STATEMENT OF INVESTMENTS March 31, 2019 Unaudited
Shares | Value | Principal | |||||||||||||||
Common Stocks—0.0% | Amount | Value | |||||||||||||||
Ambit Biosciences Corp.1,2 | 10,347 | $ | — | Event-Linked Bonds (Continued) | |||||||||||||
Hanergy Thin Film Power Group Ltd.1 | 161,121 | — | Galileo Re Ltd. Catastrophe Linked | ||||||||||||||
Media General, Inc.1,2,3 | 1,099 | 59 | Nts., 20.054% [US0003M+1750], | ||||||||||||||
NewStar Financial, Inc.1,2 | 409 | — | 11/6/205,6 | $ | 250,000 | $ | 248,062 | ||||||||||
Teva Pharmaceutical Industries Ltd.1 | 10 | — | Hexagon Reinsurance DAC Catastrophe Linked Nts.: | ||||||||||||||
Total Common Stocks (Cost $81,940) | 59 | 6.66% [EUR003M+666], 1/19/225,6 | EUR | 250,000 | 284,111 | ||||||||||||
8.22% [EUR003M+822], 1/19/225,6 | EUR | 250,000 | 278,727 | ||||||||||||||
Integrity Re Ltd. Catastrophe Linked | |||||||||||||||||
Preferred Stock—0.0% | Nts., 6.253% [US0003M+375], | ||||||||||||||||
Kinesis 2017 Sidecar, Preferred1,3 (Cost | 6/10/225,6 | 750,000 | 747,413 | ||||||||||||||
$ | 290,064 | ) | 32,412 | 32,412 | International Bank for Reconstruction & | ||||||||||||
Units | Development Catastrophe Linked Nts., | ||||||||||||||||
Rights, Warrants and Certificates—0.0% | 9.365% [US0006M-40+690], 7/15/205 | 250,000 | 251,713 | ||||||||||||||
Kaisa Group Holdings Ltd. Rts., Strike Price | Kilimanjaro Re Ltd. Catastrophe Linked Nts.: | ||||||||||||||||
$ | 1, Exp . 12/31/49, 0.00%1 (Cost $0) | 231 | — | 7.245% [US0003M+465], 5/6/225,6 | 500,000 | 495,325 | |||||||||||
Principal | 7.265% [US0003M+465], 5/5/235,6 | 500,000 | 492,975 | ||||||||||||||
Amount | 15.095% [US0003M+1,250], 5/6/225,6 | 500,000 | 494,775 | ||||||||||||||
Non | -Convertible Corporate Bond and Note—0.0% | Loma Reinsurance Bermuda Ltd. | |||||||||||||||
SandRidge Energy, Inc., 7.50% Sr. | Catastrophe Linked Nts., 2.896% | ||||||||||||||||
Unsec. Nts., 3/15/212,4 (Cost $0) | $ | 500,000 | — | [T | -BILL 3MO+50], 4/8/195,6 | 500,000 | 212,500 | ||||||||||
Manatee Re Ltd. Catastrophe Linked | |||||||||||||||||
Event | -Linked Bonds—4.1% | Nts., 1.899% [T-BILL 3MO+50], | |||||||||||||||
Akibare Re Ltd. Catastrophe Linked Nts.: | 3/13/193,5 | 500,000 | — | ||||||||||||||
4.482% [US0003M+190], 4/7/225,6 | 250,000 | 245,312 | Merna Re Ltd. Catastrophe Linked Nts., | ||||||||||||||
4.821% [US0006M+234], 4/7/205,6 | 500,000 | 312,500 | 4.396% [T-BILL 3MO+200], 4/8/215,6 | 250,000 | 250,938 | ||||||||||||
Aozora Re Ltd. Catastrophe Linked Nts., | Nakama Re Ltd. Catastrophe Linked Nts.: | ||||||||||||||||
4.323% [US0006M+200], 4/7/215,6 | 250,000 | 248,287 | 3.25% [US0006M+325], 10/13/215,6 | 750,000 | 746,588 | ||||||||||||
Atlas IX Capital DAC Catastrophe | 5.432% [US0003M+300], 4/13/235,6 | 500,000 | 496,775 | ||||||||||||||
Linked Nts., 2.73% [US0003M+10], | Panthera Re Ltd. Catastrophe Linked | ||||||||||||||||
4/8/195,6 | 413,725 | 370,284 | Nts., 5.896% [T-BILL 3MO+350], | ||||||||||||||
Blue Halo Re Ltd. Catastrophe Linked | 3/9/205,6 | 250,000 | 250,100 | ||||||||||||||
Nts., 16.396% [T-BILL 3MO+1400], | Residential Reinsurance 2013 Ltd. | ||||||||||||||||
6/21/195,6 | 500,000 | 493,075 | Catastrophe Linked Nts., 0.50% [T-BILL | ||||||||||||||
Bowline Re Ltd. Series 2018-1 | 3MO+50], 6/6/195,6 | 125,000 | 121,250 | ||||||||||||||
Catastrophe Linked Nts., 6.896% | Residential Reinsurance 2014 Ltd. | ||||||||||||||||
[T | -BILL 3MO+450], 5/23/225,6 | 750,000 | 747,262 | Catastrophe Linked Nts., 2.896% | |||||||||||||
Buffalo Re Ltd. Catastrophe Linked Nts.: | [T | -BILL 3MO+50], 6/6/195,6 | 750,000 | — | |||||||||||||
6.051% [US0006M+348], 4/7/205,6 | 500,000 | 498,625 | Residential Reinsurance 2015 Ltd. | ||||||||||||||
9.731% [US0006M+716], 4/7/205,6 | 250,000 | 244,637 | Catastrophe Linked Nts., 2.896% | ||||||||||||||
Caelus Re V Ltd. Catastrophe Linked Nts.: | [T | -BILL 3MO+50], 6/6/195,6 | 500,000 | 18,750 | |||||||||||||
2.896% [T-BILL 1MO+50], 6/5/205,6 | 1,000,000 | 150,000 | Residential Reinsurance 2016 Ltd. Catastrophe Linked Nts.: | ||||||||||||||
5.896% [T-BILL 3MO+350], 6/7/215,6 | 250,000 | 240,937 | 2.896% [T-BILL 3MO+50], 6/6/205,6 | 750,000 | 28,125 | ||||||||||||
9.896% [T-BILL 3MO+750], 6/7/215,6 | 250,000 | 215,225 | 6.216% [T-BILL 3MO+382], 12/6/205,6 | 250,000 | 249,063 | ||||||||||||
Residential Reinsurance 2017 Ltd. | |||||||||||||||||
12.896% [T-BILL 3MO+1,050], | Catastrophe Linked Nts., 5.446% | ||||||||||||||||
6/7/215,6 | 250,000 | 156,250 | [T | -BILL 3MO+305], 6/6/215,6 | 375,000 | 373,106 | |||||||||||
Cal Phoenix Re Ltd. Catastrophe | Residential Reinsurance 2018 Ltd. Catastrophe Linked Nts.: | ||||||||||||||||
Linked Nts., 9.988% [US0003M+750], | |||||||||||||||||
8/13/215,6 | 850,000 | 85,000 | 5.646% [T-BILL 3MO+325], 6/6/225,6 | 500,000 | 495,425 | ||||||||||||
Casablanca Re Ltd. Catastrophe Linked Nts.: | 12.376%, 6/6/195,8 | 500,000 | 77,500 | ||||||||||||||
7.265% [US0006M+525], 6/4/205 | 250,000 | 249,588 | Resilience Re Ltd., 10.63%, 4/8/195,8 | 250,000 | 252,475 | ||||||||||||
19.745% [US0006M+1,600], 6/4/203,5 | 250,000 | 122,500 | Riverfront Re Ltd. Catastrophe Linked Nts.: | ||||||||||||||
Citrus Re Ltd. Catastrophe Linked Nts.: | 7.116% [T-BILL 3MO+472], 1/15/215,6 | 750,000 | 741,938 | ||||||||||||||
7.696% [US0006M+523], 3/18/205,6 | 106,253 | 63,752 | 9.146% [T-BILL 3MO+675], 1/15/215,6 | 500,000 | 492,725 | ||||||||||||
10.246% [T-BILL 3MO+785], | SD Re Ltd. Catastrophe Linked Nts., | ||||||||||||||||
4/25/195,6 | 323,545 | 242,659 | 6.601% [US0003M+400], 10/19/215,6 | 600,000 | 589,590 | ||||||||||||
Eclipse Re Ltd. Catastrophe Linked Nts., | Total Event-Linked Bonds (Cost $20,613,735) | 15,112,704 | |||||||||||||||
0.00%, 7/1/195 | 250,000 | 248,938 | Short | -Term Note—11.3% | |||||||||||||
Everglades Re II Ltd. Catastrophe | United States—11.3% | ||||||||||||||||
Linked Nts., 7.316% [T-BILL | United States Treasury Bills, 2.467%, | ||||||||||||||||
3MO+492], 5/8/205,6 | 250,000 | 248,887 | 8/8/197,8 (Cost | $41,237,693) | USD | 41,600,000 | 41,246,091 | ||||||||||
First Coast Re 2017-1 Ltd. Catastrophe | Shares | ||||||||||||||||
Linked Nts., 6.446% [T-BILL | Investment Company—82.0% | ||||||||||||||||
3MO+405], 6/7/215,6 | 250,000 | 249,062 | Oppenheimer Institutional Government | ||||||||||||||
Fortius Re II Ltd. Catastrophe Linked | Money Market Fund, Cl. E, 2.42%9,10 (Cost | ||||||||||||||||
Nts., 4.803% [US0006M+375], | $ | 300,192,118 | ) | 300,192,118 | 300,192,118 | ||||||||||||
7/7/215,6 | 750,000 | 747,413 | Total Investments, at Value (Cost | ||||||||||||||
Frontline Re Ltd. Catastrophe Linked | $ | 362,415,550 | ) | 97.4% | 356,583,384 | ||||||||||||
Nts., 9.396% [T-BILL 3MO+700], | Net Other Assets (Liabilities) | 2.6 | 9,508,291 | ||||||||||||||
7/6/225,6 | 250,000 | 242,562 | Net Assets | 100.0 | % $ | 366,091,675 | |||||||||||
1 | OPPENHEIMER GLOBAL MULTI-ALTERNATIVES FUND/VA |
STATEMENT OF INVESTMENTS Unaudited / Continued
Footnotes to Statement of Investments
1. Non-income producing security.
2. Security received as the result of issuer reorganization.
3. The value of this security was determined using significant unobservable inputs. See Note 3 of the accompanying Notes.
4. This security is not accruing income because the issuer has missed an interest payment on it and/or is not anticipated to make future interest and or principal payments. The rate shown is
the contractual interest rate. See Note 4 of the accompanying Notes.
5. Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under
guidelines established by the Board of Trustees. These securities amount to $15,112,704 or 4.13% of the Fund's net assets at period end.
6. Represents the current interest rate for a variable or increasing rate security, which may be fixed for a predetermined period. The interest rate is, or will be as of an established date,
determined as [Referenced Rate + Basis-point spread].
7. All or a portion of the security position is held in segregated accounts and pledged to cover margin requirements under certain derivative contracts. The aggregate market value of such
securities is $319,261. See Note 5 of the accompanying Notes.
8. Zero coupon bond reflects effective yield on the original acquisition date.
9. Rate shown is the 7-day yield at period end.
10. 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:
Shares | Gross | Gross | Shares | ||||||||||||||
December 31, 2018 | Additions | Reductions | March 31, 2019 | ||||||||||||||
Investment Company | |||||||||||||||||
Oppenheimer Institutional Government Money Market Fund, Cl. E | 7,565,931 | 390,615,341 | 97,989,154 | 300,192,118 | |||||||||||||
Realized | Change in Unrealized | ||||||||||||||||
Value | Income | Gain (Loss) | Gain (Loss) | ||||||||||||||
Investment Company | |||||||||||||||||
Oppenheimer Institutional Government Money Market Fund, Cl. E | $ | 300,192,118 | $ | 607,724 | $ | — $ | — | ||||||||||
Distribution of investments representing geographic holdings, as a percentage of total investments at value, is as follows: | |||||||||||||||||
Geographic Holdings | Value | Percent | |||||||||||||||
United States | $ | 343,251,876 | 96.3 | % | |||||||||||||
Bermuda | 9,416,551 | 2.6 | |||||||||||||||
Cayman Islands | 2,080,531 | 0.6 | |||||||||||||||
Japan | 1,059,088 | 0.3 | |||||||||||||||
Ireland | 562,838 | 0.1 | |||||||||||||||
Supranational | 212,500 | 0.1 | |||||||||||||||
China | — | – | |||||||||||||||
Israel | — | – | |||||||||||||||
Total | $ | 356,583,384 | 100.0 | % | |||||||||||||
Forward Currency Exchange Contracts as of March 31, 2019 | |||||||||||||||||
Unrealized | Unrealized | ||||||||||||||||
Counterparty | Settlement Month(s) | Currency Purchased (000's) | Currency Sold (000's) | Appreciation | Depreciation | ||||||||||||
BOA | 04/2019 | USD | 567 | EUR | 500 | $ | 5,516 | $ | — | ||||||||
JPM | 04/2019 | BRL | 86,800 | USD | 22,737 | — | 569,937 | ||||||||||
JPM | 04/2019 | USD | 22,111 | BRL | 86,800 | — | 56,299 | ||||||||||
Total Unrealized Appreciation and Depreciation | $ | 5,516 | $ | 626,236 | |||||||||||||
Glossary: | |||||||||||||||||
Counterparty Abbreviations | |||||||||||||||||
BOA | Bank of America NA | ||||||||||||||||
JPM | JPMorgan Chase Bank NA | ||||||||||||||||
Currency abbreviations indicate amounts reporting in currencies | |||||||||||||||||
BRL | Brazilian Real | ||||||||||||||||
EUR | Euro | ||||||||||||||||
Definitions | |||||||||||||||||
EUR003M | EURIBOR 3 Month ACT/360 | ||||||||||||||||
T-BILL 1MO | US Treasury Bill 1 Month | ||||||||||||||||
T-BILL 3MO | US Treasury Bill 3 Month | ||||||||||||||||
US0003 | M | ICE LIBOR USD 3 Month | |||||||||||||||
US0006 | M | ICE LIBOR USD 6 Month |
2 OPPENHEIMER GLOBAL MULTI-ALTERNATIVES FUND/VA
NOTES TO STATEMENTS OF INVESTMENTS March 31, 2019 Unaudited
1. Organization
Oppenheimer Global Multi-Alternatives Fund/VA (the Fund) is a separate series of Oppenheimer Variable Account Funds, a diversified open-end
management investment company registered under the Investment Company Act of 1940 (1940 Act), as amended. The Funds investment objective is
to seek total return. The Funds 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.
The Sub-Adviser has entered into a sub-sub-advisory agreement with Barings LLC and OFI SteelPath, Inc. (collectively, the Sub-Sub-Advisers). Shares
of the Fund are sold only to separate accounts of life insurance companies.
2. Significant Accounting Policies
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.
3. Securities Valuation
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" or
"NYSE") 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 Funds Board has adopted procedures for the valuation of the Funds 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 Committees fair valuation determinations are subject to
review, approval and ratification by the Funds Board at least quarterly or more frequently, if necessary.
Valuation Methods and Inputs
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 Funds 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 Funds assets
are valued.
Shares of a registered investment company that are not traded on an exchange are valued at that investment companys 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.
Event-linked bonds, are valued at the mean between the bid and asked prices utilizing evaluated prices obtained from third party pricing services or
broker-dealers. Standard inputs generally considered by third-party pricing vendors include reported trade data and broker-dealer price quotations.
Forward foreign currency exchange contracts are valued utilizing current and forward currency rates obtained from third party pricing services. When
the settlement date of a contract is an interim date for which a quotation is not available, interpolated values are derived using the nearest dated
forward currency rate.
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 Funds Board or (ii) as determined in good faith by the Managers 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
3 OPPENHEIMER GLOBAL MULTI-ALTERNATIVES FUND/VA
NOTES TO STATEMENTS OF INVESTMENTS Unaudited / Continued
3. Securities Valuation (Continued)
rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those
securities nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security.
To assess the continuing appropriateness of security valuations, the Manager regularly compares prior day prices and sale prices to the current day
prices and challenges those prices exceeding certain tolerance levels with the third party pricing service or broker source. For those securities valued
by fair valuations, whether through a standardized fair valuation methodology or a fair valuation determination, the Valuation Committee reviews and
affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all
relevant information that is reasonably available.
Classifications
Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation.
Various data inputs may be used in determining the value of each of the Funds 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 Managers 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 at period end based on valuation input level: | ||||||||||
Level 3 | ||||||||||
Level 1 | Level 2 | Significant | ||||||||
Unadjusted | Other Significant | Unobservable | ||||||||
Quoted Prices | Observable Inputs | Inputs | Value | |||||||
Assets Table | ||||||||||
Investments, at Value: | ||||||||||
Common Stocks | $ | | $ | | $ | 59 | $ | 59 | ||
Preferred Stock | | | 32,412 | 32,412 | ||||||
Rights, Warrants and Certificates | | | | | ||||||
Non-Convertible Corporate Bonds and Notes | | | | | ||||||
Event-Linked Bonds | | 14,990,204 | 122,500 | 15,112,704 | ||||||
Short-Term Note | | 41,246,091 | | 41,246,091 | ||||||
Investment Company | 300,192,118 | | | 300,192,118 | ||||||
Total Investments, at Value | 300,192,118 | 56,236,295 | 154,971 | 356,583,384 | ||||||
Other Financial Instruments: | ||||||||||
Forward currency exchange contracts | | 5,516 | | 5,516 | ||||||
Total Assets | $ | 300,192,118 | $ | 56,241,811 | $ | 154,971 | $ | 356,588,900 | ||
Liabilities Table | ||||||||||
Other Financial Instruments: | ||||||||||
Forward currency exchange contracts | $ | | $ | (626,236) $ | | $ | (626,236) | |||
Total Liabilities | $ | | $ | (626,236) $ | | $ | (626,236) |
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 contracts value from trade date. All additional assets and liabilities included in the above table are reported at their market
value at measurement date.
For the reporting period, there were no transfers between levels.
4. Investments and Risks
Risks of Foreign Investing. The Fund may invest in foreign securities which are subject to special risks. Securities traded in foreign markets may
be less liquid and more volatile than those traded in U.S. markets. Foreign issuers are usually not subject to the same accounting and disclosure
requirements that U.S. companies are subject to, which may make it difficult for the Fund to evaluate a foreign companys operations or financial
condition. A change in the value of a foreign currency against the U.S. dollar will result in a change in the U.S. dollar value of investments denominated
in that foreign currency and in the value of any income or distributions the Fund may receive on those investments. The value of foreign investments
may be affected by exchange control regulations, foreign taxes, higher transaction and other costs, delays in the settlement of transactions, changes
in economic or monetary policy in the United States or abroad, expropriation or nationalization of a companys assets, or other political and economic
factors. In addition, due to the inter-relationship of global economies and financial markets, changes in political and economic factors in one country or
region could adversely affect conditions in another country or region. Investments in foreign securities may also expose the Fund to time-zone arbitrage
4 OPPENHEIMER GLOBAL MULTI-ALTERNATIVES FUND/VA
4. Investments and Risks (Continued)
risk. Foreign securities may trade on weekends or other days when the Fund does not price its shares. At times, the Fund may emphasize investments in
a particular country or region and may be subject to greater risks from adverse events that occur in that country or region. Foreign securities and foreign
currencies held in foreign banks and securities depositories may be subject to limited or no regulatory oversight.
Investments in Affiliated Funds. The Fund is permitted to invest in other mutual funds advised by the Manager (Affiliated Funds).Affiliated Funds
are 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 Funds 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 Funds investments and
therefore the value of the Funds 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.
Event-Linked Bonds. The Fund may invest in event-linked bonds. Event-linked bonds, which are sometimes referred to as catastrophe bonds, are
fixed income securities for which the return of principal and payment of interest is contingent on the non-occurrence of a specific trigger event, such as
a hurricane, earthquake, or other occurrence that leads to physical or economic loss. If the trigger event occurs prior to maturity, the Fund may lose all or
a portion of its principal in addition to interest otherwise due from the security. Event-linked bonds may expose the Fund to certain other risks, including
issuer default, adverse regulatory or jurisdictional interpretations, liquidity risk and adverse tax consequences. The Fund records the net change in market
value of event-linked bonds on the Statement of Operations in the annual and semiannual reports as a change in unrealized appreciation or depreciation
on investments. The Fund records a realized gain or loss on the Statement of Operations in the annual and semiannual reports upon the sale or maturity
of such securities.
Equity Security Risk. Stocks and other equity securities fluctuate in price. The value of the Funds 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 companys 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 companys sector or industry, or changes in government regulations affecting the company or its
industry.
Credit Risk. The Fund invests in high-yield, non-investment-grade bonds, which may be subject to a greater degree of credit risk. Credit risk relates to
the ability of the issuer to meet interest or principal payments or both as they become due. The Fund may acquire securities that have missed an interest
payment, and is not obligated to dispose of securities whose issuers or underlying obligors subsequently miss an interest and/or principal payment.
Information concerning securities not accruing interest at period end is as follows: | ||
Cost | $ | |
Market Value | $ | |
Market Value as % of Net Assets | 0.00% |
5. Market Risk Factors
The Funds 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
5 OPPENHEIMER GLOBAL MULTI-ALTERNATIVES FUND/VA
NOTES TO STATEMENTS OF INVESTMENTS Unaudited / Continued
5. Market Risk Factors (Continued)
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 instruments price over
a defined time period. Large increases or decreases in a financial instruments price over a relative time period typically indicate greater volatility risk,
while small increases or decreases in its price typically indicate lower volatility risk.
6. Use of Derivatives
The Funds 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 Funds 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 Funds initial investment.
Additional associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative and
the Fund. Typically, the associated risks are not the risks that the Fund is attempting to increase or decrease exposure to, per its investment objectives,
but are the additional risks from investing in derivatives. Examples of these associated risks are liquidity risk, which is the risk that the Fund will not be
able to sell the derivative in the open market in a timely manner, and counterparty credit risk, which is the risk that the counterparty will not fulfill its
obligation to the Fund.
The Fund's actual exposures to these market risk factors and associated risks during the period are discussed in further detail, by derivative type,
below.
Forward Currency Exchange Contracts
The Fund may enter into forward currency exchange contracts (forward contracts) for the purchase or sale of a foreign currency at a negotiated rate at
a future date. Such contracts are traded in the OTC inter-bank currency dealer market.
Forward contracts are reported on a schedule following the Statement of Investments. The unrealized appreciation (depreciation) is reported in the
Statement of Assets and Liabilities in the annual and semiannual reports as a receivable (or payable) and in the Statement of Operations in the annual
and semiannual reports within the change in unrealized appreciation (depreciation). At contract close, the difference between the original cost of the
contract and the value at the close date is recorded as a realized gain (loss) in the Statement of Operations in the annual and semiannual reports.
The Fund may enter into forward foreign currency exchange contracts in order to decrease exposure to foreign exchange rate risk associated with
either specific transactions or portfolio instruments or to increase exposure to foreign exchange rate risk.
During the reporting period, the Fund had daily average contract amounts on forward contracts to buy and sell of $29,290,652and $62,357,754,
respectively.
Additional associated risk to the Fund includes counterparty credit risk. Counterparty credit risk arises from the possibility that the counterparty to a
forward contract will default and fail to perform its obligations to the Fund.
Futures Contracts
A futures contract is a commitment to buy or sell a specific amount of a commodity, financial instrument or currency at a negotiated price on a stipulated
future date. The Fund may buy and sell futures contracts and may also buy or write put or call options on these futures contracts. Futures contracts and
options thereon are generally entered into on a regulated futures exchange and cleared through a clearinghouse associated with the exchange.
Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin) in an amount equal to a certain
percentage of the contract value in an account registered in the futures commission merchants 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 Funds 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
6 OPPENHEIMER GLOBAL MULTI-ALTERNATIVES FUND/VA
6. Use of Derivatives (Continued)
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 $40,744,487 and $29,999,791 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 Funds securities.
At period end, the Fund had no futures contracts outstanding.
Option Activity
The Fund may buy and sell put and call options, or write put and call options. When an option is written, the Fund receives a premium and becomes
obligated to sell or purchase the underlying security, currency or other underlying financial instrument at a fixed price, upon exercise of the option.
Options can be traded through an exchange or through a privately negotiated arrangement with a dealer in an OTC transaction. Options traded
through an exchange are generally cleared through a clearinghouse (such as The Options Clearing Corporation). The difference between the premium
received or paid, and market value of the option, is recorded as unrealized appreciation or depreciation. The net change in unrealized appreciation or
depreciation is reported in the Statement of Operations in the annual and semiannual reports. When an option is exercised, the cost of the security
purchased or the proceeds of the security sale are adjusted by the amount of premium received or paid. Upon the expiration or closing of the option
transaction, a gain or loss is reported in the Statement of Operations in the annual and semiannual reports.
Foreign Currency Options. The Fund may purchase or write call and put options on currencies to increase or decrease exposure to foreign exchange
rate risk. A purchased call, or written put option becomes more valuable as the price of the underlying financial instrument appreciates relative to the
strike price. A purchased put, or written call option becomes more valuable as the price of the underlying financial instrument depreciates relative to the
strike price.
Index/Security Options. The Fund may purchase or write call and put options on individual equity securities and/or equity indexes to increase or
decrease exposure to equity risk. A purchased call or written put option becomes more valuable as the price of the underlying financial instrument
appreciates relative to the strike price. A purchased put or written call option becomes more valuable as the price of the underlying financial instrument
depreciates relative to the strike price.
During the reporting period, the Fund had an ending monthly average market value of $114,093 and $15,789 on purchased call options and
purchased put options, respectively.
At period end, the Fund had no purchased options outstanding.
Options written, if any, are reported in a schedule following the Statement of Investments and as a liability in the Statement of Assets and Liabilities
in the annual and semiannual reports. Securities held in collateral accounts to cover potential obligations with respect to outstanding written options are
noted in the Statement of Investments.
The risk in writing a call option is the market price of the underlying security increasing above the strike price and the option being exercised. The Fund
must then purchase the underlying security at the higher market price and deliver it for the strike price or, if it owns the underlying security, deliver it at
the strike price and forego any benefit from the increase in the price of the underlying security above the strike price. The risk in writing a put option is
the market price of the underlying security decreasing below the strike price and the option being exercised. The Fund must then purchase the underlying
security at the strike price when the market price of the underlying security is below the strike price. Alternatively, the Fund could also close out a written
option position, in which case the risk is that the closing transaction will require a premium to be paid by the Fund that is greater than the premium
the Fund received. When writing options, the Fund has the additional risk that there may be an illiquid market where the Fund is unable to close the
contract. The risk in buying an option is that the Fund pays a premium for the option, and the option may be worth less than the premium paid or expire
worthless.
During the reporting period, the Fund had an ending monthly average market value of $56,224 and $15,637 on written call options and written put
options, respectively.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
At period end, the Fund had no written options outstanding.
Swap Contracts
The Fund may enter into swap contract agreements with a counterparty to exchange a series of cash flows based on either specified reference rates,
the price or volatility of asset or non-asset references, or the occurrence of a credit event, over a specified period. Swaps can be executed in a bi-lateral
privately negotiated arrangement with a dealer in an OTC transaction (OTC swaps) or executed on a regulated market. Certain swaps, regardless of
the venue of their execution, are required to be cleared through a clearinghouse (centrally cleared swaps). Swap contracts may include interest rate,
equity, debt, index, total return, credit default, currency, and volatility swaps.
Swap contracts are reported on a schedule following the 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
7 OPPENHEIMER GLOBAL MULTI-ALTERNATIVES FUND/VA
NOTES TO STATEMENTS OF INVESTMENTS Unaudited / Continued
6. Use of Derivatives (Continued)
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 issuers 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 $12,303,859 and $5,040,000 on credit default swaps to buy
protection and credit default swaps to sell protection, respectively.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
At period end, the Fund had no credit default swap agreements outstanding.
Total Return Swap Contracts. A total return swap is an agreement between counterparties to exchange periodic payments based on the value of
asset or non-asset references. One cash flow is typically based on a non-asset reference (such as an interest rate) and the other on the total return of
a reference asset (such as a security or a basket of securities or securities index). The total return of the reference asset typically includes appreciation
or depreciation on the reference asset, plus any interest or dividend payments.
Total return swap contracts are exposed to the market risk factor of the specific underlying financial instrument or index.Total return swaps are less
standard in structure than other types of swaps and can isolate and/or include multiple types of market risk factors including equity risk, credit risk,
and interest rate risk.
The Fund may enter into total return swaps on various equity securities or indexes to increase or decrease exposure to equity risk. These equity risk
related total return swaps require the Fund to pay or receive a floating reference interest rate, and an amount equal to the opposite price movement
of securities or an index (expressed as a percentage) multiplied by the notional amount of the contract. Equity leg payments equal to the positive price
movement of the same securities or index (expressed as a percentage) multiplied by the notional amount of the contract and, in some cases, dividends
paid on the securities. Reference leg payments equal a floating reference interest rate and an amount equal to the negative price movement of the
same securities or index (expressed as a percentage) multiplied by the notional amount of the contract.
The Fund may enter into total return swaps to increase or decrease exposure to the credit risk of various indexes or basket of securities. These credit
risk related total return swaps require the Fund to pay to, or receive payments from, the counterparty based on the movement of credit spreads of the
related indexes or securities.
For the reporting period, the Fund had ending monthly average notional amounts of $42,235,050 and $8,048,469 on total return swaps which are
long the reference asset and total return swaps which are short the reference asset, respectively.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
At period end, the Fund had no total return swap agreements outstanding.
Swaption Transactions
The Fund may enter into a swaption contract which grants the purchaser the right, but not the obligation, to enter into a swap transaction at preset
terms detailed in the underlying agreement within a specified period of time. The purchaser pays a premium to the swaption writer who bears the risk of
unfavorable changes in the preset terms on the underlying swap.
Purchased swaptions are reported as a component of investments in the Statement of Investments and the Statement of Assets and Liabilities in the
annual and semiannual reports. Written swaptions are reported on a schedule following the Statement of Investments and their value is reported
8 OPPENHEIMER GLOBAL MULTI-ALTERNATIVES FUND/VA
6. Use of Derivatives (Continued)
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 enter into an interest rate swap in which it pays a floating or fixed interest rate and
receives a fixed or floating interest rate in order to increase or decrease exposure to interest rate risk. Purchasing the fixed portion of this swaption
becomes more valuable as the reference interest rate decreases relative to the preset interest rate. Purchasing the floating portion of this swaption
becomes more valuable as the reference interest rate increases relative to the preset interest rate.
The Fund may write swaptions which give it the obligation, if exercised by the purchaser, to enter into an interest rate swap in which it pays a fixed
or floating interest rate and receives a floating or fixed interest rate in order to increase or decrease exposure to interest rate risk. A written swaption
paying a fixed rate becomes more valuable as the reference interest rate increases relative to the preset interest rate. A written swaption paying a
floating rate becomes more valuable as the reference interest rate decreases relative to the preset interest rate.
During the reporting period, the Fund had an ending monthly average market value of $219,630 on purchased swaptions.
At period end, the Fund had no written swaption contracts outstanding.
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 Funds 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 Funds net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA
master agreements, which would cause the Fund to accelerate payment of any net liability owed to the counterparty.
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in
the Statement of Assets and Liabilities in the annual and semiannual reports. Bankruptcy or insolvency laws of a particular jurisdiction may impose
restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
The Funds 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 brokers, futures commission merchants or
clearinghouses customers, potentially resulting in losses to the Fund.
There is the risk that a broker, futures commission merchant or clearinghouse will decline to clear a transaction on the Funds 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 Funds 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.
9 OPPENHEIMER GLOBAL MULTI-ALTERNATIVES FUND/VA
NOTES TO STATEMENTS OF INVESTMENTS Unaudited / Continued
6. Use of Derivatives (Continued)
Collateral and margin requirements differ by type of derivative. Margin requirements are established by the broker, futures commission merchant or
clearinghouse for exchange-traded and cleared derivatives, including centrally cleared swaps. Brokers, futures commission merchants and clearinghouses
can ask for margin in excess of the regulatory minimum, or increase the margin amount, in certain circumstances.
Collateral terms are contract specific for OTC derivatives. For derivatives traded under an ISDA master agreement, the collateral requirements are
typically calculated by netting the mark to market amount for each transaction under such agreement and comparing that amount to the value of any
collateral currently pledged by the Fund or the counterparty.
For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund, if any, is reported separately on the Statement
of Assets and Liabilities in the annual and semiannual reports as cash pledged as collateral. Non-cash collateral pledged by the Fund, if any, is noted
in the Statement of Investments. Generally, the amount of collateral due from or to a party must exceed a minimum transfer amount threshold (e.g.,
$250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or
otherwise, the Fund bears the risk of loss from counterparty nonperformance.
7. Borrowing and Other Financing
Securities Sold Short. The Fund sells securities that it does not own, and it will therefore be obligated to purchase such securities at a future date.
Upon entering into a short position, the Fund is required to segregate cash or securities at its custodian which are pledged for the benefit of the lending
broker and/or to deposit and pledge cash directly at the lending broker, with a value equal to a certain percentage, exceeding 100%, of the value of the
securities that it sold short. Cash that has been segregated and pledged for this purpose will be disclosed on the Statement of Assets and Liabilities;
securities that have been segregated and pledged for this purpose are disclosed as such in the Statement of Investments. The value of the open short
position is recorded as a liability, and the Fund records an unrealized gain or loss to the extent of the difference between the proceeds received and the
change in value of the open short position. The Fund records a realized gain or loss when the short position is closed out. By entering into short sales,
the Fund bears the risk of an unlimited loss, since the price of the security sold short could theoretically increase without limit. Purchasing securities
previously sold short to close out a short position can itself cause the price of the securities to rise further, thereby increasing the loss. Further, there
is no assurance that a security the Fund needs to buy to cover a short position will be available for purchase at a reasonable price. Until the security
is replaced, the Fund is required to pay the lender any dividend or interest earned. Dividend expense on short sales is treated as an expense in the
Statement of Operations in the annual and semiannual reports.
At period end, the Fund had no outstanding securities sold short.
8. Pending Acquisition
On October 18, 2018, Massachusetts Mutual Life Insurance Company, an indirect corporate parent of the Sub-Adviser and the Manager, announced
that it has entered into an agreement whereby Invesco Ltd. (Invesco), a global investment management company, will acquire the Sub-Adviser
(the Transaction). In connection with the Transaction, on January 11, 2019, the Funds Board unanimously approved an Agreement and Plan of
Reorganization (the Agreement), which provides for the transfer of the assets and liabilities of the Fund to a corresponding, newly formed fund (the
Acquiring Fund) in the Invesco family of funds (the Reorganization) in exchange for shares of the corresponding Acquiring Fund of equal value to
the value of the shares of the Fund as of the close of business on the closing date. Although the Acquiring Fund will be managed by Invesco Advisers,
Inc., the Acquiring Fund will, as of the closing date, have the same investment objective and substantially similar principal investment strategies and risks
as the Fund. After the Reorganization, Invesco Advisers, Inc. will be the investment adviser to the Acquiring Fund, and the Fund will be liquidated and
dissolved under applicable law and terminate its registration under the Investment Company Act of 1940, as amended. The Reorganization is expected
to be a tax-free reorganization for U.S. federal income tax purposes.
As of 5 p.m. Eastern Standard Time on April 12, 2019, the Reorganization has been approved by shareholders of record of the Fund as of January 14,
2019. Accordingly, if certain other closing conditions are satisfied or waived, the Reorganization is currently expected to close on or about May 24, 2019,
or as soon as practicable thereafter. This is subject to change.
10 OPPENHEIMER GLOBAL MULTI-ALTERNATIVES FUND/VA