Oppenheimer Variable Account Funds


	Shares		Value
Common Stocks—97.7%
Consumer Discretionary—15.8%
Auto Components—0.5%
Aptiv plc		43,690	$	3,665,591
Distributors—1.6%
Pool Corp.		75,860		12,659,517
Diversified Consumer Services—1.1%
Bright Horizons Family Solutions, Inc.¹		75,190		8,860,389
Hotels, Restaurants & Leisure—4.9%
Chipotle Mexican Grill, Inc., Cl. A¹		8,940		4,063,409
Domino’s Pizza, Inc.		35,790		10,550,892
Hyatt Hotels Corp., Cl. A		90,650		7,214,833
Planet Fitness, Inc., Cl. A¹		116,600		6,299,898
Vail Resorts, Inc.		36,790		10,095,912
				38,224,944
Internet & Catalog Retail—0.1%
Farfetch Ltd., Cl. A¹		26,490		721,323
Multiline Retail—1.1%
Ollie’s Bargain Outlet Holdings, Inc.¹		88,510		8,505,811
Specialty Retail—4.0%
Burlington Stores, Inc.¹		63,110		10,281,881
O’Reilly Automotive, Inc.¹		23,230		8,068,244
Ross Stores, Inc.		93,240		9,240,084
Urban Outfitters, Inc.¹		87,740		3,588,566
				31,178,775
Textiles, Apparel & Luxury Goods—2.5%
Canada Goose Holdings, Inc.¹		49,450		3,191,503
lululemon athletica, Inc.¹		78,030		12,679,095
PVH Corp.		28,130		4,061,972
				19,932,570
Consumer Staples—2.8%
Food Products—2.8%
Archer-Daniels-Midland Co.		78,970		3,969,822
Lamb Weston Holdings, Inc.		179,370		11,946,042
McCormick & Co., Inc.		47,800		6,297,650
				22,213,514
Energy—2.4%
Oil, Gas & Consumable Fuels—2.4%
Centennial Resource Development, Inc., Cl. A¹		203,860		4,454,341
Continental Resources, Inc.¹		93,730		6,399,884
Diamondback Energy, Inc.		60,413		8,167,234
				19,021,459
Financials—7.7%
Capital Markets—3.3%
E*TRADE Financial Corp.¹		70,740		3,706,069
KKR & Co., Inc., Cl. A		190,770		5,202,298
MSCI, Inc., Cl. A		66,610		11,817,280
Raymond James Financial, Inc.		51,840		4,771,872
				25,497,519
Commercial Banks—1.7%
SVB Financial Group¹		41,580		12,924,311
Insurance—1.5%
Progressive Corp. (The)		164,490		11,685,370
Real Estate Investment Trusts (REITs)—0.5%
SBA Communications Corp., Cl. A¹		26,400		4,240,632
Real Estate Management & Development—0.7%
CBRE Group, Inc., Cl. A¹		126,340		5,571,594
Health Care—16.5%
Biotechnology—1.5%
Neurocrine Biosciences, Inc.¹		65,500		8,053,225


	Shares		Value
Biotechnology (Continued)
Sage Therapeutics, Inc.¹		27,260	$	3,850,475
				11,903,700
Health Care Equipment & Supplies—8.4%
ABIOMED, Inc.¹		24,610		11,068,348
Align Technology, Inc.¹		32,720		12,800,718
DexCom, Inc.¹		30,230		4,324,099
Edwards Lifesciences Corp.¹		38,280		6,664,548
ICU Medical, Inc.¹		26,020		7,357,155
IDEXX Laboratories, Inc.¹		52,540		13,117,136
Insulet Corp.¹		93,960		9,955,062
				65,287,066
Health Care Providers & Services—2.8%
Encompass Health Corp.		48,270		3,762,646
WellCare Health Plans, Inc.¹		57,350		18,380,102
				22,142,748
Life Sciences Tools & Services—3.8%
Agilent Technologies, Inc.		155,190		10,947,103
Bio-Rad Laboratories, Inc., Cl. A¹		26,890		8,416,301
ICON plc¹		64,140		9,861,525
				29,224,929
Industrials—17.4%
Aerospace & Defense—1.4%
HEICO Corp.		31,970		2,960,742
Textron, Inc.		115,820		8,277,655
				11,238,397
Air Freight & Couriers—1.4%
XPO Logistics, Inc.¹		96,790		11,050,514
Building Products—0.4%
Trex Co., Inc.¹		36,140		2,782,057
Commercial Services & Supplies—4.8%
Cintas Corp.		55,380		10,954,718
Copart, Inc.¹		213,740		11,014,022
Waste Connections, Inc.		196,795		15,698,337
				37,667,077
Industrial Conglomerates—1.6%
Roper Technologies, Inc.		43,070		12,757,765
Machinery—1.7%
IDEX Corp.		88,140		13,279,173
Professional Services—5.0%
CoStar Group, Inc.¹		36,150		15,213,366
IHS Markit Ltd.¹		165,120		8,909,875
TransUnion		201,360		14,816,069
				38,939,310
Trading Companies & Distributors—1.1%
SiteOne Landscape Supply, Inc.¹		53,110		4,001,307
United Rentals, Inc.¹		27,140		4,440,104
				8,441,411
Information Technology—31.6%
Communications Equipment—1.1%
Palo Alto Networks, Inc.¹		39,490		8,895,517
Electronic Equipment, Instruments, & Components—3.9%
Amphenol Corp., Cl. A		68,460		6,436,609
CDW Corp.		128,770		11,450,229
FLIR Systems, Inc.		133,720		8,219,768
Keysight Technologies, Inc.¹		62,120		4,117,314
				30,223,920
Internet Software & Services—3.4%
GrubHub, Inc.¹		67,320		9,331,898
IAC/InterActiveCorp¹		39,970		8,662,298
Nutanix, Inc., Cl. A¹		115,950		4,953,384
Twilio, Inc., Cl. A¹		44,520		3,841,186
				26,788,766


	Shares			Value
Software (Continued)
Synopsys, Inc.¹		109,040		$	10,752,435
Take-Two Interactive Software, Inc.¹		75,280			10,387,887
Zendesk, Inc.¹		103,620			7,357,020
					99,213,633
Materials—3.5%
Chemicals—2.1%
Ashland Global Holdings, Inc.		44,740			3,751,896
Celanese Corp., Cl. A		77,730			8,861,220
Ingevity Corp.¹		38,160			3,887,741
					16,500,857
Containers & Packaging—1.0%
Avery Dennison Corp.		70,510			7,639,758
Metals & Mining—0.4%
Steel Dynamics, Inc.		72,120			3,259,103
Total Common Stocks (Cost $575,263,606)					763,806,201
Investment Company—1.6%
Oppenheimer Institutional Government Money Market Fund, Cl. E, 1.95%^2,3(Cost $12,335,505)		12,335,505			12,335,505
Total Investments, at Value (Cost $587,599,111)		99.3	%		776,141,706
Net Other Assets (Liabilities)		0.7			5,104,903
Net Assets		100.0	%	$	781,246,609

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

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

The Fund calculates the net asset value of its shares as of 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 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.

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.

On October 18, 2018, Massachusetts Mutual Life Insurance Company (“MassMutual”), an indirect corporate parent of the Sub-Adviser and the Manager announced that it has entered into a definitive agreement, whereby Invesco Ltd. (“Invesco”), a global investment management company, will acquire the Sub-Adviser. As of the time of the announcement, the transaction is expected to close in the second quarter of 2019, pending necessary regulatory and other third-party approvals. This is subject to change.


	Shares		Value
Common Stocks—37.2%
Consumer Discretionary—6.7%
Auto Components—0.3%
Lear Corp.		1,950	$	282,750
Visteon Corp.¹		4,230		392,967
				675,717

Diversified Consumer Services—0.0%
Houghton Mifflin Harcourt Co.¹		3,174		22,218
Weight Watchers International, Inc.¹		85		6,119
				28,337

Entertainment—1.0%
Activision Blizzard, Inc.		13,740		1,143,030
Netflix, Inc.¹		46		17,210
Zynga, Inc., Cl. A¹		185,962		745,708
				1,905,948

Hotels, Restaurants & Leisure—0.7%
Cedar Fair LP²		5,485		285,659
Chipotle Mexican Grill, Inc., Cl. A¹		24		10,908
McDonald’s Corp.		5,926		991,361
				1,287,928

Household Durables—0.0%
Newell Brands, Inc.		766		15,550

Interactive Media & Services—1.2%
Alphabet, Inc., Cl. C¹		10		11,935
Facebook, Inc., Cl. A¹		8,433		1,386,891
Snap, Inc., Cl. A¹		45,595		386,646
Yelp, Inc., Cl. A¹		13,622		670,202
				2,455,674

Internet & Catalog Retail—1.6%
Amazon.com, Inc.¹		1,126		2,255,378
Booking Holdings, Inc.¹		5		9,920
eBay, Inc.¹		27,313		901,875
FTD Cos., Inc.¹		2,792		7,343
				3,174,516

Leisure Products—0.0%
American Outdoor Brands Corp.¹		1,196		18,574

Multiline Retail—0.0%
Fred’s, Inc., Cl. A¹		6,982		14,243

Specialty Retail—1.4%
Bed Bath & Beyond, Inc.		395		5,925
Burlington Stores, Inc.¹		2,296		374,065
CarMax, Inc.¹		9,248		690,548
GameStop Corp., Cl. A		827		12,628
Lowe’s Cos., Inc.		15,166		1,741,360
Office Depot, Inc.		4,029		12,933
Sally Beauty Holdings, Inc.¹		894		16,441
Sportsman’s Warehouse Holdings, Inc.¹		1,985		11,612
				2,865,512

Textiles, Apparel & Luxury Goods—0.5%
NIKE, Inc., Cl. B		12,822		1,086,280

Consumer Staples—1.4%
Beverages—0.0%
Constellation Brands, Inc., Cl. A		49		10,565
Molson Coors Brewing Co., Cl. B		447		27,491
				38,056

Food & Staples Retailing—0.2%
Kroger Co. (The)		862		25,093
Rite Aid Corp.¹		174,233		223,018
Smart & Final Stores, Inc.¹		1,926		10,978
SpartanNash Co.		764		15,326
Walgreens Boots Alliance, Inc.		276		20,120
				294,535

Food Products—0.6%
Campbell Soup Co.		619		22,674


	Shares		Value
Real Estate Investment Trusts (REITs) (Continued)
Prologis, Inc.		15,494	$	1,050,338
				2,302,052

Health Care—5.6%
Biotechnology—1.0%
BioMarin Pharmaceutical, Inc.¹		3,030		293,819
Exact Sciences Corp.¹		7,415		585,192
Sage Therapeutics, Inc.¹		1,120		158,200
uniQure NV¹		6,404		233,042
Vertex Pharmaceuticals, Inc.¹		3,573		688,660
				1,958,913

Health Care Equipment & Supplies—1.1%
ABIOMED, Inc.¹		15		6,746
Align Technology, Inc.¹		20		7,824
Becton Dickinson & Co.		2,582		673,902
Boston Scientific Corp.¹		353		13,591
CryoPort, Inc.¹		7,880		100,943
IDEXX Laboratories, Inc.¹		36		8,988
Insulet Corp.¹		5,112		541,616
Intuitive Surgical, Inc.¹		1,399		803,026
				2,156,636

Health Care Providers & Services—1.5%
Aceto Corp.		2,110		4,769
Anthem, Inc.		3,820		1,046,871
Centene Corp.¹		3,200		463,296
CVS Health Corp.		332		26,135
Laboratory Corp. of America Holdings¹		4,681		812,996
UnitedHealth Group, Inc.		104		27,668
WellCare Health Plans, Inc.¹		2,345		751,549
				3,133,284

Health Care Technology—0.0%
Teladoc Health, Inc.¹		78		6,735

Life Sciences Tools & Services—0.4%
Agilent Technologies, Inc.		10,201		719,578
Illumina, Inc.¹		29		10,645
				730,223

Pharmaceuticals—1.6%
Bayer AG, Sponsored ADR		28,927		640,444
GlaxoSmithKline plc, Sponsored ADR		418		16,791
Johnson & Johnson		10,160		1,403,807
Lannett Co., Inc.¹		864		4,104
Merck & Co., Inc.		14,550		1,032,177
Nektar Therapeutics, Cl. A¹		77		4,694
Novartis AG, Sponsored ADR		273		23,522
TherapeuticsMD, Inc.¹		30,050		197,128
				3,322,667

Industrials—4.5%
Aerospace & Defense—1.2%
Boeing Co. (The)		2,675		994,832
Lockheed Martin Corp.		2,482		858,673
Spirit AeroSystems Holdings, Inc., Cl. A		6,677		612,081
				2,465,586

Air Freight & Couriers—0.3%
XPO Logistics, Inc.¹		5,428		619,715

Airlines—0.3%
Spirit Airlines, Inc.¹		10,703		502,720

Building Products—0.2%
A.O. Smith Corp.		105		5,604
Masco Corp.		10,570		386,862
				392,466

Commercial Services & Supplies—0.8%
ACCO Brands Corp.		29,451		332,796
KAR Auction Services, Inc.		14,482		864,431
RR Donnelley & Sons Co.		1,076		5,811


	Shares		Value
Commercial Services & Supplies (Continued)
Waste Connections, Inc.		4,916	$	392,149
				1,595,187

Construction & Engineering—0.2%
Dycom Industries, Inc.¹		4,740		401,004

Industrial Conglomerates—0.0%
General Electric Co.		1,363		15,388

Machinery—0.6%
Illinois Tool Works, Inc.		4,188		591,011
Stanley Black & Decker, Inc.		4,176		611,533
Wabtec Corp.		56		5,873
				1,208,417

Professional Services—0.3%
ASGN, Inc.¹		127		10,024
Korn/Ferry International		12,820		631,257
Nielsen Holdings plc		343		9,487
				650,768

Road & Rail—0.4%
Canadian Pacific Railway Ltd.		3,860		818,089

Trading Companies & Distributors—0.2%
Fastenal Co.		8,266		479,593

Information Technology—7.5%
Communications Equipment—0.5%
Palo Alto Networks, Inc.¹		4,393		989,567

IT Services—2.2%
CACI International, Inc., Cl. A¹		35		6,445
DXC Technology Co.		10,779		1,008,052
First Data Corp., Cl. A¹		43,756		1,070,709
Mastercard, Inc., Cl. A		6,297		1,401,775
PayPal Holdings, Inc.¹		176		15,460
Perspecta, Inc.		16,861		433,665
Teradata Corp.¹		13,720		517,381
Total System Services, Inc.		105		10,368
				4,463,855

Semiconductors & Semiconductor Equipment—0.8%
Applied Materials, Inc.		16,699		645,416
Broadcom, Inc.		48		11,843
Microchip Technology, Inc.		10,225		806,855
Texas Instruments, Inc.		130		13,948
				1,478,062

Software—2.1%
Envestnet, Inc.¹		96		5,851
Microsoft Corp.		24,728		2,828,142
Pegasystems, Inc.		14,647		916,902
PTC, Inc.¹		68		7,221
Q2 Holdings, Inc.¹		8,100		490,455
				4,248,571

Technology Hardware, Storage & Peripherals—1.9%
Apple, Inc.		14,857		3,353,819
Diebold Nixdorf, Inc.		2,001		9,004
Western Digital Corp.		8,877		519,660
				3,882,483

Materials—1.0%
Chemicals—0.2%
Valvoline, Inc.		18,870		405,894

Containers & Packaging—0.4%
Sealed Air Corp.		17,620		707,443

Metals & Mining—0.4%
Compass Minerals International, Inc.		9,310		625,632
Franco-Nevada Corp.		241		15,074
Kaiser Aluminum Corp.		50		5,453
Osisko Gold Royalties Ltd.		33,656		255,355
				901,514


	Shares		Value
Telecommunication Services—1.1%
Diversified Telecommunication Services—0.8%
AT&T, Inc.		784	$	26,327
BT Group plc, Sponsored ADR		1,050		15,508
ORBCOMM, Inc.¹		375		4,073
Verizon Communications, Inc.		23,060		1,231,173
Zayo Group Holdings, Inc.¹		10,890		378,101
				1,655,182

Wireless Telecommunication Services—0.3%
T-Mobile US, Inc.¹		8,231		577,652

Utilities—1.7%
Electric Utilities—0.7%
Duke Energy Corp.		4,640		371,293
Edison International		343		23,214
PG&E Corp.¹		21,245		977,482
PPL Corp.		688		20,131
Southern Co. (The)		405		17,658
				1,409,778

Gas Utilities—0.3%
Suburban Propane Partners LP²		22,713		534,437

Multi-Utilities—0.7%
Centrica plc, Sponsored ADR		2,212		17,917
Dominion Energy, Inc.		304		21,365
National Grid plc		65,600		676,427
National Grid plc, Sponsored ADR		460		23,856
SCANA Corp.		19,389		754,038
				1,493,603
Total Common Stocks (Cost $63,459,916)				74,982,083

	Principal Amount
Asset-Backed Securities—10.9%
Auto Loan—6.7%
American Credit Acceptance Receivables Trust:
Series 2015-3,Cl. D, 5.86%, 7/12/22³	$	135,000		136,333
Series 2017-3,Cl. B, 2.25%, 1/11/21³		70,000		69,920
Series 2017-4,Cl. B, 2.61%, 5/10/21³		69,000		68,922
Series 2017-4,Cl. C, 2.94%, 1/10/24³		195,000		193,965
Series 2017-4,Cl. D, 3.57%, 1/10/24³		246,000		243,423
Series 2018-2,Cl. B, 3.46%, 8/10/22³		275,000		274,835
Series 2018-2,Cl. C, 3.70%, 7/10/24³		275,000		274,486
Series 2018-3,Cl. A, 2.92%, 8/12/21³		135,000		135,018
Series 2018-3,Cl. B, 3.49%, 6/13/22³		80,000		80,051
AmeriCredit Automobile Receivables Trust:
Series 2015-2,Cl. D, 3.00%, 6/8/21		245,000		245,029
Series 2017-2,Cl. D, 3.42%, 4/18/23		320,000		318,180
Series 2017-4,Cl. D, 3.08%, 12/18/23		145,000		142,114
Cabela’s Credit Card Master Note Trust, Series 2015-2, Cl. A2, 2.828% [US0001M+67], 7/17/23⁴		475,000		478,502
Capital Auto Receivables Asset Trust, Series 2017-1, Cl. D, 3.15%, 2/20/25³		40,000		39,570
CarFinance Capital Auto Trust, Series 2015-1A, Cl. A, 1.75%, 6/15/21³		4,649		4,646
CarMax Auto Owner Trust:
Series 2015-2,Cl. D, 3.04%, 11/15/21		115,000		114,759
Series 2015-3,Cl. D, 3.27%, 3/15/22		330,000		329,565
Series 2016-1,Cl. D, 3.11%, 8/15/22		220,000		218,960
Series 2017-1,Cl. D, 3.43%, 7/17/23		245,000		243,170
Series 2017-4,Cl. D, 3.30%, 5/15/24		110,000		107,943
Series 2018-1,Cl. D, 3.37%, 7/15/24		75,000		73,599
CIG Auto Receivables Trust, Series 2017-1A, Cl. A, 2.71%, 5/15/23³		77,953		77,439
CPS Auto Receivables Trust:
Series 2017-C,Cl. A, 1.78%, 9/15/20³		26,177		26,115
Series 2017-C,Cl. B, 2.30%, 7/15/21³		105,000		104,399
Series 2017-D,Cl. B, 2.43%, 1/18/22³		180,000		178,242
Series 2018-A,Cl. B, 2.77%, 4/18/22³		145,000		143,712


	Principal Amount		Value
Auto Loan (Continued)
CPS Auto Receivables Trust: (Continued)
Series 2018-B,Cl. B, 3.23%, 7/15/22³	$	155,000	$	154,403
CPS Auto Trust, Series 2017-A, Cl. B, 2.68%, 5/17/21³		35,000		34,926
Credit Acceptance Auto Loan Trust:
Series 2017-3A,Cl. C, 3.48%, 10/15/26³		220,000		216,525
Series 2018-1A,Cl. B, 3.60%, 4/15/27³		135,000		133,932
Series 2018-1A,Cl. C, 3.77%, 6/15/27³		190,000		187,679
Series 2018-2A,Cl. C, 4.16%, 9/15/27³		115,000		115,150
Drive Auto Receivables Trust:
Series 2015-BA,Cl. D, 3.84%, 7/15/21³		18,208		18,290
Series 2016-CA,Cl. D, 4.18%, 3/15/24³		170,000		171,772
Series 2017-3,Cl. C, 2.80%, 7/15/22		120,000		119,709
Series 2017-AA,Cl. C, 2.98%, 1/18/22³		195,000		194,857
Series 2017-BA,Cl. D, 3.72%, 10/17/22³		235,000		235,923
Series 2018-1,Cl. D, 3.81%, 5/15/24		160,000		159,433
Series 2018-2,Cl. D, 4.14%, 8/15/24		315,000		316,432
Series 2018-3,Cl. D, 4.30%, 9/16/24		215,000		216,875
Series 2018-4,Cl. B, 3.36%, 10/17/22		135,000		135,086
DT Auto Owner Trust:
Series 2016-4A,Cl. E, 6.49%, 9/15/23³		75,000		77,014
Series 2017-1A,Cl. C, 2.70%, 11/15/22³		95,000		94,837
Series 2017-1A,Cl. D, 3.55%, 11/15/22³		150,000		149,938
Series 2017-1A,Cl. E, 5.79%, 2/15/24³		160,000		162,231
Series 2017-2A,Cl. D, 3.89%, 1/15/23³		180,000		180,410
Series 2017-3A,Cl. B, 2.40%, 5/17/21³		200,000		199,479
Series 2017-3A,Cl. E, 5.60%, 8/15/24³		155,000		157,217
Series 2017-4A,Cl. D, 3.47%, 7/17/23³		205,000		204,189
Series 2017-4A,Cl. E, 5.15%, 11/15/24³		150,000		150,813
Series 2018-1A,Cl. B, 3.04%, 1/18/22³		155,000		154,686
Series 2018-2A,Cl. B, 3.43%, 5/16/22³		80,000		79,924
Exeter Automobile Receivables Trust,
Series 2018-1A, Cl. B, 2.75%, 4/15/22³		155,000		154,067
Flagship Credit Auto Trust:
Series 2014-1,Cl. D, 4.83%, 6/15/20³		20,000		20,052
Series 2016-1,Cl. C, 6.22%, 6/15/22³		380,000		393,279
GLS Auto Receivables Trust, Series 2018-1A, Cl. A, 2.82%, 7/15/22³		281,509		280,455
GM Financial Automobile Leasing Trust:
Series 2017-3,Cl. C, 2.73%, 9/20/21		120,000		118,599
Series 2018-2,Cl. C, 3.50%, 4/20/22		145,000		144,680
Navistar Financial Dealer Note Master Owner Trust II:
Series 2017-1,Cl. C, 3.766%
[LIBOR01M+155], 6/27/22^3,4		60,000		60,214
Series 2017-1,Cl. D, 4.516%
[LIBOR01M+230], 6/27/22^3,4		75,000		75,089
Series 2018-1,Cl. A, 2.798%
[LIBOR01M+63], 9/25/23^3,4		115,000		115,146
Series 2018-1,Cl. B, 2.968%
[LIBOR01M+80], 9/25/23^3,4		55,000		55,028
Santander Drive Auto Receivables Trust:
Series 2016-2,Cl. D, 3.39%, 4/15/22		115,000		115,091
Series 2017-1,Cl. D, 3.17%, 4/17/23		175,000		173,996
Series 2017-1,Cl. E, 5.05%, 7/15/24³		410,000		420,233
Series 2017-3,Cl. D, 3.20%, 11/15/23		295,000		292,229
Series 2018-1,Cl. D, 3.32%, 3/15/24		110,000		107,898
Series 2018-2,Cl. D, 3.88%, 2/15/24		170,000		168,801
Series 2018-3,Cl. C, 3.51%, 8/15/23		440,000		439,052
Santander Retail Auto Lease Trust,
Series 2017-A, Cl. C, 2.96%, 11/21/22³		195,000		192,850
TCF Auto Receivables Owner Trust,
Series 2015-1A, Cl. D, 3.53%, 3/15/22³		190,000		189,344


	Principal Amount		Value
Auto Loan (Continued)
United Auto Credit Securitization Trust, Series 2018-1, Cl. C, 3.05%, 9/10/21³	$	285,000	$	283,568
Veros Automobile Receivables Trust, Series 2017-1, Cl. A, 2.84%, 4/17/23³		71,844		71,585
Westlake Automobile Receivables Trust:
Series 2016-1A,Cl. E, 6.52%, 6/15/22³		270,000		274,417
Series 2017-2A,Cl. E, 4.63%, 7/15/24³		320,000		320,998
Series 2018-1A,Cl. C, 2.92%, 5/15/23³		160,000		158,613
Series 2018-1A,Cl. D, 3.41%, 5/15/23³		315,000		312,675
Series 2018-3A,Cl. B, 3.32%, 10/16/23³		252,000		251,614
				13,534,200

Credit Card—3.7%
Cabela’s Credit Card Master Note Trust:
Series 2015-1A,Cl. A2, 2.698%
[US0001M+54], 3/15/23⁴		490,000		492,368
Series 2015-2,Cl. A1, 2.25%, 7/17/23		525,000		517,030
Series 2016-1,Cl. A1, 1.78%, 6/15/22		710,000		704,797
Series 2016-1,Cl. A2, 3.008%
[US0001M+85], 6/15/22⁴		255,000		256,270
Citibank Credit Card Issuance Trust:
Series 2014-A6,Cl. A6, 2.15%, 7/15/21		110,000		109,471
Series 2017-A9,Cl. A9, 1.80%, 9/20/21		305,000		302,045
Evergreen Credit Card Trust, Series 2018-2, Cl. A, 2.508% [US0001M+35], 7/15/22^3,4		410,000		410,891
GE Capital Credit Card Master Note Trust:
Series 2012-7,Cl. A, 1.76%, 9/15/22		225,000		222,583
Series 2012-7,Cl. B, 2.21%, 9/15/22		200,000		198,303
Synchrony Credit Card Master Note
Trust, Series 2015-1, Cl. A, 2.37%, 3/15/23		630,000		623,749
World Financial Network Credit Card Master Trust:
Series 2012-D,Cl. A, 2.15%, 4/17/23		615,000		611,848
Series 2016-C,Cl. A, 1.72%, 8/15/23		665,000		656,624
Series 2017-A,Cl. A, 2.12%, 3/15/24		515,000		506,287
Series 2017-B,Cl. A, 1.98%, 6/15/23		590,000		585,875
Series 2017-C,Cl. A, 2.31%, 8/15/24		430,000		422,000
Series 2018-A,Cl. A, 3.07%, 12/16/24		540,000		536,851
Series 2018-B,Cl. A, 3.46%, 7/15/25		245,000		244,931
				7,401,923

Equipment—0.4%
CCG Receivables Trust:
Series 2017-1,Cl. B, 2.75%, 11/14/23³		250,000		245,866
Series 2018-1,Cl. B, 3.09%, 6/16/25³		90,000		88,794
Series 2018-1,Cl. C, 3.42%, 6/16/25³		25,000		24,651
Series 2018-2,Cl. C, 3.87%, 12/15/25³		60,000		59,667
CNH Equipment Trust, Series 2017-C, Cl. B, 2.54%, 5/15/25		70,000		68,166
Dell Equipment Finance Trust, Series 2018-1, Cl. B, 3.34%, 6/22/23³		90,000		89,975
FRS I LLC, Series 2013-1A, Cl. A1, 1.80%, 4/15/43³		7,777		7,740
Verizon Owner Trust, Series 2017-3A, Cl. A1A, 2.06%, 4/20/22³		195,000		192,261
				777,120

Loans: Other—0.1%
Ameriquest Mortgage Securities, Inc.
Asset-Backed Pass-Through Certificates,
Series 2005-R5, Cl. M2, 2.906%
[US0001M+69], 7/25/35⁴		120,976		121,509


	Principal Amount		Value
Loans: Other (Continued)
Dell Equipment Finance Trust, Series 2017-2, Cl. B, 2.47%, 10/24/22³	$	75,000	$	73,909


Element Rail Leasing I LLC, Series 2014-1A, Cl. A1, 2.299%, 4/19/44³		147,342		145,593
				341,011
Total Asset-Backed Securities (Cost $22,133,996)				22,054,254
Mortgage-Backed Obligations—29.0%
Government Agency—18.2%
FHLMC/FNMA/FHLB/Sponsored—15.9%
Federal Home Loan Mortgage Corp. Gold Pool:
4.50%, 10/1/18		58		59
5.00%, 12/1/34		1,926		2,039
5.50%, 9/1/39		221,187		236,056
6.50%, 7/1/28-4/1/34		19,195		21,250
7.00%, 10/1/31-10/1/37		63,476		69,764
9.00%, 8/1/22-5/1/25		1,078		1,144
Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security:
Series 183,Cl. IO, 74.256%, 4/1/27⁵		44,476		9,930
Series 192,Cl. IO, 99.999%, 2/1/28⁵		13,224		2,682
Series 243,Cl. 6, 4.923%, 12/15/32⁵		35,458		6,023
Federal Home Loan Mortgage Corp.,
Mtg.-Linked Amortizing Global Debt
Securities, Series 2012-1, Cl. A10, 2.06%, 1/15/22		125,235		122,150
Federal Home Loan Mortgage Corp.,
Principal-Only Stripped Mtg.-Backed
Security, Series 176, Cl. PO, 4.198%, 6/1/26⁶		13,447		12,310
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates:
Series 2427,Cl. ZM, 6.50%, 3/15/32		79,805		87,469
Series 2461,Cl. PZ, 6.50%, 6/15/32		31,734		34,130
Series 2626,Cl. TB, 5.00%, 6/15/33		47,412		48,763
Series 2635,Cl. AG, 3.50%, 5/15/32		27,070		26,722
Series 2770,Cl. TW, 4.50%, 3/15/19		746		747
Series 3010,Cl. WB, 4.50%, 7/15/20		5,184		5,224
Series 3025,Cl. SJ, 16.836% [-3.667 x
LIBOR01M+2,475], 8/15/35⁴		11,583		16,123
Series 3030,Cl. FL, 2.558%
[LIBOR01M+40], 9/15/35⁴		60,821		61,100
Series 3815,Cl. BD, 3.00%, 10/15/20		144		144
Series 3822,Cl. JA, 5.00%, 6/15/40		21,032		21,496
Series 3848,Cl. WL, 4.00%, 4/15/40		57,025		57,224
Series 3857,Cl. GL, 3.00%, 5/15/40		3,881		3,875
Series 4221,Cl. HJ, 1.50%, 7/15/23		375,046		364,993
Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security:
Series 2130,Cl. SC, 62.674%, 3/15/29⁵		34,852		4,225
Series 2796,Cl. SD, 48.226%, 7/15/26⁵		58,693		6,571
Series 2920,Cl. S, 14.917%, 1/15/35⁵		339,772		42,217
Series 2922,Cl. SE, 18.053%, 2/15/35⁵		19,544		2,293
Series 2981,Cl. AS, 2.168%, 5/15/35⁵		170,376		16,713
Series 3397,Cl. GS, 0.00%, 12/15/37^5,7		21,448		3,128
Series 3424,Cl. EI, 0.00%, 4/15/38^5,⁷		8,349		648
Series 3450,Cl. BI, 8.507%, 5/15/38⁵		57,202		7,261
Series 3606,Cl. SN, 13.612%, 12/15/39⁵		30,481		3,471
Series 4057,Cl. QI, 5.314%, 6/15/27⁵		574,461		47,835
Series 4818,Cl. BI, 2.733%, 3/15/45⁵		208,379		38,945
Federal National Mortgage Assn.: 2.50%, 10/1/48⁸		1,900,000		1,833,389
3.00%, 10/1/33-10/1/48⁸		4,170,000		4,039,199
3.50%, 10/1/33-10/1/48⁸		6,750,000		6,695,896


	Principal Amount		Value
FHLMC/FNMA/FHLB/Sponsored (Continued)
Federal National Mortgage Assn.: (Continued)
4.00%, 10/1/33-10/1/48⁸	$	4,380,000	$	4,437,974
4.50%, 10/1/48⁸		7,930,000		8,181,840
5.00%, 10/1/48⁸		3,680,000		3,863,712
Federal National Mortgage Assn. Pool:
5.00%, 3/1/21		619		638
5.50%, 9/1/20		857		864
6.00%, 3/1/37		102,959		113,566
6.50%, 10/1/19		4		4
7.00%, 10/1/35		3,106		3,104
7.50%, 1/1/33		46,315		52,694
8.50%, 7/1/32		1,465		1,487
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security:
Series 222,Cl. 2, 99.999%, 6/25/23⁵		81,517		9,512
Series 233,Cl. 2, 64.765%, 8/25/23⁵		51,884		6,773
Series 252,Cl. 2, 99.999%, 11/25/23⁵		68,950		9,215
Series 319,Cl. 2, 16.215%, 2/25/32⁵		20,307		4,553
Series 320,Cl. 2, 52.113%, 4/25/32⁵		7,499		1,819
Series 321,Cl. 2, 22.857%, 4/25/32⁵		74,531		17,638
Series 331,Cl. 9, 19.267%, 2/25/33⁵		86,162		17,126
Series 334,Cl. 17, 25.861%, 2/25/33⁵		46,752		11,182
Series 339,Cl. 12, 0.00%, 6/25/33⁵^,⁷		63,687		12,453
Series 339,Cl. 7, 0.00%, 11/25/33⁵^,⁷		179,685		39,699
Series 343,Cl. 13, 0.00%, 9/25/33⁵^,⁷		67,672		12,427
Series 345,Cl. 9, 0.00%, 1/25/34⁵^,⁷		61,295		14,087
Series 351,Cl. 10, 0.00%, 4/25/34⁵^,⁷		8,084		1,972
Series 351,Cl. 8, 0.00%, 4/25/34⁵^,⁷		28,738		5,667
Series 356,Cl. 10, 0.00%, 6/25/35⁵^,⁷		19,797		4,085
Series 356,Cl. 12, 0.00%, 2/25/35⁵^,⁷		10,632		2,341
Series 362,Cl. 13, 0.00%, 8/25/35⁵^,⁷		75,657		15,630
Series 364,Cl. 16, 0.00%, 9/25/35⁵^,⁷		54,653		11,084
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates:
Series 1998-61,Cl. PL, 6.00%,
11/25/28		31,915		34,235
Series 2003-130,Cl. CS, 9.668% [-2 x
LIBOR01M+1,410], 12/25/33⁴		2,672		2,731
Series 2004-25,Cl. PC, 5.50%, 1/25/34		13,315		13,353
Series 2005-104,Cl. MC, 5.50%,
12/25/25		120,600		126,336
Series 2005-31,Cl. PB, 5.50%, 4/25/35		250,000		269,545
Series 2005-73,Cl. DF, 2.466%
[LIBOR01M+25], 8/25/35⁴		52,726		52,913
Series 2006-11,Cl. PS, 16.442%
[-3.667 x LIBOR01M+2,456.67],
3/25/36⁴		47,758		66,764
Series 2006-46,Cl. SW, 16.075%
[-3.667 x LIBOR01M+2,419.92],
6/25/36⁴		32,080		43,263
Series 2006-50,Cl. KS, 16.075%
[-3.667 x LIBOR01M+2,420], 6/25/36⁴		6,428		8,845
Series 2008-75,Cl. DB, 4.50%, 9/25/23		972		971
Series 2009-113,Cl. DB, 3.00%,
12/25/20		9,477		9,463
Series 2009-36,Cl. FA, 3.156%
[LIBOR01M+94], 6/25/37⁴		27,893		28,543
Series 2009-70,Cl. TL, 4.00%, 8/25/19		1,882		1,881
Series 2010-43,Cl. KG, 3.00%, 1/25/21		8,935		8,926
Series 2011-15,Cl. DA, 4.00%, 3/25/41		13,704		13,526
Series 2011-3,Cl. EL, 3.00%, 5/25/20		9,828		9,811
Series 2011-3,Cl. KA, 5.00%, 4/25/40		90,427		93,429
Series 2011-38,Cl. AH, 2.75%, 5/25/20		15		15
Series 2011-82,Cl. AD, 4.00%, 8/25/26		32,618		32,620
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security:
Series 2001-65,Cl. S, 7.959%,
11/25/31⁵		77,095		13,984


	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 2001-81,Cl. S, 11.948%, 1/25/32⁵	$	20,241	$	3,269
Series 2002-47,Cl. NS, 7.935%, 4/25/32⁵		56,615		9,556
Series 2002-51,Cl. S, 8.274%, 8/25/32⁵		51,986		8,775
Series 2002-52,Cl. SD, 35.563%, 9/25/32⁵		80,539		12,860
Series 2002-77,Cl. SH, 25.303%, 12/18/32⁵		29,516		4,408
Series 2002-84,Cl. SA, 4.694%, 12/25/32⁵		74,118		11,489
Series 2002-9,Cl. MS, 11.28%, 3/25/32⁵		21,271		3,716
Series 2003-33,Cl. SP, 8.14%, 5/25/33⁵		81,131		15,106
Series 2003-4,Cl. S, 1.70%, 2/25/33⁵		44,111		7,833
Series 2003-46,Cl. IH, 0.00%, 6/25/23^5,7		122,931		10,988
Series 2004-54,Cl. DS, 49.197%, 11/25/30⁵		61,567		8,223
Series 2004-56,Cl. SE, 5.324%, 10/25/33⁵		15,531		2,452
Series 2005-12,Cl. SC, 21.156%, 3/25/35⁵		8,898		1,170
Series 2005-14,Cl. SE, 13.195%, 3/25/35⁵		30,220		3,080
Series 2005-40,Cl. SA, 21.813%, 5/25/35⁵		162,139		19,686
Series 2005-52,Cl. JH, 21.977%, 5/25/35⁵		402,989		44,671
Series 2005-93,Cl. SI, 0.00%, 10/25/35^5,7		35,961		4,593
Series 2007-88,Cl. XI, 0.00%, 6/25/37^5,7		81,955		11,442
Series 2008-55,Cl. SA, 0.00%, 7/25/38^5,7		30,287		2,336
Series 2009-8,Cl. BS, 0.00%, 2/25/24⁵^,⁷		314		16
Series 2011-96,Cl. SA, 6.392%, 10/25/41⁵		103,432		14,325
Series 2012-121,Cl. IB, 7.776%, 11/25/27⁵		241,156		20,759
Series 2012-134,Cl. SA, 1.526%, 12/25/42⁵		388,370		61,244
Series 2012-40,Cl. PI, 7.206%, 4/25/41⁵		203,280		32,245
Series 2018-16,Cl. NI, 0.00%, 12/25/44^5,7		106,965		18,341
Series 2018-69,Cl. CI, 22.706%, 10/25/46⁵		235,000		38,046
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		29,901		27,706
				32,035,843

GNMA/Guaranteed—2.3%
Government National Mortgage Assn. I Pool:
7.00%, 1/15/24		10,162		10,230
7.50%, 1/15/23-6/15/24		14,491		14,753
8.00%, 4/15/23		5,646		5,884
Government National Mortgage Assn. II
Pool, 3.50%, 10/1/48⁸		4,465,000		4,440,146
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security:
Series 2002-15,Cl. SM, 88.396%, 2/16/32⁵		89,696		939


	Principal Amount		Value
Multi-Family (Continued)
Federal Home Loan Mortgage Corp.,
Multifamily Structured Pass-Through
Certificates, Interest-Only Stripped
Mtg.-Backed Security, Series KC02, Cl.
X1, 0.00%, 3/25/24^5,7	$	4,868,000	$	94,888
				453,896

Residential—5.2%
Alternative Loan Trust, Series 2005-29CB, Cl. A4, 5.00%, 7/25/35		206,141		180,058
Banc of America Funding Trust:
Series 2007-1,Cl. 1A3, 6.00%, 1/25/37		43,956		42,178
Series 2007-C,Cl. 1A4, 3.818%, 5/20/36⁹		16,635		16,116
Series 2014-R7,Cl. 3A1, 3.964%, 3/26/36^3,9		75,635		76,072
Banc of America Mortgage Trust, Series 2004-E, Cl. 2A6, 4.364%, 6/25/34⁹		48,628		48,610
Bear Stearns ARM Trust:
Series 2005-9,Cl. A1, 4.73%
[H15T1Y+230], 10/25/35⁴		367,615		372,811
Series 2006-1,Cl. A1, 3.67%
[H15T1Y+225], 2/25/36⁴		136,320		137,823
CHL Mortgage Pass-Through Trust:
Series 2005-26,Cl. 1A8, 5.50%, 11/25/35		60,262		54,318
Series 2006-6,Cl. A3, 6.00%, 4/25/36		37,554		31,958
Citigroup Mortgage Loan Trust, Inc.,
Series 2006-AR1, Cl. 1A1, 4.28%
[H15T1Y+240], 10/25/35⁴		351,851		356,583
Connecticut Avenue Securities:
Series 2014-C03,Cl. 1M2, 5.216%
[US0001M+300], 7/25/24⁴		325,578		349,353
Series 2016-C03,Cl. 1M1, 4.216%
[US0001M+200], 10/25/28⁴		68,710		69,540
Series 2016-C07,Cl. 2M1, 3.516%
[US0001M+130], 5/25/29⁴		110,115		110,492
Series 2017-C02,Cl. 2M1, 3.366%
[US0001M+115], 9/25/29⁴		383,911		386,357
Series 2017-C03,Cl. 1M1, 3.166%
[US0001M+95], 10/25/29⁴		313,520		315,575
Series 2017-C05,Cl. 1M1, 2.766%
[US0001M+55], 1/25/30⁴		72,318		72,403
Series 2017-C06,Cl. 1M1, 2.966%
[US0001M+75], 2/25/30⁴		131,665		131,958
Series 2017-C07,Cl. 1M1, 2.866%
[US0001M+65], 5/25/30⁴		215,968		216,369
Series 2017-C07,Cl. 1M2, 4.616%
[US0001M+240], 5/25/30⁴		225,000		233,345
Series 2017-C07,Cl. 2M1, 2.866%
[US0001M+65], 5/25/30⁴		216,134		216,254
Series 2018-C01,Cl. 1M1, 2.816%
[US0001M+60], 7/25/30⁴		260,913		261,383
Series 2018-C02,Cl. 2M1, 2.866%
[US0001M+65], 8/25/30⁴		104,280		104,450
Series 2018-C03,Cl. 1M1, 2.896%
[US0001M+68], 10/25/30⁴		265,469		266,038
Series 2018-C04,Cl. 2M1, 2.966%
[US0001M+75], 12/25/30⁴		273,877		274,362
Series 2018-C05,Cl. 1M1, 2.936%
[US0001M+72], 1/25/31⁴		108,279		108,519
GSR Mortgage Loan Trust, Series 2005-
AR4, Cl. 6A1, 4.354%, 7/25/35⁹		18,101		18,258
HomeBanc Mortgage Trust,
Series 2005-3, Cl. A2, 2.526%
[US0001M+31], 7/25/35⁴		22,584		22,562
RALI Trust, Series 2006-QS13, Cl. 1A8, 6.00%, 9/25/36		7,959		7,103


	Principal Amount		Value
Residential (Continued)
STACR Trust:
Series 2018-DNA2,Cl. M1, 3.016% [US0001M+80], 12/25/30^3,4	$	445,000	$	446,574
Series 2018-DNA3,Cl. M1, 2.884% [US0001M+75], 9/25/48^3,4		75,000		75,180
Structured Agency Credit Risk Debt Nts.:
Series 2013-DN2,Cl. M2, 6.466% [US0001M+425], 11/25/23⁴		217,725		242,942
Series 2014-DN1,Cl. M2, 4.416% [US0001M+220], 2/25/24⁴		44,242		45,479
Series 2014-DN1,Cl. M3, 6.716% [US0001M+450], 2/25/24⁴		160,000		185,172
Series 2014-DN2,Cl. M3, 5.816% [US0001M+360], 4/25/24⁴		185,000		205,783
Series 2014-HQ2,Cl. M3, 5.966% [US0001M+375], 9/25/24⁴		335,000		384,641
Series 2015-HQA2,Cl. M2, 5.016% [US0001M+280], 5/25/28⁴		4,727		4,865
Series 2016-DNA1,Cl. M2, 5.116% [US0001M+290], 7/25/28⁴		37,235		38,155
Series 2016-DNA4,Cl. M1, 3.016% [US0001M+80], 3/25/29⁴		24,834		24,848
Series 2016-DNA4,Cl. M3, 6.016% [US0001M+380], 3/25/29⁴		355,000		400,157
Series 2016-HQA3,Cl. M1, 3.016% [US0001M+80], 3/25/29⁴		158,743		158,896
Series 2016-HQA3,Cl. M3, 6.066% [US0001M+385], 3/25/29⁴		120,000		136,315
Series 2016-HQA4,Cl. M1, 3.016% [US0001M+80], 4/25/29⁴		113,923		114,022
Series 2016-HQA4,Cl. M3, 6.116% [US0001M+390], 4/25/29⁴		350,000		396,229
Series 2017-HQA1,Cl. M1, 3.416% [US0001M+120], 8/25/29⁴		493,564		497,053
Series 2017-HQA2,Cl. M1, 3.016% [US0001M+80], 12/25/29⁴		178,444		178,921
Series 2017-HQA3,Cl. M1, 2.766% [US0001M+55], 4/25/30⁴		449,374		449,490
Series 2018-DNA1,Cl. M1, 2.666% [US0001M+45], 7/25/30⁴		612,086		611,442
Series 2018-DNA1,Cl. M2, 4.016% [US0001M+180], 7/25/30⁴		460,000		457,683
WaMu Mortgage Pass-Through Certificates Trust:
Series 2003-AR10,Cl. A7, 3.848%, 10/25/33⁹		78,204		79,540
Series 2005-AR14,Cl. 1A4, 3.538%, 12/25/35⁹		82,710		83,582
Series 2005-AR16,Cl. 1A1, 3.445%, 12/25/35⁹		74,505		74,888
Wells Fargo Mortgage-Backed Securities Trust:
Series 2005-AR1,Cl. 1A1, 3.842%, 2/25/35⁹		13,661		14,034
Series 2005-AR15,Cl. 1A2, 4.676%, 9/25/35⁹		88,998		87,020
Series 2005-AR15,Cl. 1A6, 4.676%, 9/25/35⁹		170,559		165,581
Series 2005-AR4,Cl. 2A2, 4.005%, 4/25/35⁹		162,260		163,834
Series 2006-AR10,Cl. 1A1, 4.263%, 7/25/36⁹		36,450		35,803
Series 2006-AR10,Cl. 5A5, 4.231%, 7/25/36⁹		128,567		130,783
Series 2006-AR2,Cl. 2A3, 3.964%, 3/25/36⁹		16,649		16,884
Series 2006-AR7,Cl. 2A4, 4.323%, 5/25/36⁹		102,204		104,905


	Principal Amount		Value
Residential (Continued)
Wells Fargo Mortgage-Backed Securities Trust: (Continued)
Series 2007-16,Cl. 1A1, 6.00%, 12/28/37	$	25,716	$	25,829
				10,517,378
Total Mortgage-Backed Obligations (Cost $58,826,635)				58,350,660

U.S. Government Obligation—0.3%
United States Treasury Nts., 1.50%, 5/31/19^10,11(Cost $552,491)		552,000		548,410

Non-Convertible Corporate Bonds and Notes—33.3%
Consumer Discretionary—5.6%
Automobiles—1.5%
Daimler Finance North America LLC:
2.20% Sr. Unsec. Nts., 5/5/20³		304,000		298,619
3.75% Sr. Unsec. Nts., 2/22/28³		280,000		273,744
Ford Motor Credit Co. LLC:
3.20% Sr. Unsec. Nts., 1/15/21		203,000		200,088
3.664% Sr. Unsec. Nts., 9/8/24		232,000		217,248
General Motors Co., 6.25% Sr. Unsec.
Nts., 10/2/43		82,000		84,249
General Motors Financial Co., Inc., 4.15% Sr. Unsec. Nts., 6/19/23		289,000		288,411
Harley-Davidson Financial Services, Inc., 2.40% Sr. Unsec. Nts., 6/15/20³		337,000		330,359
Hyundai Capital America:
1.75% Sr. Unsec. Nts., 9/27/19³		260,000		256,413
4.125% Sr. Unsec. Nts., 6/8/23³		336,000		333,891
Nissan Motor Acceptance Corp., 3.65%
Sr. Unsec. Nts., 9/21/21³		326,000		326,947
Volkswagen Group of America Finance
LLC, 2.45% Sr. Unsec. Nts., 11/20/19³		351,000		347,812
				2,957,781

Diversified Consumer Services—0.2%
Service Corp. International, 4.625% Sr.
Unsec. Nts., 12/15/27		362,000		347,520

Entertainment—0.1%
21st Century Fox America, Inc., 4.75%
Sr. Unsec. Nts., 11/15/46		125,000		134,125
Viacom, Inc., 4.375% Sr. Unsec. Nts., 3/15/43		105,000		91,821
				225,946

Hotels, Restaurants & Leisure—0.4%
Aramark Services, Inc., 5.00% Sr.
Unsec. Nts., 4/1/25³		179,000		180,119
Royal Caribbean Cruises Ltd., 2.65% Sr.
Unsec. Nts., 11/28/20		305,000		300,052
Starbucks Corp., 3.80% Sr. Unsec. Nts., 8/15/25		328,000		326,222
				806,393

Household Durables—0.7%
DR Horton, Inc., 2.55% Sr. Unsec. Nts., 12/1/20		334,000		327,319
Lennar Corp., 4.75% Sr. Unsec. Nts., 5/30/25		343,000		335,711
Newell Brands, Inc., 5.00% Sr. Unsec.
Nts., 11/15/23		194,000		196,291
PulteGroup, Inc., 5.00% Sr. Unsec. Nts., 1/15/27		258,000		245,423
Toll Brothers Finance Corp.:
4.375% Sr. Unsec. Nts., 4/15/23		298,000		296,510
4.875% Sr. Unsec. Nts., 3/15/27		45,000		43,200
				1,444,454


	Principal Amount		Value
Internet & Catalog Retail—0.3%
Amazon.com, Inc., 4.95% Sr. Unsec.
Nts., 12/5/44	$	119,000	$	133,376
QVC, Inc., 4.45% Sr. Sec. Nts., 2/15/25		595,000		565,757
				699,133

Media—1.1%
Charter Communications Operating
LLC/Charter Communications Operating
Capital, 5.375% Sr. Sec. Nts., 5/1/47		148,000		141,585
Comcast Cable Communications
Holdings, Inc., 9.455% Sr. Unsec. Nts., 11/15/22		318,000		387,743
Comcast Corp., 4.00% Sr. Unsec. Nts., 3/1/48		176,000		158,864
Interpublic Group of Cos., Inc. (The):
3.75% Sr. Unsec. Nts., 10/1/21		265,000		265,702
4.20% Sr. Unsec. Nts., 4/15/24		330,000		331,220
Sky plc, 3.75% Sr. Unsec. Nts., 9/16/24³		161,000		160,760
Time Warner Cable LLC, 4.50% Sr.
Unsec. Unsub. Nts., 9/15/42		185,000		158,213
Virgin Media Secured Finance plc, 5.25% Sr. Sec. Nts., 1/15/26³		337,000		330,779
WPP Finance 2010, 3.75% Sr. Unsec.
Nts., 9/19/24		371,000		358,408
				2,293,274

Multiline Retail—0.2%
Dollar Tree, Inc., 4.00% Sr. Unsec. Nts., 5/15/25		338,000		331,832

Specialty Retail—0.8%
AutoZone, Inc., 1.625% Sr. Unsec. Nts., 4/21/19		68,000		67,528
Best Buy Co., Inc.:
4.45% Sr. Unsec. Nts., 10/1/28		116,000		115,663
5.50% Sr. Unsec. Nts., 3/15/21		324,000		338,889
L Brands, Inc., 5.625% Sr. Unsec. Nts., 2/15/22		333,000		338,095
Ross Stores, Inc., 3.375% Sr. Unsec.
Nts., 9/15/24		344,000		338,375
Signet UK Finance plc, 4.70% Sr.
Unsec. Nts., 6/15/24		356,000		337,623
				1,536,173

Textiles, Apparel & Luxury Goods—0.3%
Hanesbrands, Inc., 4.875% Sr. Unsec.
Nts., 5/15/26³		336,000		322,980
Levi Strauss & Co., 5.00% Sr. Unsec.
Nts., 5/1/25		252,000		252,554
				575,534

Consumer Staples—3.0%
Beverages—0.7%
Anheuser-Busch InBev Finance, Inc.:
3.65% Sr. Unsec. Nts., 2/1/26		57,000		55,363
4.90% Sr. Unsec. Nts., 2/1/46		50,000		50,294
Anheuser-Busch InBev Worldwide, Inc., 8.20% Sr. Unsec. Unsub. Nts., 1/15/39		197,000		277,015
Bacardi Ltd., 4.70% Sr. Unsec. Nts., 5/15/28³		171,000		169,990
Keurig Dr Pepper, Inc.:
4.057% Sr. Unsec. Nts., 5/25/23³		345,000		345,787
4.597% Sr. Unsec. Nts., 5/25/28³		172,000		173,105
Molson Coors Brewing Co., 1.45% Sr.
Unsec. Nts., 7/15/19		114,000		112,686
Pernod Ricard SA, 4.25% Sr. Unsec.
Nts., 7/15/22³		325,000		330,488
				1,514,728

Food & Staples Retailing—0.3%
Alimentation Couche-Tard, Inc., 2.35%
Sr. Unsec. Nts., 12/13/19³		364,000		360,584


	Principal Amount		Value
Food & Staples Retailing (Continued)
Kroger Co. (The):
2.00% Sr. Unsec. Nts., 1/15/19	$	9,000	$	8,980
4.45% Sr. Unsec. Nts., 2/1/47		93,000		85,875
6.90% Sr. Unsec. Nts., 4/15/38		86,000		102,553
				557,992

Food Products—1.3%
Bunge Ltd. Finance Corp.:
3.25% Sr. Unsec. Nts., 8/15/26		232,000		210,191
3.50% Sr. Unsec. Nts., 11/24/20		333,000		332,116
Campbell Soup Co., 3.30% Sr. Unsec.
Nts., 3/15/21		338,000		334,956
General Mills, Inc., 4.70% Sr. Unsec.
Nts., 4/17/48		109,000		104,845
Kraft Heinz Foods Co.:
2.80% Sr. Unsec. Nts., 7/2/20		332,000		329,306
3.95% Sr. Unsec. Nts., 7/15/25		188,000		185,462
Lamb Weston Holdings, Inc., 4.875%
Sr. Unsec. Nts., 11/1/26³		334,000		328,572
Smithfield Foods, Inc.:
2.70% Sr. Unsec. Nts., 1/31/20³		148,000		145,761
3.35% Sr. Unsec. Nts., 2/1/22³		183,000		177,013
Tyson Foods, Inc.:
3.55% Sr. Unsec. Nts., 6/2/27		182,000		171,999
3.90% Sr. Unsec. Nts., 9/28/23		271,000		272,305
				2,592,526

Tobacco—0.7%
Altria Group, Inc., 4.00% Sr. Unsec.
Nts., 1/31/24		238,000		241,587
BAT Capital Corp.:
2.297% Sr. Unsec. Nts., 8/14/20³		351,000		344,114
3.557% Sr. Unsec. Nts., 8/15/27³		177,000		165,047
Imperial Brands Finance plc, 3.75% Sr.
Unsec. Nts., 7/21/22³		328,000		326,757
Philip Morris International, Inc., 2.50%
Sr. Unsec. Nts., 11/2/22		313,000		300,867
				1,378,372

Energy—2.7%
Energy Equipment & Services—0.3%
Halliburton Co., 5.00% Sr. Unsec. Nts., 11/15/45		75,000		80,273
Helmerich & Payne International
Drilling Co., 4.65% Sr. Unsec. Nts., 3/15/25		201,000		205,764
Schlumberger Holdings Corp., 4.00%
Sr. Unsec. Nts., 12/21/25³		196,000		196,194
				482,231

Oil, Gas & Consumable Fuels—2.4%
Anadarko Petroleum Corp.:
4.50% Sr. Unsec. Nts., 7/15/44		72,000		66,089
6.20% Sr. Unsec. Nts., 3/15/40		56,000		62,212
Andeavor, 3.80% Sr. Unsec. Nts., 4/1/28		283,000		269,492
Andeavor Logistics LP/Tesoro Logistics Finance Corp.:
4.25% Sr. Unsec. Nts., 12/1/27		177,000		173,173
5.25% Sr. Unsec. Nts., 1/15/25		171,000		175,349
Apache Corp., 4.375% Sr. Unsec. Nts., 10/15/28		251,000		247,266
Columbia Pipeline Group, Inc.:
3.30% Sr. Unsec. Nts., 6/1/20		324,000		323,570
4.50% Sr. Unsec. Nts., 6/1/25		168,000		170,029
ConocoPhillips Co.:
4.95% Sr. Unsec. Nts., 3/15/26		37,000		39,958
5.95% Sr. Unsec. Nts., 3/15/46		75,000		94,940
Devon Energy Corp., 4.75% Sr. Unsec.
Nts., 5/15/42		79,000		75,562


	Principal Amount		Value
Oil, Gas & Consumable Fuels (Continued)
Energy Transfer Equity LP, 4.25% Sr. Sec. Nts., 3/15/23	$	260,000	$	259,025
Energy Transfer Partners LP, 5.30% Sr. Unsec. Nts., 4/15/47		100,000		97,089
Enterprise Products Operating LLC:
4.85% Sr. Unsec. Nts., 8/15/42		80,000		81,714
4.90% Sr. Unsec. Nts., 5/15/46		32,000		33,169
EQT Corp., 2.50% Sr. Unsec. Nts., 10/1/20		353,000		344,722
Kinder Morgan Energy Partners LP, 5.80% Sr. Unsec. Nts., 3/1/21		132,000		138,787
Kinder Morgan, Inc.:
5.20% Sr. Unsec. Nts., 3/1/48		86,000		87,909
5.55% Sr. Unsec. Nts., 6/1/45		147,000		155,708
Noble Energy, Inc., 5.05% Sr. Unsec.
Nts., 11/15/44		93,000		90,279
ONEOK Partners LP, 8.625% Sr. Unsec. Nts., 3/1/19		203,000		207,610
Pioneer Natural Resources Co.,
3.45% Sr. Unsec. Nts., 1/15/21		347,000		347,077
Sabine Pass Liquefaction LLC:
4.20% Sr. Sec. Nts., 3/15/28		180,000		174,855
5.625% Sr. Sec. Nts., 2/1/21		260,000		270,557
Shell International Finance BV, 4.00%
Sr. Unsec. Nts., 5/10/46		115,000		112,630
Sunoco Logistics Partners Operations
LP, 4.00% Sr. Unsec. Nts., 10/1/27		207,000		196,801
TransCanada PipeLines Ltd., 7.625% Sr. Unsec. Nts., 1/15/39		76,000		101,368
Williams Cos., Inc. (The):
3.70% Sr. Unsec. Unsub. Nts., 1/15/23		334,000		330,658
3.75% Sr. Unsec. Nts., 6/15/27		140,000		133,845
				4,861,443

Financials—9.1%
Capital Markets—1.7%
Blackstone Holdings Finance Co. LLC, 3.15% Sr. Unsec. Nts., 10/2/27³		127,000		117,628
Brookfield Asset Management, Inc., 4.00% Sr. Unsec. Nts., 1/15/25		269,000		264,696
Credit Suisse AG (New York), 3.625%
Sr. Unsec. Nts., 9/9/24		197,000		194,251
Credit Suisse Group Funding Guernsey Ltd., 4.55% Sr. Unsec. Nts., 4/17/26		154,000		154,902
E*TRADE Financial Corp., 5.875%
[US0003M+443.5] Jr. Sub. Perpetual
Bonds⁴^,¹²		327,000		335,175
Goldman Sachs Group, Inc. (The):
3.50% Sr. Unsec. Nts., 11/16/26		180,000		170,908
3.75% Sr. Unsec. Nts., 2/25/26		178,000		173,155
3.814% [US0003M+115.8] Sr. Unsec.
Nts., 4/23/29⁴		286,000		272,962
4.017% [US0003M+137.3] Sr. Unsec.
Nts., 10/31/38⁴		144,000		133,575
Morgan Stanley:
4.375% Sr. Unsec. Nts., 1/22/47		232,000		226,355
5.00% Sub. Nts., 11/24/25		276,000		286,150
MSCI, Inc., 4.75% Sr. Unsec. Nts., 8/1/26³		338,000		336,310
Northern Trust Corp., 3.375%
[US0003M+113.1] Sub. Nts., 5/8/32⁴		125,000		116,590
Raymond James Financial, Inc., 3.625% Sr. Unsec. Nts., 9/15/26		165,000		157,979
TD Ameritrade Holding Corp., 3.30%
Sr. Unsec. Nts., 4/1/27		208,000		199,379
UBS Group Funding Switzerland AG:
4.125% Sr. Unsec. Nts., 4/15/26³		160,000		158,746


	Principal Amount		Value
Capital Markets (Continued)
UBS Group Funding Switzerland AG: (Continued)
4.253% Sr. Unsec. Nts., 3/23/28³	$	147,000	$	146,037
				3,444,798

Commercial Banks—4.5%
ABN AMRO Bank NV, 4.40%
[USSW5+219.7] Sub. Nts., 3/27/28^4,13		329,000		323,572
Bank of America Corp.:
3.248% Sr. Unsec. Nts., 10/21/27		277,000		257,871
3.366% [US0003M+81] Sr. Unsec.
Nts., 1/23/26⁴		286,000		275,158
3.824% [US0003M+157.5] Sr. Unsec.
Nts., 1/20/28⁴		191,000		186,078
4.271% [US0003M+131] Sr. Unsec.
Nts., 7/23/29⁴		271,000		270,749
7.75% Jr. Sub. Nts., 5/14/38		239,000		323,180
Bank of Ireland Group plc, 4.50% Sr. Unsec. Nts., 11/25/23³		263,000		262,862
BB&T Corp., 2.85% Sr. Unsec. Nts., 10/26/24		266,000		254,667
BNP Paribas SA, 4.625% Sub. Nts., 3/13/27³		198,000		195,678
BPCE SA, 4.50% Sub. Nts., 3/15/25³		199,000		194,826
Citigroup, Inc.:
4.075% [US0003M+119.2] Sr. Unsec.
Nts., 4/23/29⁴		269,000		264,159
4.281% [US0003M+183.9] Sr. Unsec.
Nts., 4/24/48⁴		356,000		341,228
Citizens Bank NA (Providence RI):
2.55% Sr. Unsec. Nts., 5/13/21		163,000		158,890
2.65% Sr. Unsec. Nts., 5/26/22		68,000		65,432
Compass Bank, 2.875% Sr. Unsec. Nts., 6/29/22		308,000		297,298
Credit Agricole SA, 4.375% Sub. Nts., 3/17/25³		333,000		326,133
Fifth Third Bank (Cincinnati OH),
3.85% Sub. Nts., 3/15/26		176,000		171,975
First Republic Bank, 4.375% Sub. Nts., 8/1/46		137,000		127,544
HSBC Holdings plc:
3.95% [US0003M+98.72] Sr. Unsec.
Nts., 5/18/24⁴		109,000		108,329
4.041% [US0003M+154.6] Sr. Unsec.
Nts., 3/13/28⁴		135,000		130,112
4.583% [US0003M+153.46] Sr. Unsec. Nts., 6/19/29⁴		183,000		183,418
Huntington Bancshares, Inc., 4.00% Sr. Unsec. Nts., 5/15/25		334,000		334,001
JPMorgan Chase & Co.:
3.54% [US0003M+138] Sr. Unsec.
Nts., 5/1/28⁴		272,000		259,651
3.782% [US0003M+133.7] Sr. Unsec.
Nts., 2/1/28⁴		498,000		485,278
3.797% [US0003M+89] Sr. Unsec.
Nts., 7/23/24⁴		335,000		334,955
Lloyds Banking Group plc, 6.657%
[US0003M+127] Jr. Sub. Perpetual
Bonds^4,^12,¹⁴		400,000		408,752
M&T Bank Corp., 3.55% Sr. Unsec.
Nts., 7/26/23		138,000		137,320
Nordea Bank AB, 4.625%
[USSW5+169] Sub. Nts., 9/13/33^3,4		118,000		116,779
PNC Bank NA, 4.05% Sub. Nts., 7/26/28		237,000		238,144
PNC Financial Services Group, Inc.
(The), 3.15% Sr. Unsec. Nts., 5/19/27		253,000		239,521
Regions Financial Corp., 2.75% Sr.
Unsec. Nts., 8/14/22		187,000		180,463


	Principal Amount		Value
Commercial Banks (Continued)
SunTrust Bank (Atlanta GA), 3.30%
Sub. Nts., 5/15/26	$	118,000	$	111,197
Synovus Financial Corp., 3.125% Sr.
Unsec. Nts., 11/1/22		194,000		186,564
Toronto-Dominion Bank (The), 3.50%
Sr. Unsec. Nts., 7/19/23		268,000		267,629
US Bancorp:
3.10% Sub. Nts., 4/27/26		210,000		198,653
3.15% Sr. Unsec. Nts., 4/27/27		65,000		62,083
US Bank NA (Cincinnati OH), 3.40% Sr.
Unsec. Nts., 7/24/23		386,000		384,562
Wells Fargo & Co.:
3.584% [US0003M+131] Sr. Unsec.
Nts., 5/22/28⁴		277,000		265,845
4.75% Sub. Nts., 12/7/46		172,000		171,458
				9,102,014

Consumer Finance—0.5%
American Express Co., 2.50% Sr.
Unsec. Nts., 8/1/22		111,000		106,598
American Express Credit Corp., 3.30% Sr. Unsec. Nts., 5/3/27		209,000		200,960
Capital One Financial Corp., 3.75% Sr. Unsec. Nts., 3/9/27		111,000		104,904
Discover Bank:
3.10% Sr. Unsec. Nts., 6/4/20		42,000		41,751
4.65% Sr. Unsec. Nts., 9/13/28		122,000		122,468
Discover Financial Services, 3.75% Sr. Unsec. Nts., 3/4/25		143,000		136,441
Electricite de France SA, 6.50% Sr.
Unsec. Nts., 1/26/19³		259,000		262,090
				975,212

Diversified Financial Services—0.4%
Berkshire Hathaway Energy Co.:
2.00% Sr. Unsec. Nts., 11/15/18		115,000		114,943
3.80% Sr. Unsec. Nts., 7/15/48		81,000		73,305
Peachtree Corners Funding Trust, 3.976% Sr. Unsec. Nts., 2/15/25³		126,000		122,499
Precision Castparts Corp., 2.50% Sr.
Unsec. Nts., 1/15/23		212,000		204,193
Voya Financial, Inc., 5.65%
[US0003M+358] Jr. Sub. Nts., 5/15/53⁴		325,000		328,364
				843,304

Insurance—1.1%
AXA Equitable Holdings, Inc., 4.35% Sr. Unsec. Nts., 4/20/28³		181,000		175,349
AXIS Specialty Finance plc, 5.15% Sr. Unsec. Nts., 4/1/45		179,000		173,404
Boardwalk Pipelines LP, 4.95% Sr.
Unsec. Nts., 12/15/24		162,000		164,328
Brighthouse Financial, Inc., 3.70% Sr.
Unsec. Nts., 6/22/27		68,000		60,465
CNA Financial Corp., 3.45% Sr. Unsec. Nts., 8/15/27		255,000		236,437
Hartford Financial Services Group, Inc. (The), 4.40% Sr. Unsec. Nts., 3/15/48		209,000		202,178
Lincoln National Corp., 3.80% Sr.
Unsec. Nts., 3/1/28		207,000		200,109
Manulife Financial Corp., 4.061%
[USISDA05+164.7] Sub. Nts., 2/24/32⁴		208,000		198,572
Marsh & McLennan Cos., Inc., 4.35%
Sr. Unsec. Nts., 1/30/47		113,000		108,258
Nuveen Finance LLC, 4.125% Sr. Unsec. Nts., 11/1/24³		332,000		328,651
Prudential Financial, Inc., 5.20%
[US0003M+304] Jr. Sub. Nts., 3/15/44⁴		256,000		255,040
				2,102,791


	Principal Amount		Value
Real Estate Investment Trusts (REITs)—0.9%
American Tower Corp.:
2.80% Sr. Unsec. Nts., 6/1/20	$	281,000	$	278,461
3.00% Sr. Unsec. Nts., 6/15/23		274,000		264,015
3.60% Sr. Unsec. Nts., 1/15/28		181,000		169,343
Crown Castle International Corp., 3.65% Sr. Unsec. Nts., 9/1/27		176,000		165,588
Digital Realty Trust LP:
3.40% Sr. Unsec. Nts., 10/1/20		30,000		30,042
5.875% Sr. Unsec. Nts., 2/1/20		125,000		128,230
HCP, Inc., 2.625% Sr. Unsec. Nts., 2/1/20		348,000		345,119
Lamar Media Corp., 5.75% Sr. Unsec.
Nts., 2/1/26		325,000		338,192
VEREIT Operating Partnership LP, 3.00% Sr. Unsec. Nts., 2/6/19		134,000		133,994
				1,852,984

Health Care—3.1%
Biotechnology—0.7%
AbbVie, Inc.:
3.75% Sr. Unsec. Nts., 11/14/23		329,000		327,707
4.25% Sr. Unsec. Nts., 11/14/28		244,000		240,838
Amgen, Inc., 4.563% Sr. Unsec. Nts., 6/15/48		120,000		117,987
Biogen, Inc., 5.20% Sr. Unsec. Nts., 9/15/45		82,000		87,207
Celgene Corp.:
3.875% Sr. Unsec. Nts., 8/15/25		202,000		199,195
5.00% Sr. Unsec. Nts., 8/15/45		41,000		40,835
Gilead Sciences, Inc., 4.75% Sr. Unsec.
Nts., 3/1/46		143,000		147,522
Shire Acquisitions Investments Ireland
DAC, 2.40% Sr. Unsec. Nts., 9/23/21		342,000		330,658
				1,491,949

Health Care Equipment & Supplies—0.4%
Abbott Laboratories, 3.75% Sr. Unsec.
Nts., 11/30/26		300,000		299,575
Becton Dickinson & Co.:
2.404% Sr. Unsec. Nts., 6/5/20		226,000		222,652
3.70% Sr. Unsec. Nts., 6/6/27		268,000		256,685
Hologic, Inc., 4.375% Sr. Unsec. Nts., 10/15/25³		15,000		14,363
Medtronic, Inc., 4.625% Sr. Unsec. Nts., 3/15/45		57,000		60,410
				853,685

Health Care Providers & Services—1.1%
Cigna Corp., 5.125% Sr. Unsec. Nts., 6/15/20		303,000		312,286
CVS Health Corp.:
2.125% Sr. Unsec. Nts., 6/1/21		356,000		343,828
5.05% Sr. Unsec. Nts., 3/25/48		308,000		315,873
Fresenius Medical Care US Finance II,
Inc., 5.875% Sr. Unsec. Nts., 1/31/22³		450,000		475,108
Halfmoon Parent, Inc.:
3.75% Sr. Sec. Nts., 7/15/23³		255,000		254,306
4.375% Sr. Sec. Nts., 10/15/28³		165,000		164,758
UnitedHealth Group, Inc., 2.75% Sr.
Unsec. Nts., 2/15/23		275,000		266,850
				2,133,009

Life Sciences Tools & Services—0.4%
IQVIA, Inc., 5.00% Sr. Unsec. Nts., 10/15/26³		330,000		324,473
Life Technologies Corp., 6.00% Sr.
Unsec. Nts., 3/1/20		259,000		268,399
Thermo Fisher Scientific, Inc., 4.15% Sr.
Unsec. Nts., 2/1/24		132,000		134,578
				727,450


	Principal Amount		Value
Trading Companies & Distributors—0.3%
Air Lease Corp.:
3.25% Sr. Unsec. Nts., 3/1/25	$	108,000	$	101,056
3.625% Sr. Unsec. Nts., 4/1/27		112,000		103,553
GATX Corp., 3.50% Sr. Unsec. Nts., 3/15/28		285,000		262,287
United Rentals North America, Inc., 4.625% Sr. Unsec. Nts., 10/15/25		178,000		173,105
				640,001

Information Technology—2.1%
Communications Equipment—0.1%
Motorola Solutions, Inc., 4.60% Sr.
Unsec. Nts., 2/23/28		256,000		250,639

Electronic Equipment, Instruments, & Components—0.3%
Arrow Electronics, Inc., 3.875% Sr.
Unsec. Nts., 1/12/28		248,000		231,339
CDW LLC/CDW Finance Corp., 5.50%
Sr. Unsec. Nts., 12/1/24		58,000		60,320
Tech Data Corp., 4.95% Sr. Unsec. Nts., 2/15/27		271,000		265,416
				557,075

IT Services—0.5%
DXC Technology Co.:
2.875% Sr. Unsec. Nts., 3/27/20		261,000		258,917
4.75% Sr. Unsec. Nts., 4/15/27		254,000		260,316
Fidelity National Information Services,
Inc., 4.25% Sr. Unsec. Nts., 5/15/28		171,000		171,575
VeriSign, Inc.:
4.75% Sr. Unsec. Nts., 7/15/27		189,000		184,927
5.25% Sr. Unsec. Nts., 4/1/25		105,000		107,363
				983,098

Semiconductors & Semiconductor Equipment—0.2%
Intel Corp., 3.734% Sr. Unsec. Nts., 12/8/47		99,000		92,330
Microchip Technology, Inc., 3.922% Sr.
Sec. Nts., 6/1/21³		335,000		333,223
				425,553

Software—0.7%
Autodesk, Inc., 4.375% Sr. Unsec. Nts., 6/15/25		104,000		104,659
Dell International LLC/EMC Corp.:
4.42% Sr. Sec. Nts., 6/15/21³		283,000		287,369
6.02% Sr. Sec. Nts., 6/15/26³		213,000		227,175
Open Text Corp., 5.625% Sr. Unsec.
Nts., 1/15/23³		174,000		177,480
Oracle Corp.:
2.40% Sr. Unsec. Nts., 9/15/23		214,000		204,377
2.95% Sr. Unsec. Nts., 5/15/25		211,000		202,466
VMware, Inc.:
2.30% Sr. Unsec. Nts., 8/21/20		108,000		105,918
3.90% Sr. Unsec. Nts., 8/21/27		170,000		161,032
				1,470,476

Technology Hardware, Storage & Peripherals—0.3%
Apple, Inc., 4.375% Sr. Unsec. Nts., 5/13/45		207,000		215,415
Hewlett Packard Enterprise Co., 3.60%
Sr. Unsec. Nts., 10/15/20		342,000		343,775
				559,190

Materials—1.8%
Chemicals—0.7%
LyondellBasell Industries NV, 5.00% Sr.
Unsec. Nts., 4/15/19		255,000		256,297
Nutrien Ltd., 3.375% Sr. Unsec. Nts., 3/15/25		294,000		279,056
PolyOne Corp., 5.25% Sr. Unsec. Nts., 3/15/23		308,000		320,329


	Principal Amount		Value
Chemicals (Continued)
RPM International, Inc.:
3.45% Sr. Unsec. Unsub. Nts., 11/15/22	$	304,000	$	299,194
3.75% Sr. Unsec. Nts., 3/15/27		96,000		91,341
Yara International ASA, 4.75% Sr. Unsec. Nts., 6/1/28³		254,000		256,058
				1,502,275

Construction Materials—0.2%
James Hardie International Finance DAC, 4.75% Sr. Unsec. Nts., 1/15/25³		209,000		203,033
Martin Marietta Materials, Inc., 3.50% Sr. Unsec. Nts., 12/15/27		171,000		156,995
				360,028

Containers & Packaging—0.5%
International Paper Co.:
3.00% Sr. Unsec. Nts., 2/15/27		150,000		137,903
4.80% Sr. Unsec. Nts., 6/15/44		142,000		138,248
Packaging Corp. of America:
3.65% Sr. Unsec. Nts., 9/15/24		113,000		111,335
4.50% Sr. Unsec. Nts., 11/1/23		253,000		260,261
Silgan Holdings, Inc., 4.75% Sr. Unsec. Nts., 3/15/25		290,000		279,487
				927,234

Metals & Mining—0.3%
Anglo American Capital plc:
3.625% Sr. Unsec. Nts., 9/11/24³		86,000		81,941
4.00% Sr. Unsec. Nts., 9/11/27³		140,000		129,161
ArcelorMittal, 6.125% Sr. Unsec. Nts., 6/1/25		305,000		331,832
Goldcorp, Inc., 5.45% Sr. Unsec. Nts., 6/9/44		96,000		99,818
				642,752

Paper & Forest Products—0.1%
Georgia-Pacific LLC, 3.734% Sr. Unsec. Nts., 7/15/23³		65,000		65,346
Louisiana-Pacific Corp., 4.875% Sr. Unsec. Nts., 9/15/24		199,000		199,000
				264,346

Telecommunication Services—1.6%
Diversified Telecommunication Services—1.3%
AT&T, Inc.:
4.30% Sr. Unsec. Nts., 2/15/30³		331,000		318,804
4.35% Sr. Unsec. Nts., 6/15/45		189,000		163,177
4.50% Sr. Unsec. Nts., 3/9/48		142,000		124,176
British Telecommunications plc, 9.625% Sr. Unsec. Nts., 12/15/30		284,000		404,198
Deutsche Telekom International Finance BV, 4.375% Sr. Unsec. Nts., 6/21/28³		160,000		159,728
Telecom Italia SpA, 5.303% Sr. Unsec. Nts., 5/30/24³		322,000		313,950
Telefonica Emisiones SAU:
4.103% Sr. Unsec. Nts., 3/8/27		98,000		94,313
5.213% Sr. Unsec. Nts., 3/8/47		123,000		119,744
7.045% Sr. Unsec. Unsub. Nts., 6/20/36		125,000		151,035
T-Mobile USA, Inc., 6.50% Sr. Unsec. Nts., 1/15/26		317,000		332,913
Verizon Communications, Inc.:
4.125% Sr. Unsec. Nts., 8/15/46		140,000		125,780
4.522% Sr. Unsec. Nts., 9/15/48		196,000		187,248
5.15% Sr. Unsec. Nts., 9/15/23		85,000		91,010
				2,586,076
	Principal Amount		Value
Wireless Telecommunication Services—0.3%
Vodafone Group plc:
3.75% Sr. Unsec. Nts., 1/16/24	$	332,000	$	328,588


	Principal Amount		Value
Wireless Telecommunication Services (Continued)
Vodafone Group plc: (Continued) 4.375% Sr. Unsec. Nts., 5/30/28	$	168,000	$	165,751
6.15% Sr. Unsec. Nts., 2/27/37		103,000		113,940
				608,279

Utilities—2.0%
Electric Utilities—1.5%
AEP Texas, Inc., 3.95% Sr. Unsec. Nts., 6/1/28³		172,000		171,142
Duke Energy Corp.:
3.15% Sr. Unsec. Nts., 8/15/27		176,000		163,902
3.75% Sr. Unsec. Nts., 9/1/46		162,000		142,726
Edison International:
2.125% Sr. Unsec. Nts., 4/15/20		131,000		128,488
2.95% Sr. Unsec. Nts., 3/15/23		207,000		198,536
EDP Finance BV, 3.625% Sr. Unsec.
Nts., 7/15/24³		231,000		221,027
Electricite de France SA, 4.50% Sr.
Unsec. Nts., 9/21/28³		169,000		166,582
Emera US Finance LP, 2.15% Sr. Unsec.
Nts., 6/15/19		284,000		282,214
Exelon Corp.:
2.45% Sr. Unsec. Nts., 4/15/21		165,000		160,452
4.45% Sr. Unsec. Nts., 4/15/46		87,000		84,536
FirstEnergy Corp., 3.90% Sr. Unsec.
Nts., 7/15/27		184,000		179,225
Indiana Michigan Power Co., 4.25% Sr.
Unsec. Nts., 8/15/48		79,000		78,024
ITC Holdings Corp., 5.30% Sr. Unsec.
Nts., 7/1/43		81,000		88,960
Mid-Atlantic Interstate Transmission
LLC, 4.10% Sr. Unsec. Nts., 5/15/28³		171,000		169,691
NextEra Energy Operating Partners LP, 4.25% Sr. Unsec. Nts., 9/15/24³		29,000		28,529
Pennsylvania Electric Co., 5.20% Sr.
Unsec. Nts., 4/1/20		88,000		90,046
PPL WEM Ltd./Western Power
Distribution Ltd., 5.375% Sr. Unsec.
Unsub. Nts., 5/1/21³		317,000		328,549
Southern Co. Gas Capital Corp., 4.40%
Sr. Unsec. Nts., 5/30/47		115,000		109,787
Trans-Allegheny Interstate Line Co., 3.85% Sr. Unsec. Nts., 6/1/25³		187,000		185,356
				2,977,772

Multi-Utilities—0.5%
Black Hills Corp., 2.50% Sr. Unsec. Nts., 1/11/19		179,000		178,807
CenterPoint Energy Resources Corp., 4.50% Sr. Unsec. Nts., 1/15/21		122,000		124,235
Dominion Energy, Inc.:
2.579% Jr. Sub. Nts., 7/1/20		285,000		281,411
4.90% Sr. Unsec. Nts., 8/1/41		123,000		126,453
Public Service Enterprise Group, Inc., 1.60% Sr. Unsec. Nts., 11/15/19		303,000		297,985
				1,008,891
Total Non-Convertible Corporate Bonds and
Notes (Cost $68,049,461)				67,055,761

	Shares
Investment Company—2.7%
Oppenheimer Institutional Government
Money Market Fund, Cl. E, 1.95%^15,16 (Cost $5,367,607)		5,367,607		5,367,607
Total Investments, at Value (Cost $218,390,106)		113.4%		228,358,775
Net Other Assets (Liabilities)		(13.4)		(27,067,702	)
Net Assets		100.0%	$	201,291,073

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 $29,246,955 or 14.53% 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 $1,638,506 or 0.81% 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 $40,016 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 $141,076. See Note 6 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. Represents securities sold under Regulation S, which are exempt from registration under the Securities Act of 1933, as amended. These securities may not be offered or sold in the United States without and exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. These securities amount to $323,572 or 0.16% of the Fund’s net assets at period end.

14. Restricted security. The aggregate value of restricted securities at period end was $408,752, which represents 0.20% of the Fund’s net assets. See Note 4 of the accompanying Notes. Information concerning restricted securities is as follows:

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:

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.

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.

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)

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

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

The table below categorizes amounts at period end based on valuation input level:

The 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 availability of market data for this security.

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.

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 $32,785 of collateral to the counterparty for forward roll transactions.

with an applicable footnote on the Statement of Investments. Restricted securities are reported on a schedule following the Statement of Investments.

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

The Fund 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 $10,113,627 and $59,758,906 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 in the annual and semiannual reports. The unrealized appreciation (depreciation) related to the change in the valuation of the notional amount of the swap is combined with the accrued interest due to (owed by) the Fund, if any, at termination or settlement. The net change in this amount during the period is included on the Statement of Operations in the annual and semiannual reports. The Fund also records any periodic payments received from (paid to) the counterparty, including at termination, under such contracts as realized gain (loss) on the Statement of Operations in the annual and semiannual reports.

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

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

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

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

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

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 $62,500 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 in the annual and semiannual reports. Written swaptions are reported on a schedule following the Statement of Investments and their value is reported as a separate asset or liability line item in the Statement of Assets and Liabilities in the annual and semiannual reports. The net change in unrealized appreciation or depreciation on written swaptions is separately reported in the Statement of Operations in the annual and semiannual reports. When a swaption is exercised, the cost of the swap is adjusted by the amount of premium paid or received. Upon the expiration or closing of an unexercised swaption contract, a gain or loss is reported in the Statement of Operations in the annual and semiannual reports for the amount of the premium paid or received.

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

The Fund 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.

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 $1,542 and $693 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 Consolidated Statement of Assets and Liabilities in the annual and semiannual reports. Bankruptcy or insolvency laws of a particular jurisdiction may impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.

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

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

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

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

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

For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund, if any, is reported separately on the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports as cash pledged as collateral. Non-cash collateral pledged by the Fund, if any, is noted in the Consolidated Statement of Investments. Generally, the amount of collateral due from or to a party must exceed a minimum transfer amount threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance.


	Shares		Value

Common Stocks—99.4%

Consumer Discretionary—30.9%

Entertainment—1.6%

Activision Blizzard, Inc.		154,243	$	12,831,475

Hotels, Restaurants & Leisure—3.3%

Cedar Fair LP¹		247,924		12,911,882

Starbucks Corp.		235,240		13,371,041

			26,282,923

Interactive Media & Services—9.7%

Alphabet, Inc., Cl. C²		30,768		36,720,685

Facebook, Inc., Cl. A²		231,698		38,105,053

Snap, Inc., Cl. A²		171,949		1,458,128

			76,283,866

Internet & Catalog Retail—9.3%

Amazon.com, Inc.²		24,544		49,161,632

Booking Holdings, Inc.²		7,198		14,280,832

eBay, Inc.²		289,580		9,561,932

			73,004,396

Media—0.4%

Comcast Corp., Cl. A		82,057		2,905,638

Specialty Retail—6.6%

AutoNation, Inc.²		227,050		9,433,928

AutoZone, Inc.²		15,663		12,149,789

CarMax, Inc.²		110,260		8,233,114

Lowe’s Cos., Inc.		192,460		22,098,257

			51,915,088

Consumer Staples—2.7%

Food Products—1.1%

Kraft Heinz Co. (The)		73,525		4,051,963

Mondelez International, Inc., Cl. A		100,958		4,337,155

			8,389,118

Household Products—0.7%

Spectrum Brands Holdings, Inc.		77,308		5,776,454

Tobacco—0.9%

British American Tobacco plc		143,240		6,687,334

Energy—2.2%

Oil, Gas & Consumable Fuels—2.2%

Husky Energy, Inc.		379,591		6,665,214

Magellan Midstream Partners LP¹		156,814		10,619,444

			17,284,658

Financials—5.5%

Capital Markets—4.5%

Charles Schwab Corp. (The)		340,533		16,737,197

CME Group, Inc., Cl. A		36,555		6,222,027

Intercontinental Exchange, Inc.		166,343		12,457,427

			35,416,651

Diversified Financial Services—1.0%

Berkshire Hathaway, Inc., Cl. B²		37,045		7,931,705

Health Care—13.5%

Biotechnology—5.8%

Biogen, Inc.²		33,100		11,694,561

Celgene Corp.²		102,394		9,163,239

Exact Sciences Corp.²		55,680		4,394,266

Galapagos NV²		26,338		2,978,866

Gilead Sciences, Inc.		102,740		7,932,555

Vertex Pharmaceuticals, Inc.²		48,840		9,413,422

			45,576,909

Health Care Equipment & Supplies—1.3%

Intuitive Surgical, Inc.²		18,053		10,362,422

Health Care Providers & Services—4.5%

Laboratory Corp. of America Holdings²		69,445		12,061,208

UnitedHealth Group, Inc.		87,380		23,246,575

			35,307,783


	Shares			Value

Health Care Technology—0.7%

Cerner Corp.²		86,380		$	5,563,736

Pharmaceuticals—1.2%

Allergan plc		50,840			9,684,003

Industrials—10.7%

Aerospace & Defense—2.2%

Lockheed Martin Corp.		18,100			6,261,876

Spirit AeroSystems Holdings, Inc., Cl. A		119,240			10,930,731

				17,192,607

Airlines—1.6%

Spirit Airlines, Inc.²		269,850			12,674,854

Commercial Services & Supplies—1.8%

Johnson Controls International plc		73,270			2,564,450

KAR Auction Services, Inc.		193,990			11,579,263

				14,143,713

Machinery—2.4%

Deere & Co.		43,463			6,533,793

Stanley Black & Decker, Inc.		36,290			5,314,308

Wabtec Corp.		67,940			7,125,547

				18,973,648

Road & Rail—2.0%

Canadian National Railway Co.		70,430			6,324,614

Union Pacific Corp.		58,280			9,489,732

				15,814,346

Trading Companies & Distributors—0.7%

Fastenal Co.		90,685			5,261,544

Information Technology—31.0%

Communications Equipment—0.7%

Motorola Solutions, Inc.		42,100			5,478,894

IT Services—6.5%

First Data Corp., Cl. A²		298,940			7,315,061

Mastercard, Inc., Cl. A		183,518			40,852,942

PayPal Holdings, Inc.²		30,145			2,647,937

				50,815,940

Semiconductors & Semiconductor Equipment—4.9%

Applied Materials, Inc.		212,350			8,207,328

Broadcom, Inc.		31,600			7,796,668

NVIDIA Corp.		39,720			11,162,114

Texas Instruments, Inc.		109,438			11,741,603

				38,907,713

Software—12.5%

Microsoft Corp.		470,233			53,780,548

Oracle Corp.		49,760			2,565,626

Red Hat, Inc.²		42,930			5,850,500

salesforce.com, Inc.²		140,000			22,264,200

ServiceNow, Inc.²		70,950			13,879,949

				98,340,823

Technology Hardware, Storage & Peripherals—6.4%

Apple, Inc.		224,613			50,704,139

Materials—1.6%

Chemicals—0.5%

Albemarle Corp.		40,093			4,000,479

Metals & Mining—1.1%

Compass Minerals International, Inc.		122,458			8,229,178

Utilities—1.3%

Gas Utilities—1.3%

AmeriGas Partners LP¹		265,380			10,485,164

Total Common Stocks (Cost $518,975,496)					782,227,201

Total Investments, at Value (Cost $518,975,496)		99.4	%		782,227,201

Net Other Assets (Liabilities)		0.6			4,471,402

Net Assets		100.0	%	$	786,698,603

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

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