Oppenheimer Variable Account Funds

Performance data quoted represents past performance, which does not guarantee future results. The investment return and principal value of an investment in the Fund will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted. For performance data current to the most recent month end, call us at 1.800.988.8287. The Fund’s total returns should not be expected to be the same as the returns of other funds, whether or not both funds have the same portfolio managers and/or similar names. The Fund’s total returns include changes in share price and reinvested distributions but do not include the charges associated with the separate account products that offer this Fund. Such performance would have been lower if such charges were taken into account. Returns for periods of less than one year are cumulative and not annualized. See Fund prospectuses and summary prospectuses for more information on share classes and sales charges.

The Fund’s performance is compared to the performance of the Russell Midcap Growth Index. The Russell Midcap Growth Index measures the performance of the mid-cap growth segment of the U.S. equity universe. It includes those Russell Midcap Index companies with higher price-to-book ratios and higher forecasted growth values. The Index is unmanaged and cannot be purchased directly by investors. While index comparisons may be useful to provide a benchmark for the Fund’s performance, it must be noted that the Fund’s investments are not limited to the investments comprising the Index. Index performance includes reinvestment of income, but does not reflect transaction costs, fees, expenses or taxes. Index performance is shown for illustrative purposes only as a benchmark for the Fund’s performance, and does not predict or depict performance of the Fund. The Fund’s performance reflects the effects of the Fund’s business and operating expenses.

The Fund’s Non-Service shares produced a return of 6.19% during the reporting period, outperforming the Russell Midcap Growth Index’s (the “Index”) return of 5.40%. Our focus on seeking well-established, higher-quality growth companies is designed to provide investors with both upside participation and a degree of downside protection.

The Fund’s outperformance versus the Index was driven by stronger relative stock selection in the Health Care sector. Stock selection in the Financial, Consumer Staples, and Industrials sectors also benefited the Fund’s performance versus the Index. The Fund underperformed the Index mainly in the Energy and Information Technology sectors due to stock selection and an underweight position, respectively.

After a mixed first quarter of 2018, U.S. stock indices had a generally strong second quarter, helping to drive positive returns for both the Fund and Index this six-month reporting period. Equity markets in the U.S. continued to advance as a result of positive earnings and economic data, which more than offset concerns and possible impact of tariff wars with China. Given this backdrop, small-cap stocks experienced particularly strong performance as investors sought companies more exposed to the U.S. economy versus larger-cap multi-nationals more exposed to global trade and whose foreign revenue is negatively impacted by a rising U.S. dollar. In addition, growth investing continued to outperform value this reporting period.

Top performing stocks for the Fund this reporting period included Abiomed, Inc., Align Technology, Inc., and PTC Inc.

Abiomed is a manufacturer of medical devices used to support heart function during cardiac procedures. During the reporting period, the company reported fiscal fourth quarter 2018 results that were well above consensus. Revenue grew 40% year-over-year, and the company has a variety of opportunities to continue this strong rate of growth.

Align Technology designs and manufactures a system of clear aligner therapies for treating the misalignment of teeth. The company’s first quarter 2018 results significantly exceeded expectations and positive momentum in the business led management to raise its revenue long-term growth guidance.

PTC is a global software company that reported strong first quarter earnings, with an increase in revenue that beat analysts’ expectations. This was one of the largest holdings in the Fund at the end of the period.

Detractors from performance this reporting period included Owens Corning, D.R. Horton, Inc. and Exelixis, Inc.

Owens Corning is a global producer of residential and commercial building materials, glass-fiber reinforcements and engineered materials for composite systems. The company reported softer than expected results, driven largely by higher costs that impacted operating margins. We exited our position.

D.R. Horton is a national homebuilder that engages in the construction of single-family housing. The decline in performance this reporting period was fueled by concerns surrounding increased labor and materials costs, as well as the impact of rising rates on mortgages making homes less affordable, which would decrease demand. We reduced our position during the period.

Exelixis is a biopharmaceutical company that specializes in the development of new medicines for the treatment of cancer. The company’s primary approved drug saw a slowdown in growth during the period. In addition, now clinical data about one of their drugs in development was disappointing. As a result, we exited our position.

Our long-term investment process remains the same. We seek dynamic companies with above-average and sustainable revenue and earnings growth that we believe are positioned to outperform. This includes leading firms in structurally attractive industries with committed management teams that have proven records of performance.

Looking forward, we expect the U.S. economy to expand at a rate of 2.7%-3.0% in 2018, faster than the trajectory of the last several years. Most important drivers of this anticipated improvement are fiscal stimulus in the form of both tax cuts and spending increases. Although interest rates remain very low in a historical context, the Federal Reserve will likely continue to normalize monetary policy by raising short term rates. Meanwhile, corporate profits are growing at a robust pace and cash flows are generally being directed to capital expenditures, dividends, buybacks, and acquisitions. Equity valuations remain high, but have moderated due to favorable earnings revisions and the recent market correction.

Market volatility has increased from unusually low levels, partly due to political and policy turmoil in Washington D.C. Technology-driven disruption remains abundant across the economy and is at the forefront of our fundamental research. Our opportunity set remains compelling and that stock selection can continue to drive our relative performance. We believe that our holdings growth trajectory remains superior to the current corporate profit environment.

The views in the Fund Performance Discussion represent the opinions of this Fund’s portfolio managers and are not intended as investment advice or to predict or depict the performance of any investment. These views are as of the close of business on June 30, 2018, and are subject to change based on subsequent developments. The Fund’s portfolio and strategies are subject to change.

Shares of Oppenheimer funds are not deposits or obligations of any bank, are not guaranteed by any bank, are not insured by the FDIC or any other agency, and involve investment risks, including the possible loss of the principal amount invested.

Fund Expenses. As a shareholder of the Fund, you incur two types of costs: (1) transaction costs and (2) ongoing costs, including management fees; distribution and service fees; and other Fund expenses. These examples are intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.

The examples are based on an investment of $1,000.00 invested at the beginning of the period and held for the entire 6-month period ended June 30, 2018.

Actual Expenses. The first section of the table provides information about actual account values and actual expenses. You may use the information in this section for the class of shares you hold, together with the amount you invested, to estimate the expense that you paid over the period. Simply divide your account value by $1,000.00 (for example, an $8,600.00 account value divided by $1,000.00 = 8.60), then multiply the result by the number in the first section under the heading entitled “Expenses Paid During 6 Months Ended June 30, 2018” to estimate the expenses you paid on your account during this period.

The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio for each class of shares, and an assumed rate of return of 5% per year for each class before expenses, which is not the actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example for the class of shares you hold with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any charges associated with the separate accounts that offer this Fund. Therefore, the “hypothetical” lines of the table are useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these separate account charges were included your costs would have been higher.

Expenses are equal to the Fund’s annualized expense ratio for that class, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Those annualized expense ratios, excluding indirect expenses from affiliated funds, based on the 6-month period ended June 30, 2018 are as follows:

The expense ratios reflect voluntary and/or contractual waivers and/or reimbursements of expenses by the Fund’s Manager. Some of these undertakings may be modified or terminated at any time, as indicated in the Fund’s prospectus. The “Financial Highlights” tables in the Fund’s financial statements, included in this report, also show the gross expense ratios, without such waivers or reimbursements and reduction to custodian expenses, if applicable.


	Shares		Value
Common Stocks—97.2%
Consumer Discretionary—16.8%
Auto Components—1.8%
Aptiv plc		97,370	$	8,922,013
Visteon Corp.¹		36,600		4,730,184
				13,652,197
Distributors—1.8%
Pool Corp.		87,320		13,228,980
Diversified Consumer Services—1.0%
Bright Horizons Family Solutions, Inc.¹		69,720		7,147,694
Hotels, Restaurants & Leisure—5.8%
Chipotle Mexican Grill, Inc., Cl. A¹		8,280		3,571,744
Domino’s Pizza, Inc.		25,860		7,296,916
Hilton Worldwide Holdings, Inc.		162,943		12,898,568
Hyatt Hotels Corp., Cl. A		97,680		7,536,012
Stars Group, Inc. (The)¹		49,400		1,793,220
Vail Resorts, Inc.		34,470		9,451,329
				42,547,789
Household Durables—0.5%
DR Horton, Inc.		93,790		3,845,390
Multiline Retail—0.8%
Ollie’s Bargain Outlet Holdings, Inc.¹		82,080		5,950,800
Specialty Retail—1.9%
Burlington Stores, Inc.¹		58,510		8,807,510
Ross Stores, Inc.		59,480		5,040,930
				13,848,440
Textiles, Apparel & Luxury Goods—3.2%
lululemon athletica, Inc.¹		72,370		9,035,395
PVH Corp.		72,650		10,877,158
Tapestry, Inc.		82,100		3,834,891
				23,747,444
Consumer Staples—2.3%
Beverages—0.8%
Constellation Brands, Inc., Cl. A		25,390		5,557,110
Food Products—1.5%
Lamb Weston Holdings, Inc.		166,320		11,394,583
Energy—2.2%
Oil, Gas & Consumable Fuels—2.2%
Cabot Oil & Gas Corp.		148,770		3,540,726
Centennial Resource Development, Inc., Cl. A¹		196,300		3,545,178
Diamondback Energy, Inc.		70,033		9,214,242
				16,300,146
Financials—9.9%
Capital Markets—4.1%
E*TRADE Financial Corp.¹		166,190		10,164,180
MarketAxess Holdings, Inc.		16,150		3,195,439
MSCI, Inc., Cl. A		61,760		10,216,957
Raymond James Financial, Inc.		74,860		6,688,741
				30,265,317
Commercial Banks—3.0%
East West Bancorp, Inc.		150,190		9,792,388
SVB Financial Group¹		43,280		12,497,533
				22,289,921
Insurance—1.6%
Progressive Corp. (The)		193,700		11,457,355
Real Estate Investment Trusts (REITs)—0.6%
SBA Communications Corp., Cl. A¹		24,490		4,043,789
Real Estate Management & Development—0.6%
CBRE Group, Inc., Cl. A¹		99,380		4,744,401


	Shares		Value
Health Care—15.0%
Biotechnology—1.5%
Neurocrine Biosciences, Inc.¹		71,130	$	6,987,811
Sage Therapeutics, Inc.¹		25,270		3,955,513
				10,943,324
Health Care Equipment & Supplies—8.7%
ABIOMED, Inc.¹		27,180		11,117,979
Align Technology, Inc.¹		34,150		11,684,081
Edwards Lifesciences Corp.¹		58,090		8,456,161
ICU Medical, Inc.¹		19,320		5,673,318
IDEXX Laboratories, Inc.¹		60,910		13,274,726
Insulet Corp.¹		87,120		7,466,184
Teleflex, Inc.		24,880		6,673,065
				64,345,514
Health Care Providers & Services—1.8%
WellCare Health Plans, Inc.¹		53,180		13,095,043
Life Sciences Tools & Services—3.0%
Agilent Technologies, Inc.		163,200		10,092,288
Bio-Rad Laboratories, Inc., Cl. A¹		19,070		5,502,458
ICON plc¹		50,860		6,740,476
				22,335,222
Industrials—18.4%
Aerospace & Defense—2.0%
BWX Technologies, Inc.		124,730		7,773,174
Textron, Inc.		107,390		7,078,075
				14,851,249
Air Freight & Couriers—2.0%
XPO Logistics, Inc.¹		144,700		14,496,046
Building Products—1.0%
A.O. Smith Corp.		125,680		7,433,972
Commercial Services & Supplies—4.9%
Cintas Corp.		51,350		9,503,345
Copart, Inc.¹		235,870		13,340,807
Waste Connections, Inc.		182,465		13,735,965
				36,580,117
Industrial Conglomerates—1.5%
Roper Technologies, Inc.		39,930		11,017,086
Machinery—2.3%
IDEX Corp.		81,720		11,153,145
Xylem, Inc.		82,960		5,589,845
				16,742,990
Professional Services—4.2%
CoStar Group, Inc.¹		33,520		13,831,358
IHS Markit Ltd.¹		71,010		3,663,406
TransUnion		186,710		13,375,904
				30,870,668
Trading Companies & Distributors—0.5%
United Rentals, Inc.¹		25,420		3,752,500
Information Technology—28.3%
Communications Equipment—1.3%
Palo Alto Networks, Inc.¹		45,460		9,340,666
Electronic Equipment, Instruments, & Components—3.2%
Amphenol Corp., Cl. A		107,380		9,358,167
CDW Corp.		114,520		9,252,071
FLIR Systems, Inc.		89,500		4,651,315
				23,261,553
Internet Software & Services—2.5%
DocuSign, Inc.¹		27,034		1,431,451
GrubHub, Inc.¹		59,590		6,251,587
IAC/InterActiveCorp¹		34,110		5,201,434
Nutanix, Inc., Cl. A¹		106,890		5,512,317
				18,396,789


	Shares		Value
IT Services—7.6%
Black Knight, Inc.¹		101,980	$	5,461,029
Broadridge Financial Solutions, Inc.		50,750		5,841,325
DXC Technology Co.		92,350		7,444,334
Global Payments, Inc.		118,150		13,172,544
Square, Inc., Cl. A¹		80,280		4,948,459
Total System Services, Inc.		160,420		13,558,698
WEX, Inc.¹		31,080		5,920,118
				56,346,507
Semiconductors & Semiconductor Equipment—2.1%
Monolithic Power Systems, Inc.		61,820		8,263,479
ON Semiconductor Corp.¹		335,760		7,465,624
			15,729,103
Software—11.6%
Atlassian Corp. plc, Cl. A¹		131,310		8,209,501
Guidewire Software, Inc.¹		83,350		7,399,813
PTC, Inc.¹		154,760		14,518,035
RealPage, Inc.¹		113,100		6,231,810
Red Hat, Inc.¹		54,390		7,308,384
RingCentral, Inc., Cl. A¹		39,720		2,794,302
ServiceNow, Inc.¹		58,174		10,033,270
Splunk, Inc.¹		58,670		5,814,784
Synopsys, Inc.¹		97,680		8,358,478


	Shares		Value
Software (Continued)
Take-Two Interactive Software, Inc.¹		94,290	$	11,160,164
Workday, Inc., Cl. A¹		30,030		3,637,234
				85,465,775
Materials—4.3%
Chemicals—1.6%
Celanese Corp., Cl. A		72,070		8,004,094
Westlake Chemical Corp.		36,720		3,952,174
				11,956,268
Containers & Packaging—2.0%
Avery Dennison Corp.		66,050		6,743,705
Packaging Corp. of America		70,650		7,897,963
				14,641,668
Metals & Mining—0.7%
Steel Dynamics, Inc.		107,260		4,928,597
Total Common Stocks (Cost $562,243,254)				716,552,013


Investment Company—2.9%
Oppenheimer Institutional Government Money Market Fund, Cl. E, 1.85%^2,3(Cost $21,063,723)		21,063,723		21,063,723
Total Investments, at Value (Cost $583,306,977)		100.1%		737,615,736
Net Other Assets (Liabilities)		(0.1)		(744,604	)
Net Assets		100.0%	$	736,871,132

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:

1. Per share amounts calculated based on the average shares outstanding during the period.

2. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

5. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:

1. Per share amounts calculated based on the average shares outstanding during the period.

5. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:

Oppenheimer Discovery Mid Cap Growth Fund/VA (the “Fund”), a separate series of Oppenheimer Variable Account Funds, is a diversified open-end management investment company registered under the Investment Company Act of 1940 (“1940 Act”), as amended. The Fund’s investment objective is to seek capital appreciation. The Fund’s investment adviser is OFI Global Asset Management, Inc. (“OFI Global” or the “Manager”), a wholly-owned subsidiary of OppenheimerFunds, Inc. (“OFI” or the “Sub-Adviser”). The Manager has entered into a sub-advisory agreement with OFI. Shares of the Fund are sold only to separate accounts of life insurance companies.

The Fund offers two classes of shares. Both classes are sold at their offering price, which is the net asset value per share, to separate investment accounts of participating insurance companies as an underlying investment for variable life insurance policies, variable annuity contracts or other investment products. The class of shares designated as Service shares is subject to a distribution and service plan. Both classes of shares have identical rights and voting privileges with respect to the Fund in general and exclusive voting rights on matters that affect that class alone. Earnings, net assets and net asset value per share may differ due to each class having its own expenses, such as transfer and shareholder servicing agent fees and shareholder communications, directly attributable to that class.

The following is a summary of significant accounting policies followed in the Fund’s preparation of financial statements in accordance with accounting principles generally accepted in the United States (“U.S. GAAP”).

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

Allocation of Income, Expenses, Gains and Losses. Income, expenses (other than those attributable to a specific class), gains and losses are allocated on a daily basis to each class of shares based upon the relative proportion of net assets represented by such class. Operating expenses directly attributable to a specific class are charged against the operations of that class.

Dividends and Distributions to Shareholders. Dividends and distributions to shareholders, which are determined in accordance with income tax regulations and may differ from U.S. GAAP, are recorded on the ex-dividend date. Income and capital gain distributions, if any, are declared and paid annually or at other times as determined necessary by the Manager.

The tax character of distributions is determined as of the Fund’s fiscal year end. Therefore, a portion of the Fund’s distributions made to shareholders prior to the Fund’s fiscal year end may ultimately be categorized as a tax return of capital.

Investment Income. Dividend income is recorded on the ex-dividend date or upon ex-dividend notification in the case of certain foreign dividends where the ex-dividend date may have passed. Non-cash dividends included in dividend income, if any, are recorded at the fair value of the securities received. Withholding taxes on foreign dividends, if any, and capital gains taxes on foreign investments, if any, have been provided for in accordance with the Fund’s understanding of the applicable tax rules and regulations. Interest income, if any, is recognized on an accrual basis. Discount and premium, which are included in interest income on the Statement of Operations, are amortized or accreted daily.

Return of Capital Estimates. Distributions received from the Fund’s investments in Real Estate Investments Trusts (REITs), generally are comprised of income and return of capital. The Fund records investment income and return of capital based on estimates. Such estimates are based on historical information available from each REIT and other industry sources. These estimates may subsequently be revised based on information received from REITs after their tax reporting periods are concluded.

Custodian Fees. “Custodian fees and expenses” in the Statement of Operations may include interest expense incurred by the Fund on any cash overdrafts of its custodian account during the period. Such cash overdrafts may result from the effects of failed trades in portfolio securities and from cash outflows resulting from unanticipated shareholder redemption activity. The Fund pays interest to its custodian on such cash overdrafts, to the extent they are not offset by positive cash balances maintained by the Fund, at a rate equal to the Federal Funds Rate plus 2.00%. The “Reduction to custodian expenses” line item, if applicable, represents earnings on cash balances maintained by the Fund during the period. Such interest expense and other custodian fees may be paid with these earnings.

Security Transactions. Security transactions are recorded on the trade date. Realized gains and losses on securities sold are determined on the basis of identified cost.

Indemnifications. The Fund’s organizational documents provide current and former Trustees and officers with a limited indemnification against liabilities arising in connection with the performance of their duties to the Fund. In the normal course of business, the Fund may also enter into contracts that provide general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would be dependent on future claims that may be made against the Fund. The risk of material loss from such claims is considered remote.

Federal Taxes. The Fund intends to comply with provisions of the Internal Revenue Code applicable to regulated investment companies and to distribute substantially all of its investment company taxable income to shareholders. Therefore, no federal income or excise tax provision is required. The Fund files income tax returns in U.S. federal and applicable state jurisdictions. The statute of limitations on the Fund’s tax return filings generally remains open for the three preceding fiscal reporting period ends. The Fund has analyzed its tax positions for the fiscal year ended December 31, 2017, including

open tax years, and does not believe there are any uncertain tax positions requiring recognition in the Fund’s financial statements.

During the fiscal year ended December 31, 2017, the Fund did not utilize any capital loss carryforwards to offset capital gains realized in that fiscal year. Capital losses will be carried forward to future years if not offset by gains.

At period end, it is estimated that the capital loss carryforwards would be zero. The estimated capital loss carryforward represents the carryforward as of the end of the last fiscal year, increased or decreased by capital losses or gains realized in the first six months of the current fiscal year. During the reporting period, it is estimated that the Fund will not utilize any capital loss carryforward to offset realized capital gains.

Net investment income (loss) and net realized gain (loss) may differ for financial statement and tax purposes. The character of dividends and distributions made during the fiscal year from net investment income or net realized gains are determined in accordance with federal income tax requirements, which may differ from the character of net investment income or net realized gains presented in those financial statements in accordance with U.S. GAAP. Also, due to timing of dividends and distributions, the fiscal year in which amounts are distributed may differ from the fiscal year in which the income or net realized gain was recorded by the Fund.

The 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 in the following table. 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 or tax realization of financial statement unrealized gain or loss.

Use of Estimates. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates.

The Fund calculates the net asset value of its shares as of 4:00 P.M. Eastern Time, on each day the New York Stock Exchange (the “Exchange”) is open for trading, except in the case of a scheduled early closing of the Exchange, in which case the Fund will calculate net asset value of the shares as of the scheduled early closing time of the Exchange.

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 least quarterly or more frequently, if necessary.

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

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

Equity securities traded on a securities exchange (including exchange-traded derivatives other than futures and futures options) are valued based on the official closing price on the principal exchange on which the security is traded, as identified by the Manager, prior to the time when the Fund’s assets are valued. If the official closing price is unavailable, the security is valued at the last sale price on the principal exchange on which it is traded, or if no sales occurred, the security is valued at the mean between the quoted bid and asked prices. Over-the-counter equity securities are valued at the last published sale price, or if no sales occurred, at the mean between the quoted bid and asked prices. Events occurring after the close of trading on foreign exchanges may result in adjustments to the valuation of foreign securities to more accurately reflect their fair value as of the time when the Fund’s assets are valued.

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.

Securities for which market quotations are not readily available, or when a significant event has occurred that would materially affect the value of the security, are 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. Those standardized fair valuation 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.

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 may be 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 Fund classifies each of its investments in investment companies which are publicly offered as Level 1. Investment companies that are not publicly offered, if any, are classified as Level 2 in the fair value hierarchy.

The table below categorizes amounts that are included in the Fund’s Statement of Assets and Liabilities 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.

Investments in Money Market Instruments. The Fund is permitted to invest its free cash balances in money market instruments to provide liquidity or for defensive purposes. The Fund may invest in money market instruments by investing in Class E shares of Oppenheimer Institutional Government Money Market Fund (“IGMMF”), which is an Affiliated Fund. IGMMF is regulated as a money market fund under the 1940 Act, as amended. The Fund may also invest in money market instruments directly or in other affiliated or unaffiliated money market funds.

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.

Shareholder Concentration. At period end, one shareholder owned 20% or more of the Fund’s total outstanding shares.

The shareholder is a related party of the Fund. Related parties may include, but are not limited to, the investment manager and its affiliates, affiliated broker dealers, fund of funds, and directors or employees. The related party owned 22% of the Fund’s total outstanding shares at period end.

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 has authorized an unlimited number of $0.001 par value shares of beneficial interest of each class. Transactions in shares of beneficial interest were as follows:

The aggregate cost of purchases and proceeds from sales of securities, other than short-term obligations and investments in IGMMF, for the reporting period were as follows:

Management Fees. Under the investment advisory agreement, the Fund pays the Manager a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:

The Fund’s effective management fee for the reporting period was 0.71% of average annual net assets before any applicable waivers.

Sub-Adviser Fees. The Manager has retained the Sub-Adviser to provide the day-to-day portfolio management of the Fund. Under the Sub-Advisory Agreement, the Manager pays the Sub-Adviser an annual fee in monthly installments, equal to a percentage of the investment management fee collected by the Manager from the Fund, which shall be calculated after any investment management fee waivers. The fee paid to the Sub-Adviser is paid by the Manager, not by the Fund.

Transfer Agent Fees. OFI Global (the “Transfer Agent”) serves as the transfer and shareholder servicing agent for the Fund. The Fund pays the Transfer Agent a fee based on annual net assets. Fees incurred and average net assets for each class with respect to these services are detailed in the Statement of Operations and Financial Highlights, respectively.

Sub-Transfer Agent Fees. The Transfer Agent has retained Shareholder Services, Inc., a wholly-owned subsidiary of OFI (the “Sub-Transfer Agent”), to provide the day-to-day transfer agent and shareholder servicing of the Fund. Under the Sub-Transfer Agency Agreement, the Transfer Agent pays the Sub-Transfer Agent an annual fee in monthly installments, equal to a percentage of the transfer agent fee collected by the Transfer Agent from the Fund, which shall be calculated after any applicable fee waivers. The fee paid to the Sub-Transfer Agent is paid by the Transfer Agent, not by the Fund.

Trustees’ Compensation. The Fund’s Board of Trustees (“Board”) has adopted a compensation deferral plan for Independent Trustees that enables Trustees to elect to defer receipt of all or a portion of the annual compensation they are entitled to receive from the Fund. For purposes of determining the amount owed to the Trustees under the plan, deferred amounts are treated as though equal dollar amounts had been invested in shares of the Fund or in other Oppenheimer funds selected by the Trustees. The Fund purchases shares of the funds selected for deferral by the Trustees in amounts equal to his or her deemed investment, resulting in a Fund asset equal to the deferred compensation liability. Such assets are included as a component of “Other” within the asset section of the Statement of Assets and Liabilities. Deferral of Trustees’ fees under the plan will not affect the net assets of the Fund and will not materially affect the Fund’s assets, liabilities or net investment income per share. Amounts will be deferred until distributed in accordance with the compensation deferral plan.

Distribution and Service Plan for Service Shares. The Fund has adopted a Distribution and Service Plan (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act for Service shares to pay OppenheimerFunds Distributor, Inc. (the “Distributor”), for distribution related services, personal service and account maintenance for the Fund’s Service shares. Under the Plan, payments are made periodically at an annual rate of 0.25% of the daily net assets of Service shares of the Fund. The Distributor currently uses all of those fees to compensate sponsors of the insurance product that offers Fund shares, for providing personal service and maintenance of accounts of their variable contract owners that hold Service shares. These fees are paid out of the Fund’s assets on an on-going basis and increase operating expenses of the Service shares, which results in lower performance compared to the Fund’s shares that are not subject to a service fee. Fees incurred by the Fund under the Plan are detailed in the Statement of Operations.

Waivers and Reimbursements of Expenses. The Manager has contractually agreed to limit the Fund’s expenses after payments, waivers and/or reimbursements and reduction to custodian expenses, excluding any applicable dividend expense, taxes, interest and fees from borrowing, any subsidiary expenses, Acquired Fund Fees and Expenses, brokerage commissions, unusual and infrequent expenses and certain other Fund expenses; so that those expenses, as percentages of daily net assets, will not exceed the annual rate of 0.80% for Non-Service shares and 1.05% for Service shares.

During the reporting period, the Manager waived fees and/or reimbursed the Fund as follows:

This fee waiver and/or expense reimbursement may not be amended or withdrawn for one year from the date of the Fund’s prospectus, unless approved by the Board.

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 IGMMF. During the reporting period, the Manager waived fees and/or reimbursed the Fund $6,429 for IGMMF management fees. This fee waiver and/or expense reimbursement may not be amended or withdrawn for one year from the date of the Fund’s prospectus, unless approved by the Board.

Joint Credit Facility. A number of mutual funds managed by the Manager participate in a $1.875 billion revolving credit facility (the “Facility”) intended to provide short-term financing, if necessary, subject to certain restrictions in connection with atypical redemption activity. Effective July 17, 2018, the Facility was increased to $1.95 billion. Expenses and fees related to the Facility are paid by the participating funds and are disclosed separately or as other expenses on the Statement of Operations. The Fund did not utilize the Facility during the reporting period.

The Fund has adopted Portfolio Proxy Voting Policies and Guidelines under which the Fund votes proxies relating to securities (“portfolio proxies”) held by the Fund. A description of the Fund’s Portfolio Proxy Voting Policies and Guidelines is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.CALL OPP (225.5677), (ii) on the Fund’s website at www.oppenheimerfunds.com, and (iii) on the SEC’s website at www.sec.gov. In addition, the Fund is required to file Form N-PX, with its complete proxy voting record for the 12 months ended June 30th, no later than August 31st of each year. The Fund’s voting record is available (i) without charge, upon request, by calling the Fund toll-free at 1.800.CALL OPP (225.5677), and (ii) in the Form N-PX filing on the SEC’s website at www.sec.gov.

The Fund files its complete schedule of portfolio holdings with the SEC for the first quarter and the third quarter of each fiscal year on Form N-Q. The Fund’s Form N-Q filings are available on the SEC’s website at www.sec.gov. Those forms may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

For any distribution that took place over the last six months of the Fund’s reporting period, the table below details on a per-share basis the percentage of the Fund’s total distribution payment amount that was derived from the following sources: net income, net profit from the sale of securities, and other capital sources. Other capital sources represent a return of capital. A return of capital may occur, for example, when some or all of the money that you invested in the Fund is paid back to you. A return of capital distribution does not necessarily reflect the Fund’s investment performance and should not be confused with “yield” or “income.” You should not draw any conclusions about the Fund’s investment performance from the amounts of these distributions. This information is based upon income and capital gains using generally accepted accounting principles as of the date of each distribution. If the Fund (or an underlying fund in which the Fund invests) invests in real estate investment trusts (REITs) and/or master limited partnerships (MLPs), the percentages attributed to each category are estimated using historical information because the character of the amounts received from the REITs and/or MLPs in which the Fund (or underlying fund) invests is unknown until after the end of the calendar year. Because the Fund is actively managed, the relative amount of the Fund’s total distributions derived from various sources over the calendar year may change. Please note that this information should not be used for tax reporting purposes as the tax character of distributable income may differ from the amounts used for this notification. You will receive communication in the first quarter of each calendar year detailing the actual amount of the taxable and non-taxable portion of distributions paid to you during the tax year.

For the most current information, please go to oppenheimerfunds.com. Select your Fund, and scroll down to the ‘Dividends’ table under ‘Analytics’. The Fund’s latest distribution information will be followed by the sources of any distribution, updated daily.

The Fund’s performance is compared to the performance of the Russell 3000 Index, the Bloomberg Barclays U.S. Aggregate Bond Index and the Fund’s Reference Index. The Russell 3000 Index measures the performance of the largest 3,000 U.S. companies, representing approximately 98% of the investable U.S. equity market. The Bloomberg Barclays U.S. Aggregate Bond Index is an index of U.S dollar-denominated, investment-grade U.S. corporate government and mortgage-backed securities. The Fund’s Reference Index is a customized weighted index currently comprised of 65% of the Bloomberg Barclays U.S. Aggregate Bond Index and 35% of the Russell 3000 Index. The indices are unmanaged and cannot be purchased directly by investors. While index comparisons may be useful to provide a benchmark for the Fund’s performance, it must be noted that the Fund’s investments are not limited to the investments comprising the indices. Index performance includes reinvestment of income, but does not reflect transaction costs, fees, expenses or taxes. Index performance is shown for illustrative purposes only as a benchmark for the Fund’s performance, and does not predict or depict performance of the Fund. The Fund’s performance reflects the effects of the Fund’s business and operating expenses.

The Fund’s Non-Service shares produced a return of -0.99% during the reporting period. On a relative basis, the Fund’s Reference Index returned 0.21%. The Fund’s Reference Index is a customized weighted index currently comprised of the following underlying broad-based security indices: 65% of the Bloomberg Barclays U.S. Aggregate Bond Index and 35% of the Russell 3000 Index. Measured separately, the Bloomberg Barclays U.S. Aggregate Bond Index returned -1.62% and the Russell 3000 Index returned 3.22%.

The U.S. economy continued to perform well during the reporting period. U.S. 2018 gross domestic product (GDP) is expected to be around 3%, significantly exceeding its 2% trend growth of this expansion. Private consumption, the driving force of the economy in recent years, is growing at a stable rate. Additionally, business fixed investment has gained momentum in recent months and is broadening across sectors. With increasingly less slack in the economy, strong profits, and the corporate tax cuts, investment should support growth and productivity improvements.

The Federal Reserve (Fed) hiked the Fed Funds target rate by 25 basis points twice – in March and June – ending the period in a range of 1.75% – 2.00%. The Fed is on track to deliver 1-2 more hikes this year, as the economy is near the Fed’s dual mandate of full employment and price stability. On the inflation front, underlying inflation is around the Fed’s 2% target. The unemployment rate is at historical lows; however, the rising labor participation rate and stable wage growth suggest that there may still be some slack in the labor market. The Federal Open Market Committee (FOMC) under new chair Jerome Powell’s leadership signaled that the Fed will remain cautious and tighten policy gradually, giving comfort to the markets. Thus far, the Fed’s hiking cycle has been orderly.

Despite the strength of the U.S. economy and the Fed’s orderly hiking cycle, international economic and geopolitical concerns were noticeable during the reporting period and caused some market turbulence. Trade tensions were on the rise and there were pockets of political issues. Such tensions, especially regarding trade, made an impact on some investment decisions, as noted in the Fed’s minutes. So far, the measures implemented are not of major economic significance, in our view. At this point, we believe there is more rhetoric than actual impactful decisions. The risk remains, however, that trade issues negatively impact confidence or that retaliations could lead to more significant measures. While these are still not the baseline, risks are elevated and worth carefully monitoring.

In this environment, markets were volatile this reporting period. Equity markets in the U.S. produced positive results and outperformed international equities, with the S&P 500 Index returning 2.65% and the MSCI All Country World Index returning -0.43%. Fixed income markets generally produced negative returns this reporting period. The 10-year U.S. Treasury rate started the reporting period at 2.41% and hit a high of 3.11% in May, before ending the reporting period at 2.86%. U.S. Treasuries (as represented by the Bloomberg Barclays U.S. Treasury Index) produced negative results, with a -1.62% return. Credit underperformed for the reporting period, with the Bloomberg Barclays U.S. Credit Index returning -2.99%.

The equity strategy produced a muted positive absolute return during the reporting period and underperformed the Russell 3000 Index. The equity strategy’s underperformance stemmed largely from weaker relative stock selection in the Consumer Discretionary, Energy, and Consumer Staples sectors. The equity strategy outperformed the Russell 3000 Index in the Industrials sector, due to stock selection.

The equity strategy’s top contributors to performance relative to the Russell 3000 Index included Korn/Ferry International and Mastercard.

During the reporting period, recruiter and talent management consultant Korn/Ferry delivered another strong quarter in a series of strong quarterly results, with accelerating revenue growth and forward guidance that exceeded expectations. The company is effectively leveraging the intellectual property of its Hay Group organizational and leadership consulting business, acquired in 2015, to drive results in its traditional executive “headhunter” practice and its Futurestep recruitment process outsourcing division. A strengthening economy and tightening job market have been driving demand, and the company’s value-added offerings have been helping it take market share.

Mastercard’s performance was driven by strong core results reported over the second quarter of 2018, where revenues and earnings soundly beat expectations and organic revenue growth accelerated to over 20% year over year. While these results are unlikely sustainable, Mastercard has demonstrated an ability to grow at a faster pace than their largest competitor Visa driven by the strength of their services business, share gains in European processing and some market share gains internationally. Notably, this reporting period, the company won Santander’s large UK debit business. More importantly, Mastercard continues to

benefit from the long tail of revenue growth as the world transitions from cash and check to electronic forms of payment. The global ubiquity of acceptance at Visa and Mastercard make them both partners of choice for global card issuers.

Not owning Amazon for the majority of the reporting period was the biggest relative detractor from the equity strategy’s performance, as the company continued its run of impressive performance and performed well for the Russell 3000 Index. Also detracting from performance was Spectrum Brands Holdings, which is in a state of flux. The company experienced issues implementing a change to its distribution system, causing the company to lower full-year earnings guidance, leading to an approximately 25% drop in the stock over a two-day period in April. We exited the position.

The Fund’s fixed-income strategy underperformed the Bloomberg Barclays U.S. Aggregate Bond Index during the reporting period. In a period where credit underperformed U.S. Treasuries, the Fund’s strategic underweight position to U.S. Treasuries was the largest detractor from performance versus the Index. In addition, the strategy’s position in investment grade corporate credit detracted from performance this reporting period.

Positive contributors to performance this reporting period included the strategy’s security selection in asset-backed securities (“ABS”), where we favored auto ABS given what we view as attractive fundamentals in the space. In addition, the strategy’s allocation to non-agency mortgage-backed securities (“MBS”) benefited performance.

The examples are based on an investment of $1,000.00 invested at the beginning of the period and held for the entire 6-month period ended June 30, 2018.


	Shares		Value
Common Stocks—35.7%
Consumer Discretionary—3.1%
Auto Components—0.4%
Visteon Corp.¹		6,210	$	802,580
Diversified Consumer Services—0.0%
Houghton Mifflin Harcourt Co.¹		3,100		23,715
Weight Watchers International, Inc.¹		85		8,593
				32,308

Hotels, Restaurants & Leisure—0.6%
Cedar Fair LP²		5,485		345,610
Chipotle Mexican Grill, Inc., Cl. A¹		24		10,353
McDonald’s Corp.		5,926		928,545
				1,284,508

Household Durables—0.0%
Newell Brands, Inc.		591		15,242
Internet & Catalog Retail—0.1%
Amazon.com, Inc.¹		36		61,193
Booking Holdings, Inc.¹		5		10,135
FTD Cos., Inc.¹		2,792		12,955
Netflix, Inc.¹		46		18,006
				102,289

Leisure Products—0.0%
American Outdoor Brands Corp.¹		1,558		18,743
Multiline Retail—0.0%
Fred’s, Inc., Cl. A		6,982		15,919
Specialty Retail—1.4%
Bed Bath & Beyond, Inc.		712		14,186
Burlington Stores, Inc.¹		3,536		532,274
CarMax, Inc.¹		9,248		673,902
GameStop Corp., Cl. A		890		12,967
GNC Holdings, Inc., Cl. A¹		2,096		7,378
Lowe’s Cos., Inc.		15,166		1,449,415
Office Depot, Inc.		5,174		13,194
Sally Beauty Holdings, Inc.¹		1,208		19,364
Sportsman’s Warehouse Holdings, Inc.¹		2,168		11,100
TravelCenters of America LLC¹		3,146		11,011
				2,744,791

Textiles, Apparel & Luxury Goods—0.6%
NIKE, Inc., Cl. B		15,872		1,264,681
Consumer Staples—1.2%
Beverages—0.0%
Constellation Brands, Inc., Cl. A		35		7,660
Molson Coors Brewing Co., Cl. B		388		26,400
				34,060

Food & Staples Retailing—0.2%
Kroger Co. (The)		941		26,771
Rite Aid Corp.¹		174,233		301,423
SpartanNash Co.		630		16,078
SUPERVALU, Inc.¹		903		18,529
Walgreens Boots Alliance, Inc.		178		10,683
				373,484

Food Products—0.6%
Campbell Soup Co.		644		26,108
Dean Foods Co.		2,150		22,596
Kellogg Co.		355		24,804
Kraft Heinz Co. (The)		10,620		667,148
Pinnacle Foods, Inc.		6,814		443,319
TreeHouse Foods, Inc.¹		463		24,312
				1,208,287

Household Products—0.0%
Church & Dwight Co., Inc.		187		9,941
Procter & Gamble Co. (The)		256		19,983
				29,924


	Shares		Value
Personal Products—0.1%
Avon Products, Inc.¹		7,928	$	12,843
Coty, Inc., Cl. A		1,336		18,838
Edgewell Personal Care Co.¹		358		18,065
				49,746

Tobacco—0.3%
Altria Group, Inc.		464		26,351
British American Tobacco plc		10,850		547,967
British American Tobacco plc,
Sponsored ADR		359		18,112
Philip Morris International, Inc.		352		28,420
Universal Corp.		250		16,513
				637,363

Energy—2.0%
Oil, Gas & Consumable Fuels—2.0%
EQT Corp.		20,215		1,115,464
Exxon Mobil Corp.		27,360		2,263,493
Matador Resources Co.¹		192		5,770
Noble Energy, Inc.		177		6,244
Range Resources Corp.		798		13,350
Shell Midstream Partners LP²		29,695		658,635
				4,062,956

Financials—5.8%
Capital Markets—0.9%
Bank of New York Mellon Corp. (The)		12,060		650,396
Charles Schwab Corp. (The)		186		9,505
Intercontinental Exchange, Inc.		16,906		1,243,436
				1,903,337

Commercial Banks—2.4%
Citigroup, Inc.		11,360		760,211
East West Bancorp, Inc.		10,620		692,424
IBERIABANK Corp.		7,010		531,358
JPMorgan Chase & Co.		21,510		2,241,342
Signature Bank (New York)¹		5,710		730,195
				4,955,530

Consumer Finance—0.4%
Synchrony Financial		25,510		851,524
Insurance—1.2%
American International Group, Inc.		17,710		938,984
Arthur J. Gallagher & Co.		10,349		675,582
Marsh & McLennan Cos., Inc.		101		8,279
Progressive Corp. (The)		12,625		746,769
				2,369,614

Real Estate Investment Trusts (REITs)—0.8%
AGNC Investment Corp.		1,334		24,799
American Tower Corp.		31		4,469
Annaly Capital Management, Inc.		2,374		24,428
EPR Properties		8,940		579,223
Mid-America Apartment Communities, Inc.		8,707		876,534
Prologis, Inc.		127		8,343
				1,517,796

Real Estate Management & Development—0.1%
Realogy Holdings Corp.		12,240		279,072
Health Care—5.1%
Biotechnology—0.9%
BioMarin Pharmaceutical, Inc.¹		3,030		285,426
Exact Sciences Corp.¹		9,130		545,883
Sage Therapeutics, Inc.¹		1,120		175,313
uniQure NV¹		6,404		242,071
Vertex Pharmaceuticals, Inc.¹		3,573		607,267
				1,855,960

Health Care Equipment & Supplies—0.7%
ABIOMED, Inc.¹		15		6,136
Align Technology, Inc.¹		20		6,843


	Shares		Value
Health Care Equipment & Supplies (Continued)
Becton Dickinson & Co.		2,594	$	621,419
Boston Scientific Corp.¹		353		11,543
CryoPort, Inc.¹		7,880		124,346
IDEXX Laboratories, Inc.¹		36		7,846
Intuitive Surgical, Inc.¹		1,399		669,393
				1,447,526

Health Care Providers & Services—1.6%
Aceto Corp.		2,110		7,069
Anthem, Inc.		4,230		1,006,867
Centene Corp.¹		3,200		394,272
CVS Health Corp.		375		24,131
Laboratory Corp. of America Holdings¹		5,988		1,075,026
LifePoint Health, Inc.¹		299		14,591
UnitedHealth Group, Inc.		104		25,515
WellCare Health Plans, Inc.¹		3,029		745,861
				3,293,332

Health Care Technology—0.0%
Teladoc, Inc.¹		78		4,528
Life Sciences Tools & Services—0.4%
Agilent Technologies, Inc.		11,791		729,156
Illumina, Inc.¹		29		8,099
				737,255

Pharmaceuticals—1.5%
AstraZeneca plc, Sponsored ADR		624		21,909
Bayer AG, Sponsored ADR		27,990		771,964
Johnson & Johnson		10,160		1,232,814
Merck & Co., Inc.		14,611		886,888
Nektar Therapeutics, Cl. A¹		77		3,760
Novartis AG, Sponsored ADR		332		25,079
TherapeuticsMD, Inc.¹		30,050		187,512
				3,129,926

Industrials—4.8%
Aerospace & Defense—1.1%
Boeing Co. (The)		2,675		897,489
Lockheed Martin Corp.		2,482		733,258
Spirit AeroSystems Holdings, Inc., Cl. A		6,677		573,621
				2,204,368

Air Freight & Couriers—0.3%
XPO Logistics, Inc.¹		5,428		543,777
Airlines—0.2%
Spirit Airlines, Inc.¹		12,853		467,206
Building Products—0.5%
A.O. Smith Corp.		105		6,211
Lennox International, Inc.		2,660		532,399
Masco Corp.		10,570		395,529
				934,139

Commercial Services & Supplies—0.8%
ACCO Brands Corp.		631		8,739
KAR Auction Services, Inc.		19,892		1,090,082
RR Donnelley & Sons Co.		1,701		9,798
Waste Connections, Inc.		7,476		562,793
				1,671,412

Construction & Engineering—0.2%
Dycom Industries, Inc.¹		4,740		447,977
Industrial Conglomerates—0.0%
General Electric Co.		1,363		18,550
Machinery—0.6%
Illinois Tool Works, Inc.		4,188		580,206
Stanley Black & Decker, Inc.		4,176		554,615
Wabtec Corp.		56		5,520
				1,140,341

Professional Services—0.6%
ASGN, Inc.¹		127		9,930


	Shares		Value
Professional Services (Continued)
Korn/Ferry International		18,020	$	1,115,979
				1,125,909

Road & Rail—0.3%
Canadian Pacific Railway Ltd.		3,860		706,457
Trading Companies & Distributors—0.2%
Fastenal Co.		8,266		397,843
Information Technology—10.4%
Communications Equipment—0.4%
Palo Alto Networks, Inc.¹		4,393		902,630
Internet Software & Services—2.5%
Alphabet, Inc., Cl. C¹		1,270		1,416,876
eBay, Inc.¹		27,313		990,369
Envestnet, Inc.¹		96		5,275
Facebook, Inc., Cl. A¹		8,433		1,638,701
Pandora Media, Inc.¹		988		7,785
Q2 Holdings, Inc.¹		8,100		462,105
Yelp, Inc., Cl. A¹		13,622		533,710
				5,054,821

IT Services—2.0%
CACI International, Inc., Cl. A¹		35		5,899
DXC Technology Co.		9,179		739,919
First Data Corp., Cl. A¹		43,756		915,813
Mastercard, Inc., Cl. A		7,377		1,449,728
PayPal Holdings, Inc.¹		176		14,656
Perspecta, Inc.		16,764		344,500
Teradata Corp.¹		13,720		550,858
Total System Services, Inc.		105		8,875
				4,030,248

Semiconductors & Semiconductor Equipment—0.9%
Applied Materials, Inc.		16,699		771,327
Broadcom, Inc.		48		11,647
Microchip Technology, Inc.		10,225		929,964
Texas Instruments, Inc.		130		14,332
				1,727,270

Software—2.8%
Activision Blizzard, Inc.		13,740		1,048,637
Microsoft Corp.		24,728		2,438,428
MobileIron, Inc.¹		2,738		12,184
Pegasystems, Inc.		14,647		802,656
PTC, Inc.¹		190		17,824
Snap, Inc., Cl. A¹		45,595		596,838
Zynga, Inc., Cl. A¹		185,962		756,865
				5,673,432

Technology Hardware, Storage & Peripherals—1.8%
Apple, Inc.		16,227		3,003,780
Diebold Nixdorf, Inc.		1,365		16,312
Western Digital Corp.		8,877		687,168
				3,707,260

Materials—1.0%
Chemicals—0.2%
DowDuPont, Inc.		172		11,338
Valvoline, Inc.		18,870		407,026
				418,364

Construction Materials—0.0%
Vulcan Materials Co.		52		6,711
Containers & Packaging—0.4%
Sealed Air Corp.		17,620		747,969
Metals & Mining—0.4%
Compass Minerals International, Inc.		9,310		612,132
Franco-Nevada Corp.		125		9,128
Kaiser Aluminum Corp.		50		5,206
Osisko Gold Royalties Ltd.		33,653		318,701
				945,167


	Shares		Value
Telecommunication Services—1.0%
Diversified Telecommunication Services—0.8%
AT&T, Inc.		740	$	23,761
ORBCOMM, Inc.¹		375		3,788
Verizon Communications, Inc.		23,060		1,160,149
Zayo Group Holdings, Inc.¹		10,890		397,267
				1,584,965

Wireless Telecommunication Services—0.2%
T-Mobile US, Inc.¹		8,231		491,802
Utilities—1.3%
Electric Utilities—0.4%
Edison International		319		20,183
PG&E Corp.		20,363		866,649
PPL Corp.		573		16,359
Southern Co. (The)		356		16,487
				919,678

Gas Utilities—0.3%
Suburban Propane Partners LP²		22,881		537,475
Multi-Utilities—0.6%
Centrica plc, Sponsored ADR		2,694		22,697
Dominion Energy, Inc.		288		19,636
National Grid plc		46,590		515,447
National Grid plc, Sponsored ADR		385		21,502
SCANA Corp.		16,099		620,134
				1,199,416
Total Common Stocks (Cost $62,490,240)				72,627,468

	Principal
	Amount
Asset-Backed Securities—9.7%
American Credit Acceptance Receivables Trust:
Series 2015-3, Cl. B, 3.56%, 10/12/21³	$	3,187		3,188
Series 2015-3, Cl. C, 4.84%, 10/12/21³		470,000		474,062
Series 2015-3, Cl. D, 5.86%, 7/12/22³		135,000		137,217
Series 2017-3, Cl. B, 2.25%, 1/11/21³		70,000		69,822
Series 2017-4, Cl. B, 2.61%, 5/10/21³		69,000		68,766
Series 2017-4, Cl. C, 2.94%, 1/10/24³		195,000		193,812
Series 2017-4, Cl. D, 3.57%, 1/10/24³		246,000		244,094
Series 2018-2, Cl. B, 3.46%, 8/10/22³		275,000		275,342
Series 2018-2, Cl. C, 3.70%, 7/10/24³		275,000		275,309
AmeriCredit Automobile Receivables Trust:
Series 2015-2, Cl. D, 3.00%, 6/8/21		245,000		244,912
Series 2017-2, Cl. D, 3.42%, 4/18/23		320,000		318,578
Series 2017-4, Cl. D, 3.08%, 12/18/23		145,000		142,621
Cabela’s Credit Card Master Note Trust:
Series 2015-1A, Cl. A2, 2.613% [LIBOR01M+54], 3/15/23⁴		465,000		467,629
Series 2015-2, Cl. A2, 2.743% [LIBOR01M+67], 7/17/23⁴		475,000		478,872
Series 2016-1, Cl. A1, 1.78%, 6/15/22		340,000		336,486
Series 2016-1, Cl. A2, 2.923% [LIBOR01M+85], 6/15/22⁴		255,000		256,392
Capital Auto Receivables Asset Trust,
Series 2017-1, Cl. D, 3.15%, 2/20/25³		40,000		39,712
Capital One Multi-Asset Execution
Trust, Series 2016-A3, Cl. A3, 1.34%, 4/15/22		560,000		552,791
CarFinance Capital Auto Trust, Series 2015-1A, Cl. A, 1.75%, 6/15/21³		14,161		14,139
CarMax Auto Owner Trust:
Series 2015-2, Cl. D, 3.04%, 11/15/21		115,000		114,746
Series 2015-3, Cl. D, 3.27%, 3/15/22		330,000		329,832
Series 2016-1, Cl. D, 3.11%, 8/15/22		220,000		219,241
Series 2016-3, Cl. D, 2.94%, 1/17/23		125,000		123,416
Series 2016-4, Cl. D, 2.91%, 4/17/23		275,000		270,469
Series 2017-1, Cl. D, 3.43%, 7/17/23		245,000		243,834
Series 2017-4, Cl. D, 3.30%, 5/15/24		110,000		108,518
Series 2018-1, Cl. D, 3.37%, 7/15/24		75,000		74,441



	Principal
	Amount		Value
Asset-Backed Securities (Continued)
CCG Receivables Trust:
Series 2017-1, Cl. B, 2.75%, 11/14/23³	$	250,000	$	245,426
Series 2018-1, Cl. B, 3.09%, 6/16/25³		90,000		89,137
Series 2018-1, Cl. C, 3.42%, 6/16/25³		25,000		24,717
CIG Auto Receivables Trust, Series 2017-1A, Cl. A, 2.71%, 5/15/23³		94,633		94,044
Citibank Credit Card Issuance Trust, Series 2014-A6, Cl. A6, 2.15%, 7/15/21		110,000		109,375
CNH Equipment Trust, Series 2017-C, Cl. B, 2.54%, 5/15/25		70,000		68,372
CPS Auto Receivables Trust:
Series 2017-C, Cl. A, 1.78%, 9/15/20³		41,916		41,775
Series 2017-C, Cl. B, 2.30%, 7/15/21³		105,000		104,159
Series 2017-D, Cl. B, 2.43%, 1/18/22³		180,000		178,143
Series 2018-A, Cl. B, 2.77%, 4/18/22³		145,000		143,886
Series 2018-B, Cl. B, 3.23%, 7/15/22³		155,000		154,734
CPS Auto Trust, Series 2017-A, Cl. B, 2.68%, 5/17/21³		35,000		34,908
Credit Acceptance Auto Loan Trust:
Series 2017-3A, Cl. C, 3.48%, 10/15/26³		220,000		217,133
Series 2018-1A, Cl. B, 3.60%, 4/15/27³		135,000		134,445
Series 2018-1A, Cl. C, 3.77%, 6/15/27³		190,000		188,429
Series 2018-2A, Cl. C, 4.16%, 9/15/27³		115,000		115,788
Dell Equipment Finance Trust:
Series 2017-2, Cl. B, 2.47%, 10/24/22³		75,000		73,968
Series 2018-1, Cl. B, 3.34%, 6/22/23³		90,000		89,987
Drive Auto Receivables Trust:
Series 2015-BA, Cl. D, 3.84%, 7/15/21³		20,000		20,119
Series 2015-CA, Cl. D, 4.20%, 9/15/21³		70,000		70,648
Series 2016-CA, Cl. C, 3.02%, 11/15/21³		150,000		150,141
Series 2016-CA, Cl. D, 4.18%, 3/15/24³		170,000		172,183
Series 2017-1, Cl. B, 2.36%, 3/15/21		165,000		164,820
Series 2017-3, Cl. C, 2.80%, 7/15/22		120,000		119,640
Series 2017-AA, Cl. C, 2.98%, 1/18/22³		195,000		195,057
Series 2017-BA, Cl. D, 3.72%, 10/17/22³		235,000		236,520
Series 2018-1, Cl. D, 3.81%, 5/15/24		160,000		159,848
Series 2018-2, Cl. D, 4.14%, 8/15/24		315,000		317,002
DT Auto Owner Trust:
Series 2016-4A, Cl. E, 6.49%, 9/15/23³		75,000		77,455
Series 2017-1A, Cl. C, 2.70%, 11/15/22³		95,000		94,691
Series 2017-1A, Cl. D, 3.55%, 11/15/22³		150,000		150,022
Series 2017-1A, Cl. E, 5.79%, 2/15/24³		160,000		162,958
Series 2017-2A, Cl. B, 2.44%, 2/15/21³		140,000		139,726
Series 2017-2A, Cl. D, 3.89%, 1/15/23³		180,000		179,836
Series 2017-3A, Cl. B, 2.40%, 5/17/21³		200,000		199,216
Series 2017-3A, Cl. E, 5.60%, 8/15/24³		155,000		156,939
Series 2017-4A, Cl. D, 3.47%, 7/17/23³		205,000		203,721
Series 2017-4A, Cl. E, 5.15%,
11/15/24³		150,000		149,396
Series 2018-1A, Cl. B, 3.04%, 1/18/22³		155,000		154,512
Series 2018-2A, Cl. B, 3.43%, 5/16/22³		80,000		80,035
Element Rail Leasing I LLC, Series
2014-1A, Cl. A1, 2.299%, 4/19/44³		162,467		161,506
Exeter Automobile Receivables Trust,
Series 2018-1A, Cl. B, 2.75%, 4/15/22³		155,000		153,740
Flagship Credit Auto Trust:
Series 2014-1, Cl. D, 4.83%, 6/15/20³		20,000		20,122
Series 2016-1, Cl. C, 6.22%, 6/15/22³		380,000		395,537
FRS I LLC, Series 2013-1A, Cl. A1,
1.80%, 4/15/43³		11,093		11,022
GLS Auto Receivables Trust, Series
2018-1A, Cl. A, 2.82%, 7/15/22³		329,922		328,105


	Principal
	Amount		Value
Asset-Backed Securities (Continued)
GM Financial Automobile Leasing Trust:
Series 2017-3, Cl. C, 2.73%, 9/20/21	$	120,000	$	118,662
Series 2018-2, Cl. C, 3.50%, 4/20/22		145,000		144,996
Navistar Financial Dealer Note Master Owner Trust II:
Series 2016-1, Cl. D, 5.391%
[LIBOR01M+330], 9/27/21^3,4		80,000		80,442
Series 2017-1, Cl. C, 3.641%
[LIBOR01M+155], 6/27/22^3,4		60,000		60,271
Series 2017-1, Cl. D, 4.391%
[LIBOR01M+230], 6/27/22^3,4		75,000		75,082
Santander Drive Auto Receivables Trust:
Series 2016-2, Cl. D, 3.39%, 4/15/22		115,000		115,354
Series 2017-1, Cl. D, 3.17%, 4/17/23		175,000		173,966
Series 2017-1, Cl. E, 5.05%, 7/15/24³		410,000		417,206
Series 2017-3, Cl. D, 3.20%, 11/15/23		295,000		292,610
Series 2018-1, Cl. D, 3.32%, 3/15/24		110,000		108,302
Series 2018-2, Cl. D, 3.88%, 2/15/24		170,000		169,412
Series 2018-3, Cl. C, 3.51%, 8/15/23		440,000		440,480
Santander Retail Auto Lease Trust,
Series 2017-A, Cl. C, 2.96%, 11/21/22³		195,000		192,344
TCF Auto Receivables Owner Trust,
Series 2015-1A, Cl. D, 3.53%, 3/15/22³		190,000		189,001
United Auto Credit Securitization Trust,
Series 2018-1, Cl. C, 3.05%, 9/10/21³		240,000		239,144
Verizon Owner Trust, Series 2017-3A,
Cl. A1A, 2.06%, 4/20/22³		195,000		191,913
Veros Automobile Receivables Trust,
Series 2017-1, Cl. A, 2.84%, 4/17/23³		93,701		93,334
Westlake Automobile Receivables Trust:
Series 2016-1A, Cl. E, 6.52%, 6/15/22³		270,000		275,302
Series 2017-2A, Cl. E, 4.63%, 7/15/24³		320,000		321,198
Series 2018-1A, Cl. C, 2.92%, 5/15/23³		160,000		158,679
Series 2018-1A, Cl. D, 3.41%, 5/15/23³		315,000		313,267
World Financial Network Credit Card Master Trust:
Series 2012-D, Cl. A, 2.15%, 4/17/23		150,000		149,017
Series 2016-B, Cl. A, 1.44%, 6/15/22		380,000		379,476
Series 2016-C, Cl. A, 1.72%, 8/15/23		665,000		655,111
Series 2017-A, Cl. A, 2.12%, 3/15/24		430,000		422,765
Series 2017-B, Cl. A, 1.98%, 6/15/23		325,000		322,268
Series 2017-C, Cl. A, 2.31%, 8/15/24		430,000		422,053
Series 2018-A, Cl. A, 3.07%, 12/16/24		540,000		537,886
Total Asset-Backed Securities (Cost $19,761,781)				19,670,725

Mortgage-Backed Obligations—40.3%
Government Agency—29.4%
FHLMC/FNMA/FHLB/Sponsored—25.0%
Federal Home Loan Mortgage Corp. Gold Pool:
4.50%, 10/1/18		1,033		1,041
5.00%, 12/1/34		2,007		2,141
5.50%, 9/1/39		248,924		266,507
6.50%, 7/1/28-4/1/34		20,315		22,642
7.00%, 10/1/31-10/1/37		67,882		74,032
9.00%, 8/1/22-5/1/25		1,197		1,274
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security:
Series 183,Cl. IO, 74.123%, 4/1/27⁵		48,160		9,505
Series 192,Cl. IO, 99.999%, 2/1/28⁵		13,839		2,859
Series 243,Cl. 6, 5.029%, 12/15/32⁵		37,564		6,310
Federal Home Loan Mortgage Corp.,
Mtg.-Linked Amortizing Global Debt
Securities, Series 2012-1, Cl. A10, 2.06%, 1/15/22		132,069		129,525
Federal Home Loan Mortgage Corp.,
Principal-Only Stripped Mtg.-Backed
Security, Series 176, Cl. PO, 4.198%, 6/1/26⁶		14,158		13,002


	Principal
	Amount		Value
FHLMC/FNMA/FHLB/Sponsored (Continued)
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates:
Series 2427,Cl. ZM, 6.50%, 3/15/32	$	84,142	$	92,719
Series 2461,Cl. PZ, 6.50%, 6/15/32		33,754		36,621
Series 2626,Cl. TB, 5.00%, 6/15/33		52,907		54,743
Series 2635,Cl. AG, 3.50%, 5/15/32		28,567		28,434
Series 2707,Cl. QE, 4.50%, 11/15/18		11,643		11,656
Series 2770,Cl. TW, 4.50%, 3/15/19		1,241		1,245
Series 3010,Cl. WB, 4.50%, 7/15/20		6,981		7,064
Series 3025,Cl. SJ, 17.148% [-3.667 x
LIBOR01M+2,475], 8/15/35⁴		12,108		16,251
Series 3030,Cl. FL, 2.473%
[LIBOR01M+40], 9/15/35⁴		65,123		65,430
Series 3741,Cl. PA, 2.15%, 2/15/35		24,539		24,512
Series 3815,Cl. BD, 3.00%, 10/15/20		421		421
Series 3822,Cl. JA, 5.00%, 6/15/40		24,136		24,781
Series 3840,Cl. CA, 2.00%, 9/15/18		210		210
Series 3848,Cl. WL, 4.00%, 4/15/40		62,088		62,728
Series 3857,Cl. GL, 3.00%, 5/15/40		4,111		4,137
Series 4057,Cl. QI, 4.903%, 6/15/27⁵		616,887		52,377
Series 4221,Cl. HJ, 1.50%, 7/15/23		406,187		396,575
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security:
Series 2130,Cl. SC, 60.311%, 3/15/29⁵		36,609		4,805
Series 2796,Cl. SD, 50.355%, 7/15/26⁵		63,379		7,622
Series 2920,Cl. S, 14.416%, 1/15/35⁵		350,509		48,320
Series 2922,Cl. SE, 17.785%, 2/15/35⁵		20,311		2,615
Series 2981,Cl. AS, 2.173%, 5/15/35⁵		176,932		18,866
Series 3397,Cl. GS, 0.00%, 12/15/37^5,7		21,741		3,475
Series 3424,Cl. EI, 0.00%, 4/15/38^5,7		8,464		753
Series 3450,Cl. BI, 10.046%, 5/15/38⁵		61,545		8,385
Series 3606,Cl. SN, 13.852%,
12/15/39⁵		31,855		3,972
Federal National Mortgage Assn.:
2.50%, 7/1/33⁸		2,120,000		2,060,481
3.00%, 7/1/33-8/1/48⁸		4,595,000		4,491,128
3.50%, 7/1/33-8/1/48⁸		14,610,000		14,564,073
4.00%, 8/1/48⁸		3,540,000		3,603,886
4.50%, 8/1/48⁸		12,770,000		13,274,066
5.00%, 8/1/48⁸		4,950,000		5,234,166
Federal National Mortgage Assn. Pool:
5.00%, 3/1/21		971		988
5.50%, 9/1/20		986		999
6.00%, 3/1/37		106,489		117,505
6.50%, 10/1/19		11		11
7.00%, 10/1/35		8,222		8,468
7.50%, 1/1/33		49,138		56,496
8.50%, 7/1/32		1,527		1,553
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security:
Series 222,Cl. 2, 99.999%, 6/25/23⁵		88,568		10,417
Series 233,Cl. 2, 63.231%, 8/25/23⁵		56,484		7,791
Series 252,Cl. 2, 99.999%, 11/25/23⁵		75,950		10,275
Series 319,Cl. 2, 12.603%, 2/25/32⁵		21,147		4,742
Series 320,Cl. 2, 49.43%, 4/25/32⁵		7,873		1,919
Series 321,Cl. 2, 19.195%, 4/25/32⁵		77,114		18,255
Series 331,Cl. 9, 20.097%, 2/25/33⁵		91,077		18,219
Series 334,Cl. 17, 23.64%, 2/25/33⁵		49,462		12,023
Series 339,Cl. 12, 0.00%, 6/25/33^5,7		66,709		17,040
Series 339,Cl. 7, 0.00%, 11/25/33^5,7		189,064		41,720
Series 343,Cl. 13, 0.00%, 9/25/33^5,7		71,921		15,027
Series 345,Cl. 9, 0.00%, 1/25/34^5,7		64,235		14,726
Series 351,Cl. 10, 0.00%, 4/25/34^5,7		8,397		2,045
Series 351,Cl. 8, 0.00%, 4/25/34^5,7		29,961		5,893
Series 356,Cl. 10, 0.00%, 6/25/35^5,7		20,787		4,516
Series 356,Cl. 12, 0.00%, 2/25/35^5,7		11,119		2,427
Series 362,Cl. 13, 0.00%, 8/25/35^5,7		80,782		19,724
Series 364,Cl. 16, 0.00%, 9/25/35^5,7		57,486		14,026


	Principal
	Amount		Value
FHLMC/FNMA/FHLB/Sponsored (Continued)
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates:
Series 1998-61,Cl. PL, 6.00%, 11/25/28	$	33,716	$	36,475
Series 2003-100,Cl. PA, 5.00%, 10/25/18		1,278		1,277
Series 2003-130,Cl. CS, 9.918% [-2 x LIBOR01M+1,410], 12/25/33⁴		3,420		3,524
Series 2003-84,Cl. GE, 4.50%, 9/25/18		189		189
Series 2004-25,Cl. PC, 5.50%, 1/25/34		21,624		21,769
Series 2005-104,Cl. MC, 5.50%, 12/25/25		131,030		138,232
Series 2005-31,Cl. PB, 5.50%, 4/25/35		250,000		268,672
Series 2005-73,Cl. DF, 2.341% [LIBOR01M+25], 8/25/35⁴		61,165		61,397
Series 2006-11,Cl. PS, 16.899% [-3.667 x LIBOR01M+2,456.67], 3/25/36⁴		49,569		71,443
Series 2006-46,Cl. SW, 16.532% [-3.667 x LIBOR01M+2,419.92], 6/25/36⁴		33,414		45,637
Series 2006-50,Cl. KS, 16.533% [-3.667 x LIBOR01M+2,420], 6/25/36⁴		6,760		9,540
Series 2008-75,Cl. DB, 4.50%, 9/25/23		2,582		2,585
Series 2009-113,Cl. DB, 3.00%, 12/25/20		15,028		15,027
Series 2009-36,Cl. FA, 3.031% [LIBOR01M+94], 6/25/37⁴		28,568		29,229
Series 2009-70,Cl. TL, 4.00%, 8/25/19		10,565		10,564
Series 2010-43,Cl. KG, 3.00%, 1/25/21		13,263		13,271
Series 2011-15,Cl. DA, 4.00%, 3/25/41		15,628		15,570
Series 2011-3,Cl. EL, 3.00%, 5/25/20		19,780		19,764
Series 2011-3,Cl. KA, 5.00%, 4/25/40		98,258		102,333
Series 2011-38,Cl. AH, 2.75%, 5/25/20		209		209
Series 2011-82,Cl. AD, 4.00%, 8/25/26		41,309		41,411
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security:
Series 2001-65,Cl. S, 6.545%, 11/25/31⁵		80,626		15,582
Series 2001-81,Cl. S, 9.969%, 1/25/32⁵		21,147		3,481
Series 2002-47,Cl. NS, 6.007%, 4/25/32⁵		58,577		9,798
Series 2002-51,Cl. S, 6.366%, 8/25/32⁵		53,788		8,579
Series 2002-52,Cl. SD, 34.227%, 9/25/32⁵		84,564		14,383
Series 2002-77,Cl. SH, 24.894%, 12/18/32⁵		31,474		4,959
Series 2002-84,Cl. SA, 3.833%, 12/25/32⁵		77,759		12,844
Series 2002-9,Cl. MS, 9.359%, 3/25/32⁵		22,152		3,994
Series 2003-33,Cl. SP, 7.758%, 5/25/33⁵		85,242		16,638
Series 2003-4,Cl. S, 0.632%, 2/25/33⁵		46,098		8,703
Series 2003-46,Cl. IH, 0.00%, 6/25/23^5,7		134,449		12,480
Series 2004-54,Cl. DS, 49.673%, 11/25/30⁵		64,584		9,332
Series 2004-56,Cl. SE, 5.533%, 10/25/33⁵		16,375		2,736
Series 2005-12,Cl. SC, 23.542%, 3/25/35⁵		9,652		1,317
Series 2005-14,Cl. SE, 14.597%, 3/25/35⁵		32,161		3,524
Series 2005-40,Cl. SA, 22.262%, 5/25/35⁵		169,635		22,385
Series 2005-52,Cl. JH, 23.563%, 5/25/35⁵		427,228		51,177


	Principal
	Amount		Value
FHLMC/FNMA/FHLB/Sponsored (Continued)
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security: (Continued)
Series 2005-93,Cl. SI, 0.872%, 10/25/35⁵	$	39,195	$	5,170
Series 2007-88,Cl. XI, 0.00%, 6/25/37^5,7		82,680		12,314
Series 2008-55,Cl. SA, 0.00%, 7/25/38^5,7		30,481		2,728
Series 2009-8,Cl. BS, 0.00%, 2/25/24^5,7		408		20
Series 2011-96,Cl. SA, 7.845%, 10/25/41⁵		110,684		14,935
Series 2012-134,Cl. SA, 2.276%, 12/25/42⁵		403,993		67,526
Series 2012-40,Cl. PI, 6.447%, 4/25/41⁵		212,609		33,343
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Principal-Only Stripped Mtg.-Backed Security, Series 1993-184, Cl. M, 5.343%, 9/25/23⁶		32,385		29,998
Government National Mortgage Assn. II Pool, 3.50%, 7/1/48⁸		4,465,000		4,481,046
				50,899,270

GNMA/Guaranteed—4.4%
Government National Mortgage Assn. I Pool:
7.00%, 1/15/24		10,872		10,952
7.50%, 1/15/23-6/15/24		17,754		18,343
8.00%, 4/15/23		5,952		6,249
Government National Mortgage Assn. II
Pool, 4.00%, 7/1/48⁸		8,520,000		8,730,837
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security:
Series 2002-15,Cl. SM, 89.791%, 2/16/32⁵		95,282		1,000
Series 2002-76,Cl. SY, 0.00%, 12/16/26^5,7		166,819		16,782
Series 2007-17,Cl. AI, 40.736%, 4/16/37⁵		277,895		38,433
Series 2011-52,Cl. HS, 20.812%, 4/16/41⁵		133,660		15,165
				8,837,761

Non-Agency—10.9%
Commercial—5.2%
BCAP LLC Trust, Series 2011-R11,
Cl. 18A5, 3.41% [H15T1Y+210], 9/26/35^3,4		53,940		54,178
Benchmark Mortgage Trust, Interest-
Only Commercial Mtg. Pass-Through
Certificates, Series 2018-B1, Cl. XA, 13.898%, 1/15/51⁵		2,196,520		87,324
CD Mortgage Trust, Interest-Only
Commercial Mtg. Pass-Through
Certificates, Series 2017-CD6, Cl. XA, 14.496%, 11/13/50⁵		885,778		55,465
Chase Mortgage Finance Trust, Series 2005-A2, Cl. 1A3, 3.602%, 1/25/36⁹		114,436		108,365
Citigroup Commercial Mortgage Trust:
Series 2012-GC8,Cl. AAB, 2.608%, 9/10/45		106,480		105,477
Series 2013-GC17,Cl. XA, 0.00%, 11/10/46^5,7		616,969		20,356
Series 2014-GC21,Cl. AAB, 3.477%, 5/10/47		105,000		105,943
Citigroup Commercial Mortgage Trust, Interest-Only Commercial Mtg. Pass- Through Certificates, Series 2017-C4, Cl. XA, 13.828%, 10/12/50⁵		2,361,982		175,256


	Principal
	Amount		Value
Commercial (Continued)
COMM Mortgage Trust:
Series 2012-CR3,Cl. ASB, 2.372%, 10/15/45	$	21,687	$	21,406
Series 2012-LC4,Cl. A3, 3.069%, 12/10/44		41,152		41,165
Series 2013-CR13,Cl. ASB, 3.706%, 11/10/46		195,000		197,968
Series 2013-CR6,Cl. AM, 3.147%, 3/10/46³		255,000		250,098
Series 2014-CR17,Cl. ASB, 3.598%, 5/10/47		255,000		258,164
Series 2014-CR20,Cl. ASB, 3.305%, 11/10/47		70,000		70,161
Series 2014-CR21,Cl. AM, 3.987%, 12/10/47		865,000		867,476
Series 2014-LC15,Cl. AM, 4.198%, 4/10/47		140,000		142,848
Series 2014-UBS6,Cl. AM, 4.048%, 12/10/47		495,000		498,370
Series 2015-CR22,Cl. A2, 2.856%, 3/10/48		125,000		124,759
COMM Mortgage Trust, Interest-
Only Stripped Mtg.-Backed Security,
Series 2012-CR5, Cl. XA, 23.047%, 12/10/45⁵		326,148		18,448
CSMC Mortgage-Backed Trust, Series 2006-6, Cl. 1A4, 6.00%, 7/25/36		132,165		110,671
First Horizon Alternative Mortgage
Securities Trust, Series 2005-FA8,
Cl. 1A6, 2.741% [US0001M+65], 11/25/35⁴		80,053		62,259
FREMF Mortgage Trust:
Series 2010-K6,Cl. B, 5.542%, 12/25/46^3,9		60,000		61,858
Series 2013-K25,Cl. C, 3.744%, 11/25/45^3,9		60,000		58,222
Series 2013-K26,Cl. C, 3.721%, 12/25/45^3,9		40,000		38,756
Series 2013-K27,Cl. C, 3.615%, 1/25/46^3,9		110,000		106,007
Series 2013-K28,Cl. C, 3.61%, 6/25/46^3,9		450,000		444,365
Series 2013-K713,Cl. C, 3.262%, 4/25/46^3,9		145,000		144,321
Series 2014-K715,Cl. C, 4.265%, 2/25/46^3,9		35,000		34,926
GS Mortgage Securities Corp. Trust,
Series 2012-SHOP, Cl. A, 2.933%, 6/5/31³		460,000		460,615
GS Mortgage Securities Trust:
Series 2012-GC6,Cl. A3, 3.482%, 1/10/45		54,793		55,289
Series 2013-GC12,Cl. AAB, 2.678%, 6/10/46		34,422		34,062
Series 2013-GC16,Cl. AS, 4.649%, 11/10/46		65,000		68,158
Series 2014-GC18,Cl. AAB, 3.648%, 1/10/47		90,000		91,124
GSMSC Pass-Through Trust, Series 2009-3R, Cl. 1A2, 6.00%, 4/25/37^3,9		227,428		219,460
JP Morgan Chase Commercial Mortgage Securities Trust:
Series 2012-C6,Cl. ASB, 3.144%, 5/15/45		143,656		143,829
Series 2012-LC9,Cl. A4, 2.611%, 12/15/47		25,000		24,602
Series 2013-C10,Cl. AS, 3.372%, 12/15/47		325,000		320,858
Series 2013-C16,Cl. AS, 4.517%, 12/15/46		330,000		344,385


	Principal
	Amount		Value
Commercial (Continued)
JP Morgan Chase Commercial Mortgage Securities Trust: (Continued)
Series 2013-LC11,Cl. AS, 3.216%, 4/15/46	$	78,000	$	76,445
Series 2013-LC11,Cl. ASB, 2.554%, 4/15/46		51,606		50,949
Series 2014-C20,Cl. AS, 4.043%, 7/15/47		245,000		248,034
Series 2016-JP3,Cl. A2, 2.435%, 8/15/49		230,000		224,323
JP Morgan Mortgage Trust, Series 2007-A1, Cl. 5A1, 3.692%, 7/25/35⁹		93,531		96,236
JP Morgan Resecuritization Trust, Series 2009-5, Cl. 1A2, 4.278%, 7/26/36^3,9		126,756		122,022
JPMBB Commercial Mortgage Securities Trust:
Series 2013-C17,Cl. ASB, 3.705%, 1/15/47		75,000		76,088
Series 2014-C18,Cl. A3, 3.578%, 2/15/47		115,000		115,234
Series 2014-C19,Cl. ASB, 3.584%, 4/15/47		45,000		45,481
Series 2014-C24,Cl. B, 4.116%, 11/15/47⁹		270,000		271,202
Series 2014-C25,Cl. AS, 4.065%, 11/15/47		105,000		106,270
Series 2014-C26,Cl. AS, 3.80%, 1/15/48		250,000		249,185
MASTR Adjustable Rate Mortgages
Trust, Series 2004-13, Cl. 2A2, 3.809%, 4/21/34⁹		32,135		32,987
Morgan Stanley Bank of America Merrill Lynch Trust:
Series 2013-C7,Cl. AAB, 2.469%, 2/15/46		101,572		100,191
Series 2013-C9,Cl. AS, 3.456%, 5/15/46		240,000		236,075
Series 2014-C19,Cl. AS, 3.832%, 12/15/47		720,000		716,982
Morgan Stanley Capital I Trust:
Series 2011-C1,5.033%, 9/15/47^3,9		49,607		51,140
Series 2011-C2,Cl. A4, 4.661%, 6/15/44³		70,000		72,521
Morgan Stanley Capital I, Inc., Interest- Only Commercial Mtg. Pass-Through Certificates, Series 2017-HR2, Cl. XA, 12.66%, 12/15/50⁵		773,756		46,277
Morgan Stanley Re-Remic Trust, Series 2012-R3, Cl. 1B, 3.059%, 11/26/36^3,9		243,550		219,419
Morgan Stanley Resecuritization Trust, Series 2013-R9, Cl. 3A, 3.475%, 6/26/46^3,9		152,217		152,120
RBSSP Resecuritization Trust, Series 2010-1, Cl. 2A1, 3.644%, 7/26/45^3,9		16,763		17,175
Structured Adjustable Rate Mortgage
Loan Trust, Series 2004-10, Cl. 2A, 3.731%, 8/25/34⁹		163,659		164,748
UBS Commercial Mortgage Trust, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2017-C5, Cl. XA, 13.993%, 11/15/50⁵		1,524,303		102,004
Wells Fargo Commercial Mortgage Trust, Series 2015-NXS1, Cl. ASB, 2.934%, 5/15/48		355,000		350,492
Wells Fargo Commercial Mortgage Trust, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2017- C42, Cl. XA, 12.341%, 12/15/50⁵		1,077,921		73,330
WF-RBS Commercial Mortgage Trust: Series 2013-C14,Cl. AS, 3.488%, 6/15/46		155,000		153,318


	Principal Amount		Value
Commercial (Continued)
WF-RBS Commercial Mortgage Trust: (Continued)
Series 2014-C20,Cl. AS, 4.176%, 5/15/47	$	150,000	$	151,305
Series 2014-C22,Cl. A3, 3.528%, 9/15/57		45,000		45,197
Series 2014-LC14,Cl. AS, 4.351%, 3/15/47⁹		165,000		169,425
WF-RBS Commercial Mortgage Trust, Interest-Only Commercial Mtg. Pass- Through Certificates, Series 2011-C3, Cl. XA, 30.59%, 3/15/44^3,5		2,121,503		65,131
				10,628,300

Multi-Family—0.2%
Connecticut Avenue Securities:
Series 2014-C02,Cl. 1M1, 3.041% [US0001M+95], 5/25/24⁴		117,668		118,011
Series 2017-C04,Cl. 2M1, 2.941% [US0001M+85], 11/25/29⁴		295,243		296,170
				414,181

Residential—5.5%
Alternative Loan Trust, Series 2005-29CB, Cl. A4, 5.00%, 7/25/35		216,890		190,348
Banc of America Funding Trust:
Series 2007-1,Cl. 1A3, 6.00%, 1/25/37		45,176		42,460
Series 2007-C,Cl. 1A4, 3.742%, 5/20/36⁹		18,471		17,878
Series 2014-R7,Cl. 3A1, 3.822%, 3/26/36^3,9		91,653		92,333
Banc of America Mortgage Trust, Series 2004-E, Cl. 2A6, 4.393%, 6/25/34⁹		51,947		51,925
Bear Stearns ARM Trust:
Series 2005-9,Cl. A1, 3.52% [H15T1Y+230], 10/25/35⁴		421,955		427,770
Series 2006-1,Cl. A1, 3.67% [H15T1Y+225], 2/25/36⁴		153,272		154,589
CHL Mortgage Pass-Through Trust:
Series 2005-26,Cl. 1A8, 5.50%, 11/25/35		62,565		56,818
Series 2006-6,Cl. A3, 6.00%, 4/25/36		39,234		33,676
Citigroup Mortgage Loan Trust, Inc., Series 2006-AR1, Cl. 1A1, 4.28% [H15T1Y+240], 10/25/35⁴		388,918		393,793
Connecticut Avenue Securities:
Series 2014-C03,Cl. 1M2, 5.091% [US0001M+300], 7/25/24⁴		334,639		358,815
Series 2016-C03,Cl. 1M1, 4.091% [US0001M+200], 10/25/28⁴		82,053		83,183
Series 2016-C07,Cl. 2M1, 3.391% [US0001M+130], 5/25/29⁴		159,451		160,060
Series 2017-C02,Cl. 2M1, 3.241% [US0001M+115], 9/25/29⁴		442,537		445,079
Series 2017-C03,Cl. 1M1, 3.041% [US0001M+95], 10/25/29⁴		348,100		350,122
Series 2017-C06,Cl. 1M1, 2.841% [US0001M+75], 2/25/30⁴		147,572		147,814
Series 2017-C07,Cl. 1M1, 2.741% [US0001M+65], 5/25/30⁴		220,267		220,311
Series 2017-C07,Cl. 1M2, 4.491% [US0001M+240], 5/25/30⁴		225,000		229,891
Series 2017-C07,Cl. 2M1, 2.741% [US0001M+65], 5/25/30⁴		228,242		228,345
Series 2018-C01,Cl. 1M1, 2.691% [US0001M+60], 7/25/30⁴		266,266		265,969
Series 2018-C02,Cl. 2M1, 2.741% [US0001M+65], 8/25/30⁴		118,302		118,352
Series 2018-C03,Cl. 1M1, 2.771% [US0001M+68], 10/25/30⁴		271,202		271,174


	Principal Amount		Value
Residential (Continued)
Connecticut Avenue Securities: (Continued)
Series 2018-C04,Cl. 2M1, 2.852% [US0001M+75], 12/25/30^4,8	$	300,000	$	300,772
GSR Mortgage Loan Trust, Series 2005- AR4, Cl. 6A1, 4.349%, 7/25/35⁹		21,764		21,978
HomeBanc Mortgage Trust, Series 2005-3, Cl. A2, 2.401% [US0001M+31], 7/25/35⁴		25,137		25,115
RALI Trust, Series 2006-QS13, Cl. 1A8, 6.00%, 9/25/36		8,259		7,394
STACR Trust, Series 2018-DNA2, Cl. M1, 2.857% [US0001M+80], 12/25/30^3,4		445,000		445,103
Structured Agency Credit Risk Debt Nts.:
Series 2013-DN2,Cl. M2, 6.341% [US0001M+425], 11/25/23⁴		225,643		250,897
Series 2014-DN1,Cl. M2, 4.291% [US0001M+220], 2/25/24⁴		48,404		49,783
Series 2014-DN1,Cl. M3, 6.591% [US0001M+450], 2/25/24⁴		160,000		184,649
Series 2014-DN2,Cl. M3, 5.691% [US0001M+360], 4/25/24⁴		185,000		205,355
Series 2014-HQ2,Cl. M3, 5.841% [US0001M+375], 9/25/24⁴		335,000		382,589
Series 2015-HQA2,Cl. M2, 4.891% [US0001M+280], 5/25/28⁴		5,423		5,576
Series 2016-DNA1,Cl. M2, 4.991% [US0001M+290], 7/25/28⁴		43,136		44,257
Series 2016-DNA4,Cl. M1, 2.891% [US0001M+80], 3/25/29⁴		54,095		54,145
Series 2016-DNA4,Cl. M3, 5.891% [US0001M+380], 3/25/29⁴		355,000		395,538
Series 2016-HQA3,Cl. M1, 2.891% [US0001M+80], 3/25/29⁴		257,452		257,792
Series 2016-HQA3,Cl. M3, 5.941% [US0001M+385], 3/25/29⁴		120,000		133,993
Series 2016-HQA4,Cl. M1, 2.891% [US0001M+80], 4/25/29⁴		164,209		164,381
Series 2016-HQA4,Cl. M3, 5.991% [US0001M+390], 4/25/29⁴		350,000		391,391
Series 2017-HQA1,Cl. M1, 3.291% [US0001M+120], 8/25/29⁴		527,994		531,643
Series 2017-HQA2,Cl. M1, 2.891% [US0001M+80], 12/25/29⁴		201,783		202,191
Series 2017-HQA3,Cl. M1, 2.641% [US0001M+55], 4/25/30⁴		526,267		525,934
Series 2018-DNA1,Cl. M1, 2.541% [US0001M+45], 7/25/30⁴		624,577		622,129
Series 2018-DNA1,Cl. M2, 3.891% [US0001M+180], 7/25/30⁴		460,000		452,917
WaMu Mortgage Pass-Through Certificates Trust:
Series 2003-AR10,Cl. A7, 3.459%, 10/25/339		83,933		85,302
Series 2005-AR14,Cl. 1A4, 3.413%, 12/25/35⁹		87,406		88,333
Series 2005-AR16,Cl. 1A1, 3.398%, 12/25/35⁹		79,505		79,970
Wells Fargo Mortgage-Backed Securities Trust:
Series 2005-AR1,Cl. 1A1, 3.839%, 2/25/35⁹		14,448		14,822
Series 2005-AR15,Cl. 1A2, 3.552%, 9/25/35⁹		97,197		94,734
Series 2005-AR15,Cl. 1A6, 3.552%, 9/25/35⁹		186,273		180,256
Series 2005-AR4,Cl. 2A2, 3.97%, 4/25/35⁹		189,734		191,454
Series 2006-AR10,Cl. 1A1, 4.12%, 7/25/36⁹		39,164		38,432


	Principal Amount		Value
Residential (Continued)
Wells Fargo Mortgage-Backed Securities Trust: (Continued)
Series 2006-AR10,Cl. 5A5, 4.278%, 7/25/36⁹	$	143,420	$	145,749
Series 2006-AR2,Cl. 2A3, 3.822%, 3/25/36⁹		18,091		18,332
Series 2006-AR7,Cl. 2A4, 4.323%, 5/25/36⁹		110,332		113,108
Series 2006-AR8,Cl. 2A1, 3.933%, 4/25/36⁹		102,530		104,410
Series 2006-AR8,Cl. 2A4, 3.933%, 4/25/36⁹		61,187		62,309
Series 2007-16,Cl. 1A1, 6.00%, 12/28/37		29,041		29,507
				11,242,945
Total Mortgage-Backed Obligations (Cost $82,259,489)				82,022,457

U.S. Government Obligation—0.3%
United States Treasury Nts., 1.50%, 5/31/19^10,11(Cost $552,675)		552,000		547,828

Non-Convertible Corporate Bonds and Notes—32.3%
Consumer Discretionary—5.1%
Automobiles—1.5%
Daimler Finance North America LLC:
2.20% Sr. Unsec. Nts., 5/5/20³		304,000		298,225
3.75% Sr. Unsec. Nts., 2/22/28³		280,000		271,770
Ford Motor Credit Co. LLC:
2.425% Sr. Unsec. Nts., 6/12/20		236,000		231,508
3.664% Sr. Unsec. Nts., 9/8/24		232,000		222,244
General Motors Co., 6.25% Sr. Unsec. Nts., 10/2/43		82,000		85,194
General Motors Financial Co., Inc., 3.15% Sr. Unsec. Nts., 6/30/22		321,000		312,260
Harley-Davidson Financial Services, Inc., 2.40% Sr. Unsec. Nts., 6/15/20³		337,000		330,617
Harley-Davidson, Inc., 4.625% Sr. Unsec. Nts., 7/28/45		93,000		90,505
Hyundai Capital America:
1.75% Sr. Unsec. Nts., 9/27/19³		260,000		255,074
4.125% Sr. Unsec. Nts., 6/8/23³		336,000		334,522
Nissan Motor Acceptance Corp., 2.15% Sr. Unsec. Nts., 9/28/20³		225,000		219,272
Volkswagen Group of America Finance LLC, 2.45% Sr. Unsec. Nts., 11/20/19³		351,000		347,222
				2,998,413

Diversified Consumer Services—0.2%
Service Corp. International, 4.625% Sr. Unsec. Nts., 12/15/27		362,000		342,850

Hotels, Restaurants & Leisure—0.2%
Aramark Services, Inc., 5.00% Sr. Unsec. Nts., 4/1/25³		179,000		178,552
Royal Caribbean Cruises Ltd., 2.65% Sr. Unsec. Nts., 11/28/20		305,000		299,960
				478,512

Household Durables—0.7%
DR Horton, Inc., 2.55% Sr. Unsec. Nts., 12/1/20		334,000		327,523
Lennar Corp., 4.75% Sr. Unsec. Nts., 5/30/25		343,000		333,139
Newell Brands, Inc., 5.00% Sr. Unsec. Nts., 11/15/23		194,000		198,382
PulteGroup, Inc., 5.00% Sr. Unsec. Nts., 1/15/27		258,000		246,067
Toll Brothers Finance Corp.:
4.375% Sr. Unsec. Nts., 4/15/23		298,000		293,158


	Principal Amount		Value
Household Durables (Continued)
Toll Brothers Finance Corp.: (Continued) 4.875% Sr. Unsec. Nts., 3/15/27	$	45,000	$	42,188
				1,440,457

Internet & Catalog Retail—0.3%
Amazon.com, Inc., 4.95% Sr. Unsec. Nts., 12/5/44		119,000		132,451
QVC, Inc., 4.45% Sr. Sec. Nts., 2/15/25		595,000		575,702
				708,153

Media—1.0%
21st Century Fox America, Inc., 4.75% Sr. Unsec. Nts., 11/15/46		125,000		129,491
Charter Communications Operating LLC/Charter Communications Operating Capital, 5.375% Sr. Sec. Nts., 5/1/47		148,000		134,769
Comcast Cable Communications Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22		318,000		390,363
Interpublic Group of Cos., Inc. (The), 4.20% Sr. Unsec. Nts., 4/15/24		330,000		332,243
Sky plc, 3.75% Sr. Unsec. Nts., 9/16/24³		161,000		160,222
Time Warner Cable LLC, 4.50% Sr. Unsec. Unsub. Nts., 9/15/42		185,000		152,415
Viacom, Inc., 4.375% Sr. Unsec. Nts., 3/15/43		105,000		87,472
Virgin Media Secured Finance plc, 5.25% Sr. Sec. Nts., 1/15/26³		337,000		312,989
WPP Finance 2010, 3.75% Sr. Unsec. Nts., 9/19/24		371,000		358,724
				2,058,688

Multiline Retail—0.2%
Dollar Tree, Inc., 4.00% Sr. Unsec. Nts., 5/15/25		338,000		330,757

Specialty Retail—0.7%
AutoZone, Inc., 1.625% Sr. Unsec. Nts., 4/21/19		68,000		67,505
Best Buy Co., Inc., 5.50% Sr. Unsec. Nts., 3/15/21		324,000		339,816
L Brands, Inc., 5.625% Sr. Unsec. Nts., 2/15/22		333,000		339,660
Ross Stores, Inc., 3.375% Sr. Unsec. Nts., 9/15/24		344,000		339,781
Sally Holdings LLC/Sally Capital, Inc., 5.625% Sr. Unsec. Nts., 12/1/25		134,000		124,285
Signet UK Finance plc, 4.70% Sr. Unsec. Nts., 6/15/24		356,000		334,808
				1,545,855

Textiles, Apparel & Luxury Goods—0.3%
Hanesbrands, Inc., 4.875% Sr. Unsec. Nts., 5/15/26³		336,000		325,920
Levi Strauss & Co., 5.00% Sr. Unsec. Nts., 5/1/25		252,000		252,000
				577,920

Consumer Staples—2.9%
Beverages—0.9%
Anheuser-Busch InBev Finance, Inc.:
3.65% Sr. Unsec. Nts., 2/1/26		57,000		55,874
4.90% Sr. Unsec. Nts., 2/1/46		127,000		131,069
Anheuser-Busch InBev Worldwide, Inc., 8.20% Sr. Unsec. Unsub. Nts., 1/15/39		197,000		282,287
Bacardi Ltd., 4.70% Sr. Unsec. Nts., 5/15/28³		171,000		168,447
Maple Escrow Subsidiary, Inc.:
4.057% Sr. Unsec. Nts., 5/25/23³		345,000		346,664
4.597% Sr. Unsec. Nts., 5/25/28³		172,000		172,904
Molson Coors Brewing Co.:
1.45% Sr. Unsec. Nts., 7/15/19		114,000		112,227


	Principal Amount		Value
Beverages (Continued)
Molson Coors Brewing Co.: (Continued)
2.10% Sr. Unsec. Nts., 7/15/21	$	299,000	$	286,905
4.20% Sr. Unsec. Nts., 7/15/46		50,000		45,030
Pernod Ricard SA, 4.25% Sr. Unsec.
Nts., 7/15/22³		325,000		332,205
				1,933,612

Food & Staples Retailing—0.3%
Alimentation Couche-Tard, Inc., 2.35% Sr. Unsec. Nts., 12/13/19³		364,000		359,664
Kroger Co. (The):
2.00% Sr. Unsec. Nts., 1/15/19		9,000		8,958
4.45% Sr. Unsec. Nts., 2/1/47		93,000		84,845
6.90% Sr. Unsec. Nts., 4/15/38		86,000		104,260
				557,727

Food Products—1.0%
Bunge Ltd. Finance Corp.:
3.25% Sr. Unsec. Nts., 8/15/26		232,000		212,048
8.50% Sr. Unsec. Nts., 6/15/19		320,000		336,205
Campbell Soup Co., 3.30% Sr. Unsec. Nts., 3/15/21		338,000		336,795
General Mills, Inc., 4.70% Sr. Unsec. Nts., 4/17/48		109,000		104,563
Kraft Heinz Foods Co., 3.95% Sr. Unsec. Nts., 7/15/25		188,000		182,958
Lamb Weston Holdings, Inc., 4.875% Sr. Unsec. Nts., 11/1/26³		334,000		325,650
Smithfield Foods, Inc.: 2.70% Sr. Unsec. Nts., 1/31/20³		148,000		145,927
3.35% Sr. Unsec. Nts., 2/1/22³		183,000		176,812
Tyson Foods, Inc., 3.55% Sr. Unsec. Nts., 6/2/27		182,000		172,442
				1,993,400

Tobacco—0.7%
Altria Group, Inc., 4.00% Sr. Unsec. Nts., 1/31/24		238,000		241,069
BAT Capital Corp.:
2.297% Sr. Unsec. Nts., 8/14/20³		351,000		343,591
3.557% Sr. Unsec. Nts., 8/15/27³		177,000		164,933
Imperial Tobacco Finance plc, 2.95% Sr. Unsec. Nts., 7/21/20³		350,000		346,549
Philip Morris International, Inc., 2.50% Sr. Unsec. Nts., 11/2/22		313,000		300,373
				1,396,515

Energy—2.4%
Energy Equipment & Services—0.3%
Halliburton Co., 5.00% Sr. Unsec. Nts., 11/15/45		75,000		80,147
Helmerich & Payne International Drilling Co., 4.65% Sr. Unsec. Nts., 3/15/25		201,000		207,765
Schlumberger Holdings Corp., 4.00% Sr. Unsec. Nts., 12/21/25³		196,000		195,596
				483,508

Oil, Gas & Consumable Fuels—2.1%
Anadarko Petroleum Corp.:
4.50% Sr. Unsec. Nts., 7/15/44		72,000		67,247
6.20% Sr. Unsec. Nts., 3/15/40		56,000		63,249
Andeavor, 5.125% Sr. Unsec. Nts., 12/15/26		299,000		313,190
Andeavor Logistics LP/Tesoro Logistics Finance Corp.:
4.25% Sr. Unsec. Nts., 12/1/27		177,000		170,612
5.25% Sr. Unsec. Nts., 1/15/25		120,000		123,136
Apache Corp., 4.75% Sr. Unsec. Nts., 4/15/43		101,000		96,171
Buckeye Partners LP, 3.95% Sr. Unsec. Nts., 12/1/26		89,000		80,864


	Principal Amount		Value
Oil, Gas & Consumable Fuels (Continued)
Columbia Pipeline Group, Inc.:
3.30% Sr. Unsec. Nts., 6/1/20	$	324,000	$	322,795
4.50% Sr. Unsec. Nts., 6/1/25		168,000		168,386
ConocoPhillips Co.:
4.95% Sr. Unsec. Nts., 3/15/26		37,000		39,928
5.95% Sr. Unsec. Nts., 3/15/46		75,000		93,594
Devon Energy Corp., 4.75% Sr. Unsec. Nts., 5/15/42		79,000		77,340
Energy Transfer Partners LP, 5.30% Sr. Unsec. Nts., 4/15/47		100,000		91,740
Enterprise Products Operating LLC:
4.85% Sr. Unsec. Nts., 8/15/42		80,000		80,089
4.90% Sr. Unsec. Nts., 5/15/46		32,000		32,158
EQT Corp., 2.50% Sr. Unsec. Nts., 10/1/20		353,000		345,079
Kinder Morgan, Inc.:
5.20% Sr. Unsec. Nts., 3/1/48		86,000		83,391
5.55% Sr. Unsec. Nts., 6/1/45		147,000		148,930
Noble Energy, Inc., 5.05% Sr. Unsec. Nts., 11/15/44		93,000		93,208
ONEOK Partners LP, 8.625% Sr. Unsec. Nts., 3/1/19		203,000		210,147
Pioneer Natural Resources Co., 3.45% Sr. Unsec. Nts., 1/15/21		347,000		347,917
Sabine Pass Liquefaction LLC:
4.20% Sr. Sec. Nts., 3/15/28		180,000		173,370
5.625% Sr. Sec. Nts., 2/1/21		260,000		272,058
Shell International Finance BV, 4.00% Sr. Unsec. Nts., 5/10/46		115,000		111,558
Sunoco Logistics Partners Operations LP, 4.00% Sr. Unsec. Nts., 10/1/27		198,000		185,309
TransCanada PipeLines Ltd., 7.625% Sr. Unsec. Nts., 1/15/39		76,000		99,898
Williams Cos., Inc. (The), 3.70% Sr. Unsec. Unsub. Nts., 1/15/23		334,000		324,815
Williams Partners LP, 3.75% Sr. Unsec. Nts., 6/15/27		140,000		132,389
				4,348,568

Financials—9.0%
Capital Markets—1.8%
Apollo Management Holdings LP, 4.00% Sr. Unsec. Nts., 5/30/24³		195,000		193,861
Blackstone Holdings Finance Co. LLC, 3.15% Sr. Unsec. Nts., 10/2/27³		127,000		119,268
Brookfield Asset Management, Inc., 4.00% Sr. Unsec. Nts., 1/15/25		269,000		266,231
Credit Suisse AG (New York), 3.625% Sr. Unsec. Nts., 9/9/24		197,000		194,271
Credit Suisse Group Funding Guernsey Ltd., 4.55% Sr. Unsec. Nts., 4/17/26		154,000		154,188
E*TRADE Financial Corp., 5.875% [US0003M+443.5] Jr. Sub. Perpetual Bonds^4,12		327,000		333,540
Goldman Sachs Group, Inc. (The):
3.50% Sr. Unsec. Nts., 11/16/26		180,000		169,720
3.75% Sr. Unsec. Nts., 2/25/26		178,000		172,690
3.814% [US0003M+115.8] Sr. Unsec. Nts., 4/23/29⁴		286,000		272,027
4.017% [US0003M+137.3] Sr. Unsec. Nts., 10/31/38⁴		144,000		131,373
Morgan Stanley:
4.375% Sr. Unsec. Nts., 1/22/47		232,000		221,899
5.00% Sub. Nts., 11/24/25		276,000		286,461
MSCI, Inc., 4.75% Sr. Unsec. Nts., 8/1/26³		338,000		327,860
Northern Trust Corp., 3.375% [US0003M+113.1] Sub. Nts., 5/8/32⁴		125,000		117,515


	Principal Amount	Value
Capital Markets (Continued)
Raymond James Financial, Inc., 3.625% Sr. Unsec. Nts., 9/15/26	$ 165,000	$	158,674
TD Ameritrade Holding Corp., 3.30% Sr. Unsec. Nts., 4/1/27	208,000		198,621
UBS Group Funding Switzerland AG:
4.125% Sr. Unsec. Nts., 4/15/26³	160,000		158,453
4.253% Sr. Unsec. Nts., 3/23/28³	147,000		146,161
			3,622,813

Commercial Banks—4.4%
ABN AMRO Bank NV, 4.40% [USSW5+219.7] Sub. Nts., 3/27/28⁴	329,000		323,142
Australia & New Zealand Banking Group Ltd. (New York), 2.625% Sr. Unsec. Nts., 5/19/22	273,000		263,969
Banco Santander SA, 4.379% Sr. Unsec. Nts., 4/12/28	200,000		191,524
Bank of America Corp.:
3.248% Sr. Unsec. Nts., 10/21/27	277,000		258,359
3.366% [US0003M+81] Sr. Unsec. Nts., 1/23/26⁴	286,000		275,355
3.824% [US0003M+157.5] Sr. Unsec. Nts., 1/20/28⁴	191,000		186,444
7.75% Jr. Sub. Nts., 5/14/38	239,000		324,592
Barclays plc, 4.375% Sr. Unsec. Nts., 1/12/26	338,000		329,113
BB&T Corp., 2.85% Sr. Unsec. Nts., 10/26/24	266,000		252,495
BNP Paribas SA, 4.625% Sub. Nts., 3/13/27³	198,000		194,617
BPCE SA, 4.50% Sub. Nts., 3/15/25³	199,000		194,224
Citigroup, Inc.:
4.075% [US0003M+119.2] Sr. Unsec. Nts., 4/23/29⁴	269,000		264,234
4.281% [US0003M+183.9] Sr. Unsec. Nts., 4/24/48⁴	356,000		337,768
Citizens Bank NA (Providence RI):
2.55% Sr. Unsec. Nts., 5/13/21	163,000		159,080
2.65% Sr. Unsec. Nts., 5/26/22	68,000		65,799
Commonwealth Bank of Australia, 3.15% Sr. Unsec. Nts., 9/19/27³	255,000		238,399
Compass Bank, 2.875% Sr. Unsec. Nts., 6/29/22	308,000		297,526
Credit Agricole SA, 4.375% Sub. Nts., 3/17/25³	333,000		322,630
Fifth Third Bank (Cincinnati OH), 3.85% Sub. Nts., 3/15/26	176,000		173,331
First Republic Bank, 4.375% Sub. Nts., 8/1/46	137,000		131,477
HSBC Holdings plc:
3.95% [US0003M+98.72] Sr. Unsec. Nts., 5/18/24⁴	109,000		108,769
4.041% [US0003M+154.6] Sr. Unsec. Nts., 3/13/28⁴	135,000		131,152
4.583% [US0003M+153.46] Sr. Unsec. Nts., 6/19/29⁴	183,000		184,983
Huntington Bancshares, Inc.:
3.15% Sr. Unsec. Nts., 3/14/21	162,000		161,185
4.00% Sr. Unsec. Nts., 5/15/25	334,000		335,412
Intesa Sanpaolo SpA, 3.875% Sr. Unsec. Nts., 7/14/27³	243,000		209,983
JPMorgan Chase & Co.:
3.54% [US0003M+138] Sr. Unsec. Nts., 5/1/28⁴	272,000		260,605
3.782% [US0003M+133.7] Sr. Unsec. Nts., 2/1/28⁴	498,000		485,543
Lloyds Banking Group plc, 6.657% [US0003M+127] Jr. Sub. Perpetual Bonds^4,12,13	400,000		428,112


	Principal Amount	Value
Commercial Banks (Continued)
PNC Financial Services Group, Inc. (The), 3.15% Sr. Unsec. Nts., 5/19/27	$ 253,000	$	240,679
Regions Bank (Birmingham AL), 2.75% Sr. Unsec. Nts., 4/1/21	238,000		234,500
Regions Financial Corp., 2.75% Sr. Unsec. Nts., 8/14/22	187,000		180,545
Royal Bank of Scotland Group plc, 3.498% [US0003M+148] Sr. Unsec. Nts., 5/15/23⁴	202,000		195,800
SunTrust Bank (Atlanta GA), 3.30% Sub. Nts., 5/15/26	118,000		111,497
Synovus Financial Corp., 3.125% Sr. Unsec. Nts., 11/1/22	194,000		185,512
US Bancorp:
3.10% Sub. Nts., 4/27/26	210,000		198,204
3.15% Sr. Unsec. Nts., 4/27/27	65,000		62,180
Wells Fargo & Co.:
3.584% [US0003M+131] Sr. Unsec. Nts., 5/22/28⁴	277,000		265,599
4.75% Sub. Nts., 12/7/46	172,000		166,691
			8,931,029

Consumer Finance—0.5%
American Express Co., 2.50% Sr. Unsec. Nts., 8/1/22	111,000		106,514
American Express Credit Corp., 3.30% Sr. Unsec. Nts., 5/3/27	209,000		201,550
Capital One Financial Corp., 3.75% Sr. Unsec. Nts., 3/9/27	111,000		105,268
Discover Financial Services:
3.75% Sr. Unsec. Nts., 3/4/25	143,000		136,702
4.10% Sr. Unsec. Nts., 2/9/27	133,000		127,753
Electricite de France SA, 6.50% Sr. Unsec. Nts., 1/26/19³	259,000		264,353
			942,140

Diversified Financial Services—0.4%
Berkshire Hathaway Energy Co.:
2.00% Sr. Unsec. Nts., 11/15/18	115,000		114,767
3.80% Sr. Unsec. Nts., 7/15/48	81,000		74,490
Peachtree Corners Funding Trust, 3.976% Sr. Unsec. Nts., 2/15/25³	126,000		122,735
Precision Castparts Corp., 2.50% Sr. Unsec. Nts., 1/15/23	212,000		204,399
Voya Financial, Inc., 5.65% [US0003M+358] Jr. Sub. Nts., 5/15/53⁴	325,000		327,437
			843,828

Insurance—1.0%
AXA Equitable Holdings, Inc., 4.35% Sr. Unsec. Nts., 4/20/28³	181,000		173,301
AXIS Specialty Finance plc, 5.15% Sr. Unsec. Nts., 4/1/45	179,000		176,101
Boardwalk Pipelines LP, 4.95% Sr. Unsec. Nts., 12/15/24	162,000		165,077
Brighthouse Financial, Inc., 3.70% Sr. Unsec. Nts., 6/22/27	68,000		60,629
CNA Financial Corp., 3.45% Sr. Unsec. Nts., 8/15/27	255,000		236,606
Hartford Financial Services Group, Inc. (The), 4.40% Sr. Unsec. Nts., 3/15/48	209,000		201,831
Lincoln National Corp., 3.80% Sr. Unsec. Nts., 3/1/28	207,000		198,109
Manulife Financial Corp., 4.061% [USISDA05+164.7] Sub. Nts., 2/24/32⁴	208,000		197,667
Marsh & McLennan Cos., Inc., 4.35% Sr. Unsec. Nts., 1/30/47	113,000		112,766
Nuveen Finance LLC, 4.125% Sr. Unsec. Nts., 11/1/24³	332,000		330,491


	Principal Amount		Value
Insurance (Continued)
Prudential Financial, Inc., 5.20% [US0003M+304] Jr. Sub. Nts., 3/15/44⁴	$	256,000	$	255,360
				2,107,938

Real Estate Investment Trusts (REITs)—0.9%
American Tower Corp.:
2.80% Sr. Unsec. Nts., 6/1/20		281,000		278,706
3.00% Sr. Unsec. Nts., 6/15/23		274,000		262,940
3.60% Sr. Unsec. Nts., 1/15/28		181,000		167,974
Crown Castle International Corp., 3.65% Sr. Unsec. Nts., 9/1/27		176,000		163,958
Digital Realty Trust LP:
3.40% Sr. Unsec. Nts., 10/1/20		30,000		30,035
5.875% Sr. Unsec. Nts., 2/1/20		125,000		129,363
HCP, Inc., 2.625% Sr. Unsec. Nts., 2/1/20		348,000		343,969
Lamar Media Corp., 5.75% Sr. Unsec. Nts., 2/1/26		325,000		331,906
VEREIT Operating Partnership LP, 3.00% Sr. Unsec. Nts., 2/6/19		134,000		133,956
				1,842,807

Health Care—2.8%
Biotechnology—0.6%
AbbVie, Inc.:
3.60% Sr. Unsec. Nts., 5/14/25		210,000		203,631
4.70% Sr. Unsec. Nts., 5/14/45		64,000		63,681
Amgen, Inc., 4.563% Sr. Unsec. Nts., 6/15/48		120,000		117,850
Biogen, Inc., 5.20% Sr. Unsec. Nts., 9/15/45		82,000		87,106
Celgene Corp.:
3.875% Sr. Unsec. Nts., 8/15/25		202,000		196,537
5.00% Sr. Unsec. Nts., 8/15/45		41,000		40,263
Gilead Sciences, Inc., 4.75% Sr. Unsec. Nts., 3/1/46		143,000		147,827
Shire Acquisitions Investments Ireland DAC, 1.90% Sr. Unsec. Nts., 9/23/19		376,000		370,362
				1,227,257

Health Care Equipment & Supplies—0.6%
Abbott Laboratories:
2.35% Sr. Unsec. Nts., 11/22/19		64,000		63,645
3.75% Sr. Unsec. Nts., 11/30/26		300,000		295,297
Becton Dickinson & Co.:
2.404% Sr. Unsec. Nts., 6/5/20		226,000		222,039
3.70% Sr. Unsec. Nts., 6/6/27		268,000		253,866
Edwards Lifesciences Corp., 4.30% Sr. Unsec. Nts., 6/15/28		171,000		170,997
Hologic, Inc., 4.375% Sr. Unsec. Nts., 10/15/25³		15,000		14,363
Medtronic, Inc., 4.625% Sr. Unsec. Nts., 3/15/45		145,000		153,942
				1,174,149

Health Care Providers & Services—0.8%
Cigna Corp., 5.125% Sr. Unsec. Nts., 6/15/20		303,000		312,768
CVS Health Corp.:
2.125% Sr. Unsec. Nts., 6/1/21		356,000		342,432
5.05% Sr. Unsec. Nts., 3/25/48		308,000		312,270
Fresenius Medical Care US Finance II, Inc., 5.875% Sr. Unsec. Nts., 1/31/22³		450,000		477,357
UnitedHealth Group, Inc., 2.75% Sr. Unsec. Nts., 2/15/23		275,000		266,300
				1,711,127

Life Sciences Tools & Services—0.4%
IQVIA, Inc., 5.00% Sr. Unsec. Nts., 10/15/26³		330,000		322,575


	Principal Amount		Value
Life Sciences Tools & Services (Continued)
Life Technologies Corp., 6.00% Sr. Unsec. Nts., 3/1/20	$	259,000	$	270,065
Thermo Fisher Scientific, Inc., 4.15% Sr. Unsec. Nts., 2/1/24		132,000		134,089
				726,729

Pharmaceuticals—0.4%
Allergan Funding SCS, 3.00% Sr. Unsec. Nts., 3/12/20		348,000		346,400
Bayer US Finance II LLC:
3.875% Sr. Unsec. Nts., 12/15/23³		335,000		335,297
4.375% Sr. Unsec. Nts., 12/15/28³		242,000		242,863
				924,560

Industrials—2.2%
Aerospace & Defense—0.5%
BAE Systems Holdings, Inc., 3.85% Sr. Unsec. Nts., 12/15/25³		270,000		267,229
Huntington Ingalls Industries, Inc., 3.483% Sr. Unsec. Nts., 12/1/27		190,000		179,037
L3 Technologies, Inc., 3.85% Sr. Unsec. Nts., 6/15/23		335,000		334,562
Northrop Grumman Corp., 4.75% Sr. Unsec. Nts., 6/1/43		190,000		198,356
				979,184

Air Freight & Couriers—0.1%
CH Robinson Worldwide, Inc., 4.20% Sr. Unsec. Nts., 4/15/28		169,000		166,278
FedEx Corp., 4.40% Sr. Unsec. Nts., 1/15/47		69,000		65,537
				231,815

Building Products—0.1%
Allegion US Holding Co., Inc., 3.55% Sec. Nts., 10/1/27		284,000		263,183

Electrical Equipment—0.2%
Sensata Technologies BV, 4.875% Sr. Unsec. Nts., 10/15/23³		345,000		348,019

Industrial Conglomerates—0.2%
GE Capital International Funding Co. Unlimited Co., 3.373% Sr. Unsec. Nts., 11/15/25		107,000		102,879
Roper Technologies, Inc., 3.00% Sr. Unsec. Nts., 12/15/20		288,000		286,195
				389,074

Machinery—0.5%
CNH Industrial NV, 3.85% Sr. Unsec. Nts., 11/15/27		189,000		176,323
Fortive Corp., 1.80% Sr. Unsec. Nts., 6/15/19		346,000		342,255
John Deere Capital Corp., 2.70% Sr. Unsec. Nts., 1/6/23		152,000		148,379
Nvent Finance Sarl, 4.55% Sr. Unsec. Nts., 4/15/28³		176,000		172,956
Wabtec Corp., 3.45% Sr. Unsec. Nts., 11/15/26		144,000		133,250
				973,163

Road & Rail—0.3%
Penske Truck Leasing Co. LP/PTL Finance Corp., 3.40% Sr. Unsec. Nts., 11/15/26³		284,000		265,208
Ryder System, Inc., 3.75% Sr. Unsec. Nts., 6/9/23		335,000		334,995
				600,203

Trading Companies & Distributors—0.3%
Air Lease Corp.:
3.25% Sr. Unsec. Nts., 3/1/25		108,000		100,078


	Principal Amount		Value
Trading Companies & Distributors (Continued)
Air Lease Corp.: (Continued) 3.625% Sr. Unsec. Nts., 4/1/27	$	112,000	$	102,838
GATX Corp., 3.50% Sr. Unsec. Nts., 3/15/28		285,000		263,697
United Rentals North America, Inc., 4.625% Sr. Unsec. Nts., 10/15/25		178,000		169,990
				636,603

Information Technology—2.2%
Communications Equipment—0.1%
Motorola Solutions, Inc., 4.60% Sr. Unsec. Nts., 2/23/28		256,000		255,004

Electronic Equipment, Instruments, & Components—0.3%
Arrow Electronics, Inc., 3.875% Sr. Unsec. Nts., 1/12/28		248,000		232,763
CDW LLC/CDW Finance Corp., 5.50% Sr. Unsec. Nts., 12/1/24		58,000		59,450
Tech Data Corp., 4.95% Sr. Unsec. Nts., 2/15/27		271,000		266,355
				558,568

Internet Software & Services—0.2%
VeriSign, Inc.:
4.75% Sr. Unsec. Nts., 7/15/27		189,000		181,147
5.25% Sr. Unsec. Nts., 4/1/25		105,000		106,806
				287,953

IT Services—0.3%
DXC Technology Co.:
2.875% Sr. Unsec. Nts., 3/27/20		261,000		259,230
4.75% Sr. Unsec. Nts., 4/15/27		254,000		256,980
Fidelity National Information Services, Inc., 4.25% Sr. Unsec. Nts., 5/15/28		171,000		171,730
				687,940

Semiconductors & Semiconductor Equipment—0.2%
Intel Corp., 3.734% Sr. Unsec. Nts., 12/8/47		99,000		93,431
Microchip Technology, Inc., 3.922% Sr. Sec. Nts., 6/1/21³		335,000		335,760
				429,191

Software—0.7%
Autodesk, Inc., 4.375% Sr. Unsec. Nts., 6/15/25		104,000		104,848
Dell International LLC/EMC Corp.:
4.42% Sr. Sec. Nts., 6/15/21³		283,000		287,208
6.02% Sr. Sec. Nts., 6/15/26³		213,000		224,266
Open Text Corp., 5.625% Sr. Unsec.
Nts., 1/15/23³		174,000		178,790
Oracle Corp.:
2.40% Sr. Unsec. Nts., 9/15/23		214,000		201,939
2.95% Sr. Unsec. Nts., 5/15/25		211,000		201,613
VMware, Inc.:
2.30% Sr. Unsec. Nts., 8/21/20		108,000		105,721
3.90% Sr. Unsec. Nts., 8/21/27		170,000		157,210
				1,461,595

Technology Hardware, Storage & Peripherals—0.4%
Apple, Inc., 4.375% Sr. Unsec. Nts., 5/13/45		207,000		214,510
Hewlett Packard Enterprise Co., 3.60% Sr. Unsec. Nts., 10/15/20		342,000		343,817
NetApp, Inc., 2.00% Sr. Unsec. Nts., 9/27/19		160,000		157,810
				716,137

Materials—1.9%
Chemicals—0.7%
LyondellBasell Industries NV, 5.00% Sr.
Unsec. Nts., 4/15/19		255,000		257,557


	Principal Amount		Value
Chemicals (Continued)
Nutrien Ltd.:
3.375% Sr. Unsec. Nts., 3/15/25	$	104,000	$ 98,005
4.125% Sr. Unsec. Nts., 3/15/35		87,000	80,835
PolyOne Corp., 5.25% Sr. Unsec. Nts., 3/15/23		308,000	314,930
RPM International, Inc.: 3.45% Sr. Unsec. Unsub. Nts., 11/15/22		304,000	299,686
3.75% Sr. Unsec. Nts., 3/15/27		91,000	86,875
Yara International ASA, 4.75% Sr. Unsec. Nts., 6/1/28³		254,000	255,734
			1,393,622

Construction Materials—0.2%
James Hardie International Finance DAC, 4.75% Sr. Unsec. Nts., 1/15/25³		209,000	204,820
LafargeHolcim Finance US LLC, 3.50% Sr. Unsec. Nts., 9/22/26³		80,000	74,647
Martin Marietta Materials, Inc., 3.50% Sr. Unsec. Nts., 12/15/27		171,000	158,922
			438,389

Containers & Packaging—0.6%
International Paper Co.:
3.00% Sr. Unsec. Nts., 2/15/27		150,000	135,983
4.80% Sr. Unsec. Nts., 6/15/44		142,000	138,047
Packaging Corp. of America: 3.65% Sr. Unsec. Nts., 9/15/24		113,000	111,116
4.50% Sr. Unsec. Nts., 11/1/23		253,000	261,639
Silgan Holdings, Inc., 4.75% Sr. Unsec. Nts., 3/15/25		290,000	276,950
WestRock Co., 4.00% Sr. Unsec. Nts., 3/15/28³		163,000	160,913
			1,084,648

Metals & Mining—0.3%
Anglo American Capital plc: 3.625% Sr. Unsec. Nts., 9/11/24³		86,000	81,480
4.00% Sr. Unsec. Nts., 9/11/27³		140,000	130,490
ArcelorMittal, 6.125% Sr. Unsec. Nts., 6/1/25		305,000	330,163
Goldcorp, Inc., 5.45% Sr. Unsec. Nts., 6/9/44		96,000	101,799
			643,932

Paper & Forest Products—0.1%
Georgia-Pacific LLC, 3.734% Sr. Unsec. Nts., 7/15/23³		65,000	65,312
Louisiana-Pacific Corp., 4.875% Sr. Unsec. Nts., 9/15/24		199,000	196,015
			261,327

Telecommunication Services—1.7%
Diversified Telecommunication Services—1.4%
AT&T, Inc.: 4.30% Sr. Unsec. Nts., 2/15/30³		331,000	313,667
4.35% Sr. Unsec. Nts., 6/15/45		189,000	160,763
4.50% Sr. Unsec. Nts., 3/9/48		142,000	122,348
British Telecommunications plc, 9.125% Sr. Unsec. Nts., 12/15/30		284,000	406,576
Deutsche Telekom International Finance BV: 2.225% Sr. Unsec. Nts., 1/17/20³		355,000	350,086
4.375% Sr. Unsec. Nts., 6/21/28³		160,000	158,988
Telecom Italia SpA, 5.303% Sr. Unsec. Nts., 5/30/24³		322,000	318,780
Telefonica Emisiones SAU: 4.103% Sr. Unsec. Nts., 3/8/27		98,000	94,911
5.213% Sr. Unsec. Nts., 3/8/47		123,000	118,904
7.045% Sr. Unsec. Unsub. Nts., 6/20/36		125,000	150,580
T-Mobile USA, Inc., 6.50% Sr. Unsec. Nts., 1/15/26		317,000	327,207

3. Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $29,075,048 or 14.29% of the Fund’s net assets at period end.

4. Represents the current interest rate for a variable or increasing rate security, determined as [Referenced Rate + Basis-point spread].

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 $1,443,568 or 0.71% of the Fund’s net assets at period end.

6. Principal-Only Strips represent the right to receive the monthly principal payments on an underlying pool of mortgage loans. The value of these securities generally increases as interest rates decline and prepayment rates rise. The price of these securities is typically more volatile than that of coupon-bearing bonds of the same maturity. Interest rates disclosed represent current yields based upon the current cost basis and estimated timing of future cash flows. These securities amount to $43,000 or 0.02% of the Fund’s net assets at period end.

8. 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.

9. This interest rate resets periodically. Interest rate shown reflects the rate in effect at period end. The rate on this variable rate security is not based on a published reference rate and spread but is determined by the issuer or agent based on current market conditions.

10. All or a portion of the security position is held in accounts at a futures clearing merchant and pledged to cover margin requirements on open futures contracts and written options on futures, if applicable. The aggregate market value of such securities is $140,927. See Note 5 of the accompanying Notes.

11. All or a portion of the security position has been pledged for collateral in association with forward roll transactions. See Note 4 of the accompanying Notes.

12. This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest.

13. Restricted security. The aggregate value of restricted securities at period end was $428,112, which represents 0.21% of the Fund’s net assets. See Note 4 of the accompanying Notes. Information concerning restricted securities is as follows:

15. 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:

1. Per share amounts calculated based on the average shares outstanding during the period.

5. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:

6. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:

1. Per share amounts calculated based on the average shares outstanding during the period.

5. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:

6. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:

Oppenheimer Conservative Balanced 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 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 books and records of the Fund are maintained in U.S. dollars. Any foreign currency amounts are translated into U.S. dollars on the following basis:

(1) Value of investment securities, other assets and liabilities — at the exchange rates prevailing at market close as described in Note 3.

(2) Purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.

Although the net assets and the values are presented at the foreign exchange rates at market close, the Fund does not isolate the portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in prices of securities held. Such fluctuations are included with the net realized and unrealized gains or losses from investments shown in the Statement of Operations.

For securities, which are subject to foreign withholding tax upon disposition, realized and unrealized gains or losses on such securities are recorded net of foreign withholding tax.

Reported net realized foreign exchange gains or losses arise from sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, the difference between the amounts of dividends, interest, and foreign withholding tax reclaims recorded on the Fund’s books, and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities other than investments in securities, resulting from changes in the exchange rate.

Return of Capital Estimates. Distributions received from the Fund’s investments in Master Limited Partnerships (MLPs) and Real Estate Investments Trusts (REITs), generally are comprised of income and return of capital. The Fund records investment income and return of capital based on estimates. Such estimates are based on historical information available from each MLP, REIT and other industry sources. These estimates may subsequently be revised based on information received from MLPs and REITs after their tax reporting periods are concluded.

expenses” line item, if applicable, represents earnings on cash balances maintained by the Fund during the period. Such interest expense and other custodian fees may be paid with these earnings.

Security Transactions. Security transactions are recorded on the trade date. Realized gains and losses on securities sold are determined on the basis of identified cost.

During the fiscal year ended December 31, 2017, the Fund utilized $5,261,675 of capital loss carryforwards to offset capital gains realized in that fiscal year. Capital losses will be carried forward to future years if not offset by gains.

Certain foreign countries impose a tax on capital gains which is accrued by the Fund based on unrealized appreciation, if any, on affected securities. The tax is paid when the gain is realized.

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

Corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, short-term notes, 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. Pricing services generally price debt securities assuming orderly transactions of an institutional “round lot” size, but some trades may occur in smaller, “odd lot” sizes, sometimes at lower prices than institutional round lot trades. Standard inputs generally considered by third-party pricing vendors include reported trade data, broker-dealer price quotations, benchmark yields, issuer spreads on comparable securities, the credit quality, yield, maturity, as well as other appropriate factors.

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.

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 that are included in the Fund’s Statement of Assets and Liabilities at period end based on valuation input level:

The table below shows the transfers between Level 2 and Level 3. The Fund’s policy is to recognize transfers in and transfers out as of the beginning of the reporting period.

* Transferred from Level 3 to Level 2 due to the presence of a readily available unadjusted quoted market price.

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.

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.

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

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

At period end, the Fund pledged $32,751 of collateral to the counterparty for forward roll transactions.

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.

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.

Shareholder Concentration. At period end, one shareholder owned 20% or more of the Fund’s total outstanding shares.

The shareholder is a related party of the Fund. Related parties may include, but are not limited to, the investment manager and its affiliates, affiliated broker dealers, fund of funds, and directors or employees. The related party owned 30% of the Fund’s total outstanding shares at period end.

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.

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 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. The net change in unrealized appreciation and depreciation is reported in the Statement of Operations. Realized gains (losses) are reported in the Statement of Operations at the closing or expiration of futures contracts.

The Fund may purchase and/or sell financial futures contracts and options on futures contracts to gain exposure to, or decrease exposure to interest rate risk, equity risk, foreign exchange rate risk, volatility risk, or commodity risk.

During the reporting period, the Fund had an ending monthly average market value of $9,962,583 and $50,073,599 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.

The Fund may enter into swap contract agreements with a counterparty to exchange a series of cash flows based on either specified reference rates,

the price or volatility of asset or non-asset references, or the occurrence of a credit event, over a specified period. Swaps can be executed in a bi-lateral privately negotiated arrangement with a dealer in an OTC transaction (“OTC swaps”) or executed on a regulated market. Certain swaps, regardless of the venue of their execution, are required to be cleared through a clearinghouse (“centrally cleared swaps”). Swap contracts may include interest rate, equity, debt, index, total return, credit default, currency, and volatility swaps.

Swap contracts are reported on a schedule following the Statement of Investments. The values of centrally cleared swap and OTC swap contracts are aggregated by positive and negative values and disclosed separately on the Statement of Assets and Liabilities. The unrealized appreciation (depreciation) related to the change in the valuation of the notional amount of the swap is combined with the accrued interest due to (owed by) the Fund, if any, at termination or settlement. The net change in this amount during the period is included on the Statement of Operations. The Fund also records any periodic payments received from (paid to) the counterparty, including at termination, under such contracts as realized gain (loss) on the Statement of Operations.

Swap contract agreements are exposed to the market risk factor of the specific underlying reference rate or asset. Swap contracts are typically more attractively priced compared to similar investments in related cash securities because they isolate the risk to one market risk factor and eliminate the other market risk factors. Investments in cash securities (for instance bonds) have exposure to multiple risk factors (credit and interest rate risk). Because swaps have embedded leverage, they can expose the Fund to substantial risk in the isolated market risk factor.

Credit Default Swap Contracts. A credit default swap is a contract that enables an investor to buy or sell protection against a defined-issuer credit event, such as the issuer’s failure to make timely payments of interest or principal on a debt security, bankruptcy or restructuring. The Fund may enter into credit default swaps either by buying or selling protection on a corporate issuer, sovereign issuer, or a basket or index of issuers (the “reference asset”).

The buyer of protection pays a periodic fee to the seller of protection based on the notional amount of the swap contract. The seller of protection agrees to compensate the buyer of protection for future potential losses as a result of a credit event on the reference asset. The contract effectively transfers the credit event risk of the reference asset from the buyer of protection to the seller of protection.

The ongoing value of the contract will fluctuate throughout the term of the contract based primarily on the credit risk of the reference asset. If the credit quality of the reference asset improves relative to the credit quality at contract initiation, the buyer of protection may have an unrealized loss greater than the anticipated periodic fee owed. This unrealized loss would be the result of current credit protection being cheaper than the cost of credit protection at contract initiation. If the buyer elects to terminate the contract prior to its maturity, and there has been no credit event, this unrealized loss will become realized. If the contract is held to maturity, and there has been no credit event, the realized loss will be equal to the periodic fee paid over the life of the contract.

If there is a credit event, the buyer of protection can exercise its rights under the contract and receive a payment from the seller of protection equal to the notional amount of the swap less the market value of specified debt securities issued by the reference asset. Upon exercise of the contract the difference between such value and the notional amount is recorded as realized gain (loss) and is included on the Statement of Operations.

The Fund may purchase or sell credit protection through credit default swaps to increase or decrease exposure to the credit risk of individual issuers and/or indexes of issuers that are either unavailable or considered to be less attractive in the bond market.

For the reporting period, the Fund had ending monthly average notional amounts of $89,286 on credit default swaps to sell protection.

Additional associated risks to the Fund include counterparty credit risk and liquidity risk.

The Fund may enter into a swaption contract which grants the purchaser the right, but not the obligation, to enter into a swap transaction at preset terms detailed in the underlying agreement within a specified period of time. The purchaser pays a premium to the swaption writer who bears the risk of unfavorable changes in the preset terms on the underlying swap.

Purchased swaptions are reported as a component of investments in the Statement of Investments and the Statement of Assets and Liabilities. Written swaptions are reported on a schedule following the Statement of Investments and their value is reported as a separate asset or liability line item in the Statement of Assets and Liabilities. The net change in unrealized appreciation or depreciation on written swaptions is separately reported in the Statement of Operations. When a swaption is exercised, the cost of the swap is adjusted by the amount of premium paid or received. Upon the expiration or closing of an unexercised swaption contract, a gain or loss is reported in the Statement of Operations for the amount of the premium paid or received.

The Fund generally will incur a greater risk when it writes a swaption than when it purchases a swaption. When the Fund writes a swaption it will become obligated, upon exercise of the swaption, according to the terms of the underlying agreement. Swaption contracts written by the Fund do not give rise to counterparty credit risk prior to exercise as they obligate the Fund, not its counterparty, to perform. When the Fund purchases a swaption it only risks losing the amount of the premium it paid if the swaption expires unexercised. However, when the Fund exercises a purchased swaption there is a risk that the counterparty will fail to perform or otherwise default on its obligations under the swaption contract.

The Fund may purchase swaptions which give it the option to buy or sell credit protection through credit default swaps in order to decrease or increase exposure to the credit risk of individual issuers and/ or indexes of issuers. A swaption selling protection becomes more valuable as the likelihood of a credit event on the reference asset decreases. A swaption buying protection becomes more valuable as the likelihood of a credit event on the reference asset increases.

more valuable as the likelihood of a credit event on the reference asset decreases. A written swaption buying protection becomes more valuable as the likelihood of a credit event on the reference asset increases.

During the reporting period, the Fund had an ending monthly average market value of $2,203 and $990 on purchased and written swaptions, respectively.

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

The Fund’s risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any collateral held by the Fund. For OTC options purchased, the Fund bears the risk of loss of the amount of the premiums paid plus the positive change in market values net of any collateral held by the Fund should the counterparty fail to perform under the contracts. Options written by the Fund do not typically give rise to counterparty credit risk, as options written generally obligate the Fund and not the counterparty to perform.

To reduce counterparty risk with respect to OTC transactions, the Fund has entered into master netting arrangements, established within the Fund’s International Swap and Derivatives Association, Inc. (“ISDA”) master agreements, which allow the Fund to make (or to have an entitlement to receive) a single net payment in the event of default (close-out netting) for outstanding payables and receivables with respect to certain OTC positions in swaps, options, swaptions, and forward currency exchange contracts for each individual counterparty. In addition, the Fund may require that certain counterparties post cash and/or securities in collateral accounts to cover their net payment obligations for those derivative contracts subject to ISDA master agreements. If the counterparty fails to perform under these contracts and agreements, the cash and/or securities will be made available to the Fund.

ISDA master agreements include credit related contingent features which allow counterparties to OTC derivatives to terminate derivative contracts prior to maturity in the event that, for example, the Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA master agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty.

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

The Fund’s risk of loss from counterparty credit risk on exchange-traded derivatives cleared through a clearinghouse and for centrally cleared swaps is generally considered lower than as compared to OTC derivatives. However, counterparty credit risk exists with respect to initial and variation margin deposited/paid by the Fund that is held in futures commission merchant, broker and/or clearinghouse accounts for such exchange-traded derivatives and for centrally cleared swaps.

With respect to centrally cleared swaps, such transactions will be submitted for clearing, and if cleared, will be held in accounts at futures commission merchants or brokers that are members of clearinghouses. While brokers, futures commission merchants and clearinghouses are required to segregate customer margin from their own assets, in the event that a broker, futures commission merchant or clearinghouse becomes insolvent or goes into bankruptcy and at that time there is a shortfall in the aggregate amount of margin held by the broker, futures commission merchant or clearinghouse for all its customers, U.S. bankruptcy laws will typically allocate that shortfall on a pro-rata basis across all the broker’s, futures commission merchant’s or clearinghouse’s customers, potentially resulting in losses to the Fund.

There is the risk that a broker, futures commission merchant or clearinghouse will decline to clear a transaction on the Fund’s behalf, and the Fund may be required to pay a termination fee to the executing broker with whom the Fund initially enters into the transaction. Clearinghouses may also be permitted to terminate centrally cleared swaps at any time. The Fund is also subject to the risk that the broker or futures commission merchant will improperly use the Fund’s assets deposited/paid as initial or variation margin to satisfy payment obligations of another customer. In the event of a default by another customer of the broker or futures commission merchant, the Fund might not receive its variation margin payments from the clearinghouse, due to the manner in which variation margin payments are aggregated for all customers of the broker/futures commission merchant.

Collateral and margin requirements differ by type of derivative. Margin requirements are established by the broker, futures commission merchant or clearinghouse for exchange-traded and cleared derivatives, including centrally cleared swaps. Brokers, futures commission merchants and clearinghouses can ask for margin in excess of the regulatory minimum, or increase the margin amount, in certain circumstances.

Collateral terms are contract specific for OTC derivatives. For derivatives traded under an ISDA master agreement, the collateral requirements are typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund or the counterparty.

For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund, if any, is reported separately on the Statement of Assets and Liabilities 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 following table presents the valuations of derivative instruments by risk exposure as reported within the Statement of Assets and Liabilities at period end:

The effect of derivative instruments on the Statement of Operations is as follows:

The Fund has authorized an unlimited number of $0.001 par value shares of beneficial interest of each class. Transactions in shares of beneficial interest were as follows:

The aggregate cost of purchases and proceeds from sales of securities, other than short-term obligations and investments in IGMMF, for the reporting period were as follows:

Management Fees. Under the investment advisory agreement, the Fund pays the Manager a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:

The Fund’s effective management fee for the reporting period was 0.75% of average annual net assets before any applicable waivers.

Waivers and Reimbursements of Expenses. The Manager has contractually agreed to limit the Fund’s expenses after payments, waivers and/or reimbursements and reduction to custodian expenses, excluding any applicable dividend expense, taxes, interest and fees from borrowing, any subsidiary expenses, Acquired Fund Fees and Expenses, brokerage commissions, unusual and infrequent expenses and certain other Fund expenses; so that those expenses, as percentages of daily net assets, will not exceed the annual rate of 0.67% for Non-Service shares and 0.92% for Service shares as calculated on the daily net assets of the Fund.

During the reporting period, the waived fees and/or reimbursed the Fund as follows:

This fee waiver and/or expense reimbursement may not be amended or withdrawn for one year from the date of the Fund’s prospectus, unless approved by the Board.

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 IGMMF. During the reporting period, the Manager waived fees and/or reimbursed the Fund $2,663 for IGMMF management fees. This fee waiver and/or expense reimbursement may not be amended or withdrawn for one year from the date of the Fund’s prospectus, unless approved by the Board.

Joint Credit Facility. A number of mutual funds managed by the Manager participate in a $1.875 billion revolving credit facility (the “Facility”) intended to provide short-term financing, if necessary, subject to certain restrictions in connection with atypical redemption activity. Effective July 17, 2108, the Facility was increased to $1.95 billion. Expenses and fees related to the Facility are paid by the participating funds and are disclosed separately or as other expenses on the Statement of Operations. The Fund did not utilize the Facility during the reporting period.

PORTFOLIO PROXY VOTING POLICIES AND GUIDELINES; UPDATES TO STATEMENT OF INVESTMENTS Unaudited

The Fund’s performance is compared to the performance of the S&P 500 Index and the Russell 1000 Growth Index. The S&P 500 Index is a broad-based measure of domestic stock performance. The Russell 1000 Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. It includes those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values. The indices are unmanaged and cannot be purchased directly by investors. While index comparisons may be useful to provide a benchmark for the Fund’s performance, it must be noted that the Fund’s investments are not limited to the investments comprising the indices. Index performance includes reinvestment of income, but does not reflect transaction costs, fees, expenses or taxes. Index performance is shown for illustrative purposes only as a benchmark for the Fund’s performance, and does not predict or depict performance of the Fund. The Fund’s performance reflects the effects of the Fund’s business and operating expenses.

During the reporting period, the Fund’s Non-Service shares generated a total return of 4.69%. In comparison, the Fund underperformed the Russell 1000 Growth Index, which returned 7.25% for the same period. The Fund’s underperformance was largely due to less favorable stock selection in the Consumer Discretionary, Information Technology and Health Care sectors. The Fund outperformed the Russell 1000 Growth Index within the Telecommunication Services, Real Estate, and Industrials sectors due to underweight positions in each of them. The Fund did not have any investments in the Telecommunication Services and Real Estate sectors at period end. The broader U.S. equity market, as measured by the S&P 500 Index, returned 2.65% this reporting period.

After starting the year with a continuation of the buoyant market environment seen for most of 2017, volatility finally returned to the U.S. equity market toward the end of January. The CBOE Volatility Index (VIX), after hitting all-time lows in 2017, spiked during the first quarter of 2018 before settling to a lower level at period end. Over the second quarter of 2018, the U.S. had good economic growth, low unemployment and low inflation, and the market showed resiliency despite increasing concerns related to tariffs and trade wars. Against this backdrop, U.S. equities generally produced positive returns for the overall six-month reporting period.

We continue to focus on the fundamentals of each business to drive our investment decisions versus getting caught up in the temporary emotions of the market, always with the long-term welfare of our shareholders in mind. Our philosophy is to seek companies with sustainable competitive advantages that have the potential to outperform in most market environments. We combine this with our valuation discipline to seek a margin of safety, with downside protection ever an important consideration.

Top contributors to the Fund’s relative performance versus the Russell 1000 Growth Index this period included Mastercard, Westinghouse Air Brake Technologies (Wabtec), and Intuitive Surgical.

Mastercard’s performance was driven by strong core results reported over the second quarter of 2018, where revenues and earnings soundly beat expectations and organic revenue growth accelerated to over 20% year over year. While these results are unlikely sustainable, Mastercard has demonstrated an ability to grow at a faster pace than their largest competitor, Visa, driven by the strength of their services business, share gains in European processing and some market share gains internationally. Notably, during this reporting period, the company won Santander’s large UK debit business. More importantly, Mastercard continues to benefit from the long tail of revenue growth as the world transitions from cash and check to electronic forms of payment. The global ubiquity of acceptance at Visa and Mastercard make them both partners of choice for global card issuers.

Wabtec engages in the provision of equipment, systems, and value-added services for the rail industry. During the reporting period, it was announced that GE will merge its Transportation unit with Wabtec. Its shares rallied as a result. Not only will Wabtec be acquiring a business with essentially just one competitor in North America, but the deal will also allow the legacy Wabtec business to increase its content on GE locomotives.

Intuitive Surgical engages in the development, manufacture, and marketing of da Vinci Surgical Systems, currently the only at-scale platform for robot-assisted surgery. The platform allows for lower total costs (potential shorter hospital stays and fewer complications) as well as better patient experiences (smaller incisions versus traditional open methods). The company continues to post robust earnings results, boosted by strongly rising procedure growth on its platform.

Detractors from relative performance versus the Russell 1000 Growth Index this reporting period included Spirit Airlines, Spectrum Brands Holdings, and Celgene.

Rivalry within the domestic airline industry remains intense, with a combination of ongoing low fares and rising fuel prices stoking fears about current profitability. For Spirit Airlines, the long-term fundamental picture actually improved in the reporting period. After operational issues in mid-2017, the company signed a new five-year labor agreement with its pilots earlier this year. Despite the large bump in pay for the pilots, the company said it expects its relative cost advantage to expand further in the years ahead.

Spectrum Brands is in a state of flux. The bad news is the company experienced issues implementing a change to its distribution system, causing the company to lower full-year earnings guidance, leading to a ~25% drop in the stock over a two-day period in April. The stock has since recovered some of this ground,

but it remains a major detractor. The good news is there are some positive changes happening at the company as well. Spectrum is in the process of merging with majority shareholder HRG Group, which will allow the company to greatly reduce its taxes for several years as well as eliminate a management distraction. Moreover, the sale of Spectrum’s battery business is on track, which will allow the company to reduce leverage as well as focus on the better businesses in its portfolio.

Celgene is a biotechnology company that experienced significant weakness in the fourth quarter of 2017 after lowering earnings guidance for the quarter and longer term through 2020. This was primarily due to lower expected revenues from Otezla, a drug treating certain types of arthritis, which accounts for ~10% of the company’s revenues. Secondarily, there was disappointment due to the withdrawal of a pipeline drug. These concerns are amplified in the context of the company’s blockbuster Revlimid (60+% of sales) facing patent expirations that start in 2022. The concerns appear overdone, however, as the company is on track to generate cumulative EPS of roughly three-fourths of its current stock price.

In the short term, we expect the U.S. economy to continue to show modest economic growth. We believe this will likely be driven by favorable ongoing consumer confidence, tax benefits and falling regulatory hurdles. Rising home prices as well as technological innovation may also help drive the economy higher.

The risks we are focused on include trade tariffs, interest rates, disruption of traditional business models and the narrowness of the stock market rally in large-cap stocks. Regarding trade tariffs, we believe the market views it as a negotiating tactic and is implying that all will end well. A true escalation could severely hamper global growth and thereby stock prices. In addition, we are afraid companies are addicted to low interest rates. If interest rates were to rise materially, some companies’ historical decisions could look like misallocation of capital and negatively impact their stock prices. Innovation, while a positive for the overall economy over the long-term, could create short-term disruptions. Finally, there is risk around the growing disparity between stock prices of companies perceived as having “growth characteristics” irrespective of valuation versus the rest of the companies. History tells us that sooner or later, such narrow rallies result in investors crowding in a few stocks and may ultimately result in meaningful declines of those stocks.

We continue to maintain our discipline around valuation. Additionally, while innovation is alive and well and helping generate economic growth, fundamental disruptions across market segments have been elevated. We are constantly monitoring potential disruption risk to our companies.

Volatility in the markets has been unusually low by historical standards but could increase. Traditionally, during periods of heightened market volatility, investors generally favor stocks of higher quality companies—with greater consistency and stability of revenue and earnings—leading to relatively better stock performance of those companies. We think seeking companies with competitive advantages and skilled management teams positions us well, should this environment come to pass. During times of economic volatility such companies frequently widen their lead over weaker competitors. We seek to invest in companies characterized by these qualities at compelling valuations and believe this disciplined approach is essential to generating superior long-term performance.

The examples are based on an investment of $1,000.00 invested at the beginning of the period and held for the entire 6-month period ended June 30, 2018.


	Shares		Value

Common Stocks—99.5%

Consumer Discretionary—17.5%

Hotels, Restaurants & Leisure—3.1%

Cedar Fair LP¹		194,982	$	12,285,816

Starbucks Corp.		239,280		11,688,828

				23,974,644

Internet & Catalog Retail—7.0%

Amazon.com, Inc.²		24,624		41,855,875

Booking Holdings, Inc.²		5,698		11,550,359

				53,406,234

Media—0.9%

Comcast Corp., Cl. A		199,107		6,532,701

Specialty Retail—6.5%

AutoNation, Inc.²		200,770		9,753,407

AutoZone, Inc.²		15,933		10,689,928

CarMax, Inc.²		112,150		8,172,370

Lowe’s Cos., Inc.		217,690		20,804,633

				49,420,338

Consumer Staples—2.1%

Food Products—1.2%

Kraft Heinz Co. (The)		74,795		4,698,622

Mondelez International, Inc., Cl. A		102,688		4,210,208

				8,908,830

Household Products—0.9%

HRG Group, Inc.²		139,953		1,831,985

Spectrum Brands Holdings, Inc.		67,705		5,526,082

				7,358,067

Energy—2.1%

Oil, Gas & Consumable Fuels—2.1%

Husky Energy, Inc.		336,851		5,250,125

Magellan Midstream Partners LP¹		159,509		11,018,882

				16,269,007

Financials—5.2%

Capital Markets—4.3%

Charles Schwab Corp. (The)		268,873		13,739,410

CME Group, Inc., Cl. A		37,185		6,095,365

Intercontinental Exchange, Inc.		169,203		12,444,881

				32,279,656

Diversified Financial Services—0.9%

Berkshire Hathaway, Inc., Cl. B²		37,675		7,032,039

Health Care—12.9%

Biotechnology—5.6%

Biogen, Inc.²		35,910		10,422,519

Celgene Corp.²		118,674		9,425,089

Exact Sciences Corp.²		53,110		3,175,447

Galapagos NV²		39,292		3,604,501

Gilead Sciences, Inc.		104,500		7,402,780

Vertex Pharmaceuticals, Inc.²		49,030		8,333,139

				42,363,475

Health Care Equipment & Supplies—1.2%

Intuitive Surgical, Inc.²		18,363		8,786,328

Health Care Providers & Services—4.3%

Laboratory Corp. of America Holdings²		70,635		12,681,102

UnitedHealth Group, Inc.		82,330		20,198,842

				32,879,944

Health Care Technology—0.7%

Cerner Corp.²		87,870		5,253,747

Pharmaceuticals—1.1%

Allergan plc		51,720		8,622,758

Industrials—10.4%

Aerospace & Defense—2.1%

Lockheed Martin Corp.		18,410		5,438,866


	Shares		Value

Aerospace & Defense (Continued)

Spirit AeroSystems Holdings, Inc., Cl. A		121,280	$	10,419,165

				15,858,031

Airlines—1.4%

Spirit Airlines, Inc.²		300,780		10,933,353

Commercial Services & Supplies—2.1%

Johnson Controls International plc		102,908		3,442,273

KAR Auction Services, Inc.		228,010		12,494,948

				15,937,221

Machinery—2.2%

Deere & Co.		37,493		5,241,521

Stanley Black & Decker, Inc.		36,910		4,902,017

Wabtec Corp.		69,100		6,811,878

				16,955,416

Road & Rail—2.0%

Canadian National Railway Co.		78,800		6,441,900

Union Pacific Corp.		59,280		8,398,790

				14,840,690

Trading Companies & Distributors—0.6%

Fastenal Co.		92,235		4,439,271

Information Technology—46.3%

Communications Equipment—0.6%

Motorola Solutions, Inc.		42,260		4,917,796

Internet Software & Services—12.7%

Alphabet, Inc., Cl. C²		34,028		37,963,338

eBay, Inc.²		294,560		10,680,746

Facebook, Inc., Cl. A²		247,178		48,031,629

				96,675,713

IT Services—7.4%

First Data Corp., Cl. A²		304,070		6,364,185

Mastercard, Inc., Cl. A		186,668		36,683,995

PayPal Holdings, Inc.²		159,095		13,247,841

				56,296,021

Semiconductors & Semiconductor Equipment—4.9%

Applied Materials, Inc.		129,930		6,001,467

Broadcom, Inc.		37,530		9,106,279

NVIDIA Corp.		40,400		9,570,760

Texas Instruments, Inc.		111,318		12,272,809

				36,951,315

Software—14.7%

Activision Blizzard, Inc.		156,893		11,974,074

Microsoft Corp.		478,313		47,166,445

Oracle Corp.		310,790		13,693,407

Red Hat, Inc.²		43,670		5,867,938

salesforce.com, Inc.²		134,560		18,353,984

ServiceNow, Inc.²		72,170		12,447,160

Snap, Inc., Cl. A²		174,903		2,289,480

				111,792,488

Technology Hardware, Storage & Peripherals—6.0%

Apple, Inc.		245,723		45,485,785

Materials—1.5%

Chemicals—0.5%

Albemarle Corp.		40,783		3,847,060

Metals & Mining—1.0%

Compass Minerals International, Inc.		115,368		7,585,446

Utilities—1.5%

Gas Utilities—1.5%

AmeriGas Partners LP¹		269,940		11,396,867

Total Common Stocks (Cost $533,732,429)				757,000,241

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:

1. Per share amounts calculated based on the average shares outstanding during the period.

5. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:

1. Per share amounts calculated based on the average shares outstanding during the period.

3. Assumes an initial investment on the business day before the first day of the fiscal period, with all dividends and distributions reinvested in additional shares on the reinvestment date, and redemption at the net asset value calculated on the last business day of the fiscal period. Total returns are not annualized for periods less than one full year. Total return information does not reflect expenses that apply at the separate account level or to related insurance products. Inclusion of these charges would reduce the total return figures for all periods shown. Returns do not reflect the deduction of taxes that a shareholder would pay on fund distributions or the redemption of fund shares.

6. Total expenses including indirect expenses from affiliated fund fees and expenses were 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.

Foreign Currency Translation. The books and records of the Fund are maintained in U.S. dollars. Any foreign currency amounts are translated into U.S. dollars on the following basis:

(1) Value of investment securities, other assets and liabilities — at the exchange rates prevailing at market close as described in Note 3.

(2) Purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.

For securities, which are subject to foreign withholding tax upon disposition, realized and unrealized gains or losses on such securities are recorded net of foreign withholding tax.

expenses” line item, if applicable, represents earnings on cash balances maintained by the Fund during the period. Such interest expense and other custodian fees may be paid with these earnings.

Security Transactions. Security transactions are recorded on the trade date. Realized gains and losses on securities sold are determined on the basis of identified cost.

At period end, it is estimated that there would be no capital loss carryforwards. The estimated capital loss carryforward represents the carryforward as of the end of the last fiscal year, increased or decreased by capital losses or gains realized in the first six months of the current fiscal year. During the reporting period, it is estimated that the Fund will not utilize any capital loss carryforward to offset realized capital gains.

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

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

exchanges may result in adjustments to the valuation of foreign securities to more accurately reflect their fair value as of the time when the Fund’s assets are valued.

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.

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 that are included in the Fund’s Statement of Assets and Liabilities at period end based on valuation input level:

Shareholder Concentration. At period end, one shareholder owned 20% or more of the Fund’s total outstanding shares.

The shareholder is a related party of the Fund. Related parties may include, but are not limited to, the investment manager and its affiliates, affiliated broker dealers, fund of funds, and directors or employees. The related party owned 23% of the Fund’s total outstanding shares at period end.

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.

The Fund has authorized an unlimited number of $0.001 par value shares of beneficial interest of each class. Transactions in shares of beneficial interest were as follows:

The aggregate cost of purchases and proceeds from sales of securities, other than short-term obligations and investments in IGMMF, for the reporting period were as follows:

Management Fees. Under the investment advisory agreement, the Fund pays the Manager a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:

The Fund’s effective management fee for the reporting period was 0.70% of average annual net assets before any applicable waivers.

account maintenance for the Fund’s Service shares. Under the Plan, payments are made periodically at an annual rate of 0.25% of the daily net assets of Service shares of the Fund. The Distributor currently uses all of those fees to compensate sponsors of the insurance product that offers Fund shares, for providing personal service and maintenance of accounts of their variable contract owners that hold Service shares. These fees are paid out of the Fund’s assets on an on-going basis and increase operating expenses of the Service shares, which results in lower performance compared to the Fund’s shares that are not subject to a service fee. Fees incurred by the Fund under the Plan are detailed in the Statement of Operations.

During the reporting period, the Manager waived fees and/or reimbursed the Fund as follows:

This fee waiver and/or expense reimbursement may not be amended or withdrawn for one year from the date of the Fund’s prospectus, unless approved by the Board.

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 IGMMF. During the reporting period, the Manager waived fees and/or reimbursed the Fund $1,608 for IGMMF management fees. This fee waiver and/or expense reimbursement may not be amended or withdrawn for one year from the date of the Fund’s prospectus, unless approved by the Board.

PORTFOLIO PROXY VOTING POLICIES AND GUIDELINES; UPDATES TO STATEMENT OF INVESTMENTS Unaudited

The Fund’s performance is compared to the performance of the Bloomberg Barclays Credit Index, an index of non-convertible U.S. investment grade corporate bonds; the Bloomberg Barclays U.S. Aggregate Bond Index, an index of U.S. corporate and government bonds and the FTSE US Broad Investment-Grade Bond Index, an index of institutionally traded U.S. Treasury Bonds, government-sponsored bonds, mortgage-backed securities and corporate securities. The indices are unmanaged and cannot be purchased directly by investors. While index comparisons may be useful to provide a benchmark for the Fund’s performance, it must be noted that the Fund’s investments are not limited to the investments comprising the indices. Index performance includes reinvestment of income, but does not reflect transaction costs, fees, expenses or taxes. Index performance is shown for illustrative purposes only as a benchmark for the Fund’s performance, and does not predict or depict performance of the Fund. The Fund’s performance reflects the effects of the Fund’s business and operating expenses.

The Federal Reserve (Fed) hiked the Fed Funds target rate by 25 basis points twice – in March and June – ending the period in a range of 1.75% - 2.00%. The Fed is on track to deliver 1-2 more hikes this year, as the economy is near the Fed’s dual mandate of full employment and price stability. On the inflation front, underlying inflation is around the Fed’s 2% target. The unemployment rate is at historical lows; however, the rising labor participation rate and stable wage growth suggest that there may still be some slack in the labor market. The Federal Open Market Committee (FOMC) under new chair Jerome Powell’s leadership signaled that the Fed will remain cautious and tighten policy gradually, giving comfort to the markets. Thus far, the Fed’s hiking cycle has been orderly.

In this environment, markets were volatile this reporting period. Equity markets in the U.S. produced positive results and outperformed international equities, with the S&P 500 Index returning 2.65% and the MSCI All Country World Index returning -0.43%. Fixed income markets generally produced negative returns this reporting period. The 10-year U.S. Treasury rate started the reporting period at 2.41% and hit a high of 3.11% in May, before ending the reporting period at 2.86%. U.S. Treasuries (as represented by the Bloomberg Barclays U.S. Treasury Index) produced negative results, with a -1.62% return. The FTSE US Broad Investment-Grade Bond Index also lost value, returning -1.65%. Credit underperformed for the reporting period, with the Bloomberg Barclays Credit Index returning -2.99%.

Against this backdrop, the Fund’s Non-Service shares produced a return of -2.21% during the reporting period, underperforming the Bloomberg Barclays U.S. Aggregate Bond Index (“the Index”). In a period where credit underperformed U.S. Treasuries, the Fund’s strategic underweight position to U.S. Treasuries was the largest detractor from performance versus the Index. In addition, the Fund’s position in investment grade corporate credit detracted from performance this reporting period.

Positive contributors to performance this reporting period included the Fund’s security selection in asset-backed securities (“ABS”), where we favored auto ABS given what we view as attractive fundamentals in the space. In addition, the Fund’s allocation to non-agency mortgage-backed securities (“MBS”) benefitted performance.

We believe macroeconomic fundamentals should remain solid with a potential increase in U.S. growth due to the stimulus package and tax reform. We believe the Fed will raise interest rates two more times this year depending on economic data after the most recent increase in June. We generally maintain a neutral duration position. However, given the Fed’s interest on continuing to raise short-term interest rates, we have sought to reduce interest rate risk with a slightly shorter effective duration of 5.09 years relative to the Index’s duration of 5.99 years.

On a sector level, we continue to maintain our strategic underweight to U.S. Treasuries. In lieu of Treasuries, we continue to maintain our overweight in agency MBS relative to the Index. We believe the sector’s high-quality and spread above Treasuries make it an attractive area to add incremental yield potential to the portfolio. Within structured credit, we continue to avoid student loans and more esoteric ABS. We continue to favor auto ABS given what we view as the sector’s attractive fundamentals, carry and solid structures. We have also maintained a smaller overweight in commercial MBS and remain up-in-structure there. Overall, we are more cautious on credit in general as we believe we currently reside in the fourth quarter of the credit cycle. We remain cautiously engaged in investment-grade corporate credit with modest exposure to typically high Sharpe Ratio BB-rated corporates. As a result, we continue to be less likely to

meaningfully increase credit risk, absent specific relative value opportunities. We typically avoid B-rated and below high yield corporate bonds as well as emerging market debt.

The examples are based on an investment of $1,000.00 invested at the beginning of the period and held for the entire 6-month period ended June 30, 2018.


	Principal Amount		Value
Asset-Backed Securities—14.6%
Auto Loan—10.4%
American Credit Acceptance Receivables Trust:
Series 2015-3,Cl. B, 3.56%, 10/12/21¹	$	2,942	$	2,943
Series 2015-3,Cl. C, 4.84%, 10/12/21¹		315,000		317,722
Series 2015-3,Cl. D, 5.86%, 7/12/22¹		125,000		127,053
Series 2016-4,Cl. B, 2.11%, 2/12/21¹		34,723		34,684
Series 2017-3,Cl. B, 2.25%, 1/11/21¹		65,000		64,835
Series 2017-4,Cl. B, 2.61%, 5/10/21¹		64,000		63,783
Series 2017-4,Cl. C, 2.94%, 1/10/24¹		183,000		181,885
Series 2017-4,Cl. D, 3.57%, 1/10/24¹		227,000		225,241
Series 2018-2,Cl. B, 3.46%, 8/10/22¹		255,000		255,317
Series 2018-2,Cl. C, 3.70%, 7/10/24¹		255,000		255,286
AmeriCredit Automobile Receivables Trust:
Series 2015-2,Cl. D, 3.00%, 6/8/21		200,000		199,928
Series 2017-2,Cl. D, 3.42%, 4/18/23		300,000		298,666
Series 2017-4,Cl. D, 3.08%, 12/18/23		130,000		127,868
Cabela’s Credit Card Master Note Trust, Series 2015-2, Cl. A2, 2.743% [LIBOR01M+67], 7/17/23²		520,000		524,239
Capital Auto Receivables Asset Trust, Series 2017-1, Cl. D, 3.15%, 2/20/25¹		40,000		39,712
CarFinance Capital Auto Trust, Series 2015-1A, Cl. A, 1.75%, 6/15/21¹		12,138		12,119
CarMax Auto Owner Trust:
Series 2015-2,Cl. D, 3.04%, 11/15/21		100,000		99,779
Series 2015-3,Cl. D, 3.27%, 3/15/22		295,000		294,850
Series 2016-1,Cl. D, 3.11%, 8/15/22		185,000		184,362
Series 2016-3,Cl. D, 2.94%, 1/17/23		115,000		113,543
Series 2016-4,Cl. D, 2.91%, 4/17/23		260,000		255,716
Series 2017-1,Cl. D, 3.43%, 7/17/23		230,000		228,906
Series 2017-4,Cl. D, 3.30%, 5/15/24		100,000		98,653
CIG Auto Receivables Trust, Series 2017-1A, Cl. A, 2.71%, 5/15/23¹		87,874		87,327
CPS Auto Receivables Trust:
Series 2017-C,Cl. A, 1.78%, 9/15/20¹		39,820		39,687
Series 2017-C,Cl. B, 2.30%, 7/15/21¹		100,000		99,199
Series 2017-D,Cl. B, 2.43%, 1/18/22¹		170,000		168,246
Series 2018-A,Cl. B, 2.77%, 4/18/22¹		125,000		124,039
Series 2018-B,Cl. B, 3.23%, 7/15/22¹		150,000		149,742
CPS Auto Trust, Series 2017-A, Cl. B, 2.68%, 5/17/21¹		30,000		29,921
Credit Acceptance Auto Loan Trust:
Series 2017-3A,Cl. C, 3.48%, 10/15/26¹		205,000		202,328
Series 2018-1A,Cl. B, 3.60%, 4/15/27¹		125,000		124,486
Series 2018-1A,Cl. C, 3.77%, 6/15/27¹		180,000		178,512
Series 2018-2A,Cl. C, 4.16%, 9/15/27¹		105,000		105,719
Drive Auto Receivables Trust:
Series 2015-BA,Cl. D, 3.84%, 7/15/21¹		20,000		20,119
Series 2015-CA,Cl. D, 4.20%, 9/15/21¹		60,000		60,556
Series 2016-CA,Cl. C, 3.02%, 11/15/21¹		140,000		140,131
Series 2016-CA,Cl. D, 4.18%, 3/15/24¹		160,000		162,055
Series 2017-1,Cl. B, 2.36%, 3/15/21		155,000		154,831
Series 2017-3,Cl. C, 2.80%, 7/15/22		115,000		114,655
Series 2017-AA,Cl. C, 2.98%, 1/18/22¹		165,000		165,048
Series 2017-BA,Cl. D, 3.72%, 10/17/22¹		215,000		216,391
Series 2018-1,Cl. D, 3.81%, 5/15/24		180,000		179,829
Series 2018-2,Cl. D, 4.14%, 8/15/24		295,000		296,875
DT Auto Owner Trust:
Series 2015-2A,Cl. D, 4.25%, 2/15/22¹		39,581		39,826
Series 2016-4A,Cl. E, 6.49%, 9/15/23¹		120,000		123,928
Series 2017-1A,Cl. C, 2.70%, 11/15/22¹		90,000		89,707
Series 2017-1A,Cl. D, 3.55%, 11/15/22¹		125,000		125,018
Series 2017-1A,Cl. E, 5.79%, 2/15/24¹		150,000		152,773
Series 2017-2A,Cl. B, 2.44%, 2/15/21¹		135,000		134,735
Series 2017-2A,Cl. D, 3.89%, 1/15/23¹		175,000		174,841
Series 2017-3A,Cl. B, 2.40%, 5/17/21¹		170,000		169,333
Series 2017-3A,Cl. E, 5.60%, 8/15/24¹		155,000		156,939
Series 2017-4A,Cl. D, 3.47%, 7/17/23¹		190,000		188,815


	Principal Amount		Value
Auto Loan (Continued)
DT Auto Owner Trust: (Continued)
Series 2017-4A,Cl. E, 5.15%, 11/15/24¹	$	135,000	$	134,457
Series 2018-1A,Cl. B, 3.04%, 1/18/22¹		145,000		144,543
Series 2018-2A,Cl. B, 3.43%, 5/16/22¹		80,000		80,035
Exeter Automobile Receivables Trust, Series 2018-1A, Cl. B, 2.75%, 4/15/22¹		140,000		138,862
Flagship Credit Auto Trust:
Series 2014-1,Cl. D, 4.83%, 6/15/20¹		20,000		20,121
Series 2016-1,Cl. C, 6.22%, 6/15/22¹		345,000		359,106
GLS Auto Receivables Trust, Series 2018-1A, Cl. A, 2.82%, 7/15/22¹		306,904		305,214
GM Financial Automobile Leasing Trust:
Series 2017-3,Cl. C, 2.73%, 9/20/21		120,000		118,662
Series 2018-2,Cl. C, 3.50%, 4/20/22		135,000		134,996
Navistar Financial Dealer Note Master Owner Trust II:
Series 2016-1,Cl. D, 5.391% [LIBOR01M+330], 9/27/21^1,2		75,000		75,414
Series 2017-1,Cl. C, 3.641% [LIBOR01M+155], 6/27/22^1,2		60,000		60,271
Series 2017-1,Cl. D, 4.391% [LIBOR01M+230], 6/27/22^1,2		70,000		70,076
Santander Drive Auto Receivables Trust:
Series 2016-2,Cl. D, 3.39%, 4/15/22		120,000		120,370
Series 2017-1,Cl. D, 3.17%, 4/17/23		160,000		159,055
Series 2017-1,Cl. E, 5.05%, 7/15/24¹		355,000		361,240
Series 2017-2,Cl. D, 3.49%, 7/17/23		70,000		69,975
Series 2017-3,Cl. D, 3.20%, 11/15/23		280,000		277,732
Series 2018-1,Cl. D, 3.32%, 3/15/24		100,000		98,456
Series 2018-2,Cl. D, 3.88%, 2/15/24		165,000		164,430
Series 2018-3,Cl. C, 3.51%, 8/15/23		415,000		415,453
Santander Retail Auto Lease Trust, Series 2017-A, Cl. C, 2.96%, 11/21/22¹		180,000		177,549
TCF Auto Receivables Owner Trust, Series 2015-1A, Cl. D, 3.53%, 3/15/22¹		160,000		159,159
United Auto Credit Securitization Trust, Series 2018-1, Cl. C, 3.05%, 9/10/21¹		215,000		214,233
Veros Automobile Receivables Trust, Series 2017-1, Cl. A, 2.84%, 4/17/23¹		88,189		87,844
Westlake Automobile Receivables Trust:
Series 2016-1A,Cl. E, 6.52%, 6/15/22¹		260,000		265,106
Series 2017-2A,Cl. E, 4.63%, 7/15/24¹		305,000		306,142
Series 2018-1A,Cl. C, 2.92%, 5/15/23¹		145,000		143,803
Series 2018-1A,Cl. D, 3.41%, 5/15/23¹		160,000		159,120
				13,004,125
Credit Card—3.4%
Cabela’s Credit Card Master Note Trust:
Series 2015-1A,Cl. A2, 2.613% [LIBOR01M+54], 3/15/23²		470,000		472,657
Series 2016-1,Cl. A1, 1.78%, 6/15/22		320,000		316,693
Series 2016-1,Cl. A2, 2.923% [LIBOR01M+85], 6/15/22²		235,000		236,282
Capital One Multi-Asset Execution Trust, Series 2016-A3, Cl. A3, 1.34%, 4/15/22		485,000		478,756
Citibank Credit Card Issuance Trust, Series 2014-A6, Cl. A6, 2.15%, 7/15/21		30,000		29,829
World Financial Network Credit Card Master Trust:
Series 2012-D,Cl. A, 2.15%, 4/17/23		145,000		144,050
Series 2016-B,Cl. A, 1.44%, 6/15/22		360,000		359,504
Series 2016-C,Cl. A, 1.72%, 8/15/23		625,000		615,706
Series 2017-A,Cl. A, 2.12%, 3/15/24		405,000		398,186
Series 2017-B,Cl. A, 1.98%, 6/15/23		315,000		312,352
Series 2017-C,Cl. A, 2.31%, 8/15/24		395,000		387,700
Series 2018-A,Cl. A, 3.07%, 12/16/24		495,000		493,063
				4,244,778
Equipment—0.6%
CCG Receivables Trust:
Series 2017-1,Cl. B, 2.75%, 11/14/23¹		230,000		225,792
Series 2018-1,Cl. B, 3.09%, 6/16/25¹		85,000		84,185


	Principal Amount		Value
Equipment (Continued)
CCG Receivables Trust: (Continued)
Series 2018-1,Cl. C, 3.42%, 6/16/25¹	$	20,000	$	19,774
CNH Equipment Trust, Series 2017-C, Cl. B, 2.54%, 5/15/25		65,000		63,488
Dell Equipment Finance Trust, Series 2018-1,
Cl. B, 3.34%, 6/22/23¹		80,000		79,988
FRS I LLC, Series 2013-1A, Cl. A1, 1.80%, 4/15/43¹		15,946		15,844
Verizon Owner Trust, Series 2017-3A, Cl. A1A, 2.06%, 4/20/22¹		180,000		177,150
				666,221
Loans: Other—0.2%
Dell Equipment Finance Trust, Series 2017-2,
Cl. B, 2.47%, 10/24/22¹		70,000		69,037
Element Rail Leasing I LLC, Series 2014-1A, Cl.
A1, 2.299%, 4/19/44¹		178,126		177,072
				246,109
Total Asset-Backed Securities (Cost $18,242,326)				18,161,233
Mortgage-Backed Obligations—62.3%
Government Agency—45.7%
FHLMC/FNMA/FHLB/Sponsored—35.6%
Federal Home Loan Mortgage Corp. Gold Pool:
5.00%, 12/1/34		3,412		3,639
5.50%, 9/1/39		242,606		259,743
6.00%, 10/1/22-10/1/29		329,858		362,043
6.50%, 7/1/28-4/1/34		108,547		120,978
7.00%, 10/1/31-10/1/37		94,175		102,789
9.00%, 8/1/22-5/1/25		5,295		5,637
Federal Home Loan Mortgage Corp. Non Gold
Pool, 10.50%, 10/1/20		327		330
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security:
Series 205,Cl. IO, 73.074%, 9/1/29³		4,557		976
Series 206,Cl. IO, 0.00%, 12/15/29^3,4		79,688		20,136
Series 243,Cl. 6, 0.00%, 12/15/32^3,4		50,893		8,549
Federal Home Loan Mortgage Corp., Mtg.- Linked Amortizing Global Debt Securities,
Series 2012-1, Cl. A10, 2.06%, 1/15/22		248,213		243,430
Federal Home Loan Mortgage Corp., Principal-
Only Stripped Mtg.-Backed Security, Series 176, Cl. PO, 4.108%, 6/1/26⁵		23,596		21,670
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates:
Series 151,Cl. F, 9.00%, 5/15/21		1,043		1,077
Series 1674,Cl. Z, 6.75%, 2/15/24		6,870		7,284
Series 2034,Cl. Z, 6.50%, 2/15/28		1,386		1,500
Series 2042,Cl. N, 6.50%, 3/15/28		2,817		3,021
Series 2043,Cl. ZP, 6.50%, 4/15/28		165,315		181,938
Series 2046,Cl. G, 6.50%, 4/15/28		6,710		7,474
Series 2053,Cl. Z, 6.50%, 4/15/28		1,531		1,705
Series 2066,Cl. Z, 6.50%, 6/15/28		161,442		179,827
Series 2195,Cl. LH, 6.50%, 10/15/29		125,795		137,178
Series 2220,Cl. PD, 8.00%, 3/15/30		945		1,080
Series 2326,Cl. ZP, 6.50%, 6/15/31		36,443		39,257
Series 2461,Cl. PZ, 6.50%, 6/15/32		142,567		154,674
Series 2470,Cl. LF, 3.073% [LIBOR01M+100], 2/15/32²		1,169		1,197
Series 2635,Cl. AG, 3.50%, 5/15/32		22,648		22,542
Series 2707,Cl. QE, 4.50%, 11/15/18		669		670
Series 2770,Cl. TW, 4.50%, 3/15/19		993		996
Series 3010,Cl. WB, 4.50%, 7/15/20		4,654		4,709
Series 3025,Cl. SJ, 17.148%
[LIBOR01M+2,475], 8/15/35²		12,108		16,251
Series 3030,Cl. FL, 2.473%
[LIBOR01M+40], 9/15/35²		1,879		1,887
Series 3645,Cl. EH, 3.00%, 12/15/20		12,226		12,234
Series 3741,Cl. PA, 2.15%, 2/15/35		19,897		19,875
Series 3815,Cl. BD, 3.00%, 10/15/20		211		211


	Principal Amount		Value
FHLMC/FNMA/FHLB/Sponsored (Continued)
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates: (Continued)
Series 3822,Cl. JA, 5.00%, 6/15/40	$	2,377	$	2,441
Series 3840,Cl. CA, 2.00%, 9/15/18		105		105
Series 3848,Cl. WL, 4.00%, 4/15/40		14,947		15,101
Series 3857,Cl. GL, 3.00%, 5/15/40		3,524		3,546
Series 4057,Cl. QI, 4.903%, 6/15/27³		503,548		42,754
Series 4221,Cl. HJ, 1.50%, 7/15/23		61,284		59,834
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%, 7/17/28³		907		94
Series 2079,Cl. S, 99.999%, 7/17/28³		1,665		207
Series 2130,Cl. SC, 99.999%, 3/15/29³		56,507		7,417
Series 2526,Cl. SE, 67.784%, 6/15/29³		2,121		314
Series 2796,Cl. SD, 99.999%, 7/15/26³		107,656		12,947
Series 2920,Cl. S, 36.882%, 1/15/35³		444,992		61,346
Series 2922,Cl. SE, 19.911%, 2/15/35³		51,776		6,666
Series 2981,Cl. AS, 1.665%, 5/15/35³		65,865		7,023
Series 3004,Cl. SB, 0.00%, 7/15/35^3,4		19,354		1,852
Series 3397,Cl. GS, 0.00%, 12/15/37^3,4		10,121		1,618
Series 3424,Cl. EI, 0.00%, 4/15/38^3,4		7,595		676
Series 3450,Cl. BI, 11.796%, 5/15/38³		268,698		36,608
Series 3606,Cl. SN, 13.009%, 12/15/39³		69,019		8,606
Federal National Mortgage Assn.:
2.50%, 7/1/33⁶		2,015,000		1,958,429
3.00%, 7/1/33-8/1/48⁶		4,385,000		4,285,959
3.50%, 7/1/33-8/1/48⁶		13,745,000		13,702,611
4.00%, 8/1/48⁶		3,240,000		3,298,472
4.50%, 8/1/48⁶		12,020,000		12,494,461
5.00%, 8/1/48⁶		4,230,000		4,472,833
Federal National Mortgage Assn. Pool:
5.00%, 3/1/21-7/1/22		1,684		1,723
5.50%, 2/1/35-5/1/36		106,887		116,278
6.50%, 10/1/19-1/1/34		6,838		7,566
7.00%, 1/1/30-12/1/32		15,378		17,324
7.50%, 1/1/33		3,140		3,610
8.50%, 7/1/32		3,599		3,660
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security:
Series 221,Cl. 2, 99.999%, 5/25/23³		1,352		174
Series 222,Cl. 2, 99.999%, 6/25/23³		147,099		17,301
Series 252,Cl. 2, 0.00%, 11/25/23^3,4		129,509		17,522
Series 294,Cl. 2, 99.999%, 2/25/28³		19,483		4,294
Series 301,Cl. 2, 18.913%, 4/25/29³		1,601		336
Series 303,Cl. IO, 56.407%, 11/25/29³		34,844		8,180
Series 320,Cl. 2, 58.065%, 4/25/32³		138,674		33,796
Series 321,Cl. 2, 19.061%, 4/25/32³		343,587		81,334
Series 324,Cl. 2, 8.578%, 7/25/32³		3,492		846
Series 331,Cl. 5, 0.00%, 2/25/33^3,4		4,900		884
Series 331,Cl. 9, 25.40%, 2/25/33³		112,916		22,588
Series 334,Cl. 12, 0.00%, 3/25/33^3,4		8,040		1,710
Series 334,Cl. 17, 35.934%, 2/25/33³		70,610		17,163
Series 339,Cl. 12, 0.00%, 6/25/33^3,4		112,673		28,780
Series 339,Cl. 7, 0.00%, 11/25/33^3,4		236,474		52,181
Series 343,Cl. 13, 0.00%, 9/25/33^3,4		120,756		25,231
Series 343,Cl. 18, 0.00%, 5/25/34^3,4		28,224		6,701
Series 345,Cl. 9, 0.00%, 1/25/34^3,4		85,342		19,565
Series 351,Cl. 10, 0.00%, 4/25/34^3,4		36,609		8,918
Series 351,Cl. 8, 0.00%, 4/25/34^3,4		64,016		12,591
Series 356,Cl. 10, 0.00%, 6/25/35^3,4		45,484		9,881
Series 356,Cl. 12, 0.00%, 2/25/35^3,4		22,239		4,854
Series 362,Cl. 13, 0.00%, 8/25/35^3,4		89,219		21,784
Series 364,Cl. 15, 0.00%, 9/25/35^3,4		4,672		920
Series 364,Cl. 16, 0.00%, 9/25/35^3,4		97,303		23,741
Series 365,Cl. 16, 0.00%, 3/25/36^3,4		124,291		25,338
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates:
Series 1993-87,Cl. Z, 6.50%, 6/25/23		102,885		108,069
Series 1998-58,Cl. PC, 6.50%, 10/25/28		87,624		95,160


	Principal Amount		Value
FHLMC/FNMA/FHLB/Sponsored (Continued)
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass- Through Certificates: (Continued)
Series 1998-61,Cl. PL, 6.00%, 11/25/28	$	43,739	$	47,318
Series 1999-54,Cl. LH, 6.50%, 11/25/29		72,400		78,604
Series 2001-51,Cl. OD, 6.50%, 10/25/31		4,806		5,095
Series 2001-74,Cl. QE, 6.00%, 12/25/31		107,726		117,585
Series 2003-100,Cl. PA, 5.00%, 10/25/18		949		948
Series 2003-28,Cl. KG, 5.50%, 4/25/23		289,177		300,975
Series 2003-84,Cl. GE, 4.50%, 9/25/18		87		87
Series 2004-25,Cl. PC, 5.50%, 1/25/34		865		871
Series 2005-73,Cl. DF, 2.341% [LIBOR01M+25], 8/25/35²		2,512		2,521
Series 2006-11,Cl. PS, 16.899% [-3.667 x LIBOR01M+2,456.67], 3/25/36²		66,248		95,483
Series 2006-46,Cl. SW, 16.532% [-3.667 x LIBOR01M+2,419.92], 6/25/36²		44,699		61,049
Series 2006-50,Cl. KS, 16.533% [-3.667 x LIBOR01M+2,420], 6/25/36²		58,852		83,053
Series 2008-75,Cl. DB, 4.50%, 9/25/23		2,021		2,023
Series 2009-113,Cl. DB, 3.00%, 12/25/20		11,060		11,059
Series 2009-36,Cl. FA, 3.031% [LIBOR01M+94], 6/25/37²		30,236		30,935
Series 2009-70,Cl. TL, 4.00%, 8/25/19		1,140		1,140
Series 2010-43,Cl. KG, 3.00%, 1/25/21		5,665		5,668
Series 2011-3,Cl. EL, 3.00%, 5/25/20		14,557		14,545
Series 2011-38,Cl. AH, 2.75%, 5/25/20		113		113
Series 2011-82,Cl. AD, 4.00%, 8/25/26		15,957		15,996
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass- Through Certificates, Interest-Only Stripped Mtg.-Backed Security:
Series 2001-61,Cl. SH, 18.22%, 11/18/31³		4,282		738
Series 2001-63,Cl. SD, 44.827%, 12/18/31³		1,452		220
Series 2001-65,Cl. S, 30.557%, 11/25/31³		107,433		20,763
Series 2001-68,Cl. SC, 43.80%, 11/25/31³		1,028		167
Series 2001-81,Cl. S, 30.24%, 1/25/32³		32,078		5,280
Series 2002-28,Cl. SA, 33.764%, 4/25/32³		1,000		168
Series 2002-38,Cl. SO, 78.35%, 4/25/32³		3,078		441
Series 2002-39,Cl. SD, 56.963%, 3/18/32³		2,036		360
Series 2002-47,Cl. NS, 34.366%, 4/25/32³		99,546		16,651
Series 2002-48,Cl. S, 38.558%, 7/25/32³		1,602		285
Series 2002-51,Cl. S, 33.324%, 8/25/32³		91,383		14,576
Series 2002-52,Cl. SD, 79.406%, 9/25/32³		143,269		24,368
Series 2002-52,Cl. SL, 33.322%, 9/25/32³		1,034		181
Series 2002-53,Cl. SK, 78.535%, 4/25/32³		7,093		1,285
Series 2002-56,Cl. SN, 35.487%, 7/25/32³		2,184		389
Series 2002-60,Cl. SM, 15.95%, 8/25/32³		13,428		1,824
Series 2002-7,Cl. SK, 21.808%, 1/25/32³		6,312		932
Series 2002-77,Cl. BS, 23.745%, 12/18/32³		9,418		1,587
Series 2002-77,Cl. IS, 53.752%, 12/18/32³		5,245		929
Series 2002-77,Cl. SH, 33.756%, 12/18/32³		45,065		7,101


	Principal Amount		Value
FHLMC/FNMA/FHLB/Sponsored (Continued)
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass- Through Certificates, Interest-Only Stripped Mtg.-Backed Security: (Continued)
Series 2002-84,Cl. SA, 27.367%, 12/25/32³	$	103,694	$	17,127
Series 2002-9,Cl. MS, 27.368%, 3/25/32³		1,646		297
Series 2002-90,Cl. SN, 16.257%, 8/25/32³		6,908		938
Series 2002-90,Cl. SY, 22.507%, 9/25/32³		5,190		731
Series 2003-26,Cl. DI, 66.862%, 4/25/33³		5,092		1,311
Series 2003-33,Cl. SP, 28.908%, 5/25/33³		107,625		21,007
Series 2003-4,Cl. S, 21.287%, 2/25/33³		66,012		12,462
Series 2004-54,Cl. DS, 99.999%, 11/25/30³		94,986		13,725
Series 2005-12,Cl. SC, 33.455%, 3/25/35³		24,658		3,364
Series 2005-14,Cl. SE, 39.051%, 3/25/35³		76,710		8,406
Series 2005-40,Cl. SA, 99.999%, 5/25/35³		216,372		28,553
Series 2005-40,Cl. SB, 65.684%, 5/25/35³		9,876		1,137
Series 2005-52,Cl. JH, 30.068%, 5/25/35³		55,458		6,643
Series 2005-93,Cl. SI, 5.283%, 10/25/35³		161,227		21,268
Series 2008-55,Cl. SA, 0.00%, 7/25/38^3,4		8,092		724
Series 2009-8,Cl. BS, 99.999%, 2/25/24³		1,318		66
Series 2011-96,Cl. SA, 7.854%, 10/25/41³		55,912		7,545
Series 2012-134,Cl. SA, 2.641%, 12/25/42³		144,673		24,182
Series 2012-40,Cl. PI, 10.50%, 4/25/41³		106,305		16,672
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass- Through Certificates, Principal-Only Stripped Mtg.-Backed Security, Series 1993-184, Cl. M, 5.195%, 9/25/23⁵		46,406		42,987

				44,430,888
GNMA/Guaranteed—10.1%
Government National Mortgage Assn. I Pool:
7.00%, 12/15/23-3/15/26		4,468		4,634
Government National Mortgage Assn. II Pool:
3.50%, 7/1/48⁶		4,265,000		4,280,327
4.00%, 7/1/48⁶		8,140,000		8,341,434
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security:
Series 2002-15,Cl. SM, 99.999%, 2/16/32³		146,454		1,537
Series 2007-17,Cl. AI, 49.388%, 4/16/37³		58,164		8,044
Series 2011-52,Cl. HS, 21.879%, 4/16/41³		380,776		43,202

				12,679,178
Non-Agency—16.6%
Commercial—7.9%
Asset Securitization Corp., Interest-Only Stripped Mtg.-Backed Security, Series 1997-D4, Cl. PS1, 99.999%, 4/14/29³		1,037,331		594
BCAP LLC Trust, Series 2011-R11, Cl. 18A5, 3.41% [H15T1Y+210], 9/26/35^1,2		40,829		41,010
Benchmark Mortgage Trust, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2018-B1, Cl. XA, 13.898%, 1/15/51³		1,786,982		71,042


	Principal Amount		Value
Commercial (Continued)
Capital Lease Funding Securitization LP, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 1997-CTL1, Cl. IO, 0.00%, 6/22/24^3,4,7,8	$	209,390	$	4,458
CD Mortgage Trust, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2017- CD6, Cl. XA, 14.496%, 11/13/50³		751,418		47,052
Chase Mortgage Finance Trust, Series 2005- A2, Cl. 1A3, 3.602%, 1/25/36⁹		90,035		85,259
Citigroup Commercial Mortgage Trust:
Series 2012-GC8,Cl. AAB, 2.608%, 9/10/45		97,961		97,039
Series 2013-GC17,Cl. XA, 0.00%, 11/10/46^3,4		574,903		18,968
Series 2014-GC21,Cl. AAB, 3.477%, 5/10/47		95,000		95,853
Citigroup Commercial Mortgage Trust, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2017-C4, Cl. XA, 13.828%, 10/12/50³		2,072,963		153,812
COMM Mortgage Trust:
Series 2012-CR3,Cl. ASB, 2.372%, 10/15/45		17,350		17,125
Series 2012-LC4,Cl. A3, 3.069%, 12/10/44		38,865		38,878
Series 2013-CR13,Cl. ASB, 3.706%, 11/10/46		185,000		187,816
Series 2013-CR6,Cl. AM, 3.147%, 3/10/46¹		245,000		240,290
Series 2014-CR17,Cl. ASB, 3.598%, 5/10/47		265,000		268,288
Series 2014-CR20,Cl. ASB, 3.305%, 11/10/47		65,000		65,149
Series 2014-CR21,Cl. AM, 3.987%, 12/10/47		715,000		717,047
Series 2014-LC15,Cl. AM, 4.198%, 4/10/47		170,000		173,458
Series 2014-UBS6,Cl. AM, 4.048%, 12/10/47		475,000		478,234
Series 2015-CR22,Cl. A2, 2.856%, 3/10/48		120,000		119,769
COMM Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 2012-CR5, Cl. XA, 23.183%, 12/10/45³		2,058,354		116,425
CSMC Mortgage-Backed Trust, Series 2006-6, Cl. 1A4, 6.00%, 7/25/36		155,217		129,975
First Horizon Alternative Mortgage Securities Trust, Series 2005-FA8, Cl. 1A6, 2.741% [US0001M+65], 11/25/35²		121,292		94,332
FREMF Mortgage Trust:
Series 2010-K6,Cl. B, 5.542%, 12/25/46^1,9		55,000		56,703
Series 2013-K25,Cl. C, 3.744%, 11/25/45^1,9		90,000		87,332
Series 2013-K26,Cl. C, 3.721%, 12/25/45^1,9		60,000		58,135
Series 2013-K27,Cl. C, 3.615%, 1/25/46^1,9		95,000		91,551
Series 2013-K28,Cl. C, 3.61%, 6/25/46^1,9		285,000		281,431
Series 2013-K713,Cl. C, 3.262%, 4/25/46^1,9		115,000		114,461
Series 2014-K715,Cl. C, 4.265%, 2/25/46^1,9		50,000		49,895
GS Mortgage Securities Corp. Trust, Series 2012-SHOP, Cl. A, 2.933%, 6/5/31¹		430,000		430,575
GS Mortgage Securities Trust:
Series 2012-GC6,Cl. A3, 3.482%, 1/10/45		59,774		60,315


	Principal Amount		Value
Commercial (Continued)
GS Mortgage Securities Trust: (Continued)
Series 2013-GC12,Cl. AAB, 2.678%, 6/10/46	$	34,422	$	34,062
Series 2013-GC16,Cl. AS, 4.649%, 11/10/46		45,000		47,186
Series 2014-GC18,Cl. AAB, 3.648%, 1/10/47		85,000		86,061
GSMSC Pass-Through Trust, Series 2009-3R, Cl. 1A2, 6.00%, 4/25/37^1,9		211,607		204,193
JP Morgan Chase Commercial Mortgage Securities Trust:
Series 2012-C6,Cl. ASB, 3.144%, 5/15/45		132,008		132,167
Series 2012-LC9,Cl. A4, 2.611%, 12/15/47		20,000		19,682
Series 2013-C10,Cl. AS, 3.372%, 12/15/47		315,000		310,985
Series 2013-C16,Cl. AS, 4.517%, 12/15/46		300,000		313,077
Series 2013-LC11,Cl. AS, 3.216%, 4/15/46		40,000		39,203
Series 2013-LC11,Cl. ASB, 2.554%, 4/15/46		46,915		46,317
Series 2014-C20,Cl. AS, 4.043%, 7/15/47		220,000		222,725
Series 2016-JP3,Cl. A2, 2.435%, 8/15/49		220,000		214,569
JP Morgan Mortgage Trust, Series 2007-A1, Cl. 5A1, 3.692%, 7/25/35⁹		66,289		68,206
JP Morgan Resecuritization Trust, Series 2009-5, Cl. 1A2, 4.278%, 7/26/36^1,9		202,810		195,235
JPMBB Commercial Mortgage Securities Trust:
Series 2013-C17,Cl. ASB, 3.705%, 1/15/47		75,000		76,088
Series 2014-C18,Cl. A3, 3.578%, 2/15/47		105,000		105,214
Series 2014-C19,Cl. ASB, 3.584%, 4/15/47		40,000		40,428
Series 2014-C24,Cl. B, 4.116%, 11/15/47⁹		245,000		246,091
Series 2014-C25,Cl. AS, 4.065%, 11/15/47		200,000		202,419
Series 2014-C26,Cl. AS, 3.80%, 1/15/48		255,000		254,169
LB Commercial Conduit Mortgage Trust, Interest-Only Stripped Mtg.-Backed Security, Series 1998-C1, Cl. IO, 0.00%, 2/18/30^3,4		74,010		4
Lehman Structured Securities Corp., Series 2002-GE1, Cl. A, 0.00%, 7/26/24^1,8,9		30,146		21,878
Morgan Stanley Bank of America Merrill Lynch Trust:
Series 2013-C7,Cl. AAB, 2.469%, 2/15/46		92,338		91,083
Series 2013-C9,Cl. AS, 3.456%, 5/15/46		225,000		221,320
Series 2014-C19,Cl. AS, 3.832%, 12/15/47		595,000		592,506
Morgan Stanley Capital I Trust:
Series 2011-C1,5.033%, 9/15/47^1,9		64,489		66,482
Series 2011-C2,Cl. A4, 4.661%, 6/15/44¹		75,000		77,701


Morgan Stanley Capital I, Inc., Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2017-HR2, Cl. XA, 12.66%, 12/15/50³		683,901		40,903
Morgan Stanley Re-Remic Trust, Series 2012- R3, Cl. 1B, 3.059%, 11/26/36^1,9		440,098		396,495
Morgan Stanley Resecuritization Trust, Series 2013-R9, Cl. 3A, 3.475%, 6/26/46^1,9		84,263		84,209
RBSSP Resecuritization Trust, Series 2010-1, Cl. 2A1, 3.644%, 7/26/45^1,9		13,234		13,560
UBS Commercial Mortgage Trust, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2017-C5, Cl. XA, 13.993%, 11/15/50³		1,255,308		84,003


	Principal Amount		Value
Commercial (Continued)
Wells Fargo Commercial Mortgage Trust, Series 2015-NXS1, Cl. ASB, 2.934%, 5/15/48	$	305,000	$	301,127
Wells Fargo Commercial Mortgage Trust, Interest-Only Commercial Mtg. Pass-Through Certificates, Series 2017-C42, Cl. XA, 12.341%, 12/15/50³		898,268		61,108
WF-RBS Commercial Mortgage Trust:
Series 2013-C14,Cl. AS, 3.488%, 6/15/46		150,000		148,372
Series 2014-C20,Cl. AS, 4.176%, 5/15/47		130,000		131,131
Series 2014-C22,Cl. A3, 3.528%, 9/15/57		45,000		45,197
Series 2014-LC14,Cl. AS, 4.351%, 3/15/47⁹		145,000		148,888

				9,876,315
Multi-Family—0.3%
Connecticut Avenue Securities:
Series 2014-C02,Cl. 1M1, 3.041% [US0001M+95], 5/25/24²		109,313		109,632
Series 2017-C04,Cl. 2M1, 2.941% [US0001M+85], 11/25/29²		308,869		309,839

				419,471
Residential—8.4%
Banc of America Funding Trust:
Series 2007-1,Cl. 1A3, 6.00%, 1/25/37		84,329		79,260
Series 2007-C,Cl. 1A4, 3.742%, 5/20/36⁹		35,787		34,640
Series 2014-R7,Cl. 3A1, 3.822%, 3/26/36^1,9		89,661		90,326
Banc of America Mortgage Trust, Series 2007-1, Cl. 1A24, 6.00%, 3/25/37		57,497		54,641
Bear Stearns ARM Trust:
Series 2005-9,Cl. A1, 3.52% [H15T1Y+230], 10/25/352		113,760		115,327
Series 2006-1,Cl. A1, 3.67% [H15T1Y+225], 2/25/362		138,833		140,027
CHL Mortgage Pass-Through Trust:
Series 2005-17,Cl. 1A8, 5.50%, 9/25/35		11,841		11,820
Series 2005-26,Cl. 1A8, 5.50%, 11/25/35		74,090		67,285
Series 2005-J4,Cl. A7, 5.50%, 11/25/35		9,837		9,870
Citigroup Mortgage Loan Trust, Inc., Series 2006-AR1, Cl. 1A1, 4.28% [H15T1Y+240], 10/25/35²		348,665		353,036
Connecticut Avenue Securities:
Series 2014-C03,Cl. 1M2, 5.091% [US0001M+300], 7/25/24²		311,400		333,897
Series 2016-C03,Cl. 1M1, 4.091% [US0001M+200], 10/25/28²		82,053		83,183
Series 2016-C07,Cl. 2M1, 3.391% [US0001M+130], 5/25/29²		155,022		155,613
Series 2017-C02,Cl. 2M1, 3.241% [US0001M+115], 9/25/29²		430,012		432,483
Series 2017-C03,Cl. 1M1, 3.041% [US0001M+95], 10/25/29²		369,857		372,004
Series 2017-C06,Cl. 1M1, 2.841% [US0001M+75], 2/25/30²		131,175		131,390
Series 2017-C07,Cl. 1M1, 2.741% [US0001M+65], 5/25/30²		196,325		196,364
Series 2017-C07,Cl. 1M2, 4.491% [US0001M+240], 5/25/30²		210,000		214,565
Series 2017-C07,Cl. 2M1, 2.741% [US0001M+65], 5/25/30²		228,242		228,345
Series 2018-C01,Cl. 1M1, 2.691% [US0001M+60], 7/25/30²		290,472		290,148
Series 2018-C02,Cl. 2M1, 2.741% [US0001M+65], 8/25/30²		100,776		100,818


	Principal Amount		Value
Residential (Continued)
Connecticut Avenue Securities: (Continued)
Series 2018-C03,Cl. 1M1, 2.771% [US0001M+68], 10/25/30²	$	285,995	$	285,966
Series 2018-C04,Cl. 2M1, 2.852% [US0001M+75], 12/25/30^2,6		285,000		285,733
GSR Mortgage Loan Trust, Series 2005-AR4, Cl. 6A1, 4.349%, 7/25/35⁹		61,495		62,100
HomeBanc Mortgage Trust, Series 2005-3, Cl. A2, 2.401% [US0001M+31], 7/25/35²		26,508		26,485
MASTR Asset Backed Securities Trust, Series 2006-WMC3, Cl. A3, 2.191% [US0001M+10], 8/25/36²		46,411		24,641
RALI Trust:
Series 2006-QS13,Cl. 1A8, 6.00%, 9/25/36		654		585
Series 2007-QS6,Cl. A28, 5.75%, 4/25/37		8,316		7,585
STACR Trust, Series 2018-DNA2, Cl. M1, 2.857% [US0001M+80], 12/25/30^1,2		380,000		380,088
Structured Agency Credit Risk Debt Nts.:
Series 2013-DN2,Cl. M2, 6.341% [US0001M+425], 11/25/23²		273,652		304,279
Series 2014-DN1,Cl. M2, 4.291% [US0001M+220], 2/25/24²		40,957		42,124
Series 2014-DN1,Cl. M3, 6.591% [US0001M+450], 2/25/24²		210,000		242,352
Series 2014-DN2,Cl. M3, 5.691% [US0001M+360], 4/25/24²		225,000		249,756
Series 2014-HQ2,Cl. M3, 5.841% [US0001M+375], 9/25/24²		335,000		382,589
Series 2015-HQA2,Cl. M2, 4.891% [US0001M+280], 5/25/28²		51,515		52,970
Series 2016-DNA1,Cl. M2, 4.991% [US0001M+290], 7/25/28²		95,858		98,348
Series 2016-DNA4,Cl. M1, 2.891% [US0001M+80], 3/25/29²		47,333		47,377
Series 2016-DNA4,Cl. M3, 5.891% [US0001M+380], 3/25/29²		325,000		362,112
Series 2016-HQA3,Cl. M1, 2.891% [US0001M+80], 3/25/29²		232,538		232,845
Series 2016-HQA3,Cl. M3, 5.941% [US0001M+385], 3/25/29²		110,000		122,827
Series 2016-HQA4,Cl. M1, 2.891% [US0001M+80], 4/25/29²		164,209		164,381
Series 2016-HQA4,Cl. M3, 5.991% [US0001M+390], 4/25/29²		320,000		357,843
Series 2017-HQA1,Cl. M1, 3.291% [US0001M+120], 8/25/29²		572,363		576,318
Series 2017-HQA2,Cl. M1, 2.891% [US0001M+80], 12/25/29²		192,611		193,000
Series 2017-HQA3,Cl. M1, 2.641% [US0001M+55], 4/25/30²		535,499		535,161
Series 2018-DNA1,Cl. M1, 2.541% [US0001M+45], 7/25/30²		426,068		424,398
Series 2018-DNA1,Cl. M2, 3.891% [US0001M+180], 7/25/30²		420,000		413,533
WaMu Mortgage Pass-Through Certificates Trust:
Series 2003-AR10,Cl. A7, 3.459%, 10/25/33⁹		74,097		75,306
Series 2005-AR14,Cl. 1A4, 3.413%, 12/25/35⁹		150,845		152,447
Series 2005-AR16,Cl. 1A1, 3.398%, 12/25/35⁹		65,284		65,667
Wells Fargo Mortgage-Backed Securities Trust:
Series 2005-AR15,Cl. 1A2, 3.552%, 9/25/35⁹		67,669		65,954
Series 2005-AR15,Cl. 1A6, 3.552%, 9/25/35⁹		26,236		25,388


	Principal Amount		Value
Residential (Continued)
Wells Fargo Mortgage-Backed Securities Trust: (Continued)
Series 2005-AR4,Cl. 2A2, 3.97%, 4/25/35⁹	$	161,328	$	162,790
Series 2006-AR10,Cl. 1A1, 4.12%, 7/25/36⁹		49,133		48,214
Series 2006-AR10,Cl. 5A5, 4.278%, 7/25/36⁹		130,034		132,146
Series 2006-AR2,Cl. 2A3, 3.822%, 3/25/36⁹		57,791		58,561
Series 2006-AR7,Cl. 2A4, 4.323%, 5/25/36⁹		13,034		13,362
Series 2006-AR8,Cl. 2A1, 3.933%, 4/25/36⁹		130,298		132,688
Series 2006-AR8,Cl. 2A4, 3.933%, 4/25/36⁹		57,035		58,080
Series 2007-16,Cl. 1A1, 6.00%, 12/28/37		44,428		45,141

				10,406,182

Total Mortgage-Backed Obligations (Cost $78,860,439)				77,812,034
U.S. Government Obligation—0.2%
United States Treasury Nts., 1.50%, 5/31/19^10,11(Cost $193,236)		193,000		191,541
Corporate Bonds and Notes—49.4%
Consumer Discretionary—8.0%
Automobiles—2.3%
Daimler Finance North America LLC:
2.20% Sr. Unsec. Nts., 5/5/20¹		285,000		279,586
3.75% Sr. Unsec. Nts., 2/22/28¹		265,000		257,211
Ford Motor Credit Co. LLC:
2.425% Sr. Unsec. Nts., 6/12/20		221,000		216,793
3.664% Sr. Unsec. Nts., 9/8/24		219,000		209,791
General Motors Co., 6.25% Sr. Unsec. Nts., 10/2/43		78,000		81,038
General Motors Financial Co., Inc., 3.15% Sr. Unsec. Nts., 6/30/22		301,000		292,804
Harley-Davidson Financial Services, Inc., 2.40% Sr. Unsec. Nts., 6/15/20¹		323,000		316,882
Harley-Davidson, Inc., 4.625% Sr. Unsec. Nts., 7/28/45		86,000		83,693
Hyundai Capital America:
1.75% Sr. Unsec. Nts., 9/27/19¹		243,000		238,396
4.125% Sr. Unsec. Nts., 6/8/23¹		315,000		313,615
Nissan Motor Acceptance Corp., 2.15%
Sr. Unsec. Nts., 9/28/20¹		217,000		211,476
Volkswagen Group of America Finance
LLC, 2.45% Sr. Unsec. Nts., 11/20/19¹		338,000		334,362

				2,835,647
Diversified Consumer Services—0.3%
Service Corp. International, 4.625% Sr. Unsec. Nts., 12/15/27		340,000		322,014
Hotels, Restaurants & Leisure—0.4%
Aramark Services, Inc., 5.00% Sr. Unsec. Nts., 4/1/25¹		163,000		162,593
Royal Caribbean Cruises Ltd., 2.65% Sr.
Unsec. Nts., 11/28/20		287,000		282,257

				444,850
Household Durables—1.1%
DR Horton, Inc., 2.55% Sr. Unsec. Nts., 12/1/20		320,000		313,794
Lennar Corp., 4.75% Sr. Unsec. Nts., 5/30/25		314,000		304,972
Newell Brands, Inc., 5.00% Sr. Unsec. Nts., 11/15/23		171,000		174,863
PulteGroup, Inc., 5.00% Sr. Unsec. Nts., 1/15/27		251,000		239,391


	Principal Amount		Value
Household Durables (Continued)
Toll Brothers Finance Corp.:
4.375% Sr. Unsec. Nts., 4/15/23	$	257,000	$	252,824
4.875% Sr. Unsec. Nts., 3/15/27		75,000		70,313

				1,356,157
Internet & Catalog Retail—0.5%
Amazon.com, Inc., 4.95% Sr. Unsec. Nts., 12/5/44		113,000		125,773
QVC, Inc., 4.45% Sr. Sec. Nts., 2/15/25		565,000		546,675

				672,448
Media—1.6%
21st Century Fox America, Inc., 4.75% Sr. Unsec. Nts., 11/15/46		116,000		120,168
Charter Communications Operating LLC/ Charter Communications Operating Capital, 5.375% Sr. Sec. Nts., 5/1/47		139,000		126,574
Comcast Cable Communications
Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22		306,000		375,632
Interpublic Group of Cos., Inc. (The), 4.20% Sr. Unsec. Nts., 4/15/24		311,000		313,114
Sky plc, 3.75% Sr. Unsec. Nts., 9/16/24¹		152,000		151,265
Time Warner Cable LLC, 4.50% Sr. Unsec. Unsub. Nts., 9/15/42		236,000		194,432
Viacom, Inc., 4.375% Sr. Unsec. Nts., 3/15/43		100,000		83,307
Virgin Media Secured Finance plc, 5.25% Sr. Sec. Nts., 1/15/26¹		319,000		296,271
WPP Finance 2010, 3.75% Sr. Unsec. Nts., 9/19/24		352,000		340,352

				2,001,115
Multiline Retail—0.2%
Dollar Tree, Inc., 4.00% Sr. Unsec. Nts., 5/15/25		323,000		316,079
Specialty Retail—1.2%
AutoZone, Inc., 1.625% Sr. Unsec. Nts., 4/21/19		64,000		63,534
Best Buy Co., Inc., 5.50% Sr. Unsec. Nts., 3/15/21		305,000		319,889
L Brands, Inc., 5.625% Sr. Unsec. Nts., 2/15/22		322,000		328,440
Ross Stores, Inc., 3.375% Sr. Unsec. Nts., 9/15/24		324,000		320,026
Sally Holdings LLC/Sally Capital, Inc., 5.625% Sr. Unsec. Nts., 12/1/25		123,000		114,082
Signet UK Finance plc, 4.70% Sr. Unsec. Nts., 6/15/24		342,000		321,641

				1,467,612
Textiles, Apparel & Luxury Goods—0.4%
Hanesbrands, Inc., 4.875% Sr. Unsec. Nts., 5/15/26¹		316,000		306,520
Levi Strauss & Co., 5.00% Sr. Unsec. Nts., 5/1/25		239,000		239,000

				545,520
Consumer Staples—4.5%
Beverages—1.5%
Anheuser-Busch InBev Finance, Inc.:
3.65% Sr. Unsec. Nts., 2/1/26		85,000		83,321
4.90% Sr. Unsec. Nts., 2/1/46		121,000		124,877
Anheuser-Busch InBev Worldwide, Inc., 8.20% Sr. Unsec. Unsub. Nts., 1/15/39		186,000		266,525
Bacardi Ltd., 4.70% Sr. Unsec. Nts., 5/15/28¹		163,000		160,566
Maple Escrow Subsidiary, Inc.:
4.057% Sr. Unsec. Nts., 5/25/23¹		327,000		328,577
4.597% Sr. Unsec. Nts., 5/25/28¹		162,000		162,851


	Principal Amount		Value
Beverages (Continued)
Molson Coors Brewing Co.:
1.45% Sr. Unsec. Nts., 7/15/19	$	109,000	$	107,305
2.10% Sr. Unsec. Nts., 7/15/21		284,000		272,511
4.20% Sr. Unsec. Nts., 7/15/46		48,000		43,229
Pernod Ricard SA, 4.25% Sr. Unsec. Nts., 7/15/22¹		307,000		313,806

				1,863,568
Food & Staples Retailing—0.4%
Alimentation Couche-Tard, Inc., 2.35% Sr. Unsec. Nts., 12/13/19¹		343,000		338,914
Kroger Co. (The):
2.00% Sr. Unsec. Nts., 1/15/19		15,000		14,930
4.45% Sr. Unsec. Nts., 2/1/47		89,000		81,196
6.90% Sr. Unsec. Nts., 4/15/38		79,000		95,774

				530,814
Food Products—1.5%
Bunge Ltd. Finance Corp.:
3.25% Sr. Unsec. Nts., 8/15/26		216,000		197,424
8.50% Sr. Unsec. Nts., 6/15/19		305,000		320,445
Campbell Soup Co., 3.30% Sr. Unsec. Nts., 3/15/21		311,000		309,891
General Mills, Inc., 4.70% Sr. Unsec. Nts., 4/17/48		104,000		99,766
Kraft Heinz Foods Co., 3.95% Sr. Unsec. Nts., 7/15/25		177,000		172,253
Lamb Weston Holdings, Inc., 4.875% Sr. Unsec. Nts., 11/1/26¹		308,000		300,300
Smithfield Foods, Inc.:
2.70% Sr. Unsec. Nts., 1/31/20¹		137,000		135,081
3.35% Sr. Unsec. Nts., 2/1/22¹		174,000		168,117
Tyson Foods, Inc., 3.55% Sr. Unsec. Nts., 6/2/27		164,000		155,388

				1,858,665
Tobacco—1.1%
Altria Group, Inc., 4.00% Sr. Unsec. Nts., 1/31/24		222,000		224,863
BAT Capital Corp.:
2.297% Sr. Unsec. Nts., 8/14/20¹		330,000		323,034
3.557% Sr. Unsec. Nts., 8/15/27¹		169,000		157,478
Imperial Tobacco Finance plc, 2.95% Sr. Unsec. Nts., 7/21/20¹		325,000		321,796
Philip Morris International, Inc.,
2.50% Sr. Unsec. Nts., 11/2/22		288,000		276,382

				1,303,553
Energy—3.6%
Energy Equipment & Services—0.3%
Halliburton Co., 5.00% Sr. Unsec. Nts., 11/15/45		70,000		74,804
Helmerich & Payne International Drilling
Co., 4.65% Sr. Unsec. Nts., 3/15/25		194,000		200,530
Schlumberger Holdings Corp., 4.00% Sr.
Unsec. Nts., 12/21/25¹		184,000		183,620

				458,954
Oil, Gas & Consumable Fuels—3.3%
Anadarko Petroleum Corp.:
4.50% Sr. Unsec. Nts., 7/15/44		64,000		59,775
6.20% Sr. Unsec. Nts., 3/15/40		53,000		59,860
Andeavor, 5.125% Sr. Unsec. Nts., 12/15/26		283,000		296,431
Andeavor Logistics LP/Tesoro Logistics Finance Corp.:
4.25% Sr. Unsec. Nts., 12/1/27		166,000		160,009
5.25% Sr. Unsec. Nts., 1/15/25		107,000		109,796
Apache Corp., 4.75% Sr. Unsec. Nts., 4/15/43		96,000		91,410
Buckeye Partners LP, 3.95% Sr. Unsec. Nts., 12/1/26		85,000		77,229


	Principal Amount		Value
Oil, Gas & Consumable Fuels (Continued)
Columbia Pipeline Group, Inc.:
3.30% Sr. Unsec. Nts., 6/1/20	$	302,000	$	300,877
4.50% Sr. Unsec. Nts., 6/1/25		162,000		162,372
ConocoPhillips Co.:
4.95% Sr. Unsec. Nts., 3/15/26		35,000		37,769
5.95% Sr. Unsec. Nts., 3/15/46		70,000		87,354
Devon Energy Corp., 4.75% Sr.
Unsec. Nts., 5/15/42		74,000		72,445
Energy Transfer Partners LP, 5.30% Sr.
Unsec. Nts., 4/15/47		94,000		86,236
Enterprise Products Operating LLC:
4.85% Sr. Unsec. Nts., 8/15/42		79,000		79,088
4.90% Sr. Unsec. Nts., 5/15/46		27,000		27,134
EQT Corp., 2.50% Sr. Unsec. Nts., 10/1/20		340,000		332,371
Kinder Morgan, Inc.:
5.20% Sr. Unsec. Nts., 3/1/48		80,000		77,573
5.55% Sr. Unsec. Nts., 6/1/45		138,000		139,812
Noble Energy, Inc., 5.05% Sr. Unsec. Nts., 11/15/44		87,000		87,195
ONEOK Partners LP, 8.625% Sr. Unsec. Nts., 3/1/19		192,000		198,760
Pioneer Natural Resources Co.,
3.45% Sr. Unsec. Nts., 1/15/21		318,000		318,840
Sabine Pass Liquefaction LLC:
4.20% Sr. Sec. Nts., 3/15/28		166,000		159,886
5.625% Sr. Sec. Nts., 2/1/21		237,000		247,992
Shell International Finance BV,
4.00% Sr. Unsec. Nts., 5/10/46		110,000		106,707
Sunoco Logistics Partners Operations LP, 4.00% Sr. Unsec. Nts., 10/1/27		190,000		177,822
TransCanada PipeLines Ltd., .
7.625% Sr. Unsec. Nts., 1/15/39		71,000		93,326
Williams Cos., Inc. (The), 3.70% Sr. Unsec. Unsub. Nts., 1/15/23		318,000		309,255
Williams Partners LP, 3.75% Sr. Unsec. Nts., 6/15/27		131,000		123,878

				4,081,202
Financials—13.4%
Capital Markets—2.6%
Apollo Management Holdings LP, 4.00% Sr. Unsec. Nts., 5/30/24¹		184,000		182,925
Blackstone Holdings Finance Co. LLC, 3.15% Sr. Unsec. Nts., 10/2/27¹		121,000		113,634
Brookfield Asset Management, Inc., 4.00% Sr. Unsec. Nts., 1/15/25		252,000		249,406
Credit Suisse AG (New York), 3.625% Sr. Unsec. Nts., 9/9/24		189,000		186,382
Credit Suisse Group Funding
Guernsey Ltd., 4.55% Sr. Unsec. Nts., 4/17/26		147,000		147,179
E*TRADE Financial Corp., 5.875% [US0003M+443.5] Jr. Sub. Perpetual Bonds^2,12		308,000		314,160
Goldman Sachs Group, Inc. (The):
3.50% Sr. Unsec. Nts., 11/16/26		172,000		162,176
3.75% Sr. Unsec. Nts., 2/25/26		170,000		164,929
4.017% [US0003M+137.3] Sr. Unsec.
Nts., 10/31/38²		136,000		124,074
Morgan Stanley:
4.375% Sr. Unsec. Nts., 1/22/47		219,000		209,465
5.00% Sub. Nts., 11/24/25		264,000		274,007
MSCI, Inc., 4.75% Sr. Unsec. Nts., 8/1/26¹		317,000		307,490
Northern Trust Corp., 3.375%
[US0003M+113.1] Sub. Nts., 5/8/32²		119,000		111,875
Raymond James Financial, Inc., 3.625% Sr. Unsec. Nts., 9/15/26		157,000		150,980


	Principal Amount		Value
Capital Markets (Continued)
TD Ameritrade Holding Corp., 3.30% Sr. Unsec. Nts., 4/1/27	$	197,000	$	188,117
UBS Group Funding Switzerland AG:
4.125% Sr. Unsec. Nts., 4/15/26¹		153,000		151,521
4.253% Sr. Unsec. Nts., 3/23/28¹		135,000		134,229

				3,172,549
Commercial Banks—6.5%
ABN AMRO Bank NV, 4.40%
[USSW5+219.7] Sub. Nts., 3/27/28²		321,000		315,285
Australia & New Zealand Banking Group
Ltd. (New York), 2.625% Sr. Unsec. Nts., 5/19/22		261,000		252,366
Banco Santander SA, 4.379%
Sr. Unsec. Nts., 4/12/28		200,000		191,524
Bank of America Corp.:
3.248% Sr. Unsec. Nts., 10/21/27		269,000		250,897
3.824% [US0003M+157.5] Sr. Unsec. Nts., 1/20/28²		185,000		180,587
7.75% Jr. Sub. Nts., 5/14/38		232,000		315,085
Barclays plc, 4.375% Sr. Unsec. Nts., 1/12/26		326,000		317,428
BB&T Corp., 2.85% Sr. Unsec. Nts., 10/26/24		247,000		234,460
BNP Paribas SA, 4.625% Sub. Nts., 3/13/27¹		184,000		180,857
BPCE SA, 4.50% Sub. Nts., 3/15/25¹		185,000		180,560
Citigroup, Inc.:
4.075% [US0003M+119.2] Sr.
Unsec. Nts., 4/23/29²		256,000		251,464
4.281% [US0003M+183.9] Sr.
Unsec. Nts., 4/24/48²		334,000		316,894
Citizens Bank NA (Providence RI):
2.55% Sr. Unsec. Nts., 5/13/21		155,000		151,273
2.65% Sr. Unsec. Nts., 5/26/22		65,000		62,896
Commonwealth Bank of Australia, 3.15% Sr. Unsec. Nts., 9/19/27¹		236,000		220,636
Compass Bank, 2.875% Sr. Unsec. Nts., 6/29/22		285,000		275,308
Credit Agricole SA, 4.375% Sub. Nts., 3/17/25¹		310,000		300,346
Fifth Third Bank (Cincinnati OH), 3.85% Sub. Nts., 3/15/26		168,000		165,453
First Republic Bank, 4.375% Sub. Nts., 8/1/46		127,000		121,880
HSBC Holdings plc:
3.95% [US0003M+98.72] Sr.
Unsec. Nts., 5/18/24²		103,000		102,781
4.041% [US0003M+154.6] Sr.
Unsec. Nts., 3/13/28²		125,000		121,437
4.583% [US0003M+153.46] Sr. Unsec. Nts., 6/19/29²		171,000		172,853
Huntington Bancshares, Inc.:
3.15% Sr. Unsec. Nts., 3/14/21		155,000		154,220
4.00% Sr. Unsec. Nts., 5/15/25		317,000		318,340
Intesa Sanpaolo SpA, 3.875% Sr. Unsec.
Nts., 7/14/27¹		225,000		194,428
JPMorgan Chase & Co.:
3.54% [US0003M+138] Sr. Unsec. Nts., 5/1/28²		259,000		248,150
3.782% [US0003M+133.7] Sr.
Unsec. Nts., 2/1/28²		473,000		461,169
Lloyds Banking Group plc, 6.657% [US0003M+127] Jr. Sub. Perpetual Bonds^2,7,12		334,000		357,474
PNC Financial Services Group, Inc. (The), 3.15% Sr. Unsec. Nts., 5/19/27		235,000		223,555
Regions Bank (Birmingham AL), 2.75% Sr. Unsec. Nts., 4/1/21		226,000		222,677


	Principal Amount		Value
Commercial Banks (Continued)
Regions Financial Corp., 2.75% Sr. Unsec. Nts., 8/14/22	$	177,000	$	170,891
Royal Bank of Scotland Group plc, 3.498% [US0003M+148] Sr. Unsec. Nts., 5/15/23²		192,000		186,107
SunTrust Bank (Atlanta GA), 3.30% Sub. Nts., 5/15/26		112,000		105,828
Synovus Financial Corp., 3.125% Sr. Unsec. Nts., 11/1/22		180,000		172,125
US Bancorp:
3.10% Sub. Nts., 4/27/26		204,000		192,541
3.15% Sr. Unsec. Nts., 4/27/27		62,000		59,310
Wells Fargo & Co.:
3.584% [US0003M+131] Sr. Unsec. Nts., 5/22/28²		257,000		246,422
4.75% Sub. Nts., 12/7/46		160,000		155,061

				8,150,568
Consumer Finance—0.7%
American Express Co., 2.50% Sr. Unsec. Nts., 8/1/22		105,000		100,756
American Express Credit Corp., 3.30% Sr. Unsec. Nts., 5/3/27		194,000		187,085
Capital One Financial Corp.,
3.75% Sr. Unsec. Nts., 3/9/27		103,000		97,681
Discover Financial Services:
3.75% Sr. Unsec. Nts., 3/4/25		137,000		130,966
4.10% Sr. Unsec. Nts., 2/9/27		120,000		115,266
Electricite de France SA, 6.50% Sr.
Unsec. Nts., 1/26/19¹		246,000		251,085

				882,839
Diversified Financial Services—0.6%
Berkshire Hathaway Energy Co.:
2.00% Sr. Unsec. Nts., 11/15/18		102,000		101,793
3.80% Sr. Unsec. Nts., 7/15/48		75,000		68,973
Peachtree Corners Funding Trust, 3.976% Sr. Unsec. Nts., 2/15/25¹		121,000		117,864
Precision Castparts Corp.,
2.50% Sr. Unsec. Nts., 1/15/23		204,000		196,685
Voya Financial, Inc., 5.65%
[US0003M+358] Jr. Sub. Nts., 5/15/53²		300,000		302,250

				787,565
Insurance—1.6%
AXA Equitable Holdings, Inc.,
4.35% Sr. Unsec. Nts., 4/20/28¹		172,000		164,684
AXIS Specialty Finance plc, 5.15% Sr.
Unsec. Nts., 4/1/45		167,000		164,295
Boardwalk Pipelines LP,
4.95% Sr. Unsec. Nts., 12/15/24		156,000		158,963
Brighthouse Financial, Inc., .
3.70% Sr. Unsec. Nts., 6/22/27		67,000		59,738
CNA Financial Corp.,
3.45% Sr. Unsec. Nts., 8/15/27		239,000		221,760
Hartford Financial Services Group, Inc. (The), 4.40% Sr. Unsec. Nts., 3/15/48		192,000		185,414
Lincoln National Corp., 3.80% Sr. Unsec. Nts., 3/1/28		193,000		184,710
Manulife Financial Corp., 4.061%
[USISDA05+164.7] Sub. Nts., 2/24/32²		202,000		191,965
Marsh & McLennan Cos., Inc., 4.35% Sr. Unsec. Nts., 1/30/47		106,000		105,780
Nuveen Finance LLC, 4.125% Sr. Unsec. Nts., 11/1/24¹		316,000		314,564
Prudential Financial, Inc., 5.20% [US0003M+304] Jr. Sub. Nts., 3/15/44²		243,000		242,393

				1,994,266


	Principal Amount		Value
Real Estate Investment Trusts (REITs)—1.4%
American Tower Corp.:
2.80% Sr. Unsec. Nts., 6/1/20	$	72,000	$	71,412
3.00% Sr. Unsec. Nts., 6/15/23		262,000		251,424
3.60% Sr. Unsec. Nts., 1/15/28		174,000		161,478
5.05% Sr. Unsec. Unsub. Nts., 9/1/20		185,000		191,542
Crown Castle International Corp., 3.65%
Sr. Unsec. Nts., 9/1/27		170,000		158,368
Digital Realty Trust LP:
3.40% Sr. Unsec. Nts., 10/1/20		29,000		29,034
5.875% Sr. Unsec. Nts., 2/1/20		118,000		122,119
HCP, Inc., 2.625% Sr. Unsec. Nts., 2/1/20		326,000		322,223
Lamar Media Corp., 5.75% Sr. Unsec. Nts., 2/1/26		307,000		313,524
VEREIT Operating Partnership LP, 3.00%
Sr. Unsec. Nts., 2/6/19		126,000		125,959

				1,747,083
Health Care—4.4%
Biotechnology—0.9%
AbbVie, Inc.:
3.60% Sr. Unsec. Nts., 5/14/25		202,000		195,873
4.70% Sr. Unsec. Nts., 5/14/45		62,000		61,691
Amgen, Inc., 4.563% Sr. Unsec. Nts., 6/15/48		114,000		111,958
Biogen, Inc., 5.20% Sr. Unsec. Nts., 9/15/45		77,000		81,795
Celgene Corp.:
3.875% Sr. Unsec. Nts., 8/15/25		195,000		189,726
5.00% Sr. Unsec. Nts., 8/15/45		39,000		38,299
Gilead Sciences, Inc., 4.75% Sr. Unsec. Nts., 3/1/46		133,000		137,489
Shire Acquisitions Investments Ireland
DAC, 1.90% Sr. Unsec. Nts., 9/23/19		354,000		348,692

				1,165,523
Health Care Equipment & Supplies—0.9%
Abbott Laboratories:
2.35% Sr. Unsec. Nts., 11/22/19		60,000		59,667
3.75% Sr. Unsec. Nts., 11/30/26		280,000		275,611
Becton Dickinson & Co.:
2.404% Sr. Unsec. Nts., 6/5/20		213,000		209,266
3.70% Sr. Unsec. Nts., 6/6/27		252,000		238,710
Edwards Lifesciences Corp., 4.30% Sr. Unsec. Nts., 6/15/28		161,000		160,998
Hologic, Inc., 4.375% Sr. Unsec. Nts., 10/15/25¹		13,000		12,447
Medtronic, Inc., 4.625% Sr. Unsec. Nts., 3/15/45		136,000		144,387

				1,101,086
Health Care Providers & Services—1.3%
Cigna Corp., 5.125% Sr. Unsec. Nts., 6/15/20		286,000		295,220
CVS Health Corp.:
2.125% Sr. Unsec. Nts., 6/1/21		334,000		321,271
5.05% Sr. Unsec. Nts., 3/25/48		286,000		289,965
Fresenius Medical Care US Finance II,
Inc., 5.875% Sr. Unsec. Nts., 1/31/22¹		431,000		457,202
UnitedHealth Group, Inc., 2.75% Sr. Unsec. Nts., 2/15/23		260,000		251,774

				1,615,432
Life Sciences Tools & Services—0.6%
IQVIA, Inc., 5.00% Sr. Unsec. Nts., 10/15/26¹		319,000		311,823
Life Technologies Corp., 6.00% Sr. Unsec. Nts., 3/1/20		237,000		247,125
Thermo Fisher Scientific, Inc., 4.15% Sr.
Unsec. Nts., 2/1/24		121,000		122,915

				681,863


	Principal Amount		Value
Pharmaceuticals—0.7%
Allergan Funding SCS, 3.00% Sr. Unsec. Nts., 3/12/20	$	329,000	$	327,488
Bayer US Finance II LLC:
3.875% Sr. Unsec. Nts., 12/15/23¹		313,000		313,277
4.375% Sr. Unsec. Nts., 12/15/28¹		227,000		227,810

				868,575
Industrials—3.3%
Aerospace & Defense—0.7%
BAE Systems Holdings, Inc., 3.85% Sr. Unsec. Nts., 12/15/25¹		250,000		247,434
Huntington Ingalls Industries, Inc., 3.483% Sr. Unsec. Nts., 12/1/27		176,000		165,845
L3 Technologies, Inc., 3.85% Sr. Unsec. Nts., 6/15/23		317,000		316,586
Northrop Grumman Corp., 4.75% Sr. Unsec. Nts., 6/1/43		175,000		182,696

				912,561
Air Freight & Couriers—0.2%
CH Robinson Worldwide, Inc., 4.20% Sr. Unsec. Nts., 4/15/28		163,000		160,375
FedEx Corp., 4.40% Sr. Unsec. Nts., 1/15/47		65,000		61,737

				222,112
Building Products—0.2%
Allegion US Holding Co., Inc., 3.55% Sec. Nts., 10/1/27		246,000		227,968
Electrical Equipment—0.3%
Sensata Technologies BV, 4.875% Sr. Unsec. Nts., 10/15/23¹		334,000		336,923
Industrial Conglomerates—0.3%
GE Capital International Funding Co. Unlimited Co., 3.373% Sr. Unsec. Nts., 11/15/25		99,000		95,188
Roper Technologies, Inc., 3.00% Sr. Unsec. Nts., 12/15/20		270,000		268,307

				363,495
Machinery—0.7%
CNH Industrial NV, 3.85% Sr. Unsec. Nts., 11/15/27		172,000		160,464
Fortive Corp., 1.80% Sr. Unsec. Nts., 6/15/19		319,000		315,547
John Deere Capital Corp., 2.70% Sr. Unsec. Nts., 1/6/23		142,000		138,617
Nvent Finance Sarl, 4.55% Sr. Unsec. Nts., 4/15/28¹		162,000		159,198
Wabtec Corp., 3.45% Sr. Unsec. Nts., 11/15/26		134,000		123,996

				897,822
Road & Rail—0.4%
Penske Truck Leasing Co. LP/PTL Finance Corp., 3.40% Sr. Unsec. Nts., 11/15/26¹		276,000		257,738
Ryder System, Inc., 3.75% Sr. Unsec.
Nts., 6/9/23		314,000		313,995

				571,733
Trading Companies & Distributors—0.5%
Air Lease Corp.:
3.25% Sr. Unsec. Nts., 3/1/25		99,000		91,738
3.625% Sr. Unsec. Nts., 4/1/27		106,000		97,329
GATX Corp., 3.50% Sr. Unsec. Nts., 3/15/28		261,000		241,491
United Rentals North America, Inc., 4.625% Sr. Unsec. Nts., 10/15/25		168,000		160,440

				590,998


	Principal Amount		Value
Information Technology—3.4%
Communications Equipment—0.2%
Motorola Solutions, Inc., 4.60% Sr. Unsec. Nts., 2/23/28	$	241,000	$	240,062
Electronic Equipment, Instruments, & Components—0.4%
Arrow Electronics, Inc., 3.875% Sr.
Unsec. Nts., 1/12/28		232,000		217,746
CDW LLC/CDW Finance Corp., 5.50% Sr. Unsec. Nts., 12/1/24		54,000		55,350
Tech Data Corp., 4.95% Sr. Unsec. Nts., 2/15/27		264,000		259,475

				532,571
Internet Software & Services—0.2%
VeriSign, Inc.:
4.75% Sr. Unsec. Nts., 7/15/27		190,000		182,105
5.25% Sr. Unsec. Nts., 4/1/25		99,000		100,703

				282,808
IT Services—0.5%
DXC Technology Co.:
2.875% Sr. Unsec. Nts., 3/27/20		238,000		236,386
4.75% Sr. Unsec. Nts., 4/15/27		241,000		243,827
Fidelity National Information Services, Inc., 4.25% Sr. Unsec. Nts., 5/15/28		162,000		162,692

				642,905
Semiconductors & Semiconductor Equipment—0.3%
Intel Corp., 3.734% Sr. Unsec. Nts., 12/8/47		94,000		88,712
Microchip Technology, Inc., 3.922% Sr. Sec. Nts., 6/1/21¹		316,000		316,717

				405,429
Software—1.2%
Autodesk, Inc., 4.375% Sr. Unsec. Nts., 6/15/25		98,000		98,799
Dell International LLC/EMC Corp.:
4.42% Sr. Sec. Nts., 6/15/21¹		251,000		254,733
6.02% Sr. Sec. Nts., 6/15/26¹		199,000		209,526
Open Text Corp., 5.625% Sr. Unsec. Nts., 1/15/23¹		236,000		242,497
Oracle Corp.:
2.40% Sr. Unsec. Nts., 9/15/23		200,000		188,728
2.95% Sr. Unsec. Nts., 5/15/25		194,000		185,369
VMware, Inc.:
2.30% Sr. Unsec. Nts., 8/21/20		104,000		101,805
3.90% Sr. Unsec. Nts., 8/21/27		161,000		148,887

				1,430,344
Technology Hardware, Storage & Peripherals—0.6%
Apple, Inc., 4.375% Sr. Unsec. Nts., 5/13/45		198,000		205,183
Hewlett Packard Enterprise Co., 3.60% Sr. Unsec. Nts., 10/15/20		323,000		324,716
NetApp, Inc., 2.00% Sr. Unsec. Nts., 9/27/19		155,000		152,879

				682,778
Materials—2.9%
Chemicals—1.1%
LyondellBasell Industries NV, 5.00% Sr. Unsec. Nts., 4/15/19		236,000		238,366
Nutrien Ltd.:
3.375% Sr. Unsec. Nts., 3/15/25		111,000		104,601
4.125% Sr. Unsec. Nts., 3/15/35		75,000		69,686
PolyOne Corp., 5.25% Sr. Unsec. Nts., 3/15/23		299,000		305,728
RPM International, Inc.:
3.45% Sr. Unsec. Unsub. Nts., 11/15/22		285,000		280,955
3.75% Sr. Unsec. Nts., 3/15/27		84,000		80,193


	Principal Amount		Value
Chemicals (Continued)
Yara International ASA, 4.75% Sr. Unsec. Nts., 6/1/28¹	$	239,000	$	240,631

				1,320,160
Construction Materials—0.3%
James Hardie International Finance DAC, 4.75% Sr. Unsec. Nts., 1/15/25¹		193,000		189,140
LafargeHolcim Finance US LLC, 3.50% Sr. Unsec. Nts., 9/22/26¹		75,000		69,982
Martin Marietta Materials, Inc., 3.50% Sr. Unsec. Nts., 12/15/27		161,000		149,628

				408,750
Containers & Packaging—0.8%
International Paper Co.:
3.00% Sr. Unsec. Nts., 2/15/27		157,000		142,329
4.80% Sr. Unsec. Nts., 6/15/44		131,000		127,353
Packaging Corp. of America:
3.65% Sr. Unsec. Nts., 9/15/24		94,000		92,433
4.50% Sr. Unsec. Nts., 11/1/23		242,000		250,264
Silgan Holdings, Inc., 4.75% Sr.
Unsec. Nts., 3/15/25		270,000		257,850
WestRock Co., 4.00% Sr. Unsec. Nts., 3/15/28¹		154,000		152,028

				1,022,257
Metals & Mining—0.5%
Anglo American Capital plc:
3.625% Sr. Unsec. Nts., 9/11/24¹		83,000		78,638
4.00% Sr. Unsec. Nts., 9/11/27¹		135,000		125,830
ArcelorMittal, 6.125% Sr. Unsec. Nts., 6/1/25		285,000		308,512
Goldcorp, Inc., 5.45% Sr. Unsec. Nts., 6/9/44		93,000		98,618

				611,598
Paper & Forest Products—0.2%
Georgia-Pacific LLC, 3.734% Sr.
Unsec. Nts., 7/15/23¹		56,000		56,269
Louisiana-Pacific Corp., 4.875% Sr. Unsec. Nts., 9/15/24		186,000		183,210

				239,479
Telecommunication Services—2.6%
Diversified Telecommunication Services—2.2%
AT&T, Inc.:
4.30% Sr. Unsec. Nts., 2/15/30¹		238,000		225,537
4.35% Sr. Unsec. Nts., 6/15/45		281,000		239,017
4.50% Sr. Unsec. Nts., 3/9/48		135,000		116,317
British Telecommunications plc,
9.125% Sr. Unsec. Nts., 12/15/30		270,000		386,534
Deutsche Telekom International Finance BV:
2.225% Sr. Unsec. Nts., 1/17/20¹		336,000		331,349
4.375% Sr. Unsec. Nts., 6/21/28¹		149,000		148,058
Telecom Italia SpA, 5.303% Sr. Unsec.
Nts., 5/30/24¹		306,000		302,940
Telefonica Emisiones SAU:
4.103% Sr. Unsec. Nts., 3/8/27		90,000		87,163
5.213% Sr. Unsec. Nts., 3/8/47		79,000		76,369
7.045% Sr. Unsec. Unsub. Nts., 6/20/36		115,000		138,534
T-Mobile USA, Inc., 6.50% Sr.
Unsec. Nts., 1/15/26		300,000		309,660
Verizon Communications, Inc.:
4.125% Sr. Unsec. Nts., 8/15/46		133,000		113,965
4.522% Sr. Unsec. Nts., 9/15/48		184,000		168,278
5.15% Sr. Unsec. Nts., 9/15/23		75,000		80,011

				2,723,732
Wireless Telecommunication Services—0.4%
Vodafone Group plc:
3.75% Sr. Unsec. Nts., 1/16/24		313,000		310,591


	Principal Amount		Value
Wireless Telecommunication Services (Continued)
Vodafone Group plc: (Continued)
4.375% Sr. Unsec. Nts., 5/30/28	$	159,000	$	157,244
6.15% Sr. Unsec. Nts., 2/27/37		97,000		106,901

				574,736
Utilities—3.3%
Electric Utilities—2.4%
AEP Texas, Inc., 3.95% Sr. Unsec. Nts., 6/1/28¹		162,000		161,753
Duke Energy Corp.:
3.15% Sr. Unsec. Nts., 8/15/27		169,000		157,111
3.75% Sr. Unsec. Nts., 9/1/46		154,000		136,886
Edison International, 2.95% Sr. Unsec. Nts., 3/15/23		195,000		187,473
EDP Finance BV, 3.625% Sr. Unsec. Nts., 7/15/24¹		219,000		210,181
Emera US Finance LP, 2.15% Sr. Unsec. Nts., 6/15/19		266,000		263,286
Enel Finance International NV, 3.625% Sr. Unsec. Nts., 5/25/27¹		172,000		157,565
Exelon Corp.:
2.45% Sr. Unsec. Nts., 4/15/21		152,000		147,808
4.45% Sr. Unsec. Nts., 4/15/46		89,000		86,737
FirstEnergy Corp., 3.90% Sr. Unsec. Nts., 7/15/27		175,000		170,024
Indiana Michigan Power Co., Series K, 4.55% Sr. Unsec. Nts., 3/15/46		85,000		88,343
ITC Holdings Corp., 5.30% Sr. Unsec. Nts., 7/1/43		78,000		87,517
Mid-Atlantic Interstate Transmission LLC, 4.10% Sr. Unsec. Nts., 5/15/28¹		162,000		162,238
NextEra Energy Operating Partners LP, 4.25% Sr. Unsec. Nts., 9/15/24¹		30,000		28,950
Pennsylvania Electric Co., 5.20% Sr. Unsec. Nts., 4/1/20		73,000		75,016
PPL WEM Ltd./Western Power Distribution Ltd., 5.375% Sr. Unsec. Unsub. Nts., 5/1/21¹		308,000		320,559
Southern Co. Gas Capital Corp., 4.40% Sr. Unsec. Nts., 5/30/47		107,000		106,196
Southern Power Co., 1.95% Sr. Unsec. Nts., 12/15/19		311,000		305,827
Trans-Allegheny Interstate Line Co., 3.85% Sr. Unsec. Nts., 6/1/25¹		181,000		180,628

				3,034,098
Multi-Utilities—0.9%
Black Hills Corp., 2.50% Sr. Unsec. Nts., 1/11/19		168,000		167,622
Dominion Energy, Inc.:
2.579% Jr. Sub. Nts., 7/1/20		255,000		251,319
4.90% Sr. Unsec. Nts., 8/1/41		120,000		124,507
Public Service Enterprise Group, Inc., 1.60% Sr. Unsec. Nts., 11/15/19		295,000		288,607
Virginia Electric & Power Co., 2.95% Sr. Unsec. Nts., 1/15/22		294,000		290,967

				1,123,022

Total Corporate Bonds and Notes (Cost $62,850,951)				61,623,888
Short-Term Notes—13.0%
Media—0.6%
Interpublic Group Cos., 2.323%, 7/6/18^1,13,14		250,000		249,891
WPP CP LLC, 2.85%, 7/18/181,13,14		570,000		569,308

				819,199
Personal Products—0.5%
Reckitt Benckiser Treasury Services plc, 2.41%, 7/2/18^13,14		570,000		569,909
Transportation Infrastructure—0.4%
ERAC USA Finance Co., 2.395%, 7/23/18^1,13,14		560,000		559,134


	Principal Amount		Value
Food Products—0.4%
Campbell Soup Co., 2.276%, 7/9/18^1,13,14	$	500,000	$	499,686
Household Durables—0.9%
Leggett & Platt, Inc., 2.252%, 7/11/18^1,13,14		560,000		559,576
Mohawk Industries, Inc., 2.254%, 7/6/18^1,13,14		560,000		559,756

				1,119,332
Water Utilities—0.5%
American Water Capital Corp., 2.255%, 7/9/18^13,14		560,000		559,661
Electric Utilities—1.4%
Commonwealth Edison Co., 2.334%, 7/10/18^13,14		250,000		249,827
Duke Energy Corp., 2.305%, 8/2/18^1,13,14		250,000		249,443
NextEra Energy Capital Holdings, 2.254%, 7/9/18^1,13,14		560,000		559,648
Puget Sound Energy, Inc., 2.301%, 7/9/18¹⁴		560,000		559,648

				1,618,566
Commercial Services & Supplies—0.4%
Waste Management, Inc., 2.274%, 7/5/18^1,13,14		500,000		499,813
Multi-Utilities—0.4%
CenterPoint Energy Resources Corp., 2.577%, 9/10/18^1,13,14		560,000		557,175
Chemicals—1.7%
Air Liquide US LLC, 2.405%, 9/13/18^1,13,14		570,000		567,487
Albemarle Corp., 2.294%, 7/19/18^1,13,14		560,000		559,255
Cabot Corp., 2.292%, 7/12/18^1,13,14		560,000		559,538
Eastman Chemical, 2.345%, 7/17/18^13,14		250,000		249,713
Nutrien Ltd., 2.477%, 8/7/18^1,13,14		250,000		249,309

				2,185,302
Leasing & Factoring—0.8%
Harley-Davidson Financial Services, Inc., 2.516%, 9/18/1813,14		370,000		367,906
Hitachi Capital America Corp., 2.445%, 7/11/18¹⁴		560,000		559,578

				927,484
Telephone Utilities—0.4%
Bell Canada Inc., 2.566%, 9/10/18^13,14		560,000		557,273
Textiles, Apparel & Luxury Goods—0.4%
VF Corp., 2.394%, 7/11/18^1,13,14		500,000		499,635
Health Care Providers & Services—0.5%
McKesson Corp., 2.354%, 7/11/18^1,13,14		560,000		559,576
Computers & Peripherals—1.1%
Hewlett Packard Enterprise Co., 2.352%, 7/10/18¹⁴		430,000		429,746
HP, Inc., 2.497%, 7/23/18¹⁴		560,000		559,265
NetApp, Inc., 2.254%, 7/17/18^1,13,14		500,000		499,426

				1,488,437
Semiconductor Equipment & Products—0.2%
Qualcomm, Inc., 2.414%, 9/11/18^1,13,14		250,000		248,829
Machinery—0.2%
Xylem, Inc., 2.262%, 7/2/18^13,14		250,000		249,954
Paper, Containers & Packaging—0.5%
Avery Dennison, 2.272%, 7/5/18^13,14		560,000		559,793
Household Products—0.5%
Clorox Co. (The), 2.202%, 7/6/18^1,13,14		560,000		559,766
Specialty Retail—0.4%
Relx, Inc., 2.324%, 7/20/18^1,13,14		560,000		559,246
Auto Components—0.4%
Magna International, Inc., 2.385%, 7/24/18^1,13,14		560,000		559,092

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 $37,953,928 or 30.41% of the Fund’s net assets at period end.

2. Represents the current interest rate for a variable or increasing rate security, determined as [Referenced Rate + Basis-point spread].

3. Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. These securities typically decline in price as interest rates decline. Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities (for example, GNMA pass-throughs). Interest rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $1,599,957 or 1.28% of the

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 $64,657 or 0.05% of the Fund’s net assets at period end.

6. 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.

7. Restricted security. The aggregate value of restricted securities at period end was $361,932, which represents 0.29% of the Fund’s net assets. See Note 4 of the accompanying Notes.

8. The value of this security was determined using significant unobservable inputs. See Note 3 of the accompanying Notes.

11. All or a portion of the security position has been pledged for collateral in association with forward roll transactions. See Note 4 of the accompanying Notes.

12. This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest.

13. Security issued in an exempt transaction without registration under the Securities Act of 1933. Such securities amount to $14,148,535 or 11.34% of the Fund’s net assets, and have been determined to be liquid pursuant to guidelines adopted by the Board of Trustees.

16. 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:

1. Per share amounts calculated based on the average shares outstanding during the period.

5. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:

6. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:

1. Per share amounts calculated based on the average shares outstanding during the period.

5. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:

6. The portfolio turnover rate excludes purchase and sale transactions of To Be Announced (TBA) mortgage-related securities as follows:

Oppenheimer Total Return 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.

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

Security Transactions. Security transactions are recorded on the trade date. Realized gains and losses on securities sold are determined on the basis of identified cost.

During the fiscal year ended December 31, 2017, the Fund did not utilize any capital loss carryforwards to offset capital gains realized in that fiscal year. For the fiscal year ended December 31, 2017, the Fund had capital loss carryforwards of $3,898,917. Capital losses will be carried forward to future years if not offset by gains.

At period end, it is estimated that the capital loss carryforwards would be $5,664,200. The estimated capital loss carryforward represents the

carryforward as of the end of the last fiscal year, increased or decreased by capital losses or gains realized in the first six months of the current fiscal year. During the reporting period, it is estimated that the Fund will not utilize any capital loss carryforward to offset realized capital gains.

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

To assess the continuing appropriateness of security valuations, the Manager regularly compares prior day prices 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.

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 that are included in the Fund’s Statement of Assets and Liabilities at period end based on valuation input level:

The table below shows the transfers between Level 2 and Level 3. The Fund’s policy is to recognize transfers in and transfers out as of the beginning of the reporting period.

an amount equal to the indirect management fees incurred through the Fund’s investment in the Affiliated Funds.

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:

At period end, the Fund pledged $22,826 of collateral to the counterparty for forward roll transactions.

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.

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.

During the reporting period, the Fund had an ending monthly average market value of $8,616,763 and $47,181,818 on futures contracts purchased and sold, respectively.

the venue of their execution, are required to be cleared through a clearinghouse (“centrally cleared swaps”). Swap contracts may include interest rate, equity, debt, index, total return, credit default, currency, and volatility swaps.

For the reporting period, the Fund had ending monthly average notional amounts of $85,000 on credit default swaps to sell protection.

Additional associated risks to the Fund include counterparty credit risk and liquidity risk.

The Fund may write swaptions which give it the obligation, if exercised by the purchaser, to sell or buy credit protection through credit default swaps in order to increase or decrease exposure to the credit risk of individual issuers and/or indexes of issuers. A written swaption selling protection becomes more valuable as the likelihood of a credit event on the reference asset decreases. A written swaption buying protection becomes more valuable as the likelihood of a credit event on the reference asset increases.

During the reporting period, the Fund had an ending monthly average market value of $2,111 and $949 on purchased and written swaptions, respectively.

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. 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 following table presents the valuations of derivative instruments by risk exposure as reported within the Statement of Assets and Liabilities at period end:

*Includes only the current day’s variation margin. Prior variation margin movements have been reflected in cash on the Statement of Assets and Liabilities upon receipt or payment.

The effect of derivative instruments on the Statement of Operations is as follows:

The Fund has authorized an unlimited number of $0.001 par value shares of beneficial interest of each class. Transactions in shares of beneficial interest were as follows:

The aggregate cost of purchases and proceeds from sales of securities, other than short-term obligations and investments in IGMMF, for the reporting period were as follows:

Management Fees. Under the investment advisory agreement, the Fund pays the Manager a management fee based on the daily net assets of the Fund at an annual rate as shown in the following table:

The Fund’s effective management fee for the reporting period was 0.60% of average annual net assets before any applicable waivers.

collected by the Manager from the Fund, which shall be calculated after any investment management fee waivers. The fee paid to the Sub-Adviser is paid by the Manager, not by the Fund.

Waivers and Reimbursements of Expenses. The Manager has contractually agreed to limit the Fund’s expenses after payments, waivers and/or reimbursements and reduction to custodian expenses, excluding any applicable dividend expense, taxes, interest and fees from borrowing, any subsidiary expenses, Acquired Fund Fees and Expenses, brokerage commissions, unusual and infrequent expenses and certain other Fund expenses; so that those expenses, as percentages of daily net assets, will not exceed the annual rate of 0.75% for Non-Service shares and 1.00% for Service shares.

During the reporting period, the Manager waived fees and/or reimbursed the Fund as follows:

This fee waiver and/or expense reimbursement may not be amended or withdrawn for one year from the date of the Fund’s prospectus, unless approved by the Board.

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 IGMMF. During the reporting period, the Manager waived fees and/or reimbursed the Fund $1,421 for IGMMF management fees. This fee waiver and/or expense reimbursement may not be amended or withdrawn for one year from the date of the Fund’s prospectus, unless approved by the Board.

PORTFOLIO PROXY VOTING POLICIES AND GUIDELINES; UPDATES TO STATEMENT OF INVESTMENTS

The Fund’s performance is compared to the performance of the MSCI All Country World Index. The MSCI All Country World Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. The Index is unmanaged and cannot be purchased directly by investors. While index comparisons may be useful to provide a benchmark for the Fund’s performance, it must be noted that the Fund’s investments are not limited to the investments comprising the Index. Index performance includes reinvestment of income, but does not reflect transaction costs, fees, expenses or taxes. Index performance is shown for illustrative purposes only as a benchmark for the Fund’s performance, and does not predict or depict performance of the Fund. The Fund’s performance reflects the effects of the Fund’s business and operating expenses.

1. Effective March 31, 2019, Mr. Bhaman will retire as Portfolio Manager and Vice President and Mr. Delano will be the sole Portfolio Manager of the Fund.

For the six-month reporting period ended June 30, 2018, the Fund’s Non-Service shares returned 1.92% versus the MSCI All Country World Index (“the Index”), its benchmark, which returned -0.43%. The Fund outperformed the Index in seven out of eleven sectors, led by stock selection in Information Technology, Industrials, and Consumer Discretionary. Underperforming sectors included Real Estate and Health Care, due to stock selection. The Portfolio’s underweight position in the Energy sector also detracted from performance in a period where the sector produced positive results. We find little appeal in commodity or highly regulated industries, so we own little in Energy, Real Estate, or Utilities.

The first half of 2018 has been up and down. The near straight-up advance that characterized 2017 ran out of steam in the closing days of January. Markets very rarely perform in that fashion. So, we are likely in a period of consolidation, where the earnings have the potential to grow nicely. This is a process that is likely to continue, we believe, as markets adapt to an environment where interest rates normalize and growth picks up. We still believe that the year can yield respectable gains but nothing like the magnitude or character of 2017.

Top performing holdings this reporting period included Adobe Systems, Inc., Kering SA, and Intuit, Inc.

Adobe Systems has seen accelerating revenues and widening margins driven by exceptional products and their transition to the cloud. Cloud based software is cheaper for the customer, and cannot be pirated. The stock has run a long way but we still like its prospects. The price has also run up as it has become more clearly understood that the company’s move to a cloud platform is a big plus for both revenues and margins.

Kering continues the resurgence in its operations, which began in mid-2016. Since then, the share price has risen by more than 250%, and more than 27% over the recently concluded quarter. Underpinning this performance have been the significant improvements in the performance of the Gucci brand, as well as a firmer economic tone around the world, particularly in Asia.

Intuit is a sponsor of tax preparation and bookkeeping software such as TurboTax and QuickBooks. The company has had considerable success in adapting these products to both mobile and the cloud. In the U.S., the company has continued to gain share and we believe it has a sizable opportunity to penetrate markets outside the U.S. as well.

Top detractors from performance included DLF Ltd., Acadia Pharmaceuticals, Inc., and Colgate-Palmolive Co.

DLF is an Indian real estate owner and developer that has been undergoing a significant financial restructuring. The balance sheet has been substantially strengthened over the last year, with net debt reduced by half. One remaining headwind is a cyclical lull in real estate markets. This will undoubtedly improve, in our view. We believe the company is strong enough to weather it.

Acadia Pharmaceuticals is a biopharmaceutical company working in the area of central nervous system disorders. A recent drug launch, Nuplazid, for the treatment of psychosis related to Parkinson’s disease was looked into by the FDA for safety concerns, sparked by a CNN report. We believe this is overblown, and the drug will see commercial success. A larger opportunity for Acadia exists if they are able to show efficacy in dementia related psychosis.

We believe Colgate-Palmolive is an exceptional company that has been a little bit slow to react to both competitive challenges and a bit too much corporate bloat. We believe both are fixable problems, and we expect that they can, and will, resolve them.

A good starting point for investing in companies that have the capacity to grow at an above average rate for a long period of time is to be thinking carefully about what economic ecosystems are expanding structurally. From this thought process, we can develop investment themes, some of which can be populated by multiple companies/beneficiaries. Among these themes today include the human desire for status and happiness. Within this broad idea we own some of the world’s best luxury goods companies. The use of technology to advance the treatment of illnesses for which there is no cure, or the deepening electronic content of automobiles and trucks, are others. None are present to capitalize on a market regime or cycle; instead they play upon trends which will unfold over the next decade or more.

We try to assemble a portfolio that is adaptable to most environments by emphasizing the quality and sustainability of purpose for each company we invest in. Businesses that have these two traits can weather an uncertain future in our opinion.

The examples are based on an investment of $1,000.00 invested at the beginning of the period and held for the entire 6-month period ended June 30, 2018.



	Shares		Value
Common Stocks—98.0%
Consumer Discretionary—15.2%
Automobiles—1.0%
Suzuki Motor Corp.		503,900	$	27,789,013
Hotels, Restaurants & Leisure—0.7%
International Game Technology plc		798,011		18,545,776
Household Durables—1.1%
Newell Brands, Inc.		1,114,390		28,740,118
Internet & Catalog Retail—2.0%
Amazon.com, Inc.¹		4,610		7,836,078
JD.com, Inc., ADR¹		1,165,247		45,386,371
				53,222,449
Media—1.3%
Walt Disney Co. (The)		339,430		35,575,658
Specialty Retail—3.3%
Industria de Diseno Textil SA		1,302,389		44,440,550
Tiffany & Co.		323,290		42,544,964
				86,985,514
Textiles, Apparel & Luxury Goods—5.8%
Brunello Cucinelli SpA		181,298		8,089,642
Kering SA		100,390		56,625,608
LVMH Moet Hennessy Louis Vuitton SE		251,320		83,543,481
Puma SE		9,677		5,650,264
				153,908,995
Consumer Staples—4.0%
Food Products—2.0%
Unilever plc		962,270		53,229,839
Household Products—2.0%
Colgate-Palmolive Co.		830,950		53,853,869
Energy—0.9%
Energy Equipment & Services—0.9%
TechnipFMC plc		773,990		24,596,525
Financials—17.5%
Capital Markets—6.6%
Credit Suisse Group AG¹		1,827,362		27,424,194
Goldman Sachs Group, Inc. (The)		170,830		37,679,973
S&P Global, Inc.		365,180		74,456,550
UBS Group AG¹		2,390,538		36,778,605
				176,339,322
Commercial Banks—4.4%
Banco Bilbao Vizcaya Argentaria SA		1,786,888		12,620,738
Citigroup, Inc.		876,100		58,628,612
ICICI Bank Ltd., Sponsored ADR¹		2,425,724		19,478,564
Societe Generale SA		594,959		25,052,431
				115,780,345
Insurance—4.9%
Allianz SE		213,583		44,134,443
Dai-ichi Life Holdings, Inc.		1,242,400		22,098,922
FNF Group		517,930		19,484,526
Prudential plc		2,004,047		45,789,851
				131,507,742
Real Estate Management & Development—1.6%
DLF Ltd.		15,839,922		43,575,437
Health Care—15.6%
Biotechnology—7.4%
ACADIA Pharmaceuticals, Inc.¹		551,120		8,415,602
AnaptysBio, Inc.¹		135,770		9,645,101
Biogen, Inc.¹		82,120		23,834,509
Bluebird Bio, Inc.¹		98,120		15,399,934
Blueprint Medicines Corp.¹		206,790		13,127,029
Circassia Pharmaceuticals plc¹		4,471,614		4,961,311
Gilead Sciences, Inc.		280,350		19,859,994
GlycoMimetics, Inc.¹		364,310		5,876,320



	Shares		Value
Biotechnology (Continued)
Ionis Pharmaceuticals, Inc.¹		362,420	$	15,102,041
Loxo Oncology, Inc.¹		132,190		22,932,321
MacroGenics, Inc.¹		506,550		10,460,258
Mirati Therapeutics, Inc.¹		65,522		3,230,235
Sage Therapeutics, Inc.¹		172,300		26,970,119
Shire plc		219,130		12,323,353
uniQure NV¹		169,670		6,413,526
				198,551,653
Health Care Equipment & Supplies—0.9%
Zimmer Biomet Holdings, Inc.		217,090		24,192,510
Health Care Providers & Services—5.5%
Aetna, Inc.		353,350		64,839,725
Anthem, Inc.		243,885		58,051,946
Centene Corp.¹		183,180		22,569,608
				145,461,279
Life Sciences Tools & Services—0.7%
Agilent Technologies, Inc.		296,820		18,355,349
Pharmaceuticals—1.1%
Bayer AG		266,627		29,376,038
Industrials—13.9%
Aerospace & Defense—3.3%
Airbus SE		756,220		88,385,856
Air Freight & Couriers—1.0%
United Parcel Service, Inc., Cl. B		246,700		26,206,941
Airlines—0.9%
International Consolidated Airlines Group SA		2,676,600		23,359,136
Building Products—1.2%
Assa Abloy AB, Cl. B		1,501,191		31,948,525
Construction & Engineering—0.6%
FLSmidth & Co. AS		269,946		16,143,892
Electrical Equipment—2.5%
Nidec Corp.		447,800		67,090,229
Industrial Conglomerates—2.5%
3M Co.		184,970		36,387,298
Siemens AG		229,020		30,264,802
				66,652,100
Machinery—1.2%
FANUC Corp.		93,700		18,577,637
Minebea Mitsumi, Inc.		881,000		14,844,228
				33,421,865
Professional Services—0.7%
Equifax, Inc.		144,840		18,120,932
Information Technology—29.8%
Electronic Equipment, Instruments, & Components—6.7%
Keyence Corp.		72,022		40,619,433
Kyocera Corp.		452,800		25,441,730
Murata Manufacturing Co. Ltd.		322,300		54,107,951
Omron Corp.		464,700		21,607,692
TDK Corp.		375,200		38,258,866
				180,035,672
Internet Software & Services—9.6%
Alphabet, Inc., Cl. A¹		144,220		162,851,782
Baidu, Inc., Sponsored ADR¹		98,010		23,816,430
Facebook, Inc., Cl. A¹		351,470		68,297,650
				254,965,862
IT Services—1.7%
Earthport plc¹		14,765,253		1,995,470
PayPal Holdings, Inc.¹		523,597		43,599,922
				45,595,392

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

1. Per share amounts calculated based on the average shares outstanding during the period.

5. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:

1. Per share amounts calculated based on the average shares outstanding during the period.

5. Total expenses including indirect expenses from affiliated fund fees and expenses were as follows:

Oppenheimer Global Fund/VA (the “Fund”), a separate series of Oppenheimer Variable Account Funds, is a diversified open-end management investment company registered under the Investment Company Act of 1940 (“1940 Act”), as amended. The Fund’s main investment objective is to seek capital appreciation. The Fund’s investment adviser is OFI Global Asset Management, Inc. (“OFI Global” or the “Manager”), a wholly-owned subsidiary of 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 books and records of the Fund are maintained in U.S. dollars. Any foreign currency amounts are translated into U.S. dollars on the following basis:

(1) Value of investment securities, other assets and liabilities — at the exchange rates prevailing at market close as described in Note 3.

(2) Purchases and sales of investment securities, income and expenses — at the rates of exchange prevailing on the respective dates of such transactions.

For securities, which are subject to foreign withholding tax upon disposition, realized and unrealized gains or losses on such securities are recorded net of foreign withholding tax.

Security Transactions. Security transactions are recorded on the trade date. Realized gains and losses on securities sold are determined on the basis of identified cost.

During the fiscal year ended December 31, 2017, the Fund utilized $17,365,953 of capital loss carryforwards to offset capital gains realized in that fiscal year. Capital losses will be carried forward to future years if not offset by gains.