Oppenheimer Discovery Mid Cap Growth Fund/VA


	Shares		Value
Common Stocks—95.7%
Consumer Discretionary—23.9%
Auto Components—0.6%
Delphi Automotive plc		49,880	$	3,792,875

Diversified Consumer Services—0.8%
Bright Horizons Family Solutions, Inc.¹		79,580		5,112,219

Hotels, Restaurants & Leisure—3.4%
Chipotle Mexican Grill, Inc., Cl. A¹		4,740		3,413,985
Domino’s Pizza, Inc.		100,850		10,882,723
Norwegian Cruise Line Holdings Ltd.¹		154,940		8,878,062
				23,174,770

Household Durables—2.3%
DR Horton, Inc.		228,710		6,714,926
Mohawk Industries, Inc.¹		49,610		9,018,602
				15,733,528

Leisure Products—1.1%
Hasbro, Inc.		107,190		7,732,687

Multiline Retail—0.7%
Dollar Tree, Inc.¹		74,550		4,969,503

Specialty Retail—11.5%
AutoZone, Inc.¹		7,150		5,175,384
Foot Locker, Inc.		47,150		3,393,386
L Brands, Inc.		94,370		8,505,568
O’Reilly Automotive, Inc.¹		64,930		16,232,500
Ross Stores, Inc.		207,790		10,071,581
Signet Jewelers Ltd.		37,470		5,100,791
Tractor Supply Co.		127,870		10,781,998
Ulta Salon, Cosmetics & Fragrance, Inc.¹		73,170		11,952,320
Williams-Sonoma, Inc.		85,490		6,527,162
				77,740,690

Textiles, Apparel & Luxury Goods—3.5%
Carter’s, Inc.		56,050		5,080,372
Hanesbrands, Inc.		244,804		7,084,628
Under Armour, Inc., Cl. A¹		122,270		11,833,290
				23,998,290

Consumer Staples—7.5%
Beverages—3.1%
Constellation Brands, Inc., Cl. A		89,880		11,253,875
Monster Beverage Corp.¹		73,800		9,973,332
				21,227,207

Food & Staples Retailing—1.4%
Kroger Co. (The)		259,790		9,370,625

Food Products—3.0%
Hain Celestial Group, Inc. (The)¹		64,200		3,312,720
Hormel Foods Corp.		133,320		8,440,489
WhiteWave Foods Co. (The), Cl. A¹		219,080		8,796,062
				20,549,271

Energy—1.3%
Oil, Gas & Consumable Fuels—1.3%
Concho Resources, Inc.¹		71,690		7,047,127
Memorial Resource Development Corp.¹		116,979		2,056,491
				9,103,618

Financials—7.4%
Capital Markets—0.5%
Lazard Ltd., Cl. A²		78,345		3,392,339

Commercial Banks—3.4%
First Republic Bank		122,290		7,676,143
Signature Bank¹		73,080		10,052,885


	Shares		Value
Commercial Banks (Continued)
SVB Financial Group¹		46,280	$	5,347,191
				23,076,219

Diversified Financial Services—1.0%
MarketAxess Holdings, Inc.		17,570		1,631,901
Moody’s Corp.		53,349		5,238,872
				6,870,773

Real Estate Investment Trusts (REITs)—1.0%
Equinix, Inc.		24,980		6,829,532

Real Estate Management & Development—1.5%
CBRE Group, Inc., Cl. A¹		120,899		3,868,768
Jones Lang LaSalle, Inc.		43,870		6,307,190
				10,175,958

Health Care—15.9%
Biotechnology—2.7%
Alnylam Pharmaceuticals, Inc.¹		39,460		3,171,006
BioMarin Pharmaceutical, Inc.¹		40,970		4,314,960
Incyte Corp.¹		97,600		10,768,208
				18,254,174

Health Care Equipment & Supplies—4.2%
Cooper Cos., Inc. (The)		32,500		4,837,950
DexCom, Inc.¹		92,740		7,962,657
Edwards Lifesciences Corp.¹		67,160		9,548,137
Hologic, Inc.¹		158,240		6,191,931
				28,540,675

Health Care Providers & Services—7.3%
AmerisourceBergen Corp., Cl. A		93,580		8,889,164
Centene Corp.¹		177,070		9,602,506
MEDNAX, Inc.¹		83,140		6,384,321
Team Health Holdings, Inc.¹		106,370		5,747,171
Universal Health Services, Inc., Cl. B		77,120		9,625,347
VCA, Inc.¹		185,680		9,776,052
				50,024,561

Life Sciences Tools & Services—1.7%
Illumina, Inc.¹		20,928		3,679,561
Quintiles Transnational Holdings, Inc.¹		109,490		7,617,219
				11,296,780

Industrials—17.0%
Aerospace & Defense—1.9%
Hexcel Corp.		78,180		3,507,155
TransDigm Group, Inc.¹		44,550		9,462,865
				12,970,020

Airlines—0.8%
Alaska Air Group, Inc.		66,050		5,247,673

Building Products—2.7%
A.O. Smith Corp.		108,800		7,092,672
Lennox International, Inc.		69,990		7,931,967
Masco Corp.		135,970		3,423,724
				18,448,363

Commercial Services & Supplies—0.8%
Stericycle, Inc.¹		38,750		5,398,263

Electrical Equipment—1.8%
Acuity Brands, Inc.		69,880		12,269,530

Industrial Conglomerates—1.0%
Carlisle Cos., Inc.		77,004		6,728,610

Machinery—4.9%
Middleby Corp. (The)¹		99,800		10,497,962
Snap-on, Inc.		74,379		11,226,766


	Shares		Value
Machinery (Continued)
Wabtec Corp.		131,150	$	11,547,758
				33,272,486

Professional Services—2.6%
Equifax, Inc.		89,930		8,739,397
Verisk Analytics, Inc., Cl. A¹		122,400		9,046,584
				17,785,981

Trading Companies & Distributors—0.5%
HD Supply Holdings, Inc.¹		109,410		3,131,314

Information Technology—18.4%
Communications Equipment—1.7%
Palo Alto Networks, Inc.¹		66,260		11,396,720

Internet Software & Services—3.3%
Akamai Technologies, Inc.¹		132,700		9,164,262
CoStar Group, Inc.¹		55,430		9,592,716
LinkedIn Corp., Cl. A¹		19,640		3,734,153
				22,491,131

IT Services—3.2%
Fiserv, Inc.¹		102,660		8,891,383
Global Payments, Inc.		82,520		9,467,520
Vantiv, Inc., Cl. A¹		77,470		3,479,952
				21,838,855

Semiconductors & Semiconductor Equipment—1.8%
Avago Technologies Ltd., Cl. A		30,220		3,777,802
NXP Semiconductors NV¹		52,420		4,564,210
Skyworks Solutions, Inc.		42,680		3,594,083
				11,936,095


	Shares		Value
Software—8.4%
Activision Blizzard, Inc.		297,230	$	9,181,435
Electronic Arts, Inc.¹		113,430		7,684,882
Fortinet, Inc.¹		215,760		9,165,485
Mobileye NV¹		91,320		4,153,234
Red Hat, Inc.¹		48,080		3,455,990
ServiceNow, Inc.¹		140,050		9,726,473
Tableau Software, Inc., Cl. A¹		62,780		5,008,588
Ultimate Software Group, Inc. (The)¹		48,140		8,617,541
				56,993,628

Materials—3.1%
Chemicals—0.5%
Sherwin-Williams Co. (The)		14,960		3,332,789

Construction Materials—1.4%
Vulcan Materials Co.		104,950		9,361,540

Containers & Packaging—1.2%
Sealed Air Corp.		175,850		8,243,848

Telecommunication Services—1.2%
Wireless Telecommunication Services—1.2%
SBA Communications Corp., Cl. A¹		79,680		8,345,683
Total Common Stocks (Cost $517,563,223)				650,158,823

Investment Company—4.0%
Oppenheimer Institutional Money Market Fund, Cl. E, 0.18%^3,4 (Cost $27,143,865)		27,143,865		27,143,865

Total Investments, at Value (Cost $544,707,088)		99.7%		677,302,688
Net Other Assets (Liabilities)		0.3		2,236,359
Net Assets		100.0%	$	679,539,047

4. Is or was an affiliate, as defined in the Investment Company Act of 1940, as amended, at or during the reporting period, 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 reporting 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.

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

Reporting Period End Date. The last day of the Fund’s reporting period is the last day the New York Stock Exchange was open for trading during the period. The Fund’s financial statements have been presented through that date to maintain consistency with the Fund’s net asset value calculations used for shareholder transactions.

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 mean between the bid and asked price on the principal exchange or, if not available from the principal 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 principal exchange, (2) the mean between the bid and asked price as provided by a single dealer, or (3) a bid from a single dealer. 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 at period end 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.

Investments in Affiliated Funds. The Fund is permitted to invest in other mutual funds advised by the Manager (“Affiliated Funds”). Affiliated Funds are open-end management investment companies registered under the 1940 Act, as amended. The Manager is the investment adviser of, and the Sub-Adviser provides investment and related advisory services to, the Affiliated Funds. When applicable, the Fund’s investments in Affiliated Funds are included in the Statement of Investments. Shares of Affiliated Funds are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of the Affiliated Funds’ expenses, including their management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Fund’s investment in the Affiliated Funds.

Each of the Affiliated Funds in which the Fund invests has its own investment risks, and those risks can affect the value of the Fund’s investments and therefore the value of the Fund’s shares. To the extent that the Fund invests more of its assets in one Affiliated Fund than in another, the Fund will have greater exposure to the risks of that Affiliated Fund.

Investment in Oppenheimer Institutional Money Market Fund. The Fund is permitted to invest daily available cash balances in a money market Affiliated 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 regulated as a money market fund under the Investment Company Act of 1940, as amended.

Master Limited Partnerships (“MLPs”). MLPs issue common units that represent an equity ownership interest in a partnership and provide limited voting rights. MLP common units are registered with the Securities and Exchange Commission (“SEC”), and are freely tradable on securities exchanges such as the NYSE and the NASDAQ Stock Market (“NASDAQ”), or in the over-the-counter (“OTC”) market. An MLP consists of one or more general partners, who conduct the business, and one or more limited partners, who contribute capital. MLP common unit holders have a limited role in the partnership’s operations and management. The Fund, as a limited partner, normally would not be liable for the debts of the MLP beyond the amounts the Fund has contributed, but would not be shielded to the same extent that a shareholder of a corporation would be. In certain circumstances creditors of an MLP would have the right to seek return of capital distributed to a limited partner. This right of an MLP’s creditors would continue after the Fund sold its investment in the MLP.

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.

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 investments in securities and/or financial derivatives may expose the fund to various 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 of debt to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield debt securities are subject to credit risk to a greater extent than lower-yield, higher-quality securities.

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.

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 at period end 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—33.8%
Consumer Discretionary—4.5%
Auto Components—0.4%
Delphi Automotive plc	11,080	$	842,523

Automobiles—0.4%
General Motors Co.	28,790		864,276

Hotels, Restaurants & Leisure—0.4%
Brinker International, Inc.	12,630		665,222
International Speedway Corp., Cl. A	7,740		245,513
			910,735

Household Durables—0.3%
Toll Brothers, Inc.¹	18,740		641,658

Internet & Catalog Retail—0.4%
Amazon.com, Inc.¹	2,110		1,080,088

Media—1.1%
Comcast Corp., Cl. A	32,470		1,846,893
Twenty-First Century Fox, Inc., Cl. A	31,360		846,093
			2,692,986

Specialty Retail—1.3%
AutoZone, Inc.¹	2,230		1,614,141
Ross Stores, Inc.	21,190		1,027,079
Sally Beauty Holdings, Inc.¹	18,490		439,138
			3,080,358

Textiles, Apparel & Luxury Goods—0.2%
PVH Corp.	5,810		592,271

Consumer Staples—2.6%
Beverages—0.2%
Diageo plc	13,690		368,405

Food Products—1.2%
Flowers Foods, Inc.	43,865		1,085,220
Mondelez International, Inc., Cl. A	44,320		1,855,679
			2,940,899

Household Products—0.5%
Henkel AG & Co. KGaA	13,396		1,182,818

Tobacco—0.7%
Philip Morris International, Inc.	20,910		1,658,790

Energy—2.1%
Oil, Gas & Consumable Fuels—2.1%
Chevron Corp.	17,380		1,370,934
HollyFrontier Corp.	11,090		541,635
Noble Energy, Inc.	32,660		985,679
Suncor Energy, Inc.	63,630		1,700,194
Western Refining, Inc.	12,590		555,471
			5,153,913

Financials—6.2%
Commercial Banks—2.8%
BancorpSouth, Inc.	27,380		650,822
Citigroup, Inc.	45,450		2,254,774
FirstMerit Corp.	40,460		714,928
Huntington Bancshares, Inc.	95,060		1,007,636
JPMorgan Chase & Co.	20,880		1,273,054
Webster Financial Corp.	19,220		684,809
			6,586,023

Consumer Finance—0.5%
Synchrony Financial¹	34,880		1,091,744

Insurance—1.2%
ACE Ltd.	14,940		1,544,796



	Shares		Value
Insurance (Continued)
FNF Group	39,850	$	1,413,480
			2,958,276

Real Estate Investment Trusts (REITs)—1.7%
Apollo Commercial Real Estate Finance, Inc.	40,120		630,286
Digital Realty Trust, Inc.	17,610		1,150,285
Lamar Advertising Co., Cl. A	10,640		555,195
Simon Property Group, Inc.	9,700		1,782,084
			4,117,850

Health Care—5.3%
Biotechnology—0.5%
BioMarin Pharmaceutical, Inc.¹	5,670		597,164
Gilead Sciences, Inc.	6,040		593,068
			1,190,232

Health Care Equipment & Supplies—0.6%
DexCom, Inc.¹	5,070		435,310
Medtronic plc	13,459		900,946
			1,336,256

Health Care Providers & Services—1.6%
Centene Corp.¹	12,500		677,875
Diplomat Pharmacy, Inc.¹	15,310		439,856
Express Scripts Holding Co.¹	7,700		623,392
Team Health Holdings, Inc.¹	8,690		469,521
Universal Health Services, Inc., Cl. B	9,150		1,142,011
WellCare Health Plans, Inc.¹	5,370		462,787
			3,815,442

Pharmaceuticals—2.6%
Allergan plc¹	10,210		2,775,180
Merck & Co., Inc.	21,070		1,040,647
Mylan NV¹	8,520		343,015
Pfizer, Inc.	39,785		1,249,647
Prestige Brands Holdings, Inc.¹	18,650		842,234
			6,250,723

Industrials—3.6%
Aerospace & Defense—0.4%
L-3 Communications Holdings, Inc.	10,250		1,071,330

Airlines—0.2%
Spirit Airlines, Inc.¹	10,720		507,056

Building Products—0.2%
Masonite International Corp.¹	6,670		404,069

Commercial Services & Supplies—1.0%
KAR Auction Services, Inc.	16,780		595,690
Tyco International plc	32,220		1,078,081
Waste Connections, Inc.	13,500		655,830
			2,329,601

Construction & Engineering—0.2%
AECOM¹	16,240		446,763

Industrial Conglomerates—0.6%
General Electric Co.	59,300		1,495,546

Machinery—0.3%
Deere & Co.	9,150		677,100

Professional Services—0.3%
Robert Half International, Inc.	15,940		815,490

Road & Rail—0.4%
CSX Corp.	33,150		891,735

Information Technology—6.8%
Electronic Equipment, Instruments, & Components—0.3%
SYNNEX Corp.	9,290		790,207



	Shares		Value
Internet Software & Services—1.7%
Google, Inc., Cl. C¹		5,490	$	3,340,226
j2 Global, Inc.		10,320		731,172
				4,071,398

IT Services—1.4%
Amdocs Ltd.		15,560		885,053
MasterCard, Inc., Cl. A		7,290		656,975
PayPal Holdings, Inc.¹		35,290		1,095,401
Xerox Corp.		61,470		598,103
				3,235,532

Semiconductors & Semiconductor Equipment—0.6%
Applied Materials, Inc.		42,370		622,415
Skyworks Solutions, Inc.		9,750		821,048
				1,443,463

Software—1.0%
Fortinet, Inc.¹		11,620		493,618
Guidewire Software, Inc.¹		8,840		464,807
Imperva, Inc.¹		6,490		424,965
ServiceNow, Inc.¹		6,970		484,066
Splunk, Inc.¹		7,590		420,107
				2,287,563

Technology Hardware, Storage & Peripherals—1.8%
Apple, Inc.		32,260		3,558,278
Western Digital Corp.		10,820		859,541
				4,417,819

Materials—1.0%
Chemicals—0.2%
Eastman Chemical Co.		8,660		560,475

Construction Materials—0.3%
Vulcan Materials Co.		9,370		835,804

Containers & Packaging—0.3%
Packaging Corp. of America		9,960		599,194

Metals & Mining—0.2%
Franco-Nevada Corp.		10,360		456,047

Telecommunication Services—0.5%
Diversified Telecommunication Services—0.5%
ORBCOMM, Inc.¹		375		2,093
Verizon Communications, Inc.		30,520		1,327,925
				1,330,018

Utilities—1.2%
Multi-Utilities—1.2%
Consolidated Edison, Inc.		15,890		1,062,246
PG&E Corp.		36,490		1,926,672
				2,988,918
Total Common Stocks (Cost $74,346,411)				81,011,394

		Principal
		Amount
Asset-Backed Securities—10.7%
Auto Loan—9.4%
American Credit Acceptance Receivables Trust:
Series 2013-2,Cl. B, 2.84%, 5/15/19²	$	297,712		298,648
Series 2014-1,Cl. B, 2.39%, 11/12/19²		625,000		626,452
Series 2014-2,Cl. B, 2.26%, 3/10/20²		160,000		160,593
Series 2014-3,Cl. B, 2.43%, 6/10/20²		595,000		596,579
Series 2014-4,Cl. B, 2.60%, 10/12/20²		175,000		175,662
Series 2015-1,Cl. B, 2.85%, 2/12/21²		445,000		447,701
Series 2015-3,Cl. B, 3.56%, 10/12/21^2,3		360,000		359,964
AmeriCredit Automobile Receivables Trust:
Series 2012-2,Cl. E, 4.85%, 8/8/19²		380,000		389,610
Series 2012-4,Cl. D, 2.68%, 10/9/18		115,000		116,504
Series 2013-2,Cl. E, 3.41%, 10/8/20²		415,000		421,502
Series 2013-3,Cl. E, 3.74%, 12/8/20²		165,000		168,823



	Principal
	Amount		Value
Auto Loan (Continued)
AmeriCredit Automobile Receivables Trust: (Continued)
Series 2013-4,Cl. D, 3.31%, 10/8/19	$	677,000	$	694,617
Series 2014-1,Cl. D, 2.54%, 6/8/20		205,000		206,679
Series 2014-1,Cl. E, 3.58%, 8/9/21		110,000		111,603
Series 2014-2,Cl. D, 2.57%, 7/8/20		280,000		279,931
Series 2014-2,Cl. E, 3.37%, 11/8/21		440,000		442,644
Series 2014-4,Cl. D, 3.07%, 11/9/20		275,000		278,399
Series 2015-2,Cl. D, 3.00%, 6/8/21		80,000		80,565
Series 2015-3,Cl. D, 3.34%, 8/8/21		210,000		212,910
California Republic Auto Receivables Trust:
Series 2014-2,Cl. C, 3.29%, 3/15/21		95,000		95,224
Series 2014-4,Cl. C, 3.56%, 9/15/21		125,000		125,709
Capital Auto Receivables Asset Trust:
Series 2013-1,Cl. D, 2.19%, 9/20/21		125,000		125,582
Series 2014-1,Cl. D, 3.39%, 7/22/19		140,000		143,182
Series 2014-3,Cl. D, 3.14%, 2/20/20		195,000		197,549
Series 2015-1,Cl. D, 3.16%, 8/20/20		195,000		197,049
Series 2015-2,Cl. C, 2.67%, 8/20/20		180,000		181,037
CarFinance Capital Auto Trust:
Series 2013-2A,Cl. B, 3.15%, 8/15/19²		635,000		643,192
Series 2014-1A,Cl. A, 1.46%, 12/17/18²		61,833		61,782
Series 2015-1A,Cl. A, 1.75%, 6/15/21²		214,975		214,434
CarMax Auto Owner Trust:
Series 2015-2,Cl. D, 3.04%, 11/15/21		115,000		115,807
Series 2015-3,Cl. D, 3.27%, 3/15/22		210,000		212,849
CPS Auto Receivables Trust:
Series 2012-B,Cl. A, 2.52%, 9/16/19²		80,649		80,953
Series 2014-A,Cl. A, 1.21%, 8/15/18²		246,822		246,348
Series 2014-C,Cl. A, 1.31%, 2/15/19²		228,979		227,642
CPS Auto Trust, Series 2012-C, Cl. A, 1.82%, 12/16/19²		29,837		29,798
Credit Acceptance Auto Loan Trust:
Series 2013-1A,Cl. B, 1.83%, 4/15/21²		165,000		165,098
Series 2013-2A,Cl. B, 2.26%, 10/15/21²		310,000		310,339
Series 2014-1A,Cl. B, 2.29%, 4/15/22²		270,000		272,307
Series 2014-2A,Cl. B, 2.67%, 9/15/22²		195,000		196,709
Series 2015-1A,Cl. C, 3.30%, 7/17/23²		265,000		268,489
Series 2015-2A,Cl. B, 3.04%, 8/15/23²		385,000		388,085
Drive Auto Receivables Trust:
Series 2015-AA,Cl. C, 3.06%, 5/17/21²		285,000		286,750
Series 2015-BA,Cl. C, 2.76%, 7/15/21²		345,000		346,120
Series 2015-DA,Cl. C, 3.38%, 11/15/21²		285,000		285,355
DT Auto Owner Trust:
Series 2013-1A,Cl. D, 3.74%, 5/15/20²		200,000		201,150
Series 2013-2A,Cl. D, 4.18%, 6/15/20²		545,000		555,905
Series 2014-1A,Cl. D, 3.98%, 1/15/21²		435,000		440,891
Series 2014-2A,Cl. D, 3.68%, 4/15/21²		615,000		617,157
Series 2014-3A,Cl. D, 4.47%, 11/15/21²		245,000		250,331
Series 2015-1A,Cl. C, 2.87%, 11/16/20²		205,000		206,851
Exeter Automobile Receivables Trust:
Series 2012-2A,Cl. C, 3.06%, 7/16/18²		516,000		517,774
Series 2014-1A,Cl. B, 2.42%, 1/15/19²		280,000		281,587
Series 2014-1A,Cl. C, 3.57%, 7/15/19²		280,000		283,426
Series 2014-2A,Cl. A, 1.06%, 8/15/18²		44,279		44,212
Series 2014-2A,Cl. C, 3.26%, 12/16/19²		135,000		135,261
First Investors Auto Owner Trust:
Series 2012-1A,Cl. D, 5.65%, 4/15/18²		140,000		141,510
Series 2013-3A,Cl. B, 2.32%, 10/15/19²		465,000		468,596
Series 2013-3A,Cl. C, 2.91%, 1/15/20²		200,000		201,706
Series 2013-3A,Cl. D, 3.67%, 5/15/20²		165,000		166,272
Series 2014-1A,Cl. D, 3.28%, 4/15/21²		270,000		268,884
Series 2014-3A,Cl. D, 3.85%, 2/15/22²		175,000		177,048
Flagship Credit Auto Trust:
Series 2014-1,Cl. A, 1.21%, 4/15/19²		113,404		113,298
Series 2014-2,Cl. A, 1.43%, 12/16/19²		238,136		237,479
GM Financial Automobile Leasing Trust, Series
2015-1, Cl. D, 3.01%, 3/20/20		280,000		281,492
GO Financial Auto Securitization Trust, Series
2015-1, Cl. A, 1.81%, 3/15/18²		171,918		171,869



	Principal Amount		Value
Auto Loan (Continued)
Navistar Financial Dealer Note Master Trust, Series 2014-1, Cl. D, 2.494%, 10/25/19^2,4	$	145,000	$	143,955
Santander Drive Auto Receivables Trust:
Series 2013-2,Cl. D, 2.57%, 3/15/19		715,000		726,170
Series 2013-3,Cl. D, 2.42%, 4/15/19		105,000		105,462
Series 2013-4,Cl. D, 3.92%, 1/15/20		475,000		490,429
Series 2013-5,Cl. D, 2.73%, 10/15/19		140,000		141,714
Series 2013-A,Cl. E, 4.71%, 1/15/21²		325,000		337,721
Series 2014-1,Cl. D, 2.91%, 4/15/20		265,000		268,445
Series 2014-2,Cl. D, 2.76%, 2/18/20		200,000		200,856
Series 2014-4,Cl. D, 3.10%, 11/16/20		225,000		227,355
Series 2015-1,Cl. D, 3.24%, 4/15/21		300,000		303,482
Series 2015-2,Cl. C, 2.44%, 4/15/21		265,000		265,574
Series 2015-2,Cl. D, 3.02%, 4/15/21		320,000		318,309
Series 2015-4,Cl. D, 3.53%, 8/16/21		315,000		317,874
SNAAC Auto Receivables Trust:
Series 2013-1A,Cl. C, 3.07%, 8/15/18²		100,000		100,798
Series 2014-1A,Cl. A, 1.03%, 9/17/18²		49,599		49,593
Series 2014-1A,Cl. D, 2.88%, 1/15/20²		165,000		165,737
TCF Auto Receivables Owner Trust:
Series 2014-1A,Cl. C, 3.12%, 4/15/21²		115,000		115,424
Series 2015-1A,Cl. D, 3.53%, 3/15/22²		190,000		191,631
United Auto Credit Securitization Trust, Series 2015-1, Cl. D, 2.92%, 6/17/19²		260,000		261,682
Westlake Automobile Receivables Trust:
Series 2014-1A,Cl. D, 2.20%, 2/15/21²		180,000		179,150
Series 2014-2A,Cl. D, 2.86%, 7/15/21²		195,000		195,539
Series 2015-2A,Cl. C, 2.45%, 1/15/21²		250,000		251,188
				22,607,562

Equipment—0.7%
CLI Funding V LLC:
Series 2014-1A,Cl. A, 3.29%, 6/18/29²		529,167		533,290
Series 2014-2A,Cl. A, 3.38%, 10/18/29²		431,458		435,887
Cronos Containers Program I Ltd., Series 2014-2A, Cl. A, 3.27%, 11/18/29²		485,463		494,400
FRS I LLC, Series 2013-1A, Cl. A1, 1.80%, 4/15/43²		47,454		47,209
Trip Rail Master Funding LLC, Series 2014-1A, Cl. A1, 2.863%, 4/15/44²		141,799		143,557
				1,654,343

Home Equity Loan—0.4%
American Credit Acceptance Receivables Trust,
Series 2015-2, Cl. B, 2.97%, 5/12/21²		425,000		428,434
TAL Advantage V LLC:
Series 2014-1A,Cl. A, 3.51%, 2/22/39²		391,375		393,378
Series 2014-2A,Cl. A1, 1.70%, 5/20/39²		102,250		101,806
				923,618

Loans: Other—0.2%
Element Rail Leasing I LLC, Series 2014-1A, Cl. A1, 2.299%, 4/19/44²		326,556		325,171
Total Asset-Backed Securities (Cost $25,354,389)				25,510,694

Mortgage-Backed Obligations—31.4%
Government Agency—23.1%
FHLMC/FNMA/FHLB/Sponsored—16.1%
Federal Home Loan Mortgage Corp. Gold Pool:
4.50%, 10/1/18		33,007		34,191
5.00%, 12/1/34		3,557		3,957
5.50%, 9/1/39		520,366		577,077
6.50%, 4/1/18-4/1/34		36,153		40,773
7.00%, 10/1/31-10/1/37		170,002		196,205
8.00%, 4/1/16		145		145
9.00%, 8/1/22-5/1/25		3,691		4,091
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security:
Series 183,Cl. IO, 11.121%, 4/1/27⁵		85,516		19,044



	Principal Amount		Value
FHLMC/FNMA/FHLB/Sponsored (Continued)
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: (Continued)
Series 192,Cl. IO, 4.258%, 2/1/28⁵	$	24,439	$	5,147
Series 243,Cl. 6, 0.00%, 12/15/32^5,6		69,115		12,093
Federal Home Loan Mortgage Corp., Mtg.-Linked Amortizing Global Debt Securities, Series 2012-1, Cl. A10, 2.06%, 1/15/22		279,839		285,758
Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 4.302%, 6/1/26⁷		27,065		25,952
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates:
Series 2426,Cl. BG, 6.00%, 3/15/17		35,830		36,926
Series 2427,Cl. ZM, 6.50%, 3/15/32		135,907		156,215
Series 2461,Cl. PZ, 6.50%, 6/15/32		63,353		72,987
Series 2564,Cl. MP, 5.00%, 2/15/18		117,972		122,486
Series 2585,Cl. HJ, 4.50%, 3/15/18		66,498		68,883
Series 2626,Cl. TB, 5.00%, 6/15/33		136,823		148,251
Series 2635,Cl. AG, 3.50%, 5/15/32		50,657		53,224
Series 2707,Cl. QE, 4.50%, 11/15/18		321,164		334,859
Series 2770,Cl. TW, 4.50%, 3/15/19		13,751		14,269
Series 3010,Cl. WB, 4.50%, 7/15/20		40,867		42,916
Series 3025,Cl. SJ, 23.993%, 8/15/35⁴		22,756		36,902
Series 3030,Cl. FL, 0.607%, 9/15/35⁴		116,422		116,674
Series 3741,Cl. PA, 2.15%, 2/15/35		329,600		334,676
Series 3815,Cl. BD, 3.00%, 10/15/20		11,983		12,257
Series 3822,Cl. JA, 5.00%, 6/15/40		95,298		101,877
Series 3840,Cl. CA, 2.00%, 9/15/18		8,889		8,999
Series 3848,Cl. WL, 4.00%, 4/15/40		169,156		178,905
Series 3857,Cl. GL, 3.00%, 5/15/40		9,628		10,036
Series 4221,Cl. HJ, 1.50%, 7/15/23		935,652		938,954
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest-Only Stripped Mtg. -Backed Security:
Series 2130,Cl. SC, 49.796%, 3/15/29⁵		82,332		17,288
Series 2796,Cl. SD, 50.452%, 7/15/26⁵		115,923		24,610
Series 2920,Cl. S, 52.35%, 1/15/35⁵		593,616		118,133
Series 2922,Cl. SE, 5.238%, 2/15/35⁵		35,025		6,839
Series 2981,Cl. AS, 0.00%, 5/15/35^5,6		339,819		62,373
Series 3201,Cl. SG, 1.658%, 8/15/36⁵		93,896		19,067
Series 3397,Cl. GS, 16.02%, 12/15/37⁵		39,328		7,975
Series 3424,Cl. EI, 13.442%, 4/15/38⁵		20,406		2,862
Series 3450,Cl. BI, 8.473%, 5/15/38⁵		108,129		18,520
Series 3606,Cl. SN, 0.541%, 12/15/39⁵		58,915		11,036
Federal National Mortgage Assn.:
3.00%, 10/1/30³		5,740,000		5,978,584
3.50%, 10/1/45³		3,480,000		3,631,708
4.00%, 10/1/45³		11,800,000		12,590,047
4.50%, 10/1/45³		504,000		522,412
5.00%, 10/1/45³		4,215,000		4,645,555
6.00%, 10/1/45³		425,000		480,574
Federal National Mortgage Assn. Pool:
3.50%, 12/1/20-2/1/22		391,661		414,002
5.00%, 3/1/21		15,993		16,709
5.50%, 9/1/20		3,470		3,713
6.00%, 11/1/17-3/1/37		235,131		264,551
6.50%, 5/1/17-10/1/19		32,023		32,910
7.00%, 11/1/17-10/1/35		9,709		10,249
7.50%, 1/1/33		82,341		100,271
8.50%, 7/1/32		4,613		5,009
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security:
Series 222,Cl. 2, 16.927%, 6/25/23⁵		183,928		32,641
Series 233,Cl. 2, 37.066%, 8/25/23⁵		134,132		28,366
Series 252,Cl. 2, 37.083%, 11/25/23⁵		177,414		37,133
Series 319,Cl. 2, 0.00%, 2/25/32^5,6		38,343		7,898
Series 320,Cl. 2, 7.65%, 4/25/32⁵		12,502		3,330
Series 321,Cl. 2, 0.00%, 4/25/32^5,6		135,964		27,590
Series 331,Cl. 9, 10.61%, 2/25/33⁵		155,633		34,472
Series 334,Cl. 17, 17.933%, 2/25/33⁵		87,926		17,342
Series 339,Cl. 12, 0.00%, 6/25/33^5,6		122,844		26,526
Series 339,Cl. 7, 0.00%, 11/25/33^5,6		350,494		68,932
Series 343,Cl. 13, 0.00%, 9/25/33^5,6		123,475		21,937



	Principal Amount		Value
FHLMC/FNMA/FHLB/Sponsored (Continued)
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: (Continued)
Series 345,Cl. 9, 0.00%, 1/25/34^5,6	$	111,602	$	21,862
Series 351,Cl. 10, 0.00%, 4/25/34^5,6		15,939		2,939
Series 351,Cl. 8, 0.00%, 4/25/34^5,6		54,463		10,164
Series 356,Cl. 10, 0.00%, 6/25/35^5,6		38,765		7,639
Series 356,Cl. 12, 0.00%, 2/25/35^5,6		20,827		3,855
Series 362,Cl. 13, 0.00%, 8/25/35^5,6		146,193		25,791
Series 364,Cl. 16, 0.00%, 9/25/35^5,6		102,879		17,981
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates:
Series 1998-61,Cl. PL, 6.00%, 11/25/28		62,260		70,426
Series 2003-100,Cl. PA, 5.00%, 10/25/18		245,555		256,614
Series 2003-130,Cl. CS, 13.712%, 12/25/33⁴		14,223		17,184
Series 2003-84,Cl. GE, 4.50%, 9/25/18		18,593		19,286
Series 2004-101,Cl. BG, 5.00%, 1/25/20		101,107		103,276
Series 2004-25,Cl. PC, 5.50%, 1/25/34		169,329		178,094
Series 2005-104,Cl. MC, 5.50%, 12/25/25		286,623		312,998
Series 2005-31,Cl. PB, 5.50%, 4/25/35		250,000		296,608
Series 2005-73,Cl. DF, 0.444%, 8/25/35⁴		250,634		251,821
Series 2006-11,Cl. PS, 23.856%, 3/25/36⁴		84,704		130,169
Series 2006-46,Cl. SW, 23.488%, 6/25/36⁴		61,115		83,721
Series 2006-50,Cl. KS, 23.489%, 6/25/36⁴		12,999		20,458
Series 2008-75,Cl. DB, 4.50%, 9/25/23		74,242		77,035
Series 2009-113,Cl. DB, 3.00%, 12/25/20		262,026		268,308
Series 2009-36,Cl. FA, 1.134%, 6/25/37⁴		94,832		97,310
Series 2009-37,Cl. HA, 4.00%, 4/25/19		73,626		75,800
Series 2009-70,Cl. TL, 4.00%, 8/25/19		800,025		822,347
Series 2010-43,Cl. KG, 3.00%, 1/25/21		125,923		129,416
Series 2011-15,Cl. DA, 4.00%, 3/25/41		43,777		46,049
Series 2011-3,Cl. EL, 3.00%, 5/25/20		433,435		443,883
Series 2011-3,Cl. KA, 5.00%, 4/25/40		203,499		223,261
Series 2011-38,Cl. AH, 2.75%, 5/25/20		9,843		10,046
Series 2011-82,Cl. AD, 4.00%, 8/25/26		271,647		281,099
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security:
Series 2001-65,Cl. S, 27.93%, 11/25/31⁵		145,333		34,032
Series 2001-81,Cl. S, 23.22%, 1/25/32⁵		38,079		10,552
Series 2002-47,Cl. NS, 28.957%, 4/25/32⁵		103,280		25,133
Series 2002-51,Cl. S, 29.149%, 8/25/32⁵		94,836		23,077
Series 2002-52,Cl. SD, 35.203%, 9/25/32⁵		134,273		33,136
Series 2002-77,Cl. SH, 33.213%, 12/18/32⁵		57,933		13,110
Series 2002-84,Cl. SA, 34.415%, 12/25/32⁵		143,085		34,404
Series 2002-9,Cl. MS, 24.083%, 3/25/32⁵		40,163		9,506
Series 2003-33,Cl. SP, 28.937%, 5/25/33⁵		154,321		37,093
Series 2003-4,Cl. S, 30.51%, 2/25/33⁵		86,440		21,733
Series 2003-46,Cl. IH, 0.00%, 6/25/23^5,6		305,512		40,892
Series 2004-54,Cl. DS, 39.011%, 11/25/30⁵		112,840		22,668
Series 2004-56,Cl. SE, 11.558%, 10/25/33⁵		30,089		6,442
Series 2005-12,Cl. SC, 9.099%, 3/25/35⁵		16,780		3,482
Series 2005-14,Cl. SE, 35.635%, 3/25/35⁵		55,547		9,467
Series 2005-40,Cl. SA, 48.927%, 5/25/35⁵		291,707		56,327
Series 2005-52,Cl. JH, 0.00%, 5/25/35^5,6		756,302		145,876
Series 2005-93,Cl. SI, 20.713%, 10/25/35⁵		69,348		12,474
Series 2007-88,Cl. XI, 35.428%, 6/25/37⁵		167,116		30,095
Series 2008-55,Cl. SA, 14.419%, 7/25/38⁵		73,208		10,882
Series 2009-8,Cl. BS, 0.00%, 2/25/24^5,6		24,023		1,286
Series 2011-96,Cl. SA, 5.393%, 10/25/41⁵		162,520		30,391
Series 2012-134,Cl. SA, 11.504%, 12/25/42⁵		593,670		150,937
Series 2012-40,Cl. PI, 0.00%, 4/25/41^5,6		341,433		47,994
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Principal-Only Stripped Mtg.-Backed Security, Series 1993-184, Cl. M, 5.125%, 9/25/23⁷		67,099		63,655
				38,465,977

GNMA/Guaranteed—7.0%
Government National Mortgage Assn. I Pool:
7.00%, 1/15/24		34,736		37,710
7.50%, 1/15/23-6/15/24		34,256		37,008



	Principal Amount		Value
GNMA/Guaranteed (Continued)
Government National Mortgage Assn. I Pool: (Continued)
8.00%, 5/15/17-4/15/23	$	21,182	$	23,194
8.50%, 8/15/17-12/15/17		3,260		3,379
Government National Mortgage Assn. II Pool, 3.50%, 10/1/45³		15,790,000		16,549,277
Government National Mortgage Assn., Interest-Only Stripped Mtg.- Backed Security:
Series 2002-15,Cl. SM, 57.868%, 2/16/32⁵		184,459		36,537
Series 2002-76,Cl. SY, 60.662%, 12/16/26⁵		374,692		77,865
Series 2007-17,Cl. AI, 18.451%, 4/16/37⁵		421,575		88,712
Series 2011-52,Cl. HS, 8.927%, 4/16/41⁵		206,137		41,148
				16,894,830

Non-Agency—8.3%
Commercial—7.3%
Banc of America Funding Trust:
Series 2006-G,Cl. 2A4, 0.506%, 7/20/36⁴		860,925		808,175
Series 2014-R7,Cl. 3A1, 2.651%, 3/26/36^4,8		372,355		380,584
BCAP LLC Trust, Series 2011-R11, Cl. 18A5, 2.23%, 9/26/35^2,4		233,059		236,201
Bear Stearns ARM Trust:
Series 2005-2,Cl. A1, 2.68%, 3/25/35⁴		324,292		326,420
Series 2005-9,Cl. A1, 2.66%, 10/25/35⁴		841,277		830,145
Chase Mortgage Finance Trust, Series 2005-A2, Cl. 1A3, 2.435%, 1/25/36⁴		203,178		191,718
Citigroup Commercial Mortgage Trust, Series 2013-GC11, Cl. D, 4.604%, 4/10/46^2,4		185,000		172,685
Citigroup Mortgage Loan Trust, Inc., Series 2006-AR1, Cl. 1A1, 2.57%, 10/25/35⁴		751,508		745,791
COMM Mortgage Trust:
Series 2012-CR4,Cl. D, 4.727%, 10/15/45^2,4		185,000		179,730
Series 2012-CR5,Cl. E, 4.48%, 12/10/45^2,4		480,000		458,107
Series 2013-CR7,Cl. D, 4.493%, 3/10/46^2,4		445,000		407,175
Series 2014-CR21,Cl. AM, 3.987%, 12/10/47		860,000		902,531
COMM Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 2012-CR5, Cl. XA, 0.00%, 12/10/45^5,6		428,689		35,716
Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C6, Cl. AJ, 5.23%, 12/15/40⁴		275,000		275,175
CSMC:
Series 2006-6,Cl. 1A4, 6.00%, 7/25/36		205,213		161,442
Series 2009-13R,Cl. 4A1, 2.751%, 9/26/36^2,4		80,985		81,447
DBUBS Mortgage Trust, Series 2011-LC1A, Cl. E, 5.735%, 11/10/46^2,4		50,000		54,195
First Horizon Alternative Mortgage Securities Trust:
Series 2004-FA2,Cl. 3A1, 6.00%, 1/25/35		127,087		121,701
Series 2005-FA8,Cl. 1A6, 0.844%, 11/25/35⁴		136,804		98,379
FREMF Mortgage Trust:
Series 2012-K501,Cl. C, 3.541%, 11/25/46^2,4		50,000		50,422
Series 2013-K25,Cl. C, 3.743%, 11/25/45^2,4		60,000		59,131
Series 2013-K26,Cl. C, 3.723%, 12/25/45^2,4		40,000		39,266
Series 2013-K27,Cl. C, 3.616%, 1/25/46^2,4		110,000		109,177
Series 2013-K28,Cl. C, 3.614%, 6/25/46^2,4		450,000		431,740
Series 2013-K502,Cl. C, 3.297%, 3/25/45^2,4		220,000		223,758
Series 2013-K712,Cl. C, 3.484%, 5/25/45^2,4		70,000		70,281
Series 2013-K713,Cl. C, 3.274%, 4/25/46^2,4		145,000		144,915
Series 2014-K715,Cl. C, 4.264%, 2/25/46^2,4		35,000		36,029
Series 2015-K44,Cl. B, 3.811%, 1/25/48^2,4		365,000		362,482
GSMSC Pass-Through Trust, Series 2009-3R, Cl. 1A2, 6%, 4/25/37^2,4		473,571		443,739
GSR Mortgage Loan Trust, Series 2005-AR4, Cl. 6A1, 2.885%, 7/25/35⁴		41,948		41,548
JP Morgan Chase Commercial Mortgage Securities Corp., Series 2012-LC9, Cl. E, 4.568%, 12/15/47^2,4		285,000		274,084
JP Morgan Chase Commercial Mortgage Securities Trust:
Series 2006-LDP8,Cl. AJ, 5.48%, 5/15/45⁴		690,000		709,061
Series 2012-C6,Cl. E, 5.372%, 5/15/45^2,4		380,000		383,740
JP Morgan Mortgage Trust, Series 2007-A1, Cl. 5A1, 2.62%, 7/25/35⁴		180,356		181,108
JP Morgan Resecuritization Trust:
Series 2009-11,Cl. 5A1, 2.751%, 9/26/36^2,4		300,860		301,396



	Principal Amount		Value
Commercial (Continued)
JP Morgan Resecuritization Trust: (Continued)
Series 2009-5,Cl. 1A2, 2.739%, 7/26/36^2,4	$	253,444	$	224,763
JPMBB Commercial Mortgage Securities Trust:
Series 2014-C25,Cl. AS, 4.065%, 11/15/47		360,000		379,360
Series 2014-C26,Cl. AS, 3.80%, 1/15/48		180,000		184,888
MASTR Adjustable Rate Mortgages Trust, Series 2004-13, Cl. 2A2, 2.713%, 4/21/34⁴		75,291		76,997
Morgan Stanley Bank of America Merrill Lynch Trust:
Series 2012-C6,Cl. E, 4.813%, 11/15/45^2,4		385,000		379,677
Series 2013-C7,Cl. D, 4.437%, 2/15/46^2,4		115,000		110,225
Series 2013-C8,Cl. D, 4.309%, 12/15/48^2,4		80,000		75,810
Series 2014-C19,Cl. AS, 3.832%, 12/15/47		720,000		746,519
Morgan Stanley Capital I Trust, Series 2007-IQ13, Cl. AM, 5.406%, 3/15/44		260,000		270,214
Morgan Stanley Re-Remic Trust, Series 2012-R3, Cl. 1B, 1.983%, 11/26/36^2,4		250,997		188,401
Morgan Stanley Resecuritization Trust, Series 2013-R9, Cl. 3A, 2.387%, 6/26/46^2,4		560,277		564,264
RBSSP Resecuritization Trust, Series 2010-1, Cl.
2A1, 2.246%, 7/26/45^2,4		40,882		40,912
Structured Adjustable Rate Mortgage Loan Trust, Series 2004-10, Cl. 2A, 2.409%, 8/25/34⁴		333,851		331,914
Structured Agency Credit Risk Debt Nts.:
Series 2014-DN1,Cl. M2, 2.394%, 2/25/24⁴		145,000		146,158
Series 2015-DNA2,Cl. M2, 2.794%, 12/25/27⁴		85,000		85,790
UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Cl. E, 5.046%, 5/10/63^2,4		45,000		44,887
WaMu Mortgage Pass-Through Certificates Trust:
Series 2005-AR14,Cl. 1A4, 2.365%, 12/25/35⁴		154,551		150,125
Series 2005-AR16,Cl. 1A1, 2.352%, 12/25/35⁴		145,420		138,271
Wells Fargo Mortgage-Backed Securities Trust:
Series 2005-AR1,Cl. 1A1, 2.617%, 2/25/35⁴		33,593		33,870
Series 2005-AR10,Cl. 1A1, 2.695%, 6/25/35⁴		651,767		667,759
Series 2005-AR15,Cl. 1A6, 2.736%, 9/25/35⁴		444,498		425,274
Series 2006-AR7,Cl. 2A4, 2.653%, 5/25/36⁴		236,471		226,032
Series 2006-AR8,Cl. 2A4, 2.705%, 4/25/36⁴		154,547		151,467
Series 2007-16,Cl. 1A1, 6.00%, 12/28/37		91,637		94,835
Series 2007-AR8,Cl. A1, 2.721%, 11/25/37⁴		471,484		418,602
WF-RBS Commercial Mortgage Trust:
Series 2012-C10,Cl. D, 4.605%, 12/15/45^2,4		160,000		153,319
Series 2012-C7,Cl. E, 4.994%, 6/15/45^2,4		80,000		79,309
Series 2012-C8,Cl. E, 5.037%, 8/15/45^2,4		365,000		364,943
Series 2013-C11,Cl. D, 4.319%, 3/15/45^2,4		49,000		46,667
Series 2013-C15,Cl. D, 4.63%, 8/15/46^2,4		225,000		211,406
WF-RBS Commercial Mortgage Trust, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2011-C3, Cl. XA, 0.00%, 3/15/44^2,5,6		3,661,176		164,806
				17,506,658

Multi-Family—0.1%
Wells Fargo Mortgage-Backed Securities Trust:
Series 2005-AR15,Cl. 1A2, 2.736%, 9/25/35⁴		227,013		222,435
Series 2006-AR2,Cl. 2A3, 2.651%, 3/25/36⁴		43,085		42,644
				265,079

Residential—0.9%
Alternative Loan Trust, Series 2005-29CB, Cl. A4, 5%, 7/25/35		393,871		359,749
Banc of America Funding Trust:
Series 2007-1,Cl. 1A3, 6.00%, 1/25/37		94,914		87,577
Series 2007-C,Cl. 1A4, 4.921%, 5/20/36⁴		39,183		36,845
Banc of America Mortgage Trust, Series 2004-E, Cl. 2A6, 2.857%, 6/25/34⁴		111,500		111,504
Bear Stearns ARM Trust, Series 2006-1, Cl. A1, 2.36%, 2/25/36⁴		323,129		321,361
Carrington Mortgage Loan Trust, Series 2006-
FRE1, Cl. A2, 0.304%, 7/25/36⁴		52,879		52,221
CHL Mortgage Pass-Through Trust:
Series 2005-26,Cl. 1A8, 5.50%, 11/25/35		116,043		111,195
Series 2006-6,Cl. A3, 6.00%, 4/25/36		59,688		57,763



	Principal Amount		Value
Residential (Continued)
HomeBanc Mortgage Trust, Series 2005-3, Cl. A2, 0.504%, 7/25/35⁴	$	54,429	$	50,717
RALI Trust:
Series 2003-QS1,Cl. A2, 5.75%, 1/25/33		10,584		10,616
Series 2006-QS13,Cl. 1A8, 6.00%, 9/25/36		14,210		11,516
WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR10, Cl. A7, 2.464%, 10/25/33⁴		158,913		162,853
Wells Fargo Mortgage-Backed Securities Trust:
Series 2005-AR4,Cl. 2A2, 2.639%, 4/25/35⁴		448,623		451,134
Series 2006-AR14,Cl. 1A2, 5.836%, 10/25/36⁴		81,137		79,121
Series 2006-AR8,Cl. 2A1, 2.705%, 4/25/36⁴		149,282		146,308
				2,050,480
Total Mortgage-Backed Obligations (Cost $74,487,487)				75,183,024

U.S. Government Obligations—0.3%
Federal Home Loan Mortgage Corp. Nts., 5.50%, 7/18/16		65,000		67,641
Federal National Mortgage Assn. Nts., 1%, 9/27/17		193,000		193,924
United States Treasury Nts., 1.50%, 5/31/19		552,000		559,533
Total U.S. Government Obligations (Cost $813,552)				821,098

Non-Convertible Corporate Bonds and Notes—34.7%
Consumer Discretionary—5.0%
Auto Components—0.1%
BorgWarner, Inc., 4.375% Sr. Unsec. Nts., 3/15/45		128,000		115,373
Johnson Controls, Inc., 1.40% Sr. Unsec. Nts., 11/2/17		77,000		76,572
				191,945

Automobiles—1.5%
Daimler Finance North America LLC, 8.50% Sr. Unsec. Unsub. Nts., 1/18/31		271,000		385,428
Ford Motor Credit Co. LLC, 3.664% Sr. Unsec. Nts., 9/8/24		970,000		943,567
General Motors Co., 6.25% Sr. Unsec. Nts., 10/2/43		437,000		463,559
General Motors Financial Co., Inc., 3% Sr. Unsec. Nts., 9/25/17		401,000		405,580
Harley-Davidson, Inc., 4.625% Sr. Unsec. Nts., 7/28/45		107,000		107,339
Hyundai Capital America, 1.45% Sr. Unsec. Nts., 2/6/17²		468,000		467,897
Kia Motors Corp., 3.625% Sr. Unsec. Nts., 6/14/16²		341,000		345,618
ZF North America Capital, Inc., 4.75% Sr. Unsec. Nts., 4/29/25²		413,000		378,927
				3,497,915

Hotels, Restaurants & Leisure—0.6%
Brinker International, Inc., 2.60% Sr. Unsec. Nts., 5/15/18		151,000		152,253
Carnival Corp., 1.20% Sr. Unsec. Nts., 2/5/16		465,000		465,535
Hyatt Hotels Corp., 3.875% Sr. Unsec. Unsub. Nts., 8/15/16		77,000		78,615
Marriott International, Inc., 3.25% Sr. Unsec. Nts., 9/15/22		262,000		262,935
Wyndham Worldwide Corp., 6% Sr. Unsec. Nts., 12/1/16		403,000		422,700
				1,382,038



	Principal Amount		Value
Household Durables—0.4%
Lennar Corp.:
4.75% Sr. Unsec. Nts., 11/15/22	$	140,000	$	136,612
4.75% Sr. Unsec. Nts., 5/30/25		281,000		269,760
Toll Brothers Finance Corp., 4.375% Sr. Unsec. Nts., 4/15/23		410,000		404,875
Whirlpool Corp.:
1.35% Sr. Unsec. Nts., 3/1/17		123,000		123,064
1.65% Sr. Unsec. Nts., 11/1/17		105,000		105,380
				1,039,691

Leisure Equipment & Products—0.2%
Mattel, Inc., 1.70% Sr. Unsec. Nts., 3/15/18		433,000		431,323

Media—1.3%
21st Century Fox America, Inc., 6.15% Sr. Unsec. Nts., 2/15/41		92,000		105,614
CCO Safari II LLC:
4.908% Sr. Sec. Nts., 7/23/25²		124,000		123,646
6.484% Sr. Sec. Nts., 10/23/45²		207,000		209,234
Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22		211,000		294,753
Comcast Corp., 4.65% Sr. Unsec. Unsub. Nts., 7/15/42		156,000		160,864
Historic TW, Inc.:
8.05% Sr. Unsec. Nts., 1/15/16		77,000		78,519
9.15% Debs., 2/1/23		118,000		155,712
Interpublic Group of Cos., Inc. (The), 4.20% Sr. Unsec. Nts., 4/15/24		226,000		227,445
Pearson Funding Two plc, 4% Sr. Unsec. Nts., 5/17/16²		101,000		102,795
Scripps Networks Interactive, Inc., 2.70% Sr. Unsec. Nts., 12/15/16		404,000		410,163
Sky plc, 3.75% Sr. Unsec. Nts., 9/16/24²		217,000		214,382
Thomson Reuters Corp., 1.65% Sr. Unsec. Nts., 9/29/17		416,000		416,006
Time Warner Cable, Inc., 4.50% Sr. Unsec. Unsub. Nts., 9/15/42		145,000		115,103
Viacom, Inc., 2.50% Sr. Unsec. Nts., 12/15/16		183,000		185,113
Virgin Media Secured Finance plc, 5.25% Sr. Sec. Nts., 1/15/26²		415,000		382,837
				3,182,186

Multiline Retail—0.2%
Dollar Tree, Inc., 5.75% Sr. Sec. Nts., 3/1/23²		300,000		312,750
Kohl’s Corp., 5.55% Sr. Unsec. Nts., 7/17/45		133,000		130,831
				443,581

Specialty Retail—0.4%
Best Buy Co., Inc., 5.50% Sr. Unsec. Nts., 3/15/21		415,000		435,750
Home Depot, Inc. (The), 4.875% Sr. Unsec. Nts., 2/15/44		167,000		185,892
Ross Stores, Inc., 3.375% Sr. Unsec. Nts., 9/15/24		225,000		224,058
Signet UK Finance plc, 4.70% Sr. Unsec. Nts., 6/15/24		119,000		120,430
				966,130

Textiles, Apparel & Luxury Goods—0.3%
Levi Strauss & Co., 5% Sr. Unsec. Nts., 5/1/25		430,000		423,550
PVH Corp., 4.50% Sr. Unsec. Unsub. Nts., 12/15/22		431,000		419,147
				842,697

Consumer Staples—2.9%
Beverages—0.6%
Anheuser-Busch InBev Worldwide, Inc., 8.20% Sr. Unsec. Unsub. Nts., 1/15/39		262,000		369,378
Constellation Brands, Inc., 4.75% Sr. Unsec. Nts., 11/15/24		390,000		394,875
Pernod Ricard SA:
2.95% Sr. Unsec. Nts., 1/15/17²		423,000		430,205



	Principal Amount		Value
Beverages (Continued)
Pernod Ricard SA: (Continued)
4.25% Sr. Unsec. Nts., 7/15/22²	$	260,000	$	270,439
				1,464,897

Food & Staples Retailing—0.5%
CVS Health Corp.:
5.125% Sr. Unsec. Nts., 7/20/45		109,000		117,757
5.30% Sr. Unsec. Nts., 12/5/43		101,000		111,921
Delhaize Group:
5.70% Sr. Unsec. Nts., 10/1/40		101,000		107,236
6.50% Sr. Unsec. Nts., 6/15/17		48,000		51,722
Kroger Co. (The):
6.40% Sr. Unsec. Nts., 8/15/17		386,000		420,566
6.90% Sr. Unsec. Nts., 4/15/38		109,000		137,677
Wal-Mart Stores, Inc., 4.30% Sr. Unsec. Nts., 4/22/44		220,000		225,590
				1,172,469

Food Products—1.2%
Bunge Ltd. Finance Corp.:
3.20% Sr. Unsec. Nts., 6/15/17		350,000		356,657
8.50% Sr. Unsec. Nts., 6/15/19		320,000		382,956
Ingredion, Inc., 1.80% Sr. Unsec. Nts., 9/25/17		424,000		422,860
JM Smucker Co., 1.75% Sr. Unsec. Nts., 3/15/18²		334,000		334,965
Kraft Foods Group, Inc., 5% Sr. Unsec. Nts., 6/4/42		99,000		101,975
Kraft Heinz Foods Co.:
3.95% Sr. Unsec. Nts., 7/15/25²		215,000		220,512
5.20% Sr. Unsec. Nts., 7/15/45²		49,000		52,123
TreeHouse Foods, Inc., 4.875% Sr. Unsec. Nts., 3/15/22		420,000		402,150
Tyson Foods, Inc.:
4.875% Sr. Unsec. Nts., 8/15/34		140,000		143,170
6.60% Sr. Unsec. Nts., 4/1/16		402,000		413,084
				2,830,452

Tobacco—0.6%
Altria Group, Inc., 10.20% Sr. Unsec. Nts., 2/6/39		241,000		390,858
Imperial Tobacco Finance plc, 2.05% Sr. Unsec. Nts., 7/20/18²		411,000		411,067
Reynolds American, Inc.:
5.85% Sr. Unsec. Nts., 8/15/45		185,000		206,645
6.75% Sr. Unsec. Nts., 6/15/17		388,000		420,197
				1,428,767

Energy—3.3%
Energy Equipment & Services—0.5%
Halliburton Co., 4.75% Sr. Unsec. Nts., 8/1/43		99,000		98,583
Helmerich & Payne International Drilling Co., 4.65% Sr. Unsec. Nts., 3/15/25		165,000		164,633
Nabors Industries, Inc., 2.35% Sr. Unsec. Nts., 9/15/16		348,000		343,919
Sinopec Group Overseas Development 2014 Ltd.,
1.75% Sr. Unsec. Nts., 4/10/17²		431,000		431,211
Weatherford International Ltd., 5.95% Sr. Unsec. Nts., 4/15/42		99,000		71,471
				1,109,817

Oil, Gas & Consumable Fuels—2.8%
Anadarko Petroleum Corp., 6.20% Sr. Unsec. Nts., 3/15/40		231,000		245,297
Apache Corp., 4.75% Sr. Unsec. Nts., 4/15/43		124,000		112,364
Boardwalk Pipelines LP, 4.95% Sr. Unsec. Nts., 12/15/24		234,000		217,219
Buckeye Partners LP, 6.05% Sr. Unsec. Nts., 1/15/18		189,000		199,479
Canadian Natural Resources Ltd.:
1.75% Sr. Unsec. Nts., 1/15/18		165,000		163,200
5.90% Sr. Unsec. Nts., 2/1/18		186,000		200,421
Cenovus Energy, Inc., 5.20% Sr. Unsec. Nts., 9/15/43		116,000		101,606



	Principal Amount		Value
Oil, Gas & Consumable Fuels (Continued)
Cimarex Energy Co., 4.375% Sr. Unsec. Nts., 6/1/24	$	224,000	$	218,562
CNOOC Nexen Finance 2014 ULC, 1.625% Sr. Unsec. Nts., 4/30/17		444,000		443,506
Columbia Pipeline Group, Inc., 4.50% Sr. Unsec. Nts., 6/1/25²		224,000		217,948
DCP Midstream LLC, 5.375% Sr. Unsec. Nts., 10/15/15²		342,000		342,352
Devon Energy Corp., 4.75% Sr. Unsec. Nts., 5/15/42		197,000		174,875
EnLink Midstream Partners LP:
2.70% Sr. Unsec. Nts., 4/1/19		356,000		352,140
4.40% Sr. Unsec. Nts., 4/1/24		112,000		106,945
Enterprise Products Operating LLC:
4.85% Sr. Unsec. Nts., 8/15/42		119,000		105,267
4.90% Sr. Unsec. Nts., 5/15/46		42,000		37,859
Husky Energy, Inc., 6.20% Sr. Unsec. Nts., 9/15/17		236,000		252,033
Kinder Morgan Energy Partners LP, 4.10% Sr. Unsec. Nts., 11/15/15		181,000		181,517
Kinder Morgan, Inc., 5% Sr. Unsec. Nts., 2/15/21²		314,000		319,860
MarkWest Energy Partners LP/MarkWest Energy
Finance Corp., 4.875% Sr. Unsec. Nts., 6/1/25		215,000		198,294
Origin Energy Finance Ltd.:
3.50% Sr. Unsec. Nts., 10/9/18²		468,000		455,017
5.45% Sr. Unsec. Nts., 10/14/21²		295,000		287,654
Pioneer Natural Resources Co., 6.65% Sr. Unsec. Nts., 3/15/17		385,000		407,872
Regency Energy Partners LP/Regency Energy
Finance Corp., 5% Sr. Unsec. Nts., 10/1/22		280,000		273,860
Southwestern Energy Co., 4.95% Sr. Unsec. Nts., 1/23/25		238,000		212,192
Spectra Energy Partners LP, 4.60% Sr. Unsec. Nts., 6/15/21		277,000		292,696
Western Gas Partners LP, 4% Sr. Unsec. Nts., 7/1/22		273,000		264,622
Woodside Finance Ltd., 4.60% Sr. Unsec. Unsub. Nts., 5/10/21²		372,000		387,358
				6,772,015

Financials—9.7%
Capital Markets—2.3%
Apollo Management Holdings LP, 4% Sr. Unsec. Nts., 5/30/24²		322,000		325,110
Blackstone Holdings Finance Co. LLC, 5% Sr. Unsec. Nts., 6/15/44²		458,000		468,463
Credit Suisse, New York, 3.625% Sr. Unsec. Nts., 9/9/24		470,000		471,503
Deutsche Bank AG, 4.50% Sub. Nts., 4/1/25		435,000		422,432
Goldman Sachs Group, Inc. (The):
5.15% Sub. Nts., 5/22/45		301,000		296,725
5.70% Jr. Sub. Perpetual Bonds, Series L^4,9		448,000		446,880
KKR Group Finance Co. III LLC, 5.125% Sr. Unsec. Nts., 6/1/44²		355,000		347,055
Lazard Group LLC, 4.25% Sr. Unsec. Nts., 11/14/20		401,000		425,279
Morgan Stanley:
5.00% Sub. Nts., 11/24/25		395,000		420,990
5.45% Jr. Sub. Perpetual Bonds, Series H^4,9		428,000		421,880
Nomura Holdings, Inc., 2% Sr. Unsec. Nts., 9/13/16		452,000		454,353
Raymond James Financial, Inc., 5.625% Sr. Unsec. Unsub. Nts., 4/1/24		265,000		300,242
UBS Preferred Funding Trust V, 6.243% Jr. Sub. Perpetual Bonds, Series 1^4,9		638,000		649,037
				5,449,949

Commercial Banks—3.6%
ABN AMRO Bank NV, 4.75% Sub. Nts., 7/28/25²		416,000		413,860



	Principal Amount		Value
Commercial Banks (Continued)
Bank of America Corp., 7.75% Jr. Sub. Nts., 5/14/38	$	424,000	$	585,028
Barclays plc, 3.65% Sr. Unsec. Nts., 3/16/25		353,000		337,637
BNP Paribas SA, 4.375% Sub. Nts., 9/28/25²		397,000		387,992
Citigroup, Inc.:
4.65% Sr. Unsec. Nts., 7/30/45		330,000		330,187
5.95% Jr. Sub. Perpetual Bonds, Series D^4,9		465,000		451,631
Citizens Financial Group, Inc., 5.50% Jr. Sub. Perpetual Bonds^2,4,9		433,000		423,258
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA (Netherlands), 4.375% Sub. Nts., 8/4/25		297,000		297,927
Credit Agricole SA, 8.375% Jr. Sub. Perpetual Bonds^4,8,9		370,000		421,874
FirstMerit Bank NA, 4.27% Sub. Nts., 11/25/26		432,000		446,270
HSBC Finance Capital Trust IX, 5.911% Unsec. Sub. Nts., 11/30/35⁴		1,120,000		1,120,000
JPMorgan Chase & Co., 6.75% Jr. Sub. Perpetual Bonds, Series S^4,9		294,000		306,495
Lloyds Banking Group plc, 6.657% Jr. Sub. Perpetual Bonds^4,8,9		400,000		448,500
Regions Bank, Birmingham AL:
2.25% Sr. Unsec. Nts., 9/14/18		328,000		329,564
6.45% Sub. Nts., 6/26/37		334,000		405,880
Royal Bank of Scotland Group plc, 7.64% Jr. Sub. Perpetual Bonds, Series U^4,9		500,000		535,000
Societe Generale SA, 5.922% Jr. Sub. Perpetual Bonds^2,4,9		440,000		446,600
SunTrust Banks, Inc.:
3.60% Sr. Unsec. Nts., 4/15/16		370,000		374,629
5.625% Jr. Sub. Perpetual Bonds^4,9		383,000		383,958
Wells Fargo & Co., 5.875% Jr. Sub. Perpetual Bonds^4,9		162,000		166,050
				8,612,340

Consumer Finance—0.7%
Ally Financial, Inc., 8% Sr. Unsec. Nts., 11/1/31		339,000		393,982
Capital One Financial Corp.:
3.20% Sr. Unsec. Nts., 2/5/25		342,000		326,639
5.55% Jr. Sub. Perpetual Bonds^4,9		419,000		414,810
Discover Financial Services:
3.75% Sr. Unsec. Nts., 3/4/25		338,000		328,113
3.95% Sr. Unsec. Nts., 11/6/24		331,000		326,503
				1,790,047

Diversified Financial Services—0.5%
McGraw Hill Financial, Inc., 2.50% Sr. Unsec. Nts., 8/15/18²		105,000		105,876
Nationwide Building Society, 3.90% Sr. Unsec. Nts., 7/21/25²		410,000		419,782
Peachtree Corners Funding Trust, 3.976% Sr. Unsec. Nts., 2/15/25²		221,000		223,093
Voya Financial, Inc., 5.65% Jr. Sub. Nts., 5/15/53⁴		495,000		501,435
				1,250,186

Insurance—1.1%
AXIS Specialty Finance plc, 5.15% Sr. Unsec. Nts., 4/1/45		368,000		381,019
Five Corners Funding Trust, 4.419% Unsec. Nts., 11/15/23²		374,000		391,982
Liberty Mutual Group, Inc., 4.25% Sr. Unsec. Nts., 6/15/23²		543,000		562,699
MetLife, Inc., 5.25% Jr. Sub. Perpetual Bonds^4,9		296,000		294,520
Prudential Financial, Inc., 5.20% Jr. Sub. Nts., 3/15/44⁴		331,000		326,449
TIAA Asset Management Finance Co. LLC, 4.125% Sr. Unsec. Nts., 11/1/24²		437,000		446,483
XLIT Ltd., 6.50% Jr. Sub. Perpetual Bonds^4,9		243,000		193,549
				2,596,701



	Principal Amount		Value
Real Estate Investment Trusts (REITs)—1.3%
American Tower Corp., 5.90% Sr. Unsec. Nts., 11/1/21	$	233,000	$	264,147
Corrections Corp. of America, 4.625% Sr. Unsec. Nts., 5/1/23		425,000		410,125
First Industrial LP, 7.50% Sr. Unsec. Nts., 12/1/17		360,000		397,393
HCP, Inc., 5.625% Sr. Unsec. Nts., 5/1/17		125,000		132,613
Highwoods Realty LP, 7.50% Sr. Unsec. Nts., 4/15/18		366,000		412,545
Host Hotels & Resorts LP, 3.75% Sr. Unsec. Nts., 10/15/23		244,000		239,320
Liberty Property LP, 5.50% Sr. Unsec. Nts., 12/15/16		268,000		280,588
Prologis LP, 4% Sr. Unsec. Nts., 1/15/18		219,000		228,913
Regency Centers LP, 5.875% Sr. Unsec. Nts., 6/15/17		48,000		51,217
Ventas Realty LP, 1.25% Sr. Unsec. Nts., 4/17/17		178,000		177,259
WEA Finance LLC/Westfield UK & Europe Finance plc, 1.75% Sr. Unsec. Nts., 9/15/17²		369,000		366,715
Welltower, Inc., 2.25% Sr. Unsec. Nts., 3/15/18		88,000		88,497
				3,049,332

Real Estate Management & Development—0.2%
Brookfield Asset Management, Inc., 4% Sr. Unsec. Nts., 1/15/25		475,000		473,917

Health Care—2.6%
Biotechnology—0.2%
Biogen, Inc., 5.20% Sr. Unsec. Nts., 9/15/45		110,000		111,477
Celgene Corp.:
3.875% Sr. Unsec. Nts., 8/15/25		208,000		208,552
5.00% Sr. Unsec. Nts., 8/15/45		56,000		55,793
				375,822

Health Care Equipment & Supplies—0.5%
Becton Dickinson & Co.:
1.45% Sr. Unsec. Nts., 5/15/17		453,000		452,350
3.875% Sr. Unsec. Nts., 5/15/24		221,000		228,112
DENTSPLY International, Inc., 2.75% Sr. Unsec. Nts., 8/15/16		425,000		430,518
Zimmer Biomet Holdings, Inc., 3.55% Sr. Unsec. Nts., 4/1/25		130,000		127,606
				1,238,586

Health Care Providers & Services—1.0%
Cardinal Health, Inc., 3.50% Sr. Unsec. Nts., 11/15/24		214,000		214,402
CHS/Community Health Systems, Inc., 5.125% Sr. Sec. Nts., 8/1/21		420,000		428,400
Fresenius Medical Care US Finance II, Inc., 5.875% Sr. Unsec. Nts., 1/31/22²		422,000		454,705
Laboratory Corp. of America Holdings, 3.60% Sr. Unsec. Nts., 2/1/25		610,000		591,920
LifePoint Health, Inc., 5.50% Sr. Unsec. Nts., 12/1/21		425,000		429,781
McKesson Corp., 4.883% Sr. Unsec. Nts., 3/15/44		180,000		181,795
Medco Health Solutions, Inc., 7.125% Sr. Unsec. Nts., 3/15/18		178,000		199,849
				2,500,852

Life Sciences Tools & Services—0.1%
Life Technologies Corp., 3.50% Sr. Unsec. Nts., 1/15/16		28,000		28,184
Thermo Fisher Scientific, Inc.:
4.15% Sr. Unsec. Nts., 2/1/24		144,000		149,461
5.30% Sr. Unsec. Nts., 2/1/44		40,000		42,266
				219,911

Pharmaceuticals—0.8%
AbbVie, Inc.:
3.60% Sr. Unsec. Nts., 5/14/25		208,000		205,858
4.70% Sr. Unsec. Nts., 5/14/45		83,000		80,894



	Principal Amount		Value
Pharmaceuticals (Continued)
Actavis Funding SCS:
3.80% Sr. Unsec. Nts., 3/15/25	$	368,000	$	356,710
4.75% Sr. Unsec. Nts., 3/15/45		182,000		165,967
Hospira, Inc.:
5.20% Sr. Unsec. Nts., 8/12/20		441,000		499,583
6.05% Sr. Unsec. Nts., 3/30/17		172,000		183,717
Mallinckrodt International Finance SA, 3.50% Sr. Unsec. Nts., 4/15/18		468,000		456,300
				1,949,029

Industrials—2.9%
Aerospace & Defense—0.2%
L-3 Communications Corp.:
1.50% Sr. Unsec. Nts., 5/28/17		118,000		116,969
3.95% Sr. Unsec. Nts., 11/15/16		145,000		148,706
Northrop Grumman Corp., 4.75% Sr. Unsec. Nts., 6/1/43		115,000		119,179
Textron, Inc., 3.875% Sr. Unsec. Nts., 3/1/25		129,000		129,650
				514,504

Building Products—0.2%
Owens Corning, 4.20% Sr. Unsec. Nts., 12/15/22		505,000		512,558

Commercial Services & Supplies—0.2%
Pitney Bowes, Inc., 4.625% Sr. Unsec. Nts., 3/15/24		575,000		580,718

Electrical Equipment—0.1%
Sensata Technologies BV, 4.875% Sr. Unsec. Nts., 10/15/23²		349,000		334,604

Industrial Conglomerates—0.6%
General Electric Capital Corp., 6.25% Jr. Sub. Perpetual Bonds, Series B^4,9		889,000		965,676
Synchrony Financial:
4.25% Sr. Unsec. Nts., 8/15/24		117,000		116,823
4.50% Sr. Unsec. Nts., 7/23/25		310,000		313,157
				1,395,656

Machinery—0.4%
Crane Co., 4.45% Sr. Unsec. Nts., 12/15/23		234,000		245,669
Ingersoll-Rand Global Holding Co. Ltd., 4.25% Sr. Unsec. Nts., 6/15/23		120,000		124,553
Joy Global, Inc., 6% Sr. Unsec. Nts., 11/15/16		71,000		73,149
Starwood Hotels & Resorts Worldwide, Inc.,
7.375% Sr. Unsec. Nts., 11/15/15		384,000		386,675
				830,046

Marine—0.1%
AP Moeller-Maersk, 3.875% Unsec. Nts., 9/28/25²		217,000		215,416

Professional Services—0.2%
Experian Finance plc, 2.375% Sr. Unsec. Nts., 6/15/17²		427,000		429,874

Road & Rail—0.5%
Canadian Pacific Railway Co., 4.80% Sr. Unsec. Nts., 9/15/35		76,000		78,209
ERAC USA Finance LLC, 4.50% Sr. Unsec. Nts., 2/15/45²		126,000		117,052
Kansas City Southern de Mexico SA de CV, 3% Sr. Unsec. Nts., 5/15/23		372,000		360,651
Penske Truck Leasing Co. LP/PTL Finance Corp.:
2.50% Sr. Unsec. Nts., 3/15/16²		446,000		448,773
4.25% Sr. Unsec. Nts., 1/17/23²		250,000		255,406
				1,260,091

Trading Companies & Distributors—0.4%
Air Lease Corp., 3.875% Sr. Unsec. Nts., 4/1/21		456,000		462,840




	Principal Amount		Value
Trading Companies & Distributors (Continued)
International Lease Finance Corp., 5.875% Sr. Unsec. Nts., 8/15/22	$	370,000	$	394,975
				857,815

Information Technology—2.1%
Communications Equipment—0.1%
Motorola Solutions, Inc., 3.50% Sr. Unsec. Nts., 3/1/23		316,000		285,331

Electronic Equipment, Instruments, & Components—0.4%
Arrow Electronics, Inc., 5.125% Sr. Unsec. Unsub. Nts., 3/1/21		525,000		576,676
Flextronics International Ltd., 4.75% Sr. Unsec. Nts., 6/15/25²		330,000		320,503
				897,179

Internet Software & Services—0.2%
VeriSign, Inc., 5.25% Sr. Unsec. Nts., 4/1/25		440,000		437,800

IT Services—0.3%
Fidelity National Information Services, Inc.: 1.45% Sr. Unsec. Nts., 6/5/17		351,000		348,233
3.50% Sr. Unsec. Nts., 4/15/23		244,000		232,272
Xerox Corp.: 2.95% Sr. Unsec. Nts., 3/15/17		149,000		151,599
6.75% Sr. Unsec. Nts., 2/1/17		75,000		79,863
				811,967

Semiconductors & Semiconductor Equipment—0.1%
Intel Corp., 4.90% Sr. Unsec. Nts., 7/29/45		107,000		111,053

Software—0.4%
Autodesk, Inc.: 1.95% Sr. Unsec. Nts., 12/15/17		313,000		315,052
4.375% Sr. Unsec. Nts., 6/15/25		125,000		125,633
Open Text Corp., 5.625% Sr. Unsec. Nts., 1/15/23²		256,000		254,560
Oracle Corp., 3.40% Sr. Unsec. Nts., 7/8/24		322,000		327,216
				1,022,461

Technology Hardware, Storage & Peripherals—0.6%
Apple, Inc., 4.375% Sr. Unsec. Nts., 5/13/45		227,000		224,329
Hewlett Packard Enterprise Co.: 2.45% Sr. Unsec. Nts., 10/5/17^2,3		520,000		519,709
6.20% Sr. Unsec. Nts., 10/15/35^2,3		161,000		160,907
6.35% Sr. Unsec. Nts., 10/15/45^2,3		176,000		175,880
Hewlett-Packard Co., 2.65% Sr. Unsec. Unsub. Nts., 6/1/16		443,000		449,552
				1,530,377

Materials—2.0%
Chemicals—0.9%
Agrium, Inc.: 3.375% Sr. Unsec. Nts., 3/15/25		174,000		165,131
4.125% Sr. Unsec. Nts., 3/15/35		87,000		77,105
Eastman Chemical Co.:
3.00% Sr. Unsec. Nts., 12/15/15		218,000		218,886
4.65% Sr. Unsec. Nts., 10/15/44		112,000		102,807
LYB International Finance BV, 5.25% Sr. Unsec. Nts., 7/15/43		144,000		143,917
Methanex Corp., 4.25% Sr. Unsec. Nts., 12/1/24		256,000		247,044
Rockwood Specialties Group, Inc., 4.625% Sr. Unsec. Nts., 10/15/20		450,000		465,912
RPM International, Inc., 3.45% Sr. Unsec. Unsub. Nts., 11/15/22		378,000		368,649
Valspar Corp. (The): 3.30% Sr. Unsec. Nts., 2/1/25		122,000		117,712
3.95% Sr. Unsec. Nts., 1/15/26		174,000		178,103
				2,085,266




	Principal Amount		Value
Construction Materials—0.3%
CRH America, Inc., 5.125% Sr. Unsec. Nts., 5/18/45²	$	282,000	$	281,422
James Hardie International Finance Ltd., 5.875% Sr. Unsec. Nts., 2/15/23²		421,000		428,367
				709,789

Containers & Packaging—0.3%
Ball Corp., 4% Sr. Unsec. Nts., 11/15/23		415,000		392,175
Packaging Corp. of America: 3.65% Sr. Unsec. Nts., 9/15/24		113,000		112,310
4.50% Sr. Unsec. Nts., 11/1/23		358,000		374,576
				879,061

Metals & Mining—0.4%
Carpenter Technology Corp., 4.45% Sr. Unsec. Unsub. Nts., 3/1/23		159,000		156,248
Freeport-McMoRan, Inc., 3.875% Sr. Unsec. Nts., 3/15/23		142,000		106,322
Glencore Finance Canada Ltd., 3.60% Sr. Unsec. Nts., 1/15/17²		348,000		323,543
Glencore Funding LLC, 4.625% Sr. Unsec. Nts., 4/29/24²		75,000		57,750
Goldcorp, Inc., 5.45% Sr. Unsec. Nts., 6/9/44		116,000		107,802
Yamana Gold, Inc., 4.95% Sr. Unsec. Nts., 7/15/24		230,000		205,944
				957,609

Paper & Forest Products—0.1%
International Paper Co., 4.80% Sr. Unsec. Nts., 6/15/44		183,000		169,656

Telecommunication Services—1.8%
Diversified Telecommunication Services—1.8%
AT&T, Inc., 4.35% Sr. Unsec. Nts., 6/15/45		614,000		526,974
British Telecommunications plc, 9.625% Sr. Unsec. Nts., 12/15/30		288,000		430,671
CenturyLink, Inc., 6.45% Sr. Unsec. Nts., 6/15/21		397,000		367,225
Deutsche Telekom International Finance BV, 5.75% Sr. Unsec. Nts., 3/23/16		402,000		411,225
DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 5.15% Sr. Unsec. Nts., 3/15/42		65,000		61,325
Frontier Communications Corp.: 7.625% Sr. Unsec. Nts., 4/15/24		395,000		331,800
10.50% Sr. Unsec. Nts., 9/15/22²		42,000		40,950
Orange SA, 2.75% Sr. Unsec. Nts., 9/14/16		111,000		112,763
Telecom Italia Capital SA, 7.721% Sr. Unsec. Unsub. Nts., 6/4/38		277,000		301,930
Telefonica Emisiones SAU: 3.192% Sr. Unsec. Nts., 4/27/18		397,000		406,272
7.045% Sr. Unsec. Unsub. Nts., 6/20/36		169,000		198,852
Verizon Communications, Inc.: 3.50% Sr. Unsec. Nts., 11/1/24		189,000		186,682
4.50% Sr. Unsec. Nts., 9/15/20		522,000		565,229
4.522% Sr. Unsec. Nts., 9/15/48		288,000		254,259
5.012% Sr. Unsec. Nts., 8/21/54		105,000		96,428
				4,292,585

Utilities—2.4%
Electric Utilities—1.6%
AEP Texas Central Co., 3.85% Sr. Unsec. Nts., 10/1/25²		198,000		200,757
American Transmission Systems, Inc., 5% Sr. Unsec. Nts., 9/1/44²		118,000		121,455
EDP Finance BV, 5.25% Sr. Unsec. Nts., 1/14/21²		375,000		396,687
Enel Finance International NV, 6.25% Sr. Unsec. Nts., 9/15/17²		389,000		421,795
Exelon Corp., 3.95% Sr. Unsec. Nts., 6/15/25		411,000		415,817
ITC Holdings Corp., 5.30% Sr. Unsec. Nts., 7/1/43		93,000		99,233
NextEra Energy Capital Holdings, Inc., 1.586% Sr. Unsec. Nts., 6/1/17		419,000		419,310



		Principal Amount			Value
		Principal Amount			Value
Multi-Utilities—0.5%
CenterPoint Energy, Inc., 5.95% Sr. Unsec. Nts., 2/1/17
CenterPoint Energy, Inc., 5.95% Sr. Unsec. Nts., 2/1/17	$	386,000		$	408,495
CMS Energy Corp., 3.875% Sr. Unsec. Nts., 3/1/24		240,000			246,324
Consolidated Edison Co. of New York, Inc., 4.625% Sr. Unsec. Nts., 12/1/54
		100,000			101,198
Dominion Gas Holdings LLC, 4.60% Sr. Unsec. Nts., 12/15/44
Dominion Gas Holdings LLC, 4.60% Sr. Unsec. Nts., 12/15/44		170,000			162,269
NiSource Finance Corp., 4.80% Sr. Unsec. Nts., 2/15/44
NiSource Finance Corp., 4.80% Sr. Unsec. Nts., 2/15/44		179,000			185,976
Puget Energy, Inc., 3.65% Sr. Sec. Nts., 5/15/25²		206,000			203,789
Puget Energy, Inc., 3.65% Sr. Sec. Nts., 5/15/25²					1,308,051
Total Non-Convertible Corporate Bonds and Notes (Cost $83,339,300)					83,127,339

		Shares
Investment Company—2.2%
Oppenheimer Institutional Money Market Fund, Cl. E, 0.18%^10,11 (Cost $5,367,607)
		5,367,607			5,367,607

Total Investments, at Value (Cost $263,708,746)
Total Investments, at Value (Cost $263,708,746)		113.1%			271,021,156
Net Other Assets (Liabilities)		(13.1	)		(31,395,019	)
Net Assets		100.0%		$	239,626,137

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 $44,342,748 or 18.50% of the Fund’s net assets at period end.

3. All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after period end. See Note 4 of the accompanying Notes.

4. Represents the current interest rate for a variable or increasing rate security.

5. Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $1,977,158 or 0.83% of the Fund’s net assets at period end.

7. Principal-Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. The value of these securities generally increases as interest rates decline and prepayment rates rise. The price of these securities is typically more volatile than that of coupon-bearing bonds of the same maturity. Interest rates disclosed represent current yields based upon the current cost basis and estimated timing of future cash flows. These securities amount to $89,607 or 0.04% of the Fund’s net assets at period end.

8. Restricted security. The aggregate value of restricted securities at period end was $1,250,958, which represents 0.52% of the Fund’s net assets. See Note 4 of the accompanying Notes. Information concerning restricted securities is as follows:

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.

11. Is or was an affiliate, as defined in the Investment Company Act of 1940, as amended, at or during the reporting period, 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 reporting 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 at period end based on valuation input level:

Risks of Investing in the Underlying Funds. The Fund invests in other mutual funds advised by the Manager. The Underlying Funds are registered open-end management investment companies under the 1940 Act, as amended. The Manager is the investment adviser of, and the Sub-Adviser provides investment and related advisory services to, the Underlying Funds. The Fund’s Investments in Underlying Funds are included in the Statement of Investments. Shares of Underlying Funds are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of the Underlying Funds’ expenses, including their management fee.

Each of the Underlying Funds in which the Fund invests has its own investment risks, and those risks can affect the value of the Fund’s investments and therefore the value of the Fund’s shares. To the extent that the Fund invests more of its assets in one Underlying Fund than in another, the Fund will have greater exposure to the risks of that Underlying Fund.

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.

At period end, 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.

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. At period end, 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.

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.

The Fund’s investments in securities and/or financial derivatives may expose the fund to various 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 of debt to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield debt securities are subject to credit risk to a greater extent than lower-yield, higher-quality securities.

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.

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.

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 reporting period, the Fund had an ending monthly average market value of $9,898,528 and $23,851,336 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.

The approximate aggregate cost of securities and other investments and the composition of unrealized appreciation and depreciation of securities and other investments for federal income tax purposes as of September 30, 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.

STATEMENT OF INVESTMENTS September 30, 2015 Unaudited


	Shares		Value
Common Stocks—98.5%
Consumer Discretionary—17.2%
Diversified Consumer Services—0.4%
Service Corp. International		133,470	$	3,617,037

Hotels, Restaurants & Leisure—1.9%
Chipotle Mexican Grill, Inc., Cl. A¹		3,420		2,463,255
Dunkin’ Brands Group, Inc.		87,030		4,264,470
Starbucks Corp.		153,960		8,751,086

				15,478,811

Internet & Catalog Retail—4.3%
Amazon.com, Inc.¹		39,494		20,216,584
Netflix, Inc.¹		65,410		6,754,236
TripAdvisor, Inc.¹		132,380		8,342,588

				35,313,408

Leisure Products—1.3%
Hasbro, Inc.		155,020		11,183,143

Media—2.1%
Time Warner, Inc.		58,225		4,002,969
Walt Disney Co. (The)		135,070		13,804,154

				17,807,123

Multiline Retail—0.7%
Dollar Tree, Inc.¹		85,660		5,710,096

Specialty Retail—3.3%
Foot Locker, Inc.		78,890		5,677,713
TJX Cos., Inc. (The)		304,160		21,723,107

				27,400,820

Textiles, Apparel & Luxury Goods—3.2%
NIKE, Inc., Cl. B		149,920		18,435,662
VF Corp.		113,900		7,769,119

				26,204,781

Consumer Staples—6.1%
Beverages—1.4%
Constellation Brands, Inc., Cl. A		92,410		11,570,656

Food & Staples Retailing—4.7%
Costco Wholesale Corp.		114,870		16,606,756
CVS Health Corp.		171,080		16,505,798
Kroger Co. (The)		172,960		6,238,667

				39,351,221

Energy—2.6%
Energy Equipment & Services—0.6%
Halliburton Co.		136,400		4,821,740

Oil, Gas & Consumable Fuels—2.0%
EOG Resources, Inc.		119,170		8,675,576
Newfield Exploration Co.¹		76,700		2,523,430
Pioneer Natural Resources Co.		46,190		5,618,552

				16,817,558

Financials—7.0%
Capital Markets—2.9%
Charles Schwab Corp. (The)		585,700		16,727,592
Invesco Ltd.		88,630		2,767,915
State Street Corp.		61,400		4,126,694

				23,622,201

Commercial Banks—3.4%
JPMorgan Chase & Co.		385,250		23,488,692
SVB Financial Group¹		43,430		5,017,902

				28,506,594

Insurance—0.6%
Aon plc		53,690		4,757,471


	Shares		Value
Real Estate Management & Development—0.1%
Realogy Holdings Corp.¹		19,360	$	728,517

Health Care—20.3%
Biotechnology—11.0%
Biogen, Inc.¹		111,870		32,644,785
Celgene Corp.¹		138,184		14,947,363
Gilead Sciences, Inc.		349,150		34,283,039
Incyte Corp.¹		51,410		5,672,065
Vertex Pharmaceuticals, Inc.¹		29,595		3,082,023

				90,629,275

Health Care Equipment & Supplies—2.1%
Abbott Laboratories		380,540		15,305,319
Hologic, Inc.¹		53,160		2,080,151

				17,385,470

Life Sciences Tools & Services—0.1%
Illumina, Inc.¹		4,810		845,694

Pharmaceuticals—7.1%
Allergan plc¹		136,060		36,982,469
Bristol-Myers Squibb Co.		43,420		2,570,464
Perrigo Co. plc		30,180		4,746,408
Shire plc, ADR		6,030		1,237,537
Teva Pharmaceutical Industries Ltd., Sponsored ADR		24,380		1,376,495
Valeant Pharmaceuticals International, Inc.¹		66,737		11,904,546

				58,817,919

Industrials—6.0%
Aerospace & Defense—1.0%
TransDigm Group, Inc.¹		39,370		8,362,582

Building Products—0.7%
A.O. Smith Corp.		54,110		3,527,431
Allegion plc		43,820		2,526,661

				6,054,092

Commercial Services & Supplies—1.3%
Cintas Corp.		122,800		10,530,100

Electrical Equipment—0.6%
Acuity Brands, Inc.		27,340		4,800,357

Machinery—2.4%
Ingersoll-Rand plc		64,600		3,279,742
Stanley Black & Decker, Inc.		79,160		7,676,937
Wabtec Corp.		104,400		9,192,420

				20,149,099

Information Technology—39.3%
Internet Software & Services—13.9%
eBay, Inc.¹		914,630		22,353,557
Facebook, Inc., Cl. A¹		503,400		45,255,660
Google, Inc., Cl. A¹		21,720		13,865,397
LinkedIn Corp., Cl. A¹		178,580		33,953,415

				115,428,029

IT Services—11.4%
Computer Sciences Corp.		209,330		12,848,675
MasterCard, Inc., Cl. A		311,430		28,066,072
PayPal Holdings, Inc.¹		804,500		24,971,680
Visa, Inc., Cl. A		403,348		28,097,222

				93,983,649

Software—10.1%
Activision Blizzard, Inc.		404,680		12,500,565
Electronic Arts, Inc.¹		219,090		14,843,347
Microsoft Corp.		426,150		18,861,399
Oracle Corp.		688,490		24,868,259
ServiceNow, Inc.¹		122,770		8,526,377


	Shares			Value
Software (Continued)
Workday, Inc., Cl. A¹		54,700		$	3,766,642

					83,366,589

Technology Hardware, Storage & Peripherals—3.9%
Apple, Inc.		221,470			24,428,141
Western Digital Corp.		98,910			7,857,410

					32,285,551

Total Common Stocks (Cost $674,466,498)					815,529,583

Investment Company—0.7%
Oppenheimer Institutional Money Market Fund, Cl. E, 0.18%^2,3 (Cost $5,417,417)		5,417,417			5,417,417

Total Investments, at Value (Cost $679,883,915)		99.2	%		820,947,000

Net Other Assets (Liabilities)		0.8			7,019,395

Net Assets		100.0	%	$	827,966,395

3. Is or was an affiliate, as defined in the Investment Company Act of 1940, as amended, at or during the reporting period, 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 reporting period in which the issuer was an affiliate are as follows:

Oppenheimer Capital Appreciation 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.

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.

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.

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 at period end based on valuation input level:

The Fund’s investments in securities and/or financial derivatives may expose the fund to various 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.



	Principal Amount		Value

Asset-Backed Securities—16.5%

Auto Loan—14.7%

American Credit Acceptance Receivables Trust:
Series 2013-2,Cl. B, 2.84%, 5/15/19¹	$	256,045	$	256,851
Series 2014-1,Cl. B, 2.39%, 11/12/19¹		520,000		521,208
Series 2014-2,Cl. B, 2.26%, 3/10/20¹		135,000		135,501
Series 2014-3,Cl. B, 2.43%, 6/10/20¹		445,000		446,181
Series 2014-4,Cl. B, 2.60%, 10/12/20¹		145,000		145,549
Series 2015-1,Cl. B, 2.85%, 2/12/21¹		385,000		387,337
Series 2015-3,Cl. B, 3.56%, 10/12/21^1,2		325,000		324,967

AmeriCredit Automobile Receivables Trust:
Series 2012-2,Cl. E, 4.85%, 8/8/19¹		375,000		384,483
Series 2012-4,Cl. D, 2.68%, 10/9/18		100,000		101,308
Series 2013-2,Cl. E, 3.41%, 10/8/20¹		345,000		350,405
Series 2013-3,Cl. E, 3.74%, 12/8/20¹		145,000		148,360
Series 2013-4,Cl. D, 3.31%, 10/8/19		30,000		30,781
Series 2013-5,Cl. D, 2.86%, 12/9/19		225,000		227,605
Series 2014-1,Cl. D, 2.54%, 6/8/20		185,000		186,515
Series 2014-1,Cl. E, 3.58%, 8/9/21		95,000		96,384
Series 2014-2,Cl. D, 2.57%, 7/8/20		305,000		304,924
Series 2014-2,Cl. E, 3.37%, 11/8/21		385,000		387,313
Series 2014-3,Cl. D, 3.13%, 10/8/20		260,000		263,602
Series 2014-4,Cl. D, 3.07%, 11/9/20		235,000		237,905
Series 2015-2,Cl. D, 3.00%, 6/8/21		70,000		70,495
Series 2015-3,Cl. D, 3.34%, 8/8/21		175,000		177,425

California Republic Auto Receivables Trust:
Series 2013-2,Cl. C, 3.32%, 8/17/20		230,000		237,058
Series 2014-2,Cl. C, 3.29%, 3/15/21		80,000		80,189
Series 2014-4,Cl. C, 3.56%, 9/15/21		100,000		100,567

Capital Auto Receivables Asset Trust:
Series 2013-4,Cl. D, 3.22%, 5/20/19		105,000		106,808
Series 2014-1,Cl. D, 3.39%, 7/22/19		115,000		117,614
Series 2014-3,Cl. D, 3.14%, 2/20/20		160,000		162,091
Series 2015-1,Cl. D, 3.16%, 8/20/20		165,000		166,734
Series 2015-2,Cl. C, 2.67%, 8/20/20		155,000		155,893

CarFinance Capital Auto Trust:
Series 2013-2A,Cl. B, 3.15%, 8/15/19¹		530,000		536,837
Series 2014-1A,Cl. A, 1.46%, 12/17/18¹		53,245		53,201
Series 2015-1A,Cl. A, 1.75%, 6/15/21¹		184,264		183,801

CarMax Auto Owner Trust:
Series 2015-2,Cl. D, 3.04%, 11/15/21		100,000		100,702
Series 2015-3,Cl. D, 3.27%, 3/15/22		180,000		182,442

CPS Auto Receivables Trust:
Series 2012-B,Cl. A, 2.52%, 9/16/19¹		130,524		131,016
Series 2014-A,Cl. A, 1.21%, 8/15/18¹		207,234		206,836
Series 2014-C,Cl. A, 1.31%, 2/15/19¹		191,847		190,727

Credit Acceptance Auto Loan Trust:
Series 2013-1A,Cl. B, 1.83%, 4/15/21¹		235,000		235,139
Series 2013-2A,Cl. B, 2.26%, 10/15/21¹		585,000		585,641
Series 2014-1A,Cl. B, 2.29%, 4/15/22¹		215,000		216,837
Series 2014-2A,Cl. B, 2.67%, 9/15/22¹		160,000		161,403
Series 2015-1A,Cl. C, 3.30%, 7/17/23¹		225,000		227,962
Series 2015-2A,Cl. B, 3.04%, 8/15/23¹		330,000		332,644

Drive Auto Receivables Trust:
Series 2015-AA,Cl. C, 3.06%, 5/17/21¹		250,000		251,535
Series 2015-BA,Cl. C, 2.76%, 7/15/21¹		300,000		300,974
Series 2015-DA,Cl. C, 3.38%, 11/15/21¹		245,000		245,305

DT Auto Owner Trust:
Series 2013-1A,Cl. D, 3.74%, 5/15/20¹		175,000		176,007
Series 2013-2A,Cl. D, 4.18%, 6/15/20¹		485,000		494,705
Series 2014-1A,Cl. D, 3.98%, 1/15/21¹		360,000		364,875
Series 2014-2A,Cl. D, 3.68%, 4/15/21¹		525,000		526,842
Series 2014-3A,Cl. D, 4.47%, 11/15/21¹		205,000		209,460
Series 2015-1A,Cl. C, 2.87%, 11/16/20¹		180,000		181,625

Exeter Automobile Receivables Trust:
Series 2012-2A,Cl. C, 3.06%, 7/16/18¹		35,000		35,120
Series 2014-1A,Cl. B, 2.42%, 1/15/19¹		230,000		231,303
Series 2014-1A,Cl. C, 3.57%, 7/15/19¹		230,000		232,814
Series 2014-2A,Cl. A, 1.06%, 8/15/18¹		36,079		36,024
Series 2014-2A,Cl. C, 3.26%, 12/16/19¹		110,000		110,212



	Principal Amount		Value

Auto Loan (Continued)

First Investors Auto Owner Trust:
Series 2012-1A,Cl. C, 3.54%, 11/15/17¹	$	33,872	$	34,021
Series 2012-1A,Cl. D, 5.65%, 4/15/18¹		155,000		156,672
Series 2013-3A,Cl. B, 2.32%, 10/15/19¹		385,000		387,978
Series 2013-3A,Cl. C, 2.91%, 1/15/20¹		165,000		166,407
Series 2013-3A,Cl. D, 3.67%, 5/15/20¹		125,000		125,964
Series 2014-1A,Cl. D, 3.28%, 4/15/21¹		225,000		224,070
Series 2014-3A,Cl. D, 3.85%, 2/15/22¹		140,000		141,639

Flagship Credit Auto Trust:
Series 2014-1,Cl. A, 1.21%, 4/15/19¹		98,427		98,334
Series 2014-2,Cl. A, 1.43%, 12/16/19¹		206,385		205,815

GM Financial Automobile Leasing Trust, Series 2015-1, Cl. D, 3.01%, 3/20/20		240,000		241,279

GO Financial Auto Securitization Trust, Series 2015-1, Cl. A, 1.81%, 3/15/18¹		149,097		149,055

Navistar Financial Dealer Note Master Trust, Series 2014-1, Cl. D, 2.494%, 10/25/19^1,3		125,000		124,099

Santander Drive Auto Receivables Trust:
Series 2013-2,Cl. D, 2.57%, 3/15/19		325,000		330,077
Series 2013-3,Cl. D, 2.42%, 4/15/19		55,000		55,242
Series 2013-4,Cl. D, 3.92%, 1/15/20		560,000		578,191
Series 2013-4,Cl. E, 4.67%, 1/15/20¹		360,000		374,022
Series 2013-5,Cl. D, 2.73%, 10/15/19		325,000		328,980
Series 2013-A,Cl. E, 4.71%, 1/15/21¹		270,000		280,568
Series 2014-2,Cl. D, 2.76%, 2/18/20		215,000		215,920
Series 2014-4,Cl. D, 3.10%, 11/16/20		185,000		186,937
Series 2015-1,Cl. D, 3.24%, 4/15/21		260,000		263,017
Series 2015-2,Cl. C, 2.44%, 4/15/21		290,000		290,628
Series 2015-2,Cl. D, 3.02%, 4/15/21		275,000		273,547
Series 2015-3,Cl. D, 3.49%, 5/17/21		345,000		350,975
Series 2015-4,Cl. D, 3.53%, 8/16/21		265,000		267,418

SNAAC Auto Receivables Trust:
Series 2013-1A,Cl. C, 3.07%, 8/15/18¹		145,000		146,157
Series 2014-1A,Cl. A, 1.03%, 9/17/18¹		42,514		42,509
Series 2014-1A,Cl. D, 2.88%, 1/15/20¹		140,000		140,625

TCF Auto Receivables Owner Trust:
Series 2014-1A,Cl. C, 3.12%, 4/15/21¹		100,000		100,368
Series 2015-1A,Cl. D, 3.53%, 3/15/22¹		160,000		161,373

United Auto Credit Securitization Trust, Series 2015-1, Cl. D, 2.92%, 6/17/19¹		225,000		226,456

Westlake Automobile Receivables Trust:
Series 2014-1A,Cl. D, 2.20%, 2/15/21¹		155,000		154,268
Series 2014-2A,Cl. D, 2.86%, 7/15/21¹		165,000		165,456
Series 2015-2A,Cl. C, 2.45%, 1/15/21¹		215,000		216,021

				20,258,130

Equipment—0.9%

CLI Funding V LLC:
Series 2014-1A,Cl. A, 3.29%, 6/18/29¹		268,921		271,016
Series 2014-2A,Cl. A, 3.38%, 10/18/29¹		463,250		468,005

Cronos Containers Program I Ltd., Series 2014-2A, Cl. A, 3.27%, 11/18/29¹		412,870		420,471

FRS I LLC, Series 2013-1A, Cl. A1, 1.80%, 4/15/43¹		68,216		67,862

Trip Rail Master Funding LLC, Series 2014-1A, Cl. A1, 2.863%, 4/15/44¹		88,624		89,723

				1,317,077

Home Equity Loan—0.6%

American Credit Acceptance Receivables Trust, Series 2015-2, Cl. B, 2.97%, 5/12/21¹		370,000		372,990

TAL Advantage V LLC:
Series 2014-1A,Cl. A, 3.51%, 2/22/39¹		324,042		325,700
Series 2014-2A,Cl. A1, 1.70%, 5/20/39¹		85,758		85,386

				784,076

Loans: Other—0.3%

Element Rail Leasing I LLC, Series 2014-1A, Cl. A1, 2.299%, 4/19/44¹		358,031		356,513

Total Asset-Backed Securities (Cost $22,573,749)				22,715,796


	Principal Amount		Value

Mortgage-Backed Obligations—48.1%

Government Agency—35.4%

FHLMC/FNMA/FHLB/Sponsored—25.1%

Federal Home Loan Mortgage Corp. Gold Pool:
5.00%, 12/1/34	$	6,046	$	6,726
5.50%, 9/1/39		507,158		562,430
6.00%, 5/1/18-10/1/29		760,730		856,392
6.50%, 4/1/18-4/1/34		190,549		215,314
7.00%, 8/1/16-10/1/37		222,372		250,818
8.00%, 4/1/16		673		677
9.00%, 8/1/22-5/1/25		16,297		18,066

Federal Home Loan Mortgage Corp. Non Gold Pool, 10.50%, 10/1/20		1,452		1,622

Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security:
Series 205,Cl. IO, 51.71%, 9/1/29⁴		8,256		1,732
Series 206,Cl. IO, 19.655%, 12/1/29⁴		131,206		34,315
Series 243,Cl. 6, 20.084%, 12/15/32⁴		93,640		16,385

Federal Home Loan Mortgage Corp., Mtg.-Linked Amortizing Global Debt Securities, Series 2012-1, Cl. A10, 2.06%, 1/15/22		525,932		537,056

Federal Home Loan Mortgage Corp., Principal-Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 0.073%, 6/1/26⁵		45,108		43,254

Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass
Pass-Through Certificates:
Series 151,Cl. F, 9.00%, 5/15/21		4,630		5,128
Series 1674,Cl. Z, 6.75%, 2/15/24		15,237		16,911
Series 2034,Cl. Z, 6.50%, 2/15/28		2,423		2,777
Series 2042,Cl. N, 6.50%, 3/15/28		6,055		6,753
Series 2043,Cl. ZP, 6.50%, 4/15/28		283,139		316,898
Series 2046,Cl. G, 6.50%, 4/15/28		16,646		19,062
Series 2053,Cl. Z, 6.50%, 4/15/28		2,563		2,935
Series 2066,Cl. Z, 6.50%, 6/15/28		306,862		351,399
Series 2195,Cl. LH, 6.50%, 10/15/29		217,358		249,243
Series 2220,Cl. PD, 8.00%, 3/15/30		1,339		1,583
Series 2326,Cl. ZP, 6.50%, 6/15/31		62,727		70,520
Series 2461,Cl. PZ, 6.50%, 6/15/32		267,584		308,273
Series 2470,Cl. LF, 1.207%, 2/15/32³		2,117		2,174
Series 2564,Cl. MP, 5.00%, 2/15/18		84,184		87,405
Series 2585,Cl. HJ, 4.50%, 3/15/18		47,499		49,202
Series 2635,Cl. AG, 3.50%, 5/15/32		40,160		42,195
Series 2707,Cl. QE, 4.50%, 11/15/18		18,458		19,245
Series 2770,Cl. TW, 4.50%, 3/15/19		11,001		11,415
Series 3010,Cl. WB, 4.50%, 7/15/20		27,245		28,610
Series 3025,Cl. SJ, 23.993%, 8/15/35³		22,756		36,902
Series 3030,Cl. FL, 0.607%, 9/15/35³		3,358		3,366
Series 3645,Cl. EH, 3.00%, 12/15/20		96,858		99,546
Series 3741,Cl. PA, 2.15%, 2/15/35		267,243		271,359
Series 3815,Cl. BD, 3.00%, 10/15/20		5,991		6,129
Series 3822,Cl. JA, 5.00%, 6/15/40		9,385		10,033
Series 3840,Cl. CA, 2.00%, 9/15/18		4,445		4,499
Series 3848,Cl. WL, 4.00%, 4/15/40		40,723		43,070
Series 3857,Cl. GL, 3.00%, 5/15/40		8,252		8,602
Series 4221,Cl. HJ, 1.50%, 7/15/23		141,169		141,667

Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security:
Series 2074,Cl. S, 99.999%, 7/17/28⁴		1,802		381
Series 2079,Cl. S, 0.00%, 7/17/28^4,6		3,274		744
Series 2130,Cl. SC, 84.711%, 3/15/29⁴		127,082		26,685
Series 2526,Cl. SE, 58.291%, 6/15/29⁴		3,827		916
Series 2796,Cl. SD, 76.238%, 7/15/26⁴		196,906		41,803
Series 2920,Cl. S, 54.954%, 1/15/35⁴		753,631		149,976
Series 2922,Cl. SE, 38.765%, 2/15/35⁴		89,282		17,435
Series 2981,Cl. AS, 31.241%, 5/15/35⁴		126,502		23,219
Series 3004,Cl. SB, 0.00%, 7/15/35^4,6		36,833		6,026
Series 3201,Cl. SG, 38.458%, 8/15/36⁴		217,194		44,104
Series 3397,Cl. GS, 29.696%, 12/15/37⁴		18,308		3,713
Series 3424,Cl. EI, 27.118%, 4/15/38⁴		18,313		2,569
Series 3450,Cl. BI, 38.406%, 5/15/38⁴		472,077		80,855
Series 3606,Cl. SN, 39.931%, 12/15/39⁴		127,650		23,911


	Principal Amount		Value

FHLMC/FNMA/FHLB/Sponsored (Continued)

Federal National Mortgage Assn.:
3.00%, 10/1/30²	$	5,135,000	$	5,348,437
3.50%, 10/1/45²		3,800,000		3,965,658
4.00%, 10/1/45²		10,440,000		11,138,991
5.00%, 10/1/45²		2,815,000		3,102,547
6.00%, 10/1/45²		160,000		180,922

Federal National Mortgage Assn. Pool:
3.50%, 12/1/20-2/1/22		227,440		240,413
5.00%, 3/1/21-7/1/22		14,283		14,928
5.50%, 2/1/35-5/1/36		201,568		227,201
6.50%, 5/1/17-1/1/34		151,072		156,797
7.00%, 11/1/17-7/1/35		53,670		61,102
7.50%, 1/1/33		5,262		6,408
8.50%, 7/1/32		10,873		11,806

Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security:
Series 221,Cl. 2, 99.999%, 5/25/23⁴		2,884		579
Series 222,Cl. 2, 99.999%, 6/25/23⁴		305,479		54,213
Series 252,Cl. 2, 99.999%, 11/25/23⁴		302,524		63,319
Series 294,Cl. 2, 70.348%, 2/25/28⁴		33,120		6,943
Series 301,Cl. 2, 30.959%, 4/25/29⁴		2,946		622
Series 303,Cl. IO, 45.879%, 11/25/29⁴		59,706		14,757
Series 320,Cl. 2, 44.701%, 4/25/32⁴		220,189		58,647
Series 321,Cl. 2, 28.127%, 4/25/32⁴		605,791		122,930
Series 324,Cl. 2, 25.687%, 7/25/32⁴		6,345		1,310
Series 331,Cl. 5, 16.765%, 2/25/33⁴		8,826		1,703
Series 331,Cl. 9, 33.735%, 2/25/33⁴		192,951		42,738
Series 334,Cl. 12, 4.325%, 3/25/33⁴		14,610		3,293
Series 334,Cl. 17, 41.16%, 2/25/33⁴		125,518		24,757
Series 339,Cl. 12, 11.426%, 6/25/33⁴		207,486		44,804
Series 339,Cl. 7, 1.60%, 11/25/33⁴		438,385		86,217
Series 343,Cl. 13, 12.775%, 9/25/33⁴		207,316		36,832
Series 343,Cl. 18, 11.591%, 5/25/34⁴		52,611		9,703
Series 345,Cl. 9, 0.00%, 1/25/34^4,7		148,272		29,046
Series 351,Cl. 10, 11.087%, 4/25/34⁴		69,494		12,816
Series 351,Cl. 8, 8.744%, 4/25/34⁴		116,367		21,716
Series 356,Cl. 10, 1.563%, 6/25/35⁴		84,822		16,715
Series 356,Cl. 12, 0.00%, 2/25/35^4,7		41,655		7,710
Series 362,Cl. 13, 11.754%, 8/25/35⁴		161,462		28,485
Series 364,Cl. 15, 8.215%, 9/25/35⁴		8,676		1,738
Series 364,Cl. 16, 5.428%, 9/25/35⁴		174,135		30,436
Series 365,Cl. 16, 10.476%, 3/25/36⁴		246,912		47,865

Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates:
Series 1993-87,Cl. Z, 6.50%, 6/25/23		213,660		237,216
Series 1998-58,Cl. PC, 6.50%, 10/25/28		167,497		189,114
Series 1998-61,Cl. PL, 6.00%, 11/25/28		80,769		91,363
Series 1999-54,Cl. LH, 6.50%, 11/25/29		125,153		142,397
Series 2001-44,Cl. QC, 6.00%, 9/25/16		1,465		1,494
Series 2001-51,Cl. OD, 6.50%, 10/25/31		9,922		11,129
Series 2001-74,Cl. QE, 6.00%, 12/25/31		198,498		225,167
Series 2002-12,Cl. PG, 6.00%, 3/25/17		1,115		1,145
Series 2003-100,Cl. PA, 5.00%, 10/25/18		182,314		190,525
Series 2003-28,Cl. KG, 5.50%, 4/25/23		681,833		742,312
Series 2003-84,Cl. GE, 4.50%, 9/25/18		8,581		8,901
Series 2004-101,Cl. BG, 5.00%, 1/25/20		137,525		140,476
Series 2004-25,Cl. PC, 5.50%, 1/25/34		6,773		7,124
Series 2005-73,Cl. DF, 0.444%, 8/25/35³		10,292		10,340
Series 2006-11,Cl. PS, 23.856%, 3/25/36³		113,206		173,969
Series 2006-46,Cl. SW, 23.488%, 6/25/36³		81,755		111,995
Series 2006-50,Cl. KS, 23.489%, 6/25/36³		113,167		178,103
Series 2008-75,Cl. DB, 4.50%, 9/25/23		58,102		60,288
Series 2009-113,Cl. DB, 3.00%, 12/25/20		192,837		197,460
Series 2009-36,Cl. FA, 1.134%, 6/25/37³		100,368		102,991
Series 2009-70,Cl. TL, 4.00%, 8/25/19		86,303		88,711
Series 2010-43,Cl. KG, 3.00%, 1/25/21		53,786		55,278
Series 2011-3,Cl. EL, 3.00%, 5/25/20		318,985		326,673
Series 2011-38,Cl. AH, 2.75%, 5/25/20		5,300		5,409
Series 2011-82,Cl. AD, 4.00%, 8/25/26		104,932		108,583


	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, 38.59%, 11/18/31⁴	$	7,718	$	1,727
Series 2001-63,Cl. SD, 55.531%, 12/18/31⁴		2,767		606
Series 2001-65,Cl. S, 42.234%, 11/25/31⁴		193,653		45,347
Series 2001-68,Cl. SC, 48.061%, 11/25/31⁴		1,782		418
Series 2001-81,Cl. S, 43.816%, 1/25/32⁴		57,761		16,006
Series 2002-28,Cl. SA, 46.426%, 4/25/32⁴		1,764		394
Series 2002-38,Cl. SO, 61.231%, 4/25/32⁴		4,888		1,017
Series 2002-39,Cl. SD, 54.957%, 3/18/32⁴		3,232		794
Series 2002-47,Cl. NS, 45.777%, 4/25/32⁴		175,513		42,710
Series 2002-48,Cl. S, 48.25%, 7/25/32⁴		2,911		720
Series 2002-51,Cl. S, 45.982%, 8/25/32⁴		161,122		39,207
Series 2002-52,Cl. SD, 60.248%, 9/25/32⁴		227,486		56,140
Series 2002-52,Cl. SL, 46.538%, 9/25/32⁴		1,823		444
Series 2002-53,Cl. SK, 59.034%, 4/25/32⁴		11,262		2,822
Series 2002-56,Cl. SN, 48.662%, 7/25/32⁴		3,969		966
Series 2002-60,Cl. SM, 40.913%, 8/25/32⁴		25,863		5,325
Series 2002-7,Cl. SK, 41.949%, 1/25/32⁴		11,713		2,474
Series 2002-77,Cl. BS, 40.693%, 12/18/32⁴		16,123		3,863
Series 2002-77,Cl. IS, 55.36%, 12/18/32⁴		8,328		2,017
Series 2002-77,Cl. SH, 48.416%, 12/18/32⁴		82,950		18,771
Series 2002-84,Cl. SA, 44.921%, 12/25/32⁴		190,808		45,879
Series 2002-9,Cl. MS, 43.771%, 3/25/32⁴		2,984		706
Series 2002-90,Cl. SN, 41.174%, 8/25/32⁴		13,305		2,739
Series 2002-90,Cl. SY, 45.02%, 9/25/32⁴		9,550		1,936
Series 2003-26,Cl. DI, 50.843%, 4/25/33⁴		8,445		2,112
Series 2003-33,Cl. SP, 43.498%, 5/25/33⁴		194,844		46,833
Series 2003-4,Cl. S, 41.617%, 2/25/33⁴		123,782		31,122
Series 2004-54,Cl. DS, 74.767%, 11/25/30⁴		165,958		33,338
Series 2005-12,Cl. SC, 46.699%, 3/25/35⁴		42,868		8,895
Series 2005-14,Cl. SE, 55.298%, 3/25/35⁴		132,489		22,580
Series 2005-40,Cl. SA, 67.639%, 5/25/35⁴		372,076		71,846
Series 2005-40,Cl. SB, 65.754%, 5/25/35⁴		17,160		3,161
Series 2005-52,Cl. JH, 46.81%, 5/25/35⁴		98,175		18,936
Series 2005-93,Cl. SI, 31.694%, 10/25/35⁴		285,255		51,312
Series 2008-55,Cl. SA, 4.662%, 7/25/38⁴		19,436		2,889
Series 2009-8,Cl. BS, 99.999%, 2/25/24⁴		77,592		4,153
Series 2011-96,Cl. SA, 32.783%, 10/25/41⁴		76,365		14,280
Series 2012-134,Cl. SA, 21.134%, 12/25/42⁴		206,135		52,409
Series 2012-40,Cl. PI, 26.516%, 4/25/41⁴		170,717		23,997

Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Principal-Only Stripped Mtg.-Backed Security, Series 1993-184, Cl. M, 0.00%, 9/25/23^5,7		96,151		91,217

				34,589,400

GNMA/Guaranteed—10.3%

Government National Mortgage Assn. I Pool:
7.00%, 12/15/23-3/15/26		8,821		9,605
8.50%, 8/15/17-12/15/17		15,161		15,717

Government National Mortgage Assn. II Pool, 3.50%, 10/1/45²		13,395,000		14,039,111

Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security:
Series 2002-15,Cl. SM, 99.999%, 2/16/32⁴		283,526		56,161
Series 2007-17,Cl. AI, 57.25%, 4/16/37⁴		88,237		18,567
Series 2011-52,Cl. HS, 40.142%, 4/16/41⁴		587,251		117,223

Government National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Series 1999-32, Cl. ZB, 8%, 9/16/29		40,661		48,091

				14,304,475

Non-Agency—12.7%

Commercial—10.5%

Asset Securitization Corp., Interest-Only Stripped Mtg.-Backed Security, Series 1997-D4, Cl. PS1, 60.065%, 4/14/29⁴		1,411,501		36,704


	Principal Amount		Value

Commercial (Continued)

Banc of America Funding Trust:
Series 2006-G,Cl. 2A4, 0.506%, 7/20/36³	$	720,458	$	676,315
Series 2014-R7,Cl. 3A1, 2.651%, 3/26/36^3,8		364,260		372,311

BCAP LLC Trust, Series 2011-R11, Cl. 18A5, 2.23%, 9/26/35^1,3		176,413		178,791

Bear Stearns ARM Trust:
Series 2005-2,Cl. A1, 2.68%, 3/25/35³		230,666		232,180
Series 2005-9,Cl. A1, 2.66%, 10/25/35³		226,809		223,808

Capital Lease Funding Securitization LP, Interest- Only Commercial Mtg. Pass-Through Certificates, Series 1997-CTL1, Cl. IO, 0%, 6/22/24^1,4,7		1,287,132		52,487

Chase Mortgage Finance Trust, Series 2005-A2, Cl. 1A3, 2.435%, 1/25/36³		159,856		150,839

CHL Mortgage Pass-Through Trust, Series 2005-17, Cl. 1A8, 5.50%, 9/25/35		25,369		25,069

Citigroup Commercial Mortgage Trust, Series 2013-GC11, Cl. D, 4.604%, 4/10/46^1,3		160,000		149,349

Citigroup Global Markets Mortgage Securities VII, Inc., Interest-Only Stripped Mtg.-Backed Security, Series 1999-C1, Cl. X, 0%, 5/18/32^4,7		3,123,112		50

Citigroup Mortgage Loan Trust, Inc., Series 2006- AR1, Cl. 1A1, 2.57%, 10/25/35³		646,472		641,554

COMM Mortgage Trust:
Series 2012-CR4,Cl. D, 4.727%, 10/15/45^1,3		50,000		48,576
Series 2012-CR5,Cl. E, 4.48%, 12/10/45^1,3		300,000		286,317
Series 2013-CR7,Cl. D, 4.493%, 3/10/46^1,3		390,000		356,850
Series 2014-CR21,Cl. AM, 3.987%, 12/10/47		710,000		745,113

COMM Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 2012-CR5, Cl. XA, 24.767%, 12/10/45⁴		2,705,503		225,408

Credit Suisse First Boston Mortgage Securities Corp., Series 2005-C6, Cl. AJ, 5.23%, 12/15/40³		410,000		410,261

CSMC:
Series 2006-6,Cl. 1A4, 6.00%, 7/25/36		241,006		189,600
Series 2009-13R,Cl. 4A1, 2.751%, 9/26/36^1,3		45,120		45,378

DBUBS Mortgage Trust, Series 2011-LC1A, Cl. E, 5.735%, 11/10/46^1,3		75,000		81,293

First Horizon Alternative Mortgage Securities Trust:
Series 2004-FA2,Cl. 3A1, 6.00%, 1/25/35		184,098		176,296
Series 2005-FA8,Cl. 1A6, 0.844%, 11/25/35³		207,278		149,059

FREMF Mortgage Trust:
Series 2012-K501,Cl. C, 3.541%, 11/25/46^1,3		35,000		35,296
Series 2013-K25,Cl. C, 3.743%, 11/25/45^1,3		90,000		88,697
Series 2013-K26,Cl. C, 3.723%, 12/25/45^1,3		60,000		58,899
Series 2013-K27,Cl. C, 3.616%, 1/25/46^1,3		95,000		94,289
Series 2013-K28,Cl. C, 3.614%, 6/25/46^1,3		285,000		273,435
Series 2013-K502,Cl. C, 3.297%, 3/25/45^1,3		175,000		177,989
Series 2013-K712,Cl. C, 3.484%, 5/25/45^1,3		75,000		75,301
Series 2013-K713,Cl. C, 3.274%, 4/25/46^1,3		115,000		114,932
Series 2014-K715,Cl. C, 4.264%, 2/25/46^1,3		50,000		51,470
Series 2015-K44,Cl. B, 3.811%, 1/25/48^1,3		315,000		312,827

GSMSC Pass-Through Trust, Series 2009-3R, Cl. 1A2, 6%, 4/25/37^1,3		441,600		413,781

GSR Mortgage Loan Trust, Series 2005-AR4, Cl. 6A1, 2.885%, 7/25/35³		118,528		117,397

JP Morgan Chase Commercial Mortgage Securities Corp., Series 2012-LC9, Cl. E, 4.568%, 12/15/47^1,3		245,000		235,616

JP Morgan Chase Commercial Mortgage Securities Trust:
Series 2006-LDP8,Cl. AJ, 5.48%, 5/15/45³		275,000		282,597
Series 2012-C6,Cl. E, 5.372%, 5/15/45^1,3		325,000		328,199

JP Morgan Mortgage Trust, Series 2007-A1, Cl. 5A1, 2.62%, 7/25/35³		127,825		128,358

JP Morgan Resecuritization Trust:
Series 2009-11,Cl. 5A1, 2.751%, 9/26/36^1,3		171,837		172,144
Series 2009-5,Cl. 1A2, 2.739%, 7/26/36^1,3		405,511		359,621

JPMBB Commercial Mortgage Securities Trust:
Series 2014-C25,Cl. AS, 4.065%, 11/15/47		300,000		316,133
Series 2014-C26,Cl. AS, 3.80%, 1/15/48		145,000		148,937


	Principal Amount		Value

Commercial (Continued)

LB Commercial Conduit Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 1998-C1, Cl. IO, 0%, 2/18/30^4,7	$	396,143	$	5,122

Lehman Structured Securities Corp., Series 2002-GE1, Cl. A, 2.514%, 7/26/24^1,3		59,225		49,883

Morgan Stanley Bank of America Merrill Lynch Trust:
Series 2012-C6,Cl. E, 4.813%, 11/15/45^1,3		400,000		394,470
Series 2013-C7,Cl. D, 4.437%, 2/15/46^1,3		175,000		167,734
Series 2013-C8,Cl. D, 4.309%, 12/15/48^1,3		130,000		123,191
Series 2014-C19,Cl. AS, 3.832%, 12/15/47		595,000		616,915

Morgan Stanley Capital I Trust, Series 2007-IQ13, Cl. AM, 5.406%, 3/15/44		295,000		306,588

Morgan Stanley Re-Remic Trust, Series 2012-R3, Cl. 1B, 1.983%, 11/26/36^1,3		453,557		340,444

Morgan Stanley Resecuritization Trust, Series 2013-R9, Cl. 3A, 2.387%, 6/26/46^1,3		310,153		312,360

RBSSP Resecuritization Trust, Series 2010-1, Cl. 2A1, 2.246%, 7/26/45^1,3		32,275		32,299

Structured Agency Credit Risk Debt Nts.:
Series 2014-DN1,Cl. M2, 2.394%, 2/25/24³		180,000		181,438
Series 2015-DNA2,Cl. M2, 2.794%, 12/25/27³		115,000		116,069

UBS-Barclays Commercial Mortgage Trust, Series 2012-C2, Cl. E, 5.046%, 5/10/63^1,3		65,000		64,837

Wachovia Bank Commercial Mortgage Trust, Series 2005-C22, Cl. AM, 5.52%, 12/15/44³		260,000		260,072

WaMu Mortgage Pass-Through Certificates Trust:
Series 2005-AR14,Cl. 1A4, 2.365%, 12/25/35³		266,725		259,087
Series 2005-AR16,Cl. 1A1, 2.352%, 12/25/35³		119,410		113,540

Wells Fargo Mortgage-Backed Securities Trust:
Series 2005-AR10,Cl. 1A1, 2.695%, 6/25/35³		550,270		563,770
Series 2005-AR15,Cl. 1A6, 2.736%, 9/25/35³		62,605		59,898
Series 2006-AR7,Cl. 2A4, 2.653%, 5/25/36³		9,824		9,390
Series 2006-AR8,Cl. 2A4, 2.705%, 4/25/36³		144,058		141,188
Series 2007-16,Cl. 1A1, 6.00%, 12/28/37		140,190		145,084
Series 2007-AR3,Cl. A4, 5.80%, 4/25/37³		72,963		71,345
Series 2007-AR8,Cl. A1, 2.721%, 11/25/37³		194,811		172,961

WF-RBS Commercial Mortgage Trust:
Series 2012-C10,Cl. D, 4.605%, 12/15/45^1,3		175,000		167,692
Series 2012-C7,Cl. E, 4.994%, 6/15/45^1,3		120,000		118,963
Series 2012-C8,Cl. E, 5.037%, 8/15/45^1,3		355,000		354,945
Series 2013-C11,Cl. D, 4.319%, 3/15/45^1,3		74,000		70,476

				14,459,287

Multi-Family—0.2%

Wells Fargo Mortgage-Backed Securities Trust:
Series 2005-AR15,Cl. 1A2, 2.736%, 9/25/35³		158,047		154,860
Series 2006-AR2,Cl. 2A3, 2.651%, 3/25/36³		137,634		136,222

				291,082

Residential—2.0%

Banc of America Funding Trust:
Series 2007-1,Cl. 1A3, 6.00%, 1/25/37		177,173		163,477
Series 2007-C,Cl. 1A4, 4.921%, 5/20/36³		75,917		71,387

Banc of America Mortgage Trust, Series 2007-1, Cl. 1A24, 6%, 3/25/37		114,436		104,766

Bear Stearns ARM Trust, Series 2006-1, Cl. A1, 2.36%, 2/25/36³		290,692		289,101

Carrington Mortgage Loan Trust, Series 2006-FRE1, Cl. A2, 0.304%, 7/25/36³		102,488		101,212

CHL Mortgage Pass-Through Trust:
Series 2005-26,Cl. 1A8, 5.50%, 11/25/35		137,419		131,678
Series 2005-J4,Cl. A7, 5.50%, 11/25/35		20,224		20,176

HomeBanc Mortgage Trust, Series 2005-3, Cl. A2, 0.504%, 7/25/35³		56,606		52,745

MASTR Asset Backed Securities Trust, Series 2006-WMC3, Cl. A3, 0.294%, 8/25/36³		52,543		23,061

NC Finance Trust, Series 1999-I, Cl. D, 8.75%, 1/25/29^8,9		3,370,016		876,204


	Principal Amount		Value

Residential (Continued)

RALI Trust:
Series 2003-QS1,Cl. A2, 5.75%, 1/25/33	$	14,377	$	14,421
Series 2006-QS13,Cl. 1A8, 6.00%, 9/25/36		1,125		911
Series 2007-QS6,Cl. A28, 5.75%, 4/25/37		13,753		11,203

WaMu Mortgage Pass-Through Certificates Trust, Series 2003-AR10, Cl. A7, 2.464%, 10/25/33³		140,290		143,769

Wells Fargo Mortgage-Backed Securities Trust:
Series 2005-AR4,Cl. 2A2, 2.639%, 4/25/35³		381,456		383,591
Series 2006-AR14,Cl. 1A2, 5.836%, 10/25/36³		158,683		154,741
Series 2006-AR8,Cl. 2A1, 2.705%, 4/25/36³		180,200		176,610

				2,719,053

Total Mortgage-Backed Obligations (Cost $69,632,888)				66,363,297

U.S. Government Obligations—1.2%

Federal National Mortgage Assn. Nts., 1%, 9/27/17		259,000		260,240

United States Treasury Nts., 1.50%, 5/31/19		1,438,000		1,457,623

Total U.S. Government Obligations (Cost $1,702,991)				1,717,863

Corporate Bonds and Notes—52.6%

Consumer Discretionary—7.8%

Auto Components—0.1%

BorgWarner, Inc., 4.375% Sr. Unsec. Nts., 3/15/45		109,000		98,248

Johnson Controls, Inc., 1.40% Sr. Unsec. Nts., 11/2/17		66,000		65,633

				163,881

Automobiles—2.1%

Daimler Finance North America LLC, 8.50% Sr. Unsec. Unsub. Nts., 1/18/31		237,000		337,072

Ford Motor Credit Co. LLC, 3.664% Sr. Unsec. Nts., 9/8/24		796,000		774,308

General Motors Co., 6.25% Sr. Unsec. Nts., 10/2/43		363,000		385,062

General Motors Financial Co., Inc., 3% Sr. Unsec. Nts., 9/25/17		344,000		347,929

Harley-Davidson, Inc., 4.625% Sr. Unsec. Nts., 7/28/45		93,000		93,295

Hyundai Capital America, 1.45% Sr. Unsec. Nts., 2/6/17¹		392,000		391,913

Kia Motors Corp., 3.625% Sr. Unsec. Nts., 6/14/16¹		284,000		287,846

ZF North America Capital, Inc., 4.75% Sr. Unsec. Nts., 4/29/25¹		369,000		338,558

				2,955,983

Hotels, Restaurants & Leisure—0.9%

Brinker International, Inc., 2.60% Sr. Unsec. Nts., 5/15/18		134,000		135,112

Carnival Corp., 1.20% Sr. Unsec. Nts., 2/5/16		386,000		386,444

Hyatt Hotels Corp., 3.875% Sr. Unsec. Unsub. Nts., 8/15/16		65,000		66,363

Marriott International, Inc., 3.25% Sr. Unsec. Nts., 9/15/22		228,000		228,814

Wyndham Worldwide Corp., 6% Sr. Unsec. Nts., 12/1/16		335,000		351,376

				1,168,109


	Principal Amount		Value

Household Durables—0.7%

Lennar Corp.:
4.75% Sr. Unsec. Nts., 11/15/22	$	125,000	$	121,975
4.75% Sr. Unsec. Nts., 5/30/25		245,000		235,200

Toll Brothers Finance Corp., 4.375% Sr. Unsec. Nts., 4/15/23		352,000		347,600

Whirlpool Corp.:
1.35% Sr. Unsec. Nts., 3/1/17		104,000		104,054
1.65% Sr. Unsec. Nts., 11/1/17		85,000		85,307

				894,136

Leisure Equipment & Products—0.3%

Mattel, Inc., 1.70% Sr. Unsec. Nts., 3/15/18		371,000		369,563

Media—2.2%

21st Century Fox America, Inc., 6.15% Sr. Unsec. Nts., 2/15/41		79,000		90,690

CCO Safari II LLC:
4.908% Sr. Sec. Nts., 7/23/25¹		112,000		111,680
6.484% Sr. Sec. Nts., 10/23/45¹		185,000		186,997

Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22		242,000		338,058

Historic TW, Inc.:
8.05% Sr. Unsec. Nts., 1/15/16		64,000		65,262
9.15% Debs., 2/1/23		96,000		126,681

Interpublic Group of Cos., Inc. (The), 4.20% Sr. Unsec. Nts., 4/15/24		191,000		192,221

Lamar Media Corp., 5% Sr. Unsec. Sub. Nts., 5/1/23		373,000		369,270

Pearson Funding Two plc, 4% Sr. Unsec. Nts., 5/17/16¹		85,000		86,511

Scripps Networks Interactive, Inc., 2.70% Sr. Unsec. Nts., 12/15/16		351,000		356,355

Sky plc, 3.75% Sr. Unsec. Nts., 9/16/24¹		187,000		184,744

Thomson Reuters Corp., 1.65% Sr. Unsec. Nts., 9/29/17		366,000		366,005

Time Warner Cable, Inc., 4.50% Sr. Unsec. Unsub. Nts., 9/15/42		126,000		100,021

Viacom, Inc., 2.50% Sr. Unsec. Nts., 12/15/16		155,000		156,789

Virgin Media Secured Finance plc, 5.25% Sr. Sec. Nts., 1/15/26¹		360,000		332,100

				3,063,384

Multiline Retail—0.3%

Dollar Tree, Inc., 5.75% Sr. Sec. Nts., 3/1/23¹		260,000		271,050

Kohl’s Corp., 5.55% Sr. Unsec. Nts., 7/17/45		116,000		114,108

				385,158

Specialty Retail—0.7%

Best Buy Co., Inc., 5.50% Sr. Unsec. Nts., 3/15/21		349,000		366,450

Home Depot, Inc. (The), 4.875% Sr. Unsec. Nts., 2/15/44		142,000		158,064

Ross Stores, Inc., 3.375% Sr. Unsec. Nts., 9/15/24		355,000		353,513

Signet UK Finance plc, 4.70% Sr. Unsec. Nts., 6/15/24		101,000		102,214

				980,241

Textiles, Apparel & Luxury Goods—0.5%

Levi Strauss & Co., 5% Sr. Unsec. Nts., 5/1/25		370,000		364,450

PVH Corp., 4.50% Sr. Unsec. Unsub. Nts., 12/15/22		371,000		360,797

				725,247


	Principal Amount		Value

Consumer Staples—4.4%

Beverages—0.9%

Anheuser-Busch InBev Worldwide, Inc., 8.20% Sr. Unsec. Unsub. Nts., 1/15/39	$	230,000	$	324,264

Constellation Brands, Inc., 4.75% Sr. Unsec. Nts., 11/15/24		350,000		354,375

Pernod Ricard SA:
2.95% Sr. Unsec. Nts., 1/15/17¹		357,000		363,080
4.25% Sr. Unsec. Nts., 7/15/22¹		222,000		230,914

				1,272,633

Food & Staples Retailing—0.8%

CVS Health Corp.:
5.125% Sr. Unsec. Nts., 7/20/45		95,000		102,632
5.30% Sr. Unsec. Nts., 12/5/43		84,000		93,083

Delhaize Group:
5.70% Sr. Unsec. Nts., 10/1/40		215,000		228,275
6.50% Sr. Unsec. Nts., 6/15/17		42,000		45,256

Kroger Co. (The):
6.40% Sr. Unsec. Nts., 8/15/17		330,000		359,551
6.90% Sr. Unsec. Nts., 4/15/38		90,000		113,678

Wal-Mart Stores, Inc., 4.30% Sr. Unsec. Nts., 4/22/44		192,000		196,879

				1,139,354

Food Products—1.8%

Bunge Ltd. Finance Corp.:
3.20% Sr. Unsec. Nts., 6/15/17		300,000		305,706
8.50% Sr. Unsec. Nts., 6/15/19		289,000		345,857

Ingredion, Inc., 1.80% Sr. Unsec. Nts., 9/25/17		374,000		372,994

JM Smucker Co., 1.75% Sr. Unsec. Nts., 3/15/18¹		288,000		288,832

Kraft Foods Group, Inc., 5% Sr. Unsec. Nts., 6/4/42		85,000		87,555

Kraft Heinz Foods Co.:
3.95% Sr. Unsec. Nts., 7/15/25^1,2		186,000		190,768
5.20% Sr. Unsec. Nts., 7/15/45^1,2		42,000		44,677

TreeHouse Foods, Inc., 4.875% Sr. Unsec. Nts., 3/15/22		365,000		349,488

Tyson Foods, Inc.:
4.875% Sr. Unsec. Nts., 8/15/34		118,000		120,672
6.60% Sr. Unsec. Nts., 4/1/16		341,000		350,402

				2,456,951

Tobacco—0.9%

Altria Group, Inc., 10.20% Sr. Unsec. Nts., 2/6/39		202,000		327,607

Imperial Tobacco Finance plc, 2.05% Sr. Unsec. Nts., 7/20/18¹		357,000		357,058

Reynolds American, Inc.:
5.85% Sr. Unsec. Nts., 8/15/45		162,000		180,954
6.75% Sr. Unsec. Nts., 6/15/17		325,000		351,969

				1,217,588

Energy—4.8%

Energy Equipment & Services—0.7%

Halliburton Co., 4.75% Sr. Unsec. Nts., 8/1/43		86,000		85,638

Helmerich & Payne International Drilling Co., 4.65% Sr. Unsec. Nts., 3/15/25		146,000		145,675

Nabors Industries, Inc., 2.35% Sr. Unsec. Nts., 9/15/16		294,000		290,552

Sinopec Group Overseas Development 2014 Ltd., 1.75% Sr. Unsec. Nts., 4/10/17¹		369,000		369,181

Weatherford International Ltd., 5.95% Sr. Unsec. Nts., 4/15/42		81,000		58,476

				949,522


	Principal Amount		Value

Oil, Gas & Consumable Fuels—4.1%

Anadarko Petroleum Corp., 6.20% Sr. Unsec. Nts., 3/15/40	$	203,000	$	215,564

Apache Corp., 4.75% Sr. Unsec. Nts., 4/15/43		107,000		96,959

Boardwalk Pipelines LP, 4.95% Sr. Unsec. Nts., 12/15/24		201,000		186,586

Buckeye Partners LP, 6.05% Sr. Unsec. Nts., 1/15/18		164,000		173,093

Canadian Natural Resources Ltd.:
1.75% Sr. Unsec. Nts., 1/15/18		142,000		140,451
5.90% Sr. Unsec. Nts., 2/1/18		160,000		172,405

Cenovus Energy, Inc., 5.20% Sr. Unsec. Nts., 9/15/43		102,000		89,343

Cimarex Energy Co., 4.375% Sr. Unsec. Nts., 6/1/24		195,000		190,266

CNOOC Nexen Finance 2014 ULC, 1.625% Sr. Unsec. Nts., 4/30/17		373,000		372,585

Columbia Pipeline Group, Inc., 4.50% Sr. Unsec. Nts., 6/1/25¹		195,000		189,732

DCP Midstream LLC, 5.375% Sr. Unsec. Nts., 10/15/15¹		290,000		290,298

Devon Energy Corp., 4.75% Sr. Unsec. Nts., 5/15/42		162,000		143,805

EnLink Midstream Partners LP, 2.70% Sr. Unsec. Nts., 4/1/19		299,000		295,758

Enterprise Products Operating LLC:
4.85% Sr. Unsec. Nts., 8/15/42		105,000		92,883
4.90% Sr. Unsec. Nts., 5/15/46		37,000		33,352

Husky Energy, Inc., 6.20% Sr. Unsec. Nts., 9/15/17		207,000		221,063

Kinder Morgan Energy Partners LP, 4.10% Sr. Unsec. Nts., 11/15/15		152,000		152,435

Kinder Morgan, Inc., 5% Sr. Unsec. Nts., 2/15/21¹		271,000		276,057

MarkWest Energy Partners LP/MarkWest Energy Finance Corp., 4.875% Sr. Unsec. Nts., 6/1/25		187,000		172,470

Origin Energy Finance Ltd.:
3.50% Sr. Unsec. Nts., 10/9/18¹		394,000		383,070
5.45% Sr. Unsec. Nts., 10/14/21¹		245,000		238,899

Phillips 66 Partners LP, 3.605% Sr. Unsec. Nts., 2/15/25		75,000		68,144

Pioneer Natural Resources Co., 6.65% Sr. Unsec. Nts., 3/15/17		331,000		350,664

Regency Energy Partners LP/Regency Energy Finance Corp., 5% Sr. Unsec. Nts., 10/1/22		245,000		239,627

Southwestern Energy Co., 4.95% Sr. Unsec. Nts., 1/23/25		208,000		185,445

Spectra Energy Partners LP, 4.60% Sr. Unsec. Nts., 6/15/21		238,000		251,486

Western Gas Partners LP, 4% Sr. Unsec. Nts., 7/1/22		239,000		231,666

Woodside Finance Ltd., 4.60% Sr. Unsec. Unsub. Nts., 5/10/21¹		284,000		295,725

				5,749,831

Financials—14.5%

Capital Markets—3.7%

Apollo Management Holdings LP, 4% Sr. Unsec. Nts., 5/30/24¹		277,000		279,676

Blackstone Holdings Finance Co. LLC, 5% Sr. Unsec. Nts., 6/15/44¹		382,000		390,727

Credit Suisse, New York, 3.625% Sr. Unsec. Nts., 9/9/24		421,000		422,346

Deutsche Bank AG, 4.50% Sub. Nts., 4/1/25		380,000		369,021


	Principal Amount		Value

Capital Markets (Continued)

Goldman Sachs Group, Inc. (The):
5.15% Sub. Nts., 5/22/45	$	262,000	$	258,279
5.70% Jr. Sub. Perpetual Bonds, Series L^3,10		381,000		380,048

KKR Group Finance Co. III LLC, 5.125% Sr. Unsec. Nts., 6/1/44¹		305,000		298,174

Lazard Group LLC, 4.25% Sr. Unsec. Nts., 11/14/20		337,000		357,404

Morgan Stanley:
4.30% Sr. Unsec. Nts., 1/27/45		217,000		206,861
5.00% Sub. Nts., 11/24/25		332,000		353,845
5.45% Jr. Sub. Perpetual Bonds, Series H^3,10		366,000		360,766

Nomura Holdings, Inc., 2% Sr. Unsec. Nts., 9/13/16		373,000		374,941

Raymond James Financial, Inc., 5.625% Sr. Unsec. Unsub. Nts., 4/1/24		417,000		472,456

UBS Preferred Funding Trust V, 6.243% Jr. Sub. Perpetual Bonds, Series 1^3,10		556,000		565,619

				5,090,163

Commercial Banks—5.2%

ABN AMRO Bank NV, 4.75% Sub. Nts., 7/28/25¹		360,000		358,148

Bank of America Corp., 7.75% Jr. Sub. Nts., 5/14/38		354,000		488,444

Barclays plc, 3.65% Sr. Unsec. Nts., 3/16/25		303,000		289,813

BNP Paribas SA, 4.375% Sub. Nts., 9/28/25¹		354,000		345,967

Citigroup, Inc.:
4.65% Sr. Unsec. Nts., 7/30/45		290,000		290,165
5.95% Jr. Sub. Perpetual Bonds, Series D^3,10		368,000		357,420

Citizens Financial Group, Inc., 5.50% Jr. Sub. Perpetual Bonds^1,^3,10		371,000		362,652

Cooperatieve Centrale Raiffeisen-Boerenleenbank BA (Netherlands), 4.375% Sub. Nts., 8/4/25		260,000		260,812

Credit Agricole SA, 8.375% Jr. Sub. Perpetual Bonds^3,8,10		320,000		364,864

FirstMerit Bank NA, 4.27% Sub. Nts., 11/25/26		362,000		373,958

HSBC Finance Capital Trust IX, 5.911% Unsec. Sub. Nts., 11/30/35³		890,000		890,000

JPMorgan Chase & Co., 6.75% Jr. Sub. Perpetual Bonds, Series S^3,10		264,000		275,220

Lloyds Banking Group plc, 6.657% Jr. Sub. Perpetual Bonds^3,8,10		334,000		374,497

Regions Bank, Birmingham AL:
2.25% Sr. Unsec. Nts., 9/14/18		287,000		288,369
6.45% Sub. Nts., 6/26/37		283,000		343,904

Regions Financial Corp., 7.375% Sub. Nts., 12/10/37		4,000		5,073

Royal Bank of Scotland Group plc, 7.64% Jr. Sub. Perpetual Bonds, Series U^3,10		300,000		321,000

Societe Generale SA, 5.922% Jr. Sub. Perpetual Bonds^1,3,10		370,000		375,550

SunTrust Banks, Inc.:
3.60% Sr. Unsec. Nts., 4/15/16		325,000		329,066
5.625% Jr. Sub. Perpetual Bonds^3,10		345,000		345,863

Wells Fargo & Co., 5.875% Jr. Sub. Perpetual Bonds^3,10		137,000		140,425

				7,181,210

Consumer Finance—1.1%

Ally Financial, Inc., 8% Sr. Unsec. Nts., 11/1/31		283,000		328,900

Capital One Financial Corp.:
3.20% Sr. Unsec. Nts., 2/5/25		302,000		288,435
5.55% Jr. Sub. Perpetual Bonds^3,10		369,000		365,310


	Principal Amount		Value

Consumer Finance (Continued)

Discover Financial Services:
3.75% Sr. Unsec. Nts., 3/4/25	$	301,000	$	292,195
3.95% Sr. Unsec. Nts., 11/6/24		280,000		276,196

				1,551,036

Diversified Financial Services—0.7%

McGraw Hill Financial, Inc., 2.50% Sr. Unsec. Nts., 8/15/18¹		90,000		90,751

Nationwide Building Society, 3.90% Sr. Unsec. Nts., 7/21/25¹		356,000		364,493

Peachtree Corners Funding Trust, 3.976% Sr. Unsec. Nts., 2/15/25¹		189,000		190,790

Voya Financial, Inc., 5.65% Jr. Sub. Nts., 5/15/53³		355,000		359,615

				1,005,649

Insurance—1.5%

AXIS Specialty Finance plc, 5.15% Sr. Unsec. Nts., 4/1/45		308,000		318,896

Five Corners Funding Trust, 4.419% Unsec. Nts., 11/15/23¹		310,000		324,904

Liberty Mutual Group, Inc., 4.25% Sr. Unsec. Nts., 6/15/23¹		276,000		286,013

MetLife, Inc., 5.25% Jr. Sub. Perpetual Bonds^3,10		258,000		256,710

Prudential Financial, Inc., 5.20% Jr. Sub. Nts., 3/15/44³		300,000		295,875

TIAA Asset Management Finance Co. LLC, 4.125% Sr. Unsec. Nts., 11/1/24¹		371,000		379,051

XLIT Ltd., 6.50% Jr. Sub. Perpetual Bonds^3,10		212,000		168,858

				2,030,307

Real Estate Investment Trusts (REITs)—2.0%

American Tower Corp.:
5.05% Sr. Unsec. Unsub. Nts., 9/1/20		149,000		163,038
5.90% Sr. Unsec. Nts., 11/1/21		200,000		226,736

Corrections Corp. of America, 4.625% Sr. Unsec. Nts., 5/1/23		370,000		357,050

First Industrial LP, 7.50% Sr. Unsec. Nts., 12/1/17		320,000		353,239

HCP, Inc., 5.625% Sr. Unsec. Nts., 5/1/17		107,000		113,517

Highwoods Realty LP, 7.50% Sr. Unsec. Nts., 4/15/18		320,000		360,695

Host Hotels & Resorts LP, 3.75% Sr. Unsec. Nts., 10/15/23		212,000		207,933

Liberty Property LP, 5.50% Sr. Unsec. Nts., 12/15/16		228,000		238,710

Prologis LP, 4% Sr. Unsec. Nts., 1/15/18		189,000		197,555

Regency Centers LP, 5.875% Sr. Unsec. Nts., 6/15/17		41,000		43,748

Ventas Realty LP, 1.25% Sr. Unsec. Nts., 4/17/17		151,000		150,371

WEA Finance LLC/Westfield UK & Europe Finance plc, 1.75% Sr. Unsec. Nts., 9/15/17¹		318,000		316,031

Welltower, Inc., 2.25% Sr. Unsec. Nts., 3/15/18		75,000		75,423

				2,804,046

Real Estate Management & Development—0.3%

Brookfield Asset Management, Inc., 4% Sr. Unsec. Nts., 1/15/25		395,000		394,100

Health Care—3.9%

Biotechnology—0.2%

Biogen, Inc., 5.20% Sr. Unsec. Nts., 9/15/45		100,000		101,343


	Principal Amount		Value

Biotechnology (Continued)

Celgene Corp.:
3.875% Sr. Unsec. Nts., 8/15/25	$	180,000	$	180,478
5.00% Sr. Unsec. Nts., 8/15/45		49,000		48,818

				330,639

Health Care Equipment & Supplies—0.8%

Becton Dickinson & Co.:
1.45% Sr. Unsec. Nts., 5/15/17		384,000		383,449
3.875% Sr. Unsec. Nts., 5/15/24		188,000		194,050

DENTSPLY International, Inc., 2.75% Sr. Unsec. Nts., 8/15/16		352,000		356,570

Zimmer Biomet Holdings, Inc., 3.55% Sr. Unsec. Nts., 4/1/25		111,000		108,956

				1,043,025

Health Care Providers & Services—1.5%

Cardinal Health, Inc., 3.50% Sr. Unsec. Nts., 11/15/24		180,000		180,338

CHS/Community Health Systems, Inc., 5.125% Sr. Sec. Nts., 8/1/21		355,000		362,100

Fresenius Medical Care US Finance II, Inc., 5.875% Sr. Unsec. Nts., 1/31/22¹		350,000		377,125

Laboratory Corp. of America Holdings, 3.60% Sr. Unsec. Nts., 2/1/25		534,000		518,173

LifePoint Health, Inc., 5.50% Sr. Unsec. Nts., 12/1/21		350,000		353,938

McKesson Corp., 4.883% Sr. Unsec. Nts., 3/15/44		155,000		156,545

Medco Health Solutions, Inc., 7.125% Sr. Unsec. Nts., 3/15/18²		156,000		175,149

				2,123,368

Life Sciences Tools & Services—0.2%

Life Technologies Corp., 3.50% Sr. Unsec. Nts., 1/15/16		23,000		23,151

Thermo Fisher Scientific, Inc.:
4.15% Sr. Unsec. Nts., 2/1/24		121,000		125,588
5.30% Sr. Unsec. Nts., 2/1/44		45,000		47,550

				196,289

Pharmaceuticals—1.2%

AbbVie, Inc.:
3.60% Sr. Unsec. Nts., 5/14/25		184,000		182,105
4.70% Sr. Unsec. Nts., 5/14/45		74,000		72,123

Actavis Funding SCS:
3.80% Sr. Unsec. Nts., 3/15/25		322,000		312,121
4.75% Sr. Unsec. Nts., 3/15/45		158,000		144,081

Hospira, Inc.:
5.20% Sr. Unsec. Nts., 8/12/20		373,000		422,550
6.05% Sr. Unsec. Nts., 3/30/17		150,000		160,218

Mallinckrodt International Finance SA, 3.50% Sr. Unsec. Nts., 4/15/18		386,000		376,350

				1,669,548

Industrials—4.3%

Aerospace & Defense—0.3%

L-3 Communications Corp.:
1.50% Sr. Unsec. Nts., 5/28/17		100,000		99,126
3.95% Sr. Unsec. Nts., 11/15/16		127,000		130,246

Northrop Grumman Corp., 4.75% Sr. Unsec. Nts., 6/1/43		100,000		103,634

Textron, Inc., 3.875% Sr. Unsec. Nts., 3/1/25		111,000		111,559

				444,565



	Principal Amount		Value

Building Products—0.3%

Owens Corning, 4.20% Sr. Unsec. Nts., 12/15/22	$	422,000	$	428,316


Commercial Services & Supplies—0.3%

Pitney Bowes, Inc., 4.625% Sr. Unsec. Nts., 3/15/24		431,000		435,286


Electrical Equipment—0.2%

Sensata Technologies BV, 4.875% Sr. Unsec. Nts., 10/15/23¹		294,000		281,873


Industrial Conglomerates—0.9%

General Electric Capital Corp., 6.25% Jr. Sub. Perpetual Bonds, Series B^3,10		776,000		842,930

Synchrony Financial:
4.25% Sr. Unsec. Nts., 8/15/24		109,000		108,835
4.50% Sr. Unsec. Nts., 7/23/25		262,000		264,668

				1,216,433


Machinery—0.5%

Crane Co., 4.45% Sr. Unsec. Nts., 12/15/23		193,000		202,625

Ingersoll-Rand Global Holding Co. Ltd., 4.25% Sr. Unsec. Nts., 6/15/23		130,000		134,933

Joy Global, Inc., 6% Sr. Unsec. Nts., 11/15/16		62,000		63,876

Starwood Hotels & Resorts Worldwide, Inc., 7.375% Sr. Unsec. Nts., 11/15/15		323,000		325,250

				726,684


Marine—0.2%

AP Moeller-Maersk, 3.875% Unsec. Nts., 9/28/25¹		192,000		190,598


Professional Services—0.3%

Experian Finance plc, 2.375% Sr. Unsec. Nts., 6/15/17¹		361,000		363,430


Road & Rail—0.8%

Canadian Pacific Railway Co., 4.80% Sr. Unsec. Nts., 9/15/35		68,000		69,976

ERAC USA Finance LLC, 4.50% Sr. Unsec. Nts., 2/15/45¹		110,000		102,188

Kansas City Southern de Mexico SA de CV, 3% Sr. Unsec. Nts., 5/15/23		315,000		305,390

Penske Truck Leasing Co. LP/PTL Finance Corp.:
2.50% Sr. Unsec. Nts., 3/15/16¹		368,000		370,288
4.25% Sr. Unsec. Nts., 1/17/23¹		230,000		234,974

				1,082,816


Trading Companies & Distributors—0.5%

Air Lease Corp., 3.875% Sr. Unsec. Nts., 4/1/21		383,000		388,745

International Lease Finance Corp., 5.875% Sr. Unsec. Nts., 8/15/22		323,000		344,802

				733,547


Information Technology—3.4%

Communications Equipment—0.1%

Motorola Solutions, Inc., 3.50% Sr. Unsec. Nts., 3/1/23		259,000		233,863


Electronic Equipment, Instruments, & Components—0.7%

Arrow Electronics, Inc., 5.125% Sr. Unsec. Unsub. Nts., 3/1/21		407,000		447,061

Avnet, Inc., 4.875% Sr. Unsec. Unsub. Nts., 12/1/22		280,000		292,519



	Principal Amount		Value

Electronic Equipment, Instruments, & Components (Continued)

Flextronics International Ltd., 4.75% Sr. Unsec. Nts., 6/15/25¹	$	290,000	$	281,654

				1,021,234


Internet Software & Services—0.3%

VeriSign, Inc., 5.25% Sr. Unsec. Nts., 4/1/25		375,000		373,125


IT Services—0.5%

Fidelity National Information Services, Inc.:
1.45% Sr. Unsec. Nts., 6/5/17		297,000		294,658
3.50% Sr. Unsec. Nts., 4/15/23		207,000		197,051

Xerox Corp.:
2.95% Sr. Unsec. Nts., 3/15/17		130,000		132,268
6.75% Sr. Unsec. Nts., 2/1/17		65,000		69,214

				693,191


Semiconductors & Semiconductor Equipment—0.1%

Intel Corp., 4.90% Sr. Unsec. Nts., 7/29/45		93,000		96,523


Software—0.7%

Autodesk, Inc.:
1.95% Sr. Unsec. Nts., 12/15/17		279,000		280,829
4.375% Sr. Unsec. Nts., 6/15/25		110,000		110,557

Open Text Corp., 5.625% Sr. Unsec. Nts., 1/15/23¹		349,000		347,037

Oracle Corp., 3.40% Sr. Unsec. Nts., 7/8/24		269,000		273,358

				1,011,781


Technology Hardware, Storage & Peripherals—1.0%

Apple, Inc., 4.375% Sr. Unsec. Nts., 5/13/45		198,000		195,670

Hewlett Packard Enterprise Co.:
2.45% Sr. Unsec. Nts., 10/5/17^1,2		472,000		471,736
6.20% Sr. Unsec. Nts., 10/15/35^1,2		146,000		145,915
6.35% Sr. Unsec. Nts., 10/15/45^1,2		159,000		158,892

Hewlett-Packard Co., 2.65% Sr. Unsec. Unsub. Nts., 6/1/16		367,000		372,428

				1,344,641


Materials—3.0%

Chemicals—1.3%

Agrium, Inc.:
3.375% Sr. Unsec. Nts., 3/15/25		151,000		143,303
4.125% Sr. Unsec. Nts., 3/15/35		75,000		66,470

Eastman Chemical Co.:
3.00% Sr. Unsec. Nts., 12/15/15		182,000		182,740
4.65% Sr. Unsec. Nts., 10/15/44		92,000		84,449

LYB International Finance BV, 5.25% Sr. Unsec. Nts., 7/15/43		123,000		122,929

Methanex Corp., 4.25% Sr. Unsec. Nts., 12/1/24		215,000		207,478

Rockwood Specialties Group, Inc., 4.625% Sr. Unsec. Nts., 10/15/20		380,000		393,437

RPM International, Inc., 3.45% Sr. Unsec. Unsub. Nts., 11/15/22		325,000		316,960

Valspar Corp. (The):
3.30% Sr. Unsec. Nts., 2/1/25		103,000		99,380
3.95% Sr. Unsec. Nts., 1/15/26		152,000		155,584

				1,772,730


Construction Materials—0.4%

CRH America, Inc., 5.125% Sr. Unsec. Nts., 5/18/45¹		245,000		244,498

James Hardie International Finance Ltd., 5.875% Sr. Unsec. Nts., 2/15/23¹		364,000		370,370

				614,868


	Principal Amount		Value

Containers & Packaging—0.6%

Ball Corp., 4% Sr. Unsec. Nts., 11/15/23	$	370,000	$	349,650

Packaging Corp. of America:
3.65% Sr. Unsec. Nts., 9/15/24		94,000		93,426
4.50% Sr. Unsec. Nts., 11/1/23		300,000		313,891

				756,967


Metals & Mining—0.6%

Carpenter Technology Corp., 4.45% Sr. Unsec. Unsub. Nts., 3/1/23		145,000		142,491

Freeport-McMoRan, Inc., 3.875% Sr. Unsec. Nts., 3/15/23		122,000		91,347

Glencore Finance Canada Ltd., 3.60% Sr. Unsec. Nts., 1/15/17¹		302,000		280,775

Glencore Funding LLC, 4.625% Sr. Unsec. Nts., 4/29/24¹		65,000		50,050

Goldcorp, Inc., 5.45% Sr. Unsec. Nts., 6/9/44		101,000		93,862

Yamana Gold, Inc., 4.95% Sr. Unsec. Nts., 7/15/24		193,000		172,814

				831,339


Paper & Forest Products—0.1%

International Paper Co., 4.80% Sr. Unsec. Nts., 6/15/44		153,000		141,843


Telecommunication Services—2.7%

Diversified Telecommunication Services—2.7%

AT&T, Inc., 4.35% Sr. Unsec. Nts., 6/15/45		543,000		466,037

British Telecommunications plc, 9.625% Sr. Unsec. Nts., 12/15/30		247,000		369,360

CenturyLink, Inc., 6.45% Sr. Unsec. Nts., 6/15/21		346,000		320,050

Deutsche Telekom International Finance BV, 5.75% Sr. Unsec. Nts., 3/23/16		349,000		357,009

DIRECTV Holdings LLC/DIRECTV Financing Co., Inc., 5.15% Sr. Unsec. Nts., 3/15/42		55,000		51,891

Frontier Communications Corp.:
7.625% Sr. Unsec. Nts., 4/15/24		345,000		289,800
10.50% Sr. Unsec. Nts., 9/15/22¹		45,000		43,875

Orange SA, 2.75% Sr. Unsec. Nts., 9/14/16		97,000		98,541

Telecom Italia Capital SA, 7.721% Sr. Unsec. Unsub. Nts., 6/4/38		230,000		250,700

Telefonica Emisiones SAU:
3.192% Sr. Unsec. Nts., 4/27/18		347,000		355,104
7.045% Sr. Unsec. Unsub. Nts., 6/20/36		142,000		167,083

Verizon Communications, Inc.:
3.50% Sr. Unsec. Nts., 11/1/24		163,000		161,001
4.50% Sr. Unsec. Nts., 9/15/20		448,000		485,101
4.522% Sr. Unsec. Nts., 9/15/48		252,000		222,476
5.012% Sr. Unsec. Nts., 8/21/54		50,000		45,918

				3,683,946


Utilities—3.8%

Electric Utilities—2.3%

AEP Texas Central Co., 3.85% Sr. Unsec. Nts., 10/1/25¹		177,000		179,465

American Transmission Systems, Inc., 5% Sr. Unsec. Nts., 9/1/44¹		99,000		101,899

EDP Finance BV, 5.25% Sr. Unsec. Nts., 1/14/21¹		330,000		349,084

Enel Finance International NV, 6.25% Sr. Unsec. Nts., 9/15/17¹		333,000		361,074

Exelon Corp., 3.95% Sr. Unsec. Nts., 6/15/25		359,000		363,207

ITC Holdings Corp., 5.30% Sr. Unsec. Nts., 7/1/43		78,000		83,228

NextEra Energy Capital Holdings, Inc., 1.586% Sr. Unsec. Nts., 6/1/17		369,000		369,273


	Principal Amount		Value

Electric Utilities (Continued)

Pennsylvania Electric Co., 5.20% Sr. Unsec. Nts., 4/1/20	$	73,000	$	79,626

PPL Capital Funding, Inc.:
3.50% Sr. Unsec. Unsub. Nts., 12/1/22		204,000		206,750
4.20% Sr. Sec. Nts., 6/15/22		54,000		56,852

PPL WEM Ltd./Western Power Distribution Ltd., 5.375% Sr. Unsec. Unsub. Nts., 5/1/21¹		429,000		477,993

Public Service Co. of New Mexico, 7.95% Sr. Unsec. Nts., 5/15/18		307,000		349,273

Trans-Allegheny Interstate Line Co., 3.85% Sr. Unsec. Nts., 6/1/25¹		231,000		232,599

				3,210,323


Independent Power and Renewable Electricity Producers—0.4%

Dayton Power & Light Co. (The), 1.875% Sec. Nts., 9/15/16		272,000		272,235

NRG Yield Operating LLC, 5.375% Sr. Unsec. Nts., 8/15/24		349,000		307,992

				580,227


Multi-Utilities—1.1%

CenterPoint Energy, Inc., 5.95% Sr. Unsec. Nts., 2/1/17		327,000		346,056

CMS Energy Corp.:
3.875% Sr. Unsec. Nts., 3/1/24		202,000		207,322
5.05% Sr. Unsec. Unsub. Nts., 3/15/22		286,000		314,770

Consolidated Edison Co. of New York, Inc., 4.625% Sr. Unsec. Nts., 12/1/54		84,000		85,007

Dominion Gas Holdings LLC, 4.60% Sr. Unsec. Nts., 12/15/44		141,000		134,588

NiSource Finance Corp., 4.80% Sr. Unsec. Nts., 2/15/44		148,000		153,768

Puget Energy, Inc., 3.65% Sr. Sec. Nts., 5/15/25¹		183,000		181,036

				1,422,547

Total Corporate Bonds and Notes (Cost $72,606,197)				72,603,657

	Shares

Investment Company—8.5%

Oppenheimer Institutional Money Market Fund, Cl. E, 0.18%^11,12 (Cost $11,678,868)		11,678,868		11,678,868


Total Investments, at Value (Cost $178,194,693)		126.9%		175,079,481

Net Other Assets (Liabilities)		(26.9)		(37,141,363)

Net Assets		100.0%	$	137,938,118

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 $38,299,106 or 27.77% of the Fund’s net assets at period end.

2. All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after period end. See Note 4 of the accompanying Notes.

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 $2,437,276 or 1.77% of the Fund’s net assets at period end.

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 $134,471 or 0.10% of the Fund’s net assets at period end.

7. The current amortization rate of the security’s cost basis exceeds the future interest payments currently estimated to be received. Both the amortization rate and interest payments are contingent on future mortgage pre-payment speeds and are therefore subject to change.

8. Restricted security. The aggregate value of restricted securities at period end was $1,987,876, which represents 1.44% of the Fund’s net assets. See Note 4 of the accompanying Notes.

9. This security is not accruing income because the issuer has missed an interest payment on it and/or is not anticipated to make future interest and or principal payments. The rate shown is the contractual interest rate. See Note 4 of the accompanying Notes.

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

12. Is or was an affiliate, as defined in the Investment Company Act of 1940, as amended, at or during the reporting period, 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 reporting 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.