., 2/13/25	$	90,000	$	88,942
4.25% Sr. Unsec. Nts., 11/14/20		337,000		360,612
Morgan Stanley:
4.30% Sr. Unsec. Nts., 1/27/45		217,000		225,845
5.00% Sub. Nts., 11/24/25		332,000		367,205
5.45% Jr. Sub. Perpetual Bonds, Series H^2,9		366,000		369,203
Nomura Holdings, Inc., 2% Sr. Unsec. Nts., 9/13/16		373,000		376,718
Raymond James Financial, Inc., 5.625% Sr. Unsec. Unsub. Nts., 4/1/24		417,000		482,926
UBS Preferred Funding Trust V, 6.243% Jr. Sub. Perpetual Bonds, Series 1^2,9		556,000		580,325
				5,573,578
Commercial Banks—6.0%
Bank of America Corp.:
7.75% Jr. Sub. Nts., 5/14/38		354,000		511,456
8.00% Jr. Sub. Perpetual Bonds, Series K^2,9		339,000		365,696
Barclays plc, 3.65% Sr. Unsec. Nts., 3/16/25		303,000		304,576
CIT Group, Inc., 3.875% Sr. Unsec. Nts., 2/19/19		373,000		370,203
Citigroup, Inc.:
2.40% Sr. Unsec. Nts., 2/18/20		602,000		604,838
6.675% Sub. Nts., 9/13/43		174,000		232,900
5.95% Jr. Sub. Perpetual Bonds, Series D^2,9		368,000		373,060
Citizens Financial Group, Inc., 5.50% Jr. Sub. Perpetual Bonds^1,2,6,9		371,000		371,000
Credit Agricole SA, 8.375% Jr. Sub. Perpetual Bonds^2,7,9		320,000		379,872
FirstMerit Bank NA, 4.27% Sub. Nts., 11/25/26		362,000		380,172
HSBC Finance Capital Trust IX, 5.911% Unsec. Sub. Nts., 11/30/35²		890,000		906,910
Intesa Sanpaolo SpA, 5.017% Sub. Nts., 6/26/24¹		370,000		379,388
JPMorgan Chase & Co., 6.75% Jr. Sub. Perpetual Bonds, Series S^2,9		344,000		374,960
Lloyds Banking Group plc, 6.657% Jr. Sub. Perpetual Bonds^1,2,9		334,000		381,595
Rabobank Capital Funding Trust III, 5.254% Jr. Sub. Perpetual Bonds^2,7,9		667,000		696,181
Regions Bank, Birmingham AL, 6.45% Sub. Nts., 6/26/37		283,000		358,240
Royal Bank of Scotland Group plc, 7.64% Jr. Sub. Perpetual Bonds, Series U^2,9		300,000		330,000
Societe Generale SA, 5.922% Jr. Sub. Perpetual Bonds^1,2,9		370,000		388,038
SunTrust Banks, Inc.:
3.60% Sr. Unsec. Nts., 4/15/16		385,000		394,694
5.625% Jr. Sub. Perpetual Bonds^2,9		370,000		378,094
Wells Fargo & Co.:
5.875% Jr. Sub. Perpetual Bonds^2,9		137,000		145,247
5.90% Jr. Sub. Perpetual Bonds, Series S^2,9		280,000		292,250
				8,919,370
Consumer Finance—1.2%
Ally Financial, Inc., 8% Sr. Unsec. Nts., 11/1/31		283,000		354,811
Capital One Financial Corp., 3.20% Sr. Unsec. Nts., 2/5/25		447,000		444,218
Discover Financial Services:
3.75% Sr. Unsec. Nts., 3/4/25		301,000		303,820
3.95% Sr. Unsec. Nts., 11/6/24		280,000		288,514
Synchrony Financial:
2.70% Sr. Unsec. Nts., 2/3/20		268,000		269,463
3.75% Sr. Unsec. Nts., 8/15/21		135,000		140,102
				1,800,928


	Principal Amount		Value
Diversified Financial Services—0.4%
Peachtree Corners Funding Trust, 3.976%
Sr. Unsec. Nts., 2/15/25¹	$	189,000	$	192,117
Voya Financial, Inc., 5.65% Jr. Sub. Nts., 5/15/53²		355,000		372,750
				564,867
Insurance—3.0%
AIA Group Ltd., 4.875% Sr. Unsec. Nts., 3/11/44¹		292,000		341,246
AXIS Specialty Finance plc, 5.15% Sr. Unsec. Nts., 4/1/45		308,000		345,286
Five Corners Funding Trust, 4.419% Unsec. Nts., 11/15/23¹		310,000		333,173
Liberty Mutual Group, Inc.:
4.25% Sr. Unsec. Nts., 6/15/23¹		276,000		294,487
4.85% Sr. Unsec. Nts., 8/1/44¹		224,000		243,909
Lincoln National Corp., 6.05% Jr. Unsec. Sub. Nts., 4/20/67²		688,000		666,328
MetLife, Inc., 4.05% Sr. Unsec. Nts., 3/1/45		228,000		235,121
Prudential Financial, Inc., 5.20% Jr. Sub. Nts., 3/15/44²		300,000		306,525
Swiss Re Capital I LP, 6.854% Jr. Sub. Perpetual Bonds^2,7,9		663,000		697,807
TIAA Asset Management Finance Co. LLC, 4.125% Sr. Unsec. Nts., 11/1/24¹		371,000		392,365
XLIT Ltd., 4.45% Sub. Nts., 3/31/25		189,000		190,604
ZFS Finance USA Trust V, 6.50% Jr. Sub. Nts., 5/9/37^2,7		365,000		385,988
				4,432,839
Real Estate—0.1%
Ventas Realty LP, 1.25% Sr. Unsec. Nts.,
4/17/17		151,000		150,723
Real Estate Investment Trusts (REITs)—1.3%
American Tower Corp.:
5.05% Sr. Unsec. Unsub. Nts., 9/1/20		149,000		164,778
5.90% Sr. Unsec. Nts., 11/1/21		200,000		230,842
Corrections Corp. of America, 4.625% Sr.
Unsec. Nts., 5/1/23		370,000		371,850
HCP, Inc., 5.625% Sr. Unsec. Nts., 5/1/17		107,000		116,151
Health Care REIT, Inc., 2.25% Sr. Unsec. Nts., 3/15/18		75,000		76,061
Hospitality Properties Trust, 4.65% Sr.
Unsec. Nts., 3/15/24		186,000		193,105
Liberty Property LP, 5.50% Sr. Unsec. Nts.,
12/15/16		228,000		242,413
Prologis LP, 4% Sr. Unsec. Nts., 1/15/18		189,000		199,824
WEA Finance LLC/Westfield UK & Europe
Finance plc, 1.75% Sr. Unsec. Nts.,
9/15/17¹		318,000		319,772
				1,914,796
Real Estate Management & Development—0.3%
Brookfield Asset Management, Inc., 4% Sr.
Unsec. Nts., 1/15/25		395,000		397,354
Health Care—3.4%
Biotechnology—0.2%
Gilead Sciences, Inc., 5.65% Sr. Unsec.
Unsub. Nts., 12/1/41		232,000		296,713
Health Care Equipment & Supplies—0.7%
CareFusion Corp.:
1.45% Sr. Unsec. Nts., 5/15/17		384,000		384,425
3.875% Sr. Unsec. Nts., 5/15/24		188,000		198,402
DENTSPLY International, Inc., 2.75% Sr.
Unsec. Nts., 8/15/16		352,000		358,854


	Principal Amount		Value
Health Care Equipment & Supplies (Continued)
Zimmer Holdings, Inc., 3.55% Sr. Unsec. Nts., 4/1/25	$	111,000	$	113,349
				1,055,030
Health Care Providers & Services—1.3%
Cardinal Health, Inc., 3.50% Sr. Unsec. Nts., 11/15/24		180,000		186,044
CHS/Community Health Systems, Inc., 5.125% Sr. Sec. Nts., 8/1/21		345,000		357,075
Fresenius Medical Care US Finance II, Inc., 5.875% Sr. Unsec. Nts., 1/31/22¹		350,000		386,750
Laboratory Corp. of America Holdings, 3.60% Sr. Unsec. Nts., 2/1/25		355,000		357,166
LifePoint Hospitals, Inc., 5.50% Sr. Unsec. Nts., 12/1/21		350,000		368,375
McKesson Corp., 4.883% Sr. Unsec. Nts., 3/15/44		155,000		178,623
Quest Diagnostics, Inc., 3.50% Sr. Unsec. Nts., 3/30/25		59,000		59,221
				1,893,254
Life Sciences Tools & Services—0.2%
Life Technologies Corp., 3.50% Sr. Unsec. Nts., 1/15/16		23,000		23,455
Thermo Fisher Scientific, Inc.:
4.15% Sr. Unsec. Nts., 2/1/24		121,000		130,887
5.30% Sr. Unsec. Nts., 2/1/44		140,000		167,907
				322,249
Pharmaceuticals—1.0%
Actavis Funding SCS:
1.30% Sr. Unsec. Nts., 6/15/17		243,000		241,010
1.85% Sr. Unsec. Nts., 3/1/17		136,000		137,025
3.80% Sr. Unsec. Nts., 3/15/25		147,000		151,893
4.75% Sr. Unsec. Nts., 3/15/45		158,000		168,359
Hospira, Inc., 5.20% Sr. Unsec. Nts., 8/12/20		373,000		425,943
Mallinckrodt International Finance SA, 3.50% Sr. Unsec. Nts., 4/15/18		386,000		382,140
				1,506,370
Industrials—4.9%
Aerospace & Defense—0.7%
BAE Systems Holdings, Inc., 3.80% Sr. Unsec. Nts., 10/7/24¹		272,000		286,097
L-3 Communications Corp.:
1.50% Sr. Unsec. Nts., 5/28/17		100,000		99,409
3.95% Sr. Unsec. Nts., 5/28/24		223,000		229,304
Northrop Grumman Corp., 4.75% Sr. Unsec. Nts., 6/1/43		85,000		96,290
Textron, Inc.:
3.875% Sr. Unsec. Nts., 3/1/25		111,000		114,899
4.30% Sr. Unsec. Nts., 3/1/24		189,000		202,697
				1,028,696
Building Products—0.3%
Owens Corning, 4.20% Sr. Unsec. Nts., 12/15/22		422,000		441,084

Commercial Services & Supplies—1.0%
Clean Harbors, Inc., 5.25% Sr. Unsec. Unsub. Nts., 8/1/20		395,000		405,863
Pitney Bowes, Inc., 4.625% Sr. Unsec. Nts., 3/15/24		431,000		452,908
R.R. Donnelley & Sons Co., 7.625% Sr. Unsec. Nts., 6/15/20		330,000		378,675
Republic Services, Inc., 5.70% Sr. Unsec. Nts., 5/15/41		144,000		181,993
				1,419,439


	Principal Amount		Value
Electrical Equipment—0.2%
Sensata Technologies BV, 4.875% Sr. Unsec. Nts., 10/15/23¹	$	294,000	$	303,555
Industrial Conglomerates—0.4%
General Electric Capital Corp., 6.25% Jr. Sub. Perpetual Bonds, Series B^2,9		574,000		648,620
Machinery—0.6%
Crane Co., 4.45% Sr. Unsec. Nts., 12/15/23		193,000		206,903
Ingersoll-Rand Global Holding Co. Ltd., 4.25% Sr. Unsec. Nts., 6/15/23		340,000		363,655
Starwood Hotels & Resorts Worldwide, Inc., 7.375% Sr. Unsec. Nts., 11/15/15		323,000		335,306
				905,864
Professional Services—0.3%
Experian Finance plc, 2.375% Sr. Unsec.
Nts., 6/15/17¹		361,000		364,886
Road & Rail—0.9%
Burlington Northern Santa Fe LLC, 3% Sr. Unsec. Nts., 3/15/23		309,000		315,744
ERAC USA Finance LLC, 4.50% Sr. Unsec. Nts., 2/15/45¹		110,000		111,751
Kansas City Southern de Mexico SA de CV, 3% Sr. Unsec. Nts., 5/15/23		315,000		311,319
Penske Truck Leasing Co. LP/PTL Finance Corp.:
2.50% Sr. Unsec. Nts., 3/15/16¹		368,000		373,388
4.25% Sr. Unsec. Nts., 1/17/23¹		230,000		239,672
				1,351,874
Trading Companies & Distributors—0.5%
Air Lease Corp., 3.875% Sr. Unsec. Nts., 4/1/21		383,000		396,405
International Lease Finance Corp., 5.875%
Sr. Unsec. Unsub. Nts., 4/1/19		376,000		408,900
				805,305
Information Technology—2.3%
Communications Equipment—0.2%
Motorola Solutions, Inc., 3.50% Sr. Unsec. Nts., 3/1/23		259,000		260,343
Electronic Equipment, Instruments, & Components—0.6%
Arrow Electronics, Inc., 5.125% Sr. Unsec. Unsub. Nts., 3/1/21		407,000		449,507
Avnet, Inc., 4.875% Sr. Unsec. Unsub. Nts., 12/1/22		405,000		436,328
				885,835
Internet Software & Services—0.2%
VeriSign, Inc., 5.25% Sr. Unsec. Nts., 4/1/25¹		260,000		264,875
IT Services—0.5%
Fidelity National Information Services, Inc.:
1.45% Sr. Unsec. Nts., 6/5/17		297,000		296,863
3.50% Sr. Unsec. Nts., 4/15/23		207,000		208,067
Xerox Corp.:
2.95% Sr. Unsec. Nts., 3/15/17		130,000		133,917
6.75% Sr. Unsec. Nts., 2/1/17		65,000		71,111
				709,958
Semiconductors & Semiconductor Equipment—0.2%
Micron Technology, Inc., 5.50% Sr. Unsec. Nts., 2/1/25¹		370,000		373,700
Software—0.2%
Oracle Corp., 3.40% Sr. Unsec. Nts., 7/8/24		269,000		283,099

Technology Hardware, Storage & Peripherals—0.4%
Apple, Inc., 4.45% Sr. Unsec. Nts., 5/6/44		211,000		236,103


	Principal Amount		Value
Technology Hardware, Storage & Peripherals (Continued)
Hewlett-Packard Co., 2.65% Sr. Unsec. Unsub. Nts., 6/1/16	$	367,000	$	373,934
				610,037
Materials—3.6%
Chemicals—1.2%
Agrium, Inc.:
3.375% Sr. Unsec. Nts., 3/15/25		151,000		151,259
4.125% Sr. Unsec. Nts., 3/15/35		75,000		74,616
Eastman Chemical Co.:
3.00% Sr. Unsec. Nts., 12/15/15		182,000		184,723
4.65% Sr. Unsec. Nts., 10/15/44		92,000		96,953
LYB International Finance BV, 5.25% Sr. Unsec. Nts., 7/15/43		123,000		137,611
Methanex Corp., 4.25% Sr. Unsec. Nts., 12/1/24		215,000		218,260
Rockwood Specialties Group, Inc., 4.625% Sr. Unsec. Nts., 10/15/20		380,000		396,625
RPM International, Inc., 3.45% Sr. Unsec. Unsub. Nts., 11/15/22		325,000		324,254
Valspar Corp. (The), 3.30% Sr. Unsec. Nts., 2/1/25		103,000		103,721
				1,688,022
Construction Materials—0.5%
CRH America, Inc., 4.125% Sr. Unsec. Nts., 1/15/16		365,000		373,134
James Hardie International Finance Ltd., 5.875% Sr. Unsec. Nts., 2/15/23¹		364,000		376,740
				749,874
Containers & Packaging—1.1%
Ball Corp., 4% Sr. Unsec. Nts., 11/15/23		305,000		298,900
Packaging Corp. of America:
3.65% Sr. Unsec. Nts., 9/15/24		94,000		94,702
4.50% Sr. Unsec. Nts., 11/1/23		300,000		323,648
Rock-Tenn Co., 3.50% Sr. Unsec. Unsub. Nts., 3/1/20		617,000		641,225
Silgan Holdings, Inc., 5% Sr. Unsec. Nts., 4/1/20		308,000		318,010
				1,676,485
Metals & Mining—0.7%
Carpenter Technology Corp., 4.45% Sr. Unsec. Unsub. Nts., 3/1/23		145,000		148,744
Freeport-McMoRan, Inc., 3.875% Sr. Unsec. Nts., 3/15/23		122,000		113,135
Glencore Canada Corp., 6% Sr. Unsec. Unsub. Nts., 10/15/15		370,000		379,487
Glencore Funding LLC, 4.625% Sr. Unsec. Nts., 4/29/24¹		137,000		143,050
Goldcorp, Inc., 5.45% Sr. Unsec. Nts., 6/9/44		101,000		105,699
Yamana Gold, Inc., 4.95% Sr. Unsec. Nts., 7/15/24		193,000		190,109
				1,080,224
Paper & Forest Products—0.1%
International Paper Co., 4.80% Sr. Unsec. Nts., 6/15/44		153,000		158,021
Telecommunication Services—3.4%
Diversified Telecommunication Services—3.1%
AT&T, Inc., 4.35% Sr. Unsec. Nts., 6/15/45		252,000		242,850
British Telecommunications plc, 9.625% Sr. Unsec. Nts., 12/15/30		247,000		407,971
CenturyLink, Inc., 6.45% Sr. Unsec. Nts., 6/15/21		335,000		363,056
Cox Communications, Inc.:
3.85% Sr. Unsec. Nts., 2/1/25¹		215,000		221,515


	Principal Amount		Value
Diversified Telecommunication Services (Continued)
Cox Communications, Inc.: (Continued)
5.875% Sr. Unsec. Nts., 12/1/16¹	$	345,000	$	370,531
Deutsche Telekom International Finance BV,
5.75% Sr. Unsec. Nts., 3/23/16		349,000		365,315
Frontier Communications Corp., 7.625% Sr. Unsec. Nts., 4/15/24		340,000		355,725
Telecom Italia Capital SA, 7.721% Sr. Unsec. Unsub. Nts., 6/4/38		230,000		269,675
Telefonica Emisiones SAU, 7.045% Sr. Unsec. Unsub. Nts., 6/20/36		142,000		196,780
T-Mobile USA, Inc., 6.25% Sr. Unsec. Nts., 4/1/21		316,000		329,825
Verizon Communications, Inc.:
3.50% Sr. Unsec. Nts., 11/1/24		163,000		167,147
4.50% Sr. Unsec. Nts., 9/15/20		891,000		984,624
4.522% Sr. Unsec. Nts., 9/15/48¹		252,000		251,103
5.012% Sr. Unsec. Nts., 8/21/54		50,000		52,114
				4,578,231
Wireless Telecommunication Services—0.3%
America Movil SAB de CV, 4.375% Sr. Unsec. Unsub. Nts., 7/16/42		138,000		138,671
Vodafone Group plc:
4.375% Sr. Unsec. Unsub. Nts., 2/19/43		119,000		117,715
6.25% Sr. Unsec. Nts., 11/30/32		125,000		153,298
				409,684
Utilities—3.3%
Electric Utilities—1.6%
American Transmission Systems, Inc., 5%
Sr. Unsec. Nts., 9/1/44¹		99,000		112,263
EDP Finance BV, 5.25% Sr. Unsec. Nts., 1/14/21¹		275,000		298,771
Enel Finance International NV, 6.25% Sr. Unsec. Nts., 9/15/17¹		333,000		370,762
ITC Holdings Corp.:
3.65% Sr. Unsec. Nts., 6/15/24		329,000		341,650
5.30% Sr. Unsec. Nts., 7/1/43		78,000		92,867
Pennsylvania Electric Co., 5.20% Sr. Unsec.
Nts., 4/1/20		73,000		80,904
PPL Capital Funding, Inc.:
3.50% Sr. Unsec. Unsub. Nts., 12/1/22		204,000		212,994
4.20% Sr. Sec. Nts., 6/15/22		54,000		58,913
PPL WEM Holdings Ltd., 5.375% Sr. Unsec.
Unsub. Nts., 5/1/21¹		429,000		494,397
Trans-Allegheny Interstate Line Co., 3.85%
Sr. Unsec. Nts., 6/1/25¹		226,000		236,559
				2,300,080
Independent Power and Renewable Electricity Producers—0.4%
Dayton Power & Light Co. (The), 1.875%
Sec. Nts., 9/15/16		272,000		274,998
NRG Yield Operating LLC, 5.375% Sr.
Unsec. Nts., 8/15/24¹		349,000		364,705
				639,703
Multi-Utilities—1.3%
Berkshire Hathaway Energy Co., 4.50% Sr.
Unsec. Nts., 2/1/45		185,000		202,276
CenterPoint Energy, Inc., 5.95% Sr. Unsec.
Nts., 2/1/17		327,000		354,787
CMS Energy Corp.:
3.875% Sr. Unsec. Nts., 3/1/24		202,000		216,391
5.05% Sr. Unsec. Unsub. Nts., 3/15/22		286,000		327,588
Consolidated Edison Co. of New York, Inc.,
4.625% Sr. Unsec. Nts., 12/1/54		84,000		94,617
Dominion Gas Holdings LLC, 4.60% Sr.
Unsec. Nts., 12/15/44		141,000		152,584
Dominion Resources, Inc., 2.50% Sr. Unsec. Nts., 12/1/19		259,000		263,499

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 $38,605,331 or 26.05% of the Fund’s net assets as of March 31, 2015.

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 $2,738,962 or 1.85% of the Fund’s net assets as of March 31, 2015.

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 $153,597 or 0.10% of the Fund’s net assets as of March 31, 2015.

6. All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after March 31, 2015. See Note 3 of the accompanying Notes.

7. Restricted security. The aggregate value of restricted securities as of March 31, 2015 was $3,036,052, which represents 2.05% of the Fund’s net assets. See Note 3 of the accompanying Notes. Information concerning restricted securities is as follows:

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 Note 3 of the 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 March 31, 2015, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the period in which the issuer was an affiliate are as follows:

Oppenheimer Core Bond Fund/VA (the “Fund”), a separate series of Oppenheimer Variable Account Funds, is 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 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.

Securities are valued using unadjusted quoted market prices, when available, as supplied primarily by third party pricing services or dealers.

The following methodologies are used to determine the market value or the fair value of the types of securities described below:

Shares of a registered investment company that are not traded on an exchange are valued at that investment company’s net asset value per share.

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.

Valuation Committee. The Valuation Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when determining the fair value of a security. Fair value determinations by the Manager are subject to review, approval and ratification by the Fund’s Board at its next regularly scheduled meeting covering the calendar quarter in which the fair valuation was determined. Those fair valuation standardized methodologies include, but are not limited to, valuing securities at the last sale price or initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities index, or changes in the value of similar securities which may be further adjusted for any discounts related to security-specific resale restrictions. When possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those securities nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security.

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

3) Level 3-significant unobservable inputs (including the Manager’s own judgments about assumptions that market participants would use in pricing the asset or liability).

The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities.

The table below categorizes amounts as of March 31, 2015 based on valuation input level:

As of March 31, 2015, 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:

Credit Risk. The Fund invests in high-yield, non-investment-grade bonds, which may be subject to a greater degree of credit risk. Credit risk relates to the ability of the issuer to meet interest or principal payments or both as they become due. The Fund may acquire securities that have missed an interest payment, and is not obligated to dispose of securities whose issuers or underlying obligors subsequently miss an interest payment. Information concerning securities not accruing interest as of March 31, 2015 is as follows:

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:

Equity Risk. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market.

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.

The Fund has purchased futures contracts on various bonds and notes to increase exposure to interest rate risk.

The Fund has sold futures contracts on various bonds and notes to decrease exposure to interest rate risk.

During the period ended March 31, 2015, the Fund had an ending monthly average market value of $12,237,221 and $35,935,055 on futures contracts purchased and sold, respectively.

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.


	Shares		Value
Common Stocks—96.5%
Consumer Discretionary—11.0%
Hotels, Restaurants & Leisure—1.2%
GTECH SpA		727,111	$	14,417,349
McDonald’s Corp.		210,380		20,499,427
				34,916,776
Internet & Catalog Retail—0.6%
JD.com, Inc., ADR¹		534,633		15,707,518
Media—2.6%
Walt Disney Co. (The)		547,130		57,388,466
Zee Entertainment Enterprises Ltd.		2,957,821		16,126,242
				73,514,708
Specialty Retail—2.9%
Inditex SA		1,463,755		46,931,095
Tiffany & Co.		406,890		35,810,389
				82,741,484
Textiles, Apparel & Luxury Goods—3.7%
Brunello Cucinelli SpA		111,017		1,953,422
Kering		189,430		37,026,565
LVMH Moet Hennessy Louis Vuitton SE		285,430		50,373,253
Tod’s SpA		162,664		14,761,500
				104,114,740
Consumer Staples—5.9%
Beverages—1.3%
Ambev SA, ADR		2,668,105		15,368,285
Fomento Economico Mexicano SAB de CV, ADR¹		222,675		20,820,112
				36,188,397
Food Products—2.7%
Nestle SA		370,589		27,979,258
Unilever plc		1,128,493		47,067,537
				75,046,795
Household Products—1.9%
Colgate-Palmolive Co.		790,190		54,791,775
Energy—1.5%
Energy Equipment & Services—0.9%
Technip SA		442,690		26,830,217
Oil, Gas & Consumable Fuels—0.6%
Repsol SA		922,284		17,152,109
Financials—22.0%
Capital Markets—5.4%
Credit Suisse Group AG¹		1,247,426		33,582,867
Deutsche Bank AG		695,452		24,196,185
Goldman Sachs Group, Inc. (The)		221,910		41,712,422
UBS Group AG¹		2,774,388		52,068,691
				151,560,165
Commercial Banks—6.9%
Banco Bilbao Vizcaya Argentaria SA		3,198,107		32,274,930
Citigroup, Inc.		1,048,860		54,037,267
ICICI Bank Ltd., Sponsored ADR		4,076,950		42,237,202
Itau Unibanco Holding SA, ADR		1,573,484		17,402,733
Societe Generale SA		493,449		23,856,984
Sumitomo Mitsui Financial Group, Inc.		641,500		24,581,812
				194,390,928
Diversified Financial Services—3.3%
BM&FBovespa SA-Bolsa de Valores Mercadorias e Futuros		3,982,700		13,926,441
McGraw Hill Financial, Inc.		753,340		77,895,356
				91,821,797
Insurance—5.4%
Allianz SE		276,129		47,980,652


	Shares		Value
Insurance (Continued)
Dai-ichi Life Insurance Co. Ltd. (The)		2,082,800	$	30,259,343
FNF Group		593,570		21,819,633
Prudential plc		2,116,097		52,395,005
				152,454,633
Real Estate Management & Development—1.0%
DLF Ltd.		11,742,425		29,575,520
Health Care—17.3%
Biotechnology—7.8%
ACADIA Pharmaceuticals, Inc.¹		489,720		15,959,975
Biogen, Inc.¹		74,940		31,642,666
BioMarin Pharmaceutical, Inc.¹		209,630		26,124,090
Bluebird Bio, Inc.¹		76,000		9,178,520
Celldex Therapeutics, Inc.¹		1,133,860		31,600,678
Circassia Pharmaceuticals plc¹		3,028,910		12,572,119
Clovis Oncology, Inc.¹		216,860		16,097,518
Gilead Sciences, Inc.¹		359,970		35,323,856
Medivation, Inc.¹		109,910		14,186,084
Vertex Pharmaceuticals, Inc.¹		238,900		28,183,033
				220,868,539
Health Care Equipment & Supplies—1.8%
St. Jude Medical, Inc.		268,810		17,580,174
Zimmer Holdings, Inc.		281,390		33,068,953
				50,649,127
Health Care Providers & Services—4.0%
Aetna, Inc.		526,790		56,118,939
Anthem, Inc.		358,815		55,404,624
				111,523,563
Pharmaceuticals—3.7%
Bayer AG		314,316		47,227,617
Roche Holding AG		91,670		25,277,333
Shire plc		251,120		19,969,148
Theravance Biopharma, Inc.¹		157,022		2,724,332
Theravance, Inc.		624,740		9,820,913
				105,019,343
Industrials—11.7%
Aerospace & Defense—2.9%
Airbus Group NV		917,960		59,649,445
Embraer SA, Sponsored ADR		724,823		22,288,307
				81,937,752
Air Freight & Couriers—1.1%
United Parcel Service, Inc., Cl. B		312,830		30,325,740
Building Products—1.5%
Assa Abloy AB, Cl. B		714,971		42,613,156
Construction & Engineering—0.4%
FLSmidth & Co. AS		254,064		11,436,929
Electrical Equipment—2.5%
Emerson Electric Co.		377,670		21,383,676
Nidec Corp.		559,300		37,195,335
Prysmian SpA		511,891		10,545,441
				69,124,452
Industrial Conglomerates—2.5%
3M Co.		249,760		41,197,912
Seibu Holdings, Inc.		221,000		5,715,226
Siemens AG		222,659		24,106,081
				71,019,219
Machinery—0.8%
FANUC Corp.		107,400		23,469,766


	Shares		Value
Information Technology—23.9%
Communications Equipment—2.4%
Telefonaktiebolaget LM Ericsson, Cl. B		5,443,909	$	68,320,245
Electronic Equipment, Instruments, & Components—5.3%
Keyence Corp.		93,411		51,021,950
Kyocera Corp.		614,100		33,704,171
Murata Manufacturing Co. Ltd.		478,700		65,950,421
				150,676,542
Internet Software & Services—6.8%
eBay, Inc.¹		1,055,640		60,889,315
Facebook, Inc., Cl. A¹		504,910		41,511,176
Google, Inc., Cl. A¹		77,700		43,100,190
Google, Inc., Cl. C¹		70,080		38,403,840
Qihoo 360 Technology Co. Ltd., ADR¹		154,060		7,887,872
				191,792,393
IT Services—0.2%
Earthport plc¹		6,806,563		4,431,873
Semiconductors & Semiconductor Equipment—4.0%
Altera Corp.		1,483,430		63,653,981
Maxim Integrated Products, Inc.		1,413,215		49,194,014
				112,847,995
Software—5.2%
Adobe Systems, Inc.¹		633,933		46,873,006
Intuit, Inc.		515,140		49,947,975
SAP SE		669,371		48,606,793
				145,427,774
Materials—1.5%
Chemicals—1.1%
Linde AG		147,441		30,058,673


	Shares			Value
Metals & Mining—0.4%
Alrosa AO		6,424,594		$	7,943,451
Vale SA, Cl. B, Sponsored ADR		794,000			4,486,100
					12,429,551
Telecommunication Services—1.7%
Wireless Telecommunication Services—1.7%
KDDI Corp.		2,071,500			46,932,167
Total Common Stocks (Cost $1,458,991,489)					2,721,712,361
Preferred Stocks—2.0%
Bayerische Motoren Werke (BMW) AG, Preference		590,367			54,665,996
Zee Entertainment Enterprises Ltd., 6% Cum. Non-Cv.		79,253,601			1,051,121
Total Preferred Stocks (Cost $18,576,232)					55,717,117

	Units
Rights, Warrants and Certificates—0.0%
Banco Bilbao Vizcaya Argentaria SA Rts., Strike Price 1EUR, Exp. 4/14/15¹(Cost $—)		3,198,107			460,795

	Shares
Investment Company—1.3%
Oppenheimer Institutional Money Market Fund, Cl. E, 0.12%^2,3(Cost $36,464,124)		36,464,124			36,464,124
Total Investments, at Value (Cost $1,514,031,845)		99.8	%		2,814,354,397
Net Other Assets (Liabilities)		0.2			5,806,906
Net Assets		100.0	% $		2,820,161,303

Strike price is reported in U.S. Dollars, except for those denoted in the following currency:

Distribution of investments representing geographic holdings, as a percentage of total investments at value, is as follows:

Oppenheimer Global Fund/VA (the “Fund”), a separate series of Oppenheimer Variable Account Funds, is 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.