STATEMENT OF INVESTMENTS March 31, 2019 Unaudited | |||||||||
Principal Amount | Value | Principal Amount | Value | ||||||
Asset-Backed Securities13.1% | Auto Loan (Continued) | ||||||||
Auto Loan11.2% | GM Financial Automobile Leasing Trust: | ||||||||
American Credit Acceptance Receivables Trust: | Series 2017-3,Cl. C, 2.73%, 9/20/21 | $ | 120,000 $ | 119,419 | |||||
Series 2015-3,Cl. D, 5.86%, 7/12/221 | $ | 125,000 $ | 125,131 | Series 2018-2,Cl. C, 3.50%, 4/20/22 | 135,000 | 135,679 | |||
Series 2017-4,Cl. B, 2.61%, 5/10/211 | 39,121 | 39,107 | GMF Floorplan Owner Revolving Trust: | ||||||
Series 2017-4,Cl. C, 2.94%, 1/10/241 | 183,000 | 182,745 | Series 2018-3,Cl. B, 3.49%, 9/15/221 | 240,000 | 242,129 | ||||
Series 2017-4,Cl. D, 3.57%, 1/10/241 | 227,000 | 227,187 | Series 2018-3,Cl. C, 3.68%, 9/15/221 | 200,000 | 201,815 | ||||
Series 2018-2,Cl. C, 3.70%, 7/10/241 | 255,000 | 256,248 | Series 2018-4,Cl. B, 3.68%, 9/15/231 | 200,000 | 203,493 | ||||
Series 2018-3,Cl. B, 3.49%, 6/13/221 | 80,000 | 80,220 | Series 2018-4,Cl. C, 3.88%, 9/15/231 | 250,000 | 254,403 | ||||
Series 2018-4,Cl. C, 3.97%, 1/13/251 | 180,000 | 182,521 | Navistar Financial Dealer Note Master Owner Trust II: | ||||||
AmeriCredit Automobile Receivables Trust: | Series 2017-1,Cl. C, 4.036% | ||||||||
Series 2017-2,Cl. D, 3.42%, 4/18/23 | 300,000 | 301,733 | [US0001M+155], 6/27/221,3 | 60,000 | 60,074 | ||||
Series 2017-4,Cl. D, 3.08%, 12/18/23 | 190,000 | 190,209 | Series 2017-1,Cl. D, 4.786% | ||||||
Series 2018-3,Cl. C, 3.74%, 10/18/24 | 260,000 | 266,206 | [US0001M+230], 6/27/221,3 | 70,000 | 70,035 | ||||
Capital Auto Receivables Asset Trust: | Series 2018-1,Cl. A, 3.116% | ||||||||
Series 2017-1,Cl. D, 3.15%, 2/20/251 | 40,000 | 39,802 | [US0001M+63], 9/25/231,3 | 110,000 | 110,204 | ||||
Series 2018-2,Cl. B, 3.48%, 10/20/231 | 120,000 | 121,086 | Series 2018-1,Cl. B, 3.286% | ||||||
Series 2018-2,Cl. C, 3.69%, 12/20/231 | 115,000 | 115,979 | [US0001M+80], 9/25/231,3 | 125,000 | 125,164 | ||||
CarMax Auto Owner Trust: | Santander Drive Auto Receivables Trust: | ||||||||
Series 2015-2,Cl. D, 3.04%, 11/15/21 | 100,000 | 100,015 | Series 2017-1,Cl. D, 3.17%, 4/17/23 | 160,000 | 160,200 | ||||
Series 2015-3,Cl. D, 3.27%, 3/15/22 | 295,000 | 294,506 | Series 2017-1,Cl. E, 5.05%, 7/15/241 | 355,000 | 363,202 | ||||
Series 2016-1,Cl. D, 3.11%, 8/15/22 | 185,000 | 184,474 | Series 2017-2,Cl. D, 3.49%, 7/17/23 | 70,000 | 70,393 | ||||
Series 2017-1,Cl. D, 3.43%, 7/17/23 | 230,000 | 230,793 | Series 2017-3,Cl. D, 3.20%, 11/15/23 | 280,000 | 279,873 | ||||
Series 2017-4,Cl. D, 3.30%, 5/15/24 | 100,000 | 99,652 | Series 2018-1,Cl. D, 3.32%, 3/15/24 | 100,000 | 100,349 | ||||
Series 2018-4,Cl. C, 3.85%, 7/15/24 | 85,000 | 87,064 | Series 2018-2,Cl. D, 3.88%, 2/15/24 | 165,000 | 167,456 | ||||
CIG Auto Receivables Trust, Series 2017-1A, Cl. | Series 2018-3,Cl. C, 3.51%, 8/15/23 | 415,000 | 417,592 | ||||||
A, 2.71%, 5/15/231 | 46,946 | 46,852 | Series 2018-4,Cl. C, 3.56%, 7/15/24 | 290,000 | 292,999 | ||||
CPS Auto Receivables Trust: | Series 2018-5,Cl. C, 3.81%, 12/16/24 | 215,000 | 218,350 | ||||||
Series 2018-A,Cl. B, 2.77%, 4/18/221 | 125,000 | 124,623 | Santander Retail Auto Lease Trust, Series | ||||||
Series 2018-B,Cl. B, 3.23%, 7/15/221 | 150,000 | 150,337 | 2017-A, Cl. C, 2.96%, 11/21/221 | 180,000 | 179,680 | ||||
CPS Auto Trust, Series 2017-A, Cl. B, 2.68%, | TCF Auto Receivables Owner Trust, Series | ||||||||
5/17/211 | 25,600 | 25,576 | 2015-1A, Cl. D, 3.53%, 3/15/221 | 160,000 | 159,990 | ||||
Credit Acceptance Auto Loan Trust: | United Auto Credit Securitization Trust, Series | ||||||||
Series 2017-3A,Cl. C, 3.48%, 10/15/261 | 205,000 | 205,108 | 2018-1, Cl. C, 3.05%, 9/10/211 | 255,000 | 255,147 | ||||
Series 2018-1A,Cl. B, 3.60%, 4/15/271 | 125,000 | 125,995 | Veros Automobile Receivables Trust, Series | ||||||
Series 2018-1A,Cl. C, 3.77%, 6/15/271 | 180,000 | 181,403 | 2017-1, Cl. A, 2.84%, 4/17/231 | 32,393 | 32,343 | ||||
Series 2018-2A,Cl. C, 4.16%, 9/15/271 | 150,000 | 153,453 | Westlake Automobile Receivables Trust: | ||||||
Series 2018-3A,Cl. C, 4.04%, 12/15/271 | 210,000 | 213,325 | Series 2016-1A,Cl. E, 6.52%, 6/15/221 | 260,000 | 261,184 | ||||
Drive Auto Receivables Trust: | Series 2017-2A,Cl. E, 4.63%, 7/15/241 | 305,000 | 307,292 | ||||||
Series 2015-BA,Cl. D, 3.84%, 7/15/211 | 9,833 | 9,845 | Series 2018-1A,Cl. D, 3.41%, 5/15/231 | 160,000 | 160,435 | ||||
Series 2016-CA,Cl. D, 4.18%, 3/15/241 | 160,000 | 162,063 | Series 2018-3A,Cl. B, 3.32%, 10/16/231 | 245,000 | 245,856 | ||||
Series 2017-1,Cl. D, 3.84%, 3/15/23 | 225,000 | 226,812 | 14,138,602 | ||||||
Series 2018-1,Cl. D, 3.81%, 5/15/24 | 180,000 | 181,561 | Credit Card1.2% | ||||||
Series 2018-2,Cl. D, 4.14%, 8/15/24 | 295,000 | 300,119 | GE Capital Credit Card Master Note Trust, | ||||||
Series 2018-3,Cl. C, 3.72%, 9/16/24 | 115,000 | 116,108 | Series 2012-7, Cl. B, 2.21%, 9/15/22 | 185,000 | 184,292 | ||||
Series 2018-3,Cl. D, 4.30%, 9/16/24 | 200,000 | 204,310 | World Financial Network Credit Card Master Trust: | ||||||
Series 2018-5,Cl. C, 3.99%, 1/15/25 | 210,000 | 214,554 | Series 2018-A,Cl. A, 3.07%, 12/16/24 | 495,000 | 497,842 | ||||
Series 2019-1,Cl. C, 3.78%, 4/15/25 | 345,000 | 350,311 | Series 2018-B,Cl. A, 3.46%, 7/15/25 | 230,000 | 234,125 | ||||
DT Auto Owner Trust: | Series 2018-C,Cl. A, 3.55%, 8/15/25 | 470,000 | 478,733 | ||||||
Series 2016-4A,Cl. E, 6.49%, 9/15/231 | 120,000 | 122,890 | Series 2019-A,Cl. A, 3.14%, 12/15/25 | 160,000 | 161,639 | ||||
Series 2017-1A,Cl. D, 3.55%, 11/15/221 | 125,000 | 125,394 | 1,556,631 | ||||||
Series 2017-1A,Cl. E, 5.79%, 2/15/241 | 285,000 | 292,549 | |||||||
Series 2017-2A,Cl. D, 3.89%, 1/15/231 | 175,000 | 176,060 | Equipment0.5% | ||||||
Series 2017-3A,Cl. D, 3.58%, 5/15/231 | 70,000 | 70,375 | CCG Receivables Trust: | ||||||
Series 2017-3A,Cl. E, 5.60%, 8/15/241 | 155,000 | 160,147 | Series 2017-1,Cl. B, 2.75%, 11/14/231 | 230,000 | 229,349 | ||||
Series 2017-4A,Cl. D, 3.47%, 7/17/231 | 190,000 | 190,513 | Series 2018-1,Cl. B, 3.09%, 6/16/251 | 85,000 | 85,261 | ||||
Series 2017-4A,Cl. E, 5.15%, 11/15/241 | 135,000 | 137,920 | Series 2018-1,Cl. C, 3.42%, 6/16/251 | 20,000 | 20,065 | ||||
Series 2018-3A,Cl. B, 3.56%, 9/15/221 | 250,000 | 251,923 | Series 2018-2,Cl. C, 3.87%, 12/15/251 | 60,000 | 61,032 | ||||
Series 2018-3A,Cl. C, 3.79%, 7/15/241 | 100,000 | 101,129 | CNH Equipment Trust: | ||||||
Exeter Automobile Receivables Trust: | Series 2017-C,Cl. B, 2.54%, 5/15/25 | 65,000 | 64,512 | ||||||
Series 2018-1A,Cl. B, 2.75%, 4/15/221 | 140,000 | 139,847 | Series 2019-A,Cl. A4, 3.22%, 1/15/26 | 125,000 | 126,744 | ||||
Series 2018-4A,Cl. B, 3.64%, 11/15/221 | 210,000 | 211,819 | Dell Equipment Finance Trust, Series 2018-1, | ||||||
Cl. B, 3.34%, 6/22/231 | 80,000 | 80,668 | |||||||
Series 2019-1A,Cl. D, 4.13%, 12/16/241 | 195,000 | 199,456 | FRS I LLC, Series 2013-1A, Cl. A1, 1.80%, | ||||||
Flagship Credit Auto Trust, Series 2016-1, Cl. C, | 4/15/431 | 1,610 | 1,609 | ||||||
6.22%, 6/15/221 | 345,000 | 357,166 | 669,240 | ||||||
GLS Auto Receivables Trust: | |||||||||
Series 2018-1A,Cl. A, 2.82%, 7/15/222 | 192,131 | 191,854 | |||||||
Series 2018-3A,Cl. A, 3.35%, 8/15/221 | 97,614 | 97,771 | |||||||
1 | OPPENHEIMER TOTAL RETURN BOND FUND/VA |
STATEMENT OF INVESTMENTS Unaudited / Continued | ||||||||||
Principal Amount | Value | Principal Amount | Value | |||||||
Loans: Other0.2% | FHLMC/FNMA/FHLB/Sponsored (Continued) | |||||||||
Ameriquest Mortgage Securities, Inc. Asset- | Federal Home Loan Mortgage Corp. , Real Estate Mtg. Investment Conduit Multiclass | |||||||||
Backed Pass-Through Certificates, Series 2005- | Pass-Through Certificates: (Continued) | |||||||||
R5, Cl. M2, 3.176% [US0001M+69], 7/25/353 $ | 74,033 | $ | 74,305 | Series 4221,Cl. HJ, 1.50%, 7/15/23 | $ | 47,845 $ | 46,972 | |||
Dell Equipment Finance Trust, Series 2017-2, | Federal Home Loan Mortgage Corp. , Real Estate Mtg. Investment Conduit Multiclass | |||||||||
Cl. B, 2.47%, 10/24/221 | 70,000 | 69,698 | Pass-Through Certificates, Interest-Only Stripped Mtg. -Backed Security: | |||||||
Element Rail Leasing I LLC, Series 2014-1A, Cl. | Series 2074,Cl. S, 99.999%, 7/17/284 | 701 | 66 | |||||||
A1, 2.299%, 4/19/441 | 125,521 | 125,137 | Series 2079,Cl. S, 99.999%, 7/17/284 | 1,320 | 150 | |||||
269,140 | Series 2130,Cl. SC, 99.999%, 3/15/294 | 45,175 | 5,984 | |||||||
Total Asset-Backed Securities (Cost $16,505,149) | 16,633,613 | Series 2526,Cl. SE, 72.15%, 6/15/294 | 1,826 | 301 | ||||||
Series 2796,Cl. SD, 99.999%, 7/15/264 | 89,887 | 10,382 | ||||||||
Mortgage-Backed Obligations44.5% | Series 2920,Cl. S, 32.789%, 1/15/354 | 382,805 | 61,509 | |||||||
Government Agency29.4% | Series 2922,Cl. SE, 17.115%, 2/15/354 | 44,424 | 7,314 | |||||||
FHLMC/FNMA/FHLB/Sponsored25.8% | Series 2981,Cl. AS, 0.177%, 5/15/354 | 56,111 | 7,788 | |||||||
Federal Home Loan Mortgage Corp. , Series | Series 3004,Cl. SB, 0.00%, 7/15/354,5 | 16,767 | 1,690 | |||||||
2018-HQA2, Cl. M1, 3.236% [US0001M+75], | Series 3397,Cl. GS, 2.60%, 12/15/374 | 9,131 | 1,596 | |||||||
10/25/481,3 | 380,000 | 379,849 | Series 3424,Cl. EI, 0.00%, 4/15/384,5 | 6,157 | 612 | |||||
Federal Home Loan Mortgage Corp. Gold Pool: | Series 3450,Cl. BI, 9.062%, 5/15/384 | 233,235 | 34,182 | |||||||
5.00%, 12/1/34 | 3,114 | 3,337 | Series 3606,Cl. SN, 10.465%, 12/15/394 | 59,961 | 7,791 | |||||
5.50%, 9/1/39 | 203,998 | 221,885 | Series 4057,Cl. QI, 4.56%, 6/15/274 | 416,785 | 31,446 | |||||
6.00%, 10/1/22-10/1/29 | 250,389 | 272,728 | Series 4146,Cl. AI, 10.738%, 12/15/274 | 182,107 | 14,157 | |||||
6.50%, 7/1/28-4/1/34 | 95,233 | 105,540 | Series 4205,Cl. AI, 7.963%, 5/15/284 | 107,138 | 7,918 | |||||
7.00%, 10/1/31-10/1/37 | 75,977 | 83,780 | Series 4818,Cl. BI, 0.00%, 3/15/454,5 | 163,688 | 27,403 | |||||
9.00%, 8/1/22-5/1/25 | 3,917 | 4,196 | Federal Home Loan Mortgage Corp. , STACR | |||||||
Federal Home Loan Mortgage Corp. Non Gold | Trust, Series 2019-DNA1, Cl. M2, 5.136% | |||||||||
Pool, 10.50%, 10/1/20 | 179 | 179 | [US0001M+265], 1/25/491,3 | 275,000 | 279,885 | |||||
Federal Home Loan Mortgage Corp. , Interest-Only Stripped Mtg. -Backed Security: | Federal National Mortgage Assn.: | |||||||||
Series 205,Cl. IO, 79.13%, 9/1/294 | 3,777 | 760 | 2.50%, 4/1/347 | 1,540,000 | 1,531,107 | |||||
Series 206,Cl. IO, 0.793%, 12/15/294 | 68,472 | 18,983 | 3.00%, 4/1/34-4/1/497 | 1,465,000 | 1,476,481 | |||||
Series 243,Cl. 6, 0.662%, 12/15/324 | 43,340 | 8,142 | 3.50%, 4/1/497 | 8,605,000 | 8,724,999 | |||||
Series 304,Cl. C31, 9.481%, 12/15/274 | 143,107 | 11,617 | 4.00%, 4/1/497 | 10,270,000 | 10,565,262 | |||||
Series 304,Cl. C45, 6.833%, 12/15/274 | 72,313 | 5,831 | 4.50%, 4/1/497 | 3,345,000 | 3,485,774 | |||||
Series 304,Cl. C47, 5.551%, 12/15/274 | 67,182 | 5,666 | 5.00%, 4/1/497 | 2,065,000 | 2,183,697 | |||||
Federal Home Loan Mortgage Corp. , Mtg. - | Federal National Mortgage Assn. Pool: | |||||||||
Linked Amortizing Global Debt Securities, | 5.00%, 3/1/21-7/1/22 | 898 | 920 | |||||||
Series 2012-1, Cl. A10, 2.06%, 1/15/22 | 212,438 | 210,462 | 5.50%, 2/1/35-5/1/36 | 93,261 | 102,654 | |||||
Federal Home Loan Mortgage Corp. , Multifamily Structured Pass-Through Certificates, | 6.50%, 10/1/19-1/1/34 | 5,957 | 6,678 | |||||||
Interest-Only Stripped Mtg. -Backed Security: | 7.00%, 1/1/30-12/1/32 | 13,561 | 15,557 | |||||||
Series KC02,Cl. X1, 0.00%, 3/25/244,5 | 4,570,733 | 79,759 | 7.50%, 1/1/33 | 2,741 | 3,191 | |||||
Series KC03,Cl. X1, 0.00%, 11/25/244,5 | 2,755,000 | 69,961 | 8.50%, 7/1/32 | 3,154 | 3,190 | |||||
Federal Home Loan Mortgage Corp. , Principal- | Federal National Mortgage Assn. , Interest-Only Stripped Mtg. -Backed Security: | |||||||||
Only Stripped Mtg. -Backed Security, Series | Series 221,Cl. 2, 99.999%, 5/25/234 | 1,011 | 111 | |||||||
176, Cl. PO, 4.108%, 6/1/266 | 20,009 | 18,372 | Series 222,Cl. 2, 99.999%, 6/25/234 | 117,307 | 12,379 | |||||
Federal Home Loan Mortgage Corp. , Real Estate Mtg. Investment Conduit Multiclass | Series 252,Cl. 2, 0.00%, 11/25/234,5 | 99,851 | 11,924 | |||||||
Pass-Through Certificates: | Series 294,Cl. 2, 99.999%, 2/25/284 | 16,403 | 3,396 | |||||||
Series 151,Cl. F, 9.00%, 5/15/21 | 474 | 482 | Series 301,Cl. 2, 22.677%, 4/25/294 | 1,313 | 263 | |||||
Series 1674,Cl. Z, 6.75%, 2/15/24 | 5,534 | 5,862 | Series 303,Cl. IO, 63.593%, 11/25/294 | 29,300 | 6,620 | |||||
Series 2034,Cl. Z, 6.50%, 2/15/28 | 1,111 | 1,210 | Series 320,Cl. 2, 71.352%, 4/25/324 | 122,151 | 28,245 | |||||
Series 2042,Cl. N, 6.50%, 3/15/28 | 2,471 | 2,675 | Series 321,Cl. 2, 28.966%, 4/25/324 | 304,206 | 70,290 | |||||
Series 2043,Cl. ZP, 6.50%, 4/15/28 | 142,681 | 158,190 | Series 324,Cl. 2, 16.515%, 7/25/324 | 2,979 | 682 | |||||
Series 2046,Cl. G, 6.50%, 4/15/28 | 4,771 | 5,286 | Series 331,Cl. 5, 0.00%, 2/25/334,5 | 4,227 | 811 | |||||
Series 2053,Cl. Z, 6.50%, 4/15/28 | 1,210 | 1,345 | Series 331,Cl. 9, 20.006%, 2/25/334 | 97,954 | 19,924 | |||||
Series 2066,Cl. Z, 6.50%, 6/15/28 | 141,292 | 155,852 | Series 334,Cl. 12, 0.00%, 3/25/334,5 | 7,017 | 1,489 | |||||
Series 2195,Cl. LH, 6.50%, 10/15/29 | 106,360 | 117,181 | Series 334,Cl. 17, 47.089%, 2/25/334 | 61,681 | 13,074 | |||||
Series 2220,Cl. PD, 8.00%, 3/15/30 | 827 | 957 | Series 339,Cl. 12, 0.00%, 6/25/334,5 | 96,865 | 21,800 | |||||
Series 2326,Cl. ZP, 6.50%, 6/15/31 | 26,618 | 29,096 | Series 339,Cl. 7, 0.00%, 11/25/334,5 | 206,076 | 45,006 | |||||
Series 2461,Cl. PZ, 6.50%, 6/15/32 | 122,430 | 134,907 | Series 343,Cl. 13, 0.00%, 9/25/334,5 | 102,895 | 21,768 | |||||
Series 2470,Cl. LF, 3.484% | Series 343,Cl. 18, 0.00%, 5/25/344,5 | 25,150 | 4,873 | |||||||
[LIBOR01M+100], 2/15/323 | 1,030 | 1,058 | Series 345,Cl. 9, 0.00%, 1/25/344,5 | 75,512 | 15,893 | |||||
Series 2635,Cl. AG, 3.50%, 5/15/32 | 19,473 | 19,716 | Series 351,Cl. 10, 0.00%, 4/25/344,5 | 32,521 | 7,309 | |||||
Series 3010,Cl. WB, 4.50%, 7/15/20 | 1,602 | 1,604 | Series 351,Cl. 8, 0.00%, 4/25/344,5 | 57,004 | 12,796 | |||||
Series 3025,Cl. SJ, 15.643% [-3.667 x | Series 356,Cl. 10, 0.00%, 6/25/354,5 | 39,722 | 8,113 | |||||||
LIBOR01M+2,475], 8/15/353 | 10,792 | 15,677 | Series 356,Cl. 12, 0.00%, 2/25/354,5 | 19,532 | 4,034 | |||||
Series 3030,Cl. FL, 2.884% | Series 362,Cl. 13, 0.00%, 8/25/354,5 | 76,750 | 17,160 | |||||||
[LIBOR01M+40], 9/15/353 | 1,659 | 1,659 | Series 364,Cl. 15, 0.00%, 9/25/354,5 | 4,102 | 873 | |||||
Series 3645,Cl. EH, 3.00%, 12/15/20 | 4,476 | 4,463 | Series 364,Cl. 16, 0.00%, 9/25/354,5 | 85,069 | 17,333 | |||||
Series 3822,Cl. JA, 5.00%, 6/15/40 | 1,556 | 1,584 | Series 365,Cl. 16, 0.00%, 3/25/364,5 | 104,793 | 21,043 | |||||
Series 3848,Cl. WL, 4.00%, 4/15/40 | 11,954 | 12,111 | ||||||||
Series 3857,Cl. GL, 3.00%, 5/15/40 | 2,951 | 3,007 | ||||||||
2 | OPPENHEIMER TOTAL RETURN BOND FUND/VA |
Principal Amount | Value | Principal Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored (Continued) | FHLMC/FNMA/FHLB/Sponsored (Continued) | |||||||||
Federal National Mortgage Assn. , Real Estate Mtg. Investment Conduit Multiclass Pass- | Federal National Mortgage Assn. , Real Estate Mtg. Investment Conduit Multiclass Pass- | |||||||||
Through Certificates: | Through Certificates, Interest-Only Stripped Mtg. -Backed Security: (Continued) | |||||||||
Series 1993-87,Cl. Z, 6.50%, 6/25/23 | $ | 82,048 $ | 86,572 | Series 2002-9,Cl. MS, 33.216%, | ||||||
Series 1998-58,Cl. PC, 6.50%, 10/25/28 | 76,281 | 83,595 | 3/25/324 | $ | 1,437 | $ | 275 | |||
Series 1998-61,Cl. PL, 6.00%, 11/25/28 | 38,447 | 42,041 | Series 2002-90,Cl. SN, 19.64%, | |||||||
Series 1999-54,Cl. LH, 6.50%, 11/25/29 | 64,568 | 70,770 | 8/25/324 | 6,058 | 982 | |||||
Series 2001-51,Cl. OD, 6.50%, 10/25/31 | 3,846 | 4,075 | Series 2002-90,Cl. SY, 25.23%, 9/25/324 | 4,520 | 732 | |||||
Series 2001-74,Cl. QE, 6.00%, 12/25/31 | 90,391 | 100,107 | Series 2003-26,Cl. DI, 80.823%, | |||||||
Series 2003-28,Cl. KG, 5.50%, 4/25/23 | 217,954 | 224,290 | 4/25/334 | 4,304 | 1,093 | |||||
Series 2005-73,Cl. DF, 2.736% | Series 2003-33,Cl. SP, 31.404%, | |||||||||
[LIBOR01M+25], 8/25/353 | 1,840 | 1,838 | 5/25/334 | 94,709 | 18,469 | |||||
Series 2006-11,Cl. PS, 15.453% [-3.667 | Series 2003-4,Cl. S, 25.58%, 2/25/334 | 58,078 | 11,596 | |||||||
x LIBOR01M+2,456.67], 3/25/363 | 59,473 | 87,802 | Series 2004-54,Cl. DS, 99.999%, | |||||||
Series 2006-46,Cl. SW, 15.086% | 11/25/304 | 82,405 | 12,025 | |||||||
[ | -3.667 x LIBOR01M+2,419.92], | Series 2005-12,Cl. SC, 28.492%, | ||||||||
6/25/363 | 40,625 | 58,058 | 3/25/354 | 20,489 | 3,082 | |||||
Series 2006-50,Cl. KS, 15.087% [-3.667 | Series 2005-14,Cl. SE, 34.686%, | |||||||||
x LIBOR01M+2,420], 6/25/363 | 50,603 | 73,153 | 3/25/354 | 66,078 | 8,587 | |||||
Series 2008-75,Cl. DB, 4.50%, 9/25/23 | 1 | 1 | Series 2005-40,Cl. SA, 99.999%, | |||||||
Series 2009-113,Cl. DB, 3.00%, | 5/25/354 | 190,886 | 30,564 | |||||||
12/25/20 | 2,430 | 2,420 | Series 2005-40,Cl. SB, 62.455%, | |||||||
Series 2009-36,Cl. FA, 3.426% | 5/25/354 | 8,795 | 1,107 | |||||||
[LIBOR01M+94], 6/25/373 | 22,801 | 23,372 | Series 2005-52,Cl. JH, 28.692%, | |||||||
Series 2009-70,Cl. TL, 4.00%, 8/25/19 | 15 | 15 | 5/25/354 | 50,068 | 7,522 | |||||
Series 2010-43,Cl. KG, 3.00%, 1/25/21 | 1,787 | 1,785 | Series 2005-93,Cl. SI, 2.844%, | |||||||
Series 2011-3,Cl. EL, 3.00%, 5/25/20 | 1,962 | 1,955 | 10/25/354 | 138,755 | 20,863 | |||||
Series 2011-38,Cl. AH, 2.75%, 5/25/20 | 1 | 1 | Series 2008-55,Cl. SA, 0.00%, | |||||||
Series 2011-82,Cl. AD, 4.00%, 8/25/26 | 7,467 | 7,470 | 7/25/384,5 | 7,523 | 910 | |||||
Federal National Mortgage Assn. , Real Estate Mtg. Investment Conduit Multiclass Pass- | Series 2009-8,Cl. BS, 99.999%, | |||||||||
Through Certificates, Interest-Only Stripped Mtg. -Backed Security: | 2/25/244 | 736 | 39 | |||||||
Series 2001-61,Cl. SH, 24.237%, | Series 2011-96,Cl. SA, 5.212%, | |||||||||
11/18/314 | 3,820 | 646 | 10/25/414 | 47,671 | 7,602 | |||||
Series 2001-63,Cl. SD, 45.212%, | Series 2012-121,Cl. IB, 8.076%, | |||||||||
12/18/314 | 1,228 | 188 | 11/25/274 | 175,552 | 14,247 | |||||
Series 2001-65,Cl. S, 37.651%, | Series 2012-134,Cl. SA, 0.00%, | |||||||||
11/25/314 | 95,833 | 18,111 | 12/25/424,5 | 130,541 | 24,676 | |||||
Series 2001-68,Cl. SC, 49.947%, | Series 2012-40,Cl. PI, 26.501%, | |||||||||
11/25/314 | 902 | 167 | 4/25/414 | 93,162 | 11,581 | |||||
Series 2001-81,Cl. S, 36.382%, 1/25/324 | 27,701 | 4,854 | Series 2015-57,Cl. LI, 5.983%, 8/25/354 | 413,384 | 60,139 | |||||
Series 2002-28,Cl. SA, 40.27%, | Series 2016-45,Cl. MI, 8.547%, | |||||||||
4/25/324 | 886 | 158 | 7/25/464 | 121,188 | 27,196 | |||||
Series 2002-38,Cl. SO, 99.13%, | Series 2017-66,Cl. AS, 0.00%, 9/25/474,5 | 1,025,612 | 150,159 | |||||||
4/25/324 | 2,712 | 461 | Series 2018-16,Cl. NI, 0.156%, | |||||||
Series 2002-39,Cl. SD, 63.714%, | 12/25/444 | 84,367 | 12,838 | |||||||
3/18/324 | 1,793 | 341 | Series 2018-69,Cl. CI, 0.00%, | |||||||
Series 2002-47,Cl. NS, 40.942%, | 10/25/464,5 | 184,099 | 18,660 | |||||||
4/25/324 | 88,136 | 16,256 | Federal National Mortgage Assn. , Real Estate | |||||||
Series 2002-48,Cl. S, 42.399%, 7/25/324 | 1,367 | 263 | Mtg. Investment Conduit Multiclass Pass- | |||||||
Series 2002-51,Cl. S, 39.703%, 8/25/324 | 80,909 | 14,924 | Through Certificates, Principal-Only Stripped | |||||||
Series 2002-52,Cl. SD, 87.202%, | Mtg. -Backed Security, Series 1993-184, Cl. M, | |||||||||
9/25/324 | 126,200 | 24,344 | 5.195%, 9/25/236 | 36,764 | 34,678 | |||||
Series 2002-52,Cl. SL, 40.184%, | 32,649,013 | |||||||||
9/25/324 | 915 | 169 | GNMA/Guaranteed—3.6% | |||||||
Series 2002-53,Cl. SK, 86.627%, | Government National Mortgage Assn. I Pool: | |||||||||
4/25/324 | 6,247 | 1,215 | 7.00%, 12/15/23-3/15/26 | 3,242 | 3,348 | |||||
Series 2002-56,Cl. SN, 38.961%, | Government National Mortgage Assn. II Pool, | |||||||||
7/25/324 | 1,863 | 358 | 3.50%, 4/1/497 | 4,265,000 | 4,359,297 | |||||
Series 2002-60,Cl. SM, 19.408%, | Government National Mortgage Assn. , Interest-Only Stripped Mtg. -Backed Security: | |||||||||
8/25/324 | 11,776 | 1,749 | Series 2002-15,Cl. SM, 99.999%, | |||||||
Series 2002-7,Cl. SK, 25.71%, 1/25/324 | 5,520 | 911 | 2/16/324 | 116,780 | 788 | |||||
Series 2002-77,Cl. BS, 25.10%, | Series 2007-17,Cl. AI, 45.305%, | |||||||||
12/18/324 | 7,985 | 1,381 | 4/16/374 | 51,925 | 7,603 | |||||
Series 2002-77,Cl. IS, 59.292%, | Series 2011-52,Cl. HS, 18.864%, | |||||||||
12/18/324 | 4,620 | 908 | 4/16/414 | 342,210 | 50,089 | |||||
Series 2002-77,Cl. SH, 32.743%, | Series 2017-136,Cl. LI, 6.988%, | |||||||||
12/18/324 | 36,956 | 6,123 | 9/16/474 | 329,638 | 64,074 | |||||
Series 2002-84,Cl. SA, 30.94%, | ||||||||||
12/25/324 | 90,313 | 17,710 | ||||||||
3 | OPPENHEIMER TOTAL RETURN BOND FUND/VA |
STATEMENT OF INVESTMENTS Unaudited / Continued | |||||||||||
Principal Amount | Value | Principal Amount | Value | ||||||||
GNMA/Guaranteed (Continued) | Commercial (Continued) | ||||||||||
Government National Mortgage Assn. , Interest-Only Stripped Mtg. -Backed Security: | FREMF Mortgage Trust: (Continued) | ||||||||||
(Continued) | Series 2012-K711,Cl. C, 3.519%, | ||||||||||
Series 2017-149,Cl. GS, 0.00%, | 8/25/451,9 | $ | 130,000 | $ | 129,840 | ||||||
10/16/474,5 | $ | 390,442 | $ | 59,922 | Series 2013-K25,Cl. C, 3.623%, | ||||||
4,545,121 | 11/25/451,9 | 90,000 | 90,579 | ||||||||
Non-Agency—15.1% | Series 2013-K26,Cl. C, 3.598%, | ||||||||||
Commercial—7.5% | 12/25/451,9 | 60,000 | 60,356 | ||||||||
BANK, Interest-Only Stripped Mtg. -Backed | Series 2013-K27,Cl. C, 3.496%, | ||||||||||
Security, Series 2019-BN16, Cl. XA, 10.805%, | 1/25/461,9 | 95,000 | 95,268 | ||||||||
2/15/524 | 1,584,136 | 117,320 | Series 2013-K28,Cl. C, 3.49%, | ||||||||
BCAP LLC Trust, Series 2011-R11, Cl. 18A5, | 6/25/461,9 | 285,000 | 285,897 | ||||||||
4.69% [H15T1Y+210], 9/26/351,3 | 11,096 | 11,144 | Series 2013-K712,Cl. C, 3.359%, | ||||||||
Benchmark Mortgage Trust, Interest-Only | 5/25/451,9 | 70,000 | 69,941 | ||||||||
Commercial Mtg. Pass-Through Certificates, | Series 2013-K713,Cl. C, 3.155%, | ||||||||||
Series 2018-B1, Cl. XA, 10.646%, 1/15/514 | 1,783,218 | 65,417 | 4/25/461,9 | 245,000 | 244,534 | ||||||
Capital Lease Funding Securitization LP, | Series 2014-K715,Cl. C, 4.122%, | ||||||||||
Interest-Only Commercial Mtg. Pass-Through | 2/25/461,9 | 190,000 | 192,367 | ||||||||
Certificates, Series 1997-CTL1, Cl. IO, 0.00%, | GS Mortgage Securities Trust: | ||||||||||
6/22/241,4,5,8 | 160,402 | 2,901 | Series 2012-GC6,Cl. A3, 3.482%, | ||||||||
CD Mortgage Trust, Interest-Only Commercial | 1/10/45 | 59,774 | 60,660 | ||||||||
Mtg. Pass-Through Certificates, Series 2017- | Series 2013-GC12,Cl. AAB, 2.678%, | ||||||||||
CD6, Cl. XA , 12.622%, 11/13/504 | 746,251 | 42,785 | 6/10/46 | 28,939 | 28,807 | ||||||
Chase Mortgage Finance Trust, Series 2005- | Series 2013-GC16,Cl. AS, 4.649%, | ||||||||||
A2, Cl . 1A3, 4.349%, 1/25/369 | 78,236 | 76,512 | 11/10/46 | 45,000 | 48,042 | ||||||
Citigroup Commercial Mortgage Trust: | Series 2014-GC18,Cl. AAB, 3.648%, | ||||||||||
Series 2012-GC8,Cl. AAB, 2.608%, | 1/10/47 | 82,119 | 83,566 | ||||||||
9/10/45 | 80,158 | 79,902 | GSMSC Pass-Through Trust, Series 2009-3R, Cl. | ||||||||
Series 2014-GC21,Cl. AAB, 3.477%, | 1A2, 6.00%, 4/25/371,9 | 181,963 | 174,302 | ||||||||
5/10/47 | 95,000 | 96,722 | JP Morgan Chase Commercial Mortgage Securities Trust: | ||||||||
Citigroup Commercial Mortgage Trust, Interest-Only Commercial Mtg. Pass-Through | Series 2012-LC9,Cl. A4, 2.611%, | ||||||||||
Certificates: | 12/15/47 | 9,547 | 9,538 | ||||||||
Series 2013-GC17,Cl. XA, 0.00%, | Series 2013-C10,Cl. AS, 3.372%, | ||||||||||
11/10/464,5 | 394,368 | 16,105 | 12/15/47 | 315,000 | 318,129 | ||||||
Series 2017-C4,Cl. XA, 11.938%, | Series 2013-C16,Cl. AS, 4.517%, | ||||||||||
10/12/504 | 2,063,715 | 141,677 | 12/15/46 | 300,000 | 317,454 | ||||||
COMM Mortgage Trust: | Series 2013-LC11,Cl. AS, 3.216%, | ||||||||||
Series 2013-CR6,Cl. AM, 3.147%, | 4/15/46 | 40,000 | 40,126 | ||||||||
3/10/461 | 245,000 | 245,636 | Series 2014-C20,Cl. AS, 4.043%, | ||||||||
Series 2014-CR17,Cl. ASB, 3.598%, | 7/15/47 | 220,000 | 228,423 | ||||||||
5/10/47 | 265,000 | 270,451 | Series 2016-JP3,Cl. A2, 2.435%, | ||||||||
Series 2014-CR20,Cl. ASB, 3.305%, | 8/15/49 | 194,305 | 192,550 | ||||||||
11/10/47 | 65,000 | 66,028 | JP Morgan Mortgage Trust, Series 2007-A1, Cl. | ||||||||
Series 2014-CR21,Cl. AM, 3.987%, | 5A1, 4.687%, 7/25/359 | 52,359 | 53,966 | ||||||||
12/10/47 | 715,000 | 736,139 | JP Morgan Resecuritization Trust, Series 2009- | ||||||||
Series 2014-LC15,Cl. AM, 4.198%, | 5, Cl . 1A2, 4.542%, 7/26/361,9 | 160,011 | 160,208 | ||||||||
4/10/47 | 170,000 | 177,091 | JPMBB Commercial Mortgage Securities Trust: | ||||||||
Series 2014-UBS6,Cl. AM, 4.048%, | Series 2014-C18,Cl. A3, 3.578%, | ||||||||||
12/10/47 | 475,000 | 485,523 | 2/15/47 | 60,295 | 60,864 | ||||||
Series 2015-CR22,Cl. A2, 2.856%, | Series 2014-C19,Cl. ASB, 3.584%, | ||||||||||
3/10/48 | 119,370 | 119,279 | 4/15/47 | 38,017 | 38,724 | ||||||
COMM Mortgage Trust, Interest-Only Stripped | Series 2014-C24,Cl. B, 4.116%, | ||||||||||
Mtg. -Backed Security, Series 2012-CR5, Cl. XA, | 11/15/479 | 245,000 | 250,818 | ||||||||
21.513%, 12/10/454 | 2,015,444 | 95,205 | Series 2014-C25,Cl. AS, 4.065%, | ||||||||
CSMC Mortgage-Backed Trust, Series 2006-6, | 11/15/47 | 200,000 | 207,466 | ||||||||
Cl. 1A4, 6.00%, 7/25/36 | 142,137 | 116,436 | JPMBB Commercial Mortgage Securities Trust. , | ||||||||
Federal Home Loan Mortgage Corp. , | Interest-Only Stripped Mtg. -Backed Security, | ||||||||||
Series 2019-HQA1, Cl. M2, 4.836% | Series 2015-C27, Cl. XA, 24.311%, 2/15/484 | 2,838,789 | 132,250 | ||||||||
[US0001M+235], 2/25/491,3 | 70,000 | 70,565 | LB Commercial Conduit Mortgage Trust, | ||||||||
First Horizon Alternative Mortgage Securities | Interest-Only Stripped Mtg. -Backed Security, | ||||||||||
Trust, Series 2005-FA8, Cl. 1A6, 3.136% | Series 1998-C1, Cl. IO, 0.00%, 2/18/304,5 | 64,511 | 4 | ||||||||
[US0001M+65], 11/25/353 | 111,182 | 79,714 | Lehman Structured Securities Corp. , Series | ||||||||
FREMF Mortgage Trust: | 2002-GE1, Cl. A, 0.00%, 7/26/241,8,9 | 25,313 | 17,597 | ||||||||
Series 2010-K6,Cl. B, 5.375%, | Morgan Stanley Bank of America Merrill Lynch Trust: | ||||||||||
12/25/461,9 | 55,000 | 55,889 | Series 2013-C7,Cl. AAB, 2.469%, | ||||||||
Series 2012-K710,Cl. B, 3.933%, | 2/15/46 | 78,055 | 77,646 | ||||||||
6/25/471,9 | 40,000 | 39,931 | Series 2013-C9,Cl. AS, 3.456%, 5/15/46 | 225,000 | 228,248 | ||||||
Series 2012-K711,Cl. B, 3.519%, | Series 2014-C19,Cl. AS, 3.832%, | ||||||||||
8/25/451,9 | 15,000 | 14,990 | 12/15/47 | 595,000 | 610,215 | ||||||
4 | OPPENHEIMER TOTAL RETURN BOND FUND/VA |
Principal Amount | Value | Principal Amount | Value | |||||||
Commercial (Continued) | Residential (Continued) | |||||||||
Morgan Stanley Capital I Trust: | Connecticut Avenue Securities: (Continued) | |||||||||
Series 2011-C1,Cl. A4, 5.033%, | Series 2017-C03,Cl. 1M1, 3.436% | |||||||||
9/15/471,9 | $ | 58,650 | $ | 60,137 | [US0001M+95], 10/25/293 | $ | 274,462 | $ | 275,041 | |
Series 2011-C2,Cl. A4, 4.661%, | Series 2017-C07,Cl. 1M2, 4.886% | |||||||||
6/15/441 | 75,000 | 77,272 | [US0001M+240], 5/25/303 | 210,000 | 214,684 | |||||
Morgan Stanley Capital I, Inc. , Interest-Only | Series 2018-C01,Cl. 1M1, 3.086% | |||||||||
Commercial Mtg. Pass-Through Certificates, | [US0001M+60], 7/25/303 | 409,124 | 408,345 | |||||||
Series 2017-HR2, Cl. XA, 10.363%, 12/15/504 | 680,462 | 37,842 | Series 2018-C02,Cl. 2M2, 4.686% | |||||||
Morgan Stanley Re-Remic Trust, Series 2012- | [US0001M+220], 8/25/303 | 250,000 | 249,590 | |||||||
R3, Cl . 1B, 3.644%, 11/26/361,9 | 439,881 | 409,567 | Series 2018-C03,Cl. 1M1, 3.166% | |||||||
Morgan Stanley Resecuritization Trust, Series | [US0001M+68], 10/25/303 | 267,649 | 267,629 | |||||||
2013-R9, Cl. 3A, 3.912%, 6/26/461,9 | 46,345 | 46,434 | Series 2018-C03,Cl. 1M2, 4.636% | |||||||
RBSSP Resecuritization Trust, Series 2010-1, Cl. | [US0001M+215], 10/25/303 | 285,000 | 284,989 | |||||||
2A1, 4.433%, 7/26/451,9 | 10,377 | 10,663 | Series 2018-C04,Cl. 2M2, 5.036% | |||||||
UBS Commercial Mortgage Trust, Interest-Only | [US0001M+255], 12/25/303 | 275,000 | 277,130 | |||||||
Commercial Mtg. Pass-Through Certificates, | Series 2018-C05,Cl. 1M1, 3.206% | |||||||||
Series 2017-C5, Cl. XA, 12.272%, 11/15/504 | 1,248,837 | 76,930 | [US0001M+72], 1/25/313 | 98,353 | 98,364 | |||||
Wells Fargo Commercial Mortgage Trust, Series | Series 2018-C05,Cl. 1M2, 4.836% | |||||||||
2015-NXS1, Cl. ASB, 2.934%, 5/15/48 | 305,000 | 305,549 | [US0001M+235], 1/25/313 | 120,000 | 120,670 | |||||
Wells Fargo Commercial Mortgage Trust, | Series 2018-C06,Cl. 2M1, 3.036% | |||||||||
Interest-Only Commercial Mtg. Pass-Through | [US0001M+55], 3/25/313 | 39,695 | 39,648 | |||||||
Certificates, Series 2017-C42, Cl. XA, | Series 2018-C06,Cl. 2M2, 4.586% | |||||||||
10.338%, 12/15/504 | 895,368 | 56,822 | [US0001M+210], 3/25/313 | 325,000 | 321,303 | |||||
Wells Fargo Mortgage Backed Securities Trust, | Connecticut Avenue Securities Trust: | |||||||||
Series 2019-1, Cl. A7, 4.00%, 11/25/481,9 | 155,392 | 158,193 | Series 2019-R01,Cl. 2M2, 4.936% | |||||||
WF-RBS Commercial Mortgage Trust: | [US0001M+245], 7/25/311,3 | 305,000 | 305,893 | |||||||
Series 2013-C14,Cl. AS, 3.488%, | Series 2019-R02,Cl. 1M1, 3.336% | |||||||||
6/15/46 | 150,000 | 151,527 | [US0001M+85], 8/25/311,3 | 305,000 | 305,791 | |||||
Series 2014-C20,Cl. AS, 4.176%, | GSR Mortgage Loan Trust, Series 2005-AR4, | |||||||||
5/15/47 | 130,000 | 134,888 | Cl. 6A1, 4.329%, 7/25/359 | 44,919 | 45,377 | |||||
Series 2014-C22,Cl. A3, 3.528%, | HomeBanc Mortgage Trust, Series 2005-3, Cl. | |||||||||
9/15/57 | 45,000 | 45,711 | A2, 2.796% [US0001M+31], 7/25/353 | 18,540 | 18,466 | |||||
Series 2014-LC14,Cl. AS, 4.351%, | MASTR Asset Backed Securities Trust, Series | |||||||||
3/15/479 | 145,000 | 152,219 | 2006-WMC3, Cl. A3, 2.586% [US0001M+10], | |||||||
9,455,501 | 8/25/363 | 44,867 | 21,693 | |||||||
Residential—7.6% | RALI Trust: | |||||||||
Banc of America Funding Trust: | Series 2006-QS13,Cl. 1A8, 6.00%, | |||||||||
Series 2007-1,Cl. 1A3, 6.00%, 1/25/37 | 75,681 | 70,476 | 9/25/36 | 598 | 531 | |||||
Series 2007-C,Cl. 1A4, 4.622%, | Series 2007-QS6,Cl. A28, 5.75%, | |||||||||
5/20/369 | 27,965 | 27,760 | 4/25/37 | 7,392 | 6,825 | |||||
Series 2014-R7,Cl. 3A1, 4.954%, | STACR Trust: | |||||||||
3/26/361,9 | 39,886 | 39,991 | Series 2018-DNA2,Cl. M1, 3.286% | |||||||
Banc of America Mortgage Trust, Series 2007- | [US0001M+80], 12/25/301,3 | 380,000 | 380,052 | |||||||
1, Cl . 1A24, 6.00%, 3/25/37 | 47,392 | 44,060 | Series 2018-DNA3,Cl. M1, 3.236% | |||||||
Bear Stearns ARM Trust: | [US0001M+75], 9/25/481,3 | 70,000 | 69,957 | |||||||
Series 2005-9,Cl. A1, 4.73% | Series 2018-DNA3,Cl. M2, 4.586% | |||||||||
[H15T1Y+230], 10/25/353 | 84,088 | 85,346 | [US0001M+210], 9/25/481,3 | 300,000 | 296,459 | |||||
Series 2006-1,Cl. A1, 4.91% | Series 2018-HRP2,Cl. M2, 3.736% | |||||||||
[H15T1Y+225], 2/25/363 | 104,580 | 105,750 | [US0001M+125], 2/25/471,3 | 215,000 | 216,003 | |||||
CHL Mortgage Pass-Through Trust: | Structured Agency Credit Risk Debt Nts.: | |||||||||
Series 2005-17,Cl. 1A8, 5.50%, 9/25/35 | 10,437 | 10,347 | Series 2013-DN2,Cl. M2, 6.736% | |||||||
Series 2005-26,Cl. 1A8, 5.50%, | [US0001M+425], 11/25/233 | 251,665 | 275,058 | |||||||
11/25/35 | 65,495 | 59,119 | Series 2014-DN1,Cl. M2, 4.686% | |||||||
Series 2005-J4,Cl. A7, 5.50%, 11/25/35 | 8,553 | 8,539 | [US0001M+220], 2/25/243 | 32,389 | 32,953 | |||||
Citigroup Mortgage Loan Trust, Inc. , Series | Series 2014-DN1,Cl. M3, 6.986% | |||||||||
2006-AR1, Cl. 1A1, 4.97% [H15T1Y+240], | [US0001M+450], 2/25/243 | 210,000 | 234,223 | |||||||
10/25/353 | 265,517 | 269,487 | Series 2014-DN2,Cl. M3, 6.086% | |||||||
Connecticut Avenue Securities: | [US0001M+360], 4/25/243 | 225,000 | 243,168 | |||||||
Series 2014-C02,Cl. 1M2, 5.086% | Series 2014-HQ2,Cl. M3, 6.236% | |||||||||
[US0001M+260], 5/25/243 | 170,000 | 178,368 | [US0001M+375], 9/25/243 | 335,000 | 371,001 | |||||
Series 2014-C03,Cl. 1M2, 5.486% | Series 2015-HQA2,Cl. M2, 5.286% | |||||||||
[US0001M+300], 7/25/243 | 285,419 | 303,241 | [US0001M+280], 5/25/283 | 36,052 | 36,779 | |||||
Series 2014-C03,Cl. 2M2, 5.386% | Series 2016-DNA1,Cl. M2, 5.39% | |||||||||
[US0001M+290], 7/25/243 | 52,946 | 55,479 | [US0001M+290], 7/25/283 | 64,742 | 65,886 | |||||
Series 2016-C02,Cl. 1M2, 8.486% | Series 2016-DNA4,Cl. M3, 6.286% | |||||||||
[US0001M+600], 9/25/283 | 133,927 | 152,723 | [US0001M+380], 3/25/293 | 325,000 | 357,591 | |||||
Series 2016-C03,Cl. 1M1, 4.486% | Series 2016-HQA3,Cl. M3, 6.336% | |||||||||
[US0001M+200], 10/25/283 | 48,419 | 48,799 | [US0001M+385], 3/25/293 | 110,000 | 121,517 | |||||
5 | OPPENHEIMER TOTAL RETURN BOND FUND/VA |
STATEMENT OF INVESTMENTS Unaudited / Continued | ||||||||||
Principal Amount | Value | Principal Amount | Value | |||||||
Residential (Continued) | Entertainment (Continued) | |||||||||
Structured Agency Credit Risk Debt Nts. : (Continued) | Viacom, Inc. , 4.375% Sr. Unsec. Nts., | |||||||||
Series 2016-HQA4,Cl. M3, 6.386% | 3/15/43 | $ | 100,000 $ | 89,915 | ||||||
[US0001M+390], 4/25/293 | $ | 320,000 | $ | 353,724 | Walt Disney Co. (The), 4.75% Sr. Unsec. | |||||
Series 2017-HQA1,Cl. M1, 3.686% | Nts. , 11/15/461 | 86,000 | 100,232 | |||||||
[US0001M+120], 8/25/293 | 415,694 | 416,866 | 445,258 | |||||||
Series 2018-DNA1,Cl. M1, 2.936% | Hotels, Restaurants & Leisure—0.6% | |||||||||
[US0001M+45], 7/25/303 | 400,058 | 398,386 | Aramark Services, Inc. , 5.00% Sr. Unsec. | |||||||
Series 2018-DNA1,Cl. M2, 4.286% | Nts. , 4/1/251 | 303,000 | 311,029 | |||||||
[US0001M+180], 7/25/303 | 420,000 | 410,650 | Marriott International, Inc. , 3.245% | |||||||
WaMu Mortgage Pass-Through Certificates Trust: | [US0003M+65] Sr. Unsec. Nts. , 3/8/213 | 208,000 | 208,580 | |||||||
Series 2003-AR10,Cl. A7, 4.481%, | Royal Caribbean Cruises Ltd. , 2.65% Sr. | |||||||||
10/25/339 | 59,325 | 60,386 | Unsec. Nts. , 11/28/20 | 287,000 | 286,806 | |||||
Series 2005-AR14,Cl. 1A4, 4.193%, | 806,415 | |||||||||
12/25/359 | 117,820 | 116,895 | ||||||||
Series 2005-AR16,Cl. 1A1, 4.256%, | Household Durables—1.2% | |||||||||
12/25/359 | 54,295 | 54,245 | DR Horton, Inc. , 2.55% Sr. Unsec. Nts., | |||||||
Wells Fargo Mortgage-Backed Securities Trust: | 12/1/20 | 320,000 | 318,065 | |||||||
Series 2005-AR15,Cl. 1A2, 4.667%, | Lennar Corp. , 4.75% Sr. Unsec. Nts., | |||||||||
9/25/359 | 54,265 | 53,170 | 5/30/25 | 314,000 | 322,243 | |||||
Series 2005-AR15,Cl. 1A6, 4.667%, | Newell Brands, Inc. : | |||||||||
9/25/359 | 21,039 | 20,436 | 5.00% Sr. Unsec. Nts. , 11/15/23 | 171,000 | 171,630 | |||||
Series 2005-AR4,Cl. 2A2, 5.086%, | 5.50% Sr. Unsec. Nts. , 4/1/46 | 108,000 | 97,716 | |||||||
4/25/359 | 111,101 | 112,488 | PulteGroup, Inc. , 5.00% Sr. Unsec. Nts., | |||||||
Series 2006-AR10,Cl. 1A1, 4.704%, | 1/15/27 | 241,000 | 241,301 | |||||||
7/25/369 | 39,383 | 39,658 | Toll Brothers Finance Corp.: | |||||||
Series 2006-AR10,Cl. 5A5, 4.542%, | 4.375% Sr. Unsec. Nts. , 4/15/23 | 257,000 | 258,606 | |||||||
7/25/369 | 102,593 | 103,106 | 4.875% Sr. Unsec. Nts. , 3/15/27 | 75,000 | 74,039 | |||||
Series 2006-AR2,Cl. 2A3, 4.954%, | 1,483,600 | |||||||||
3/25/369 | 43,141 | 43,917 | Internet & Catalog Retail—0.5% | |||||||
Series 2006-AR7,Cl. 2A4, 4.42%, | Amazon. com, Inc. , 4.95% Sr. Unsec. | |||||||||
5/25/369 | 10,272 | 10,567 | Nts. , 12/5/44 | 113,000 | 135,463 | |||||
Series 2007-16,Cl. 1A1, 6.00%, | QVC, Inc. , 4.45% Sr. Sec. Nts. , 2/15/25 | 520,000 | 519,933 | |||||||
12/28/37 | 33,188 | 33,012 | 655,396 | |||||||
9,649,607 | ||||||||||
Total Mortgage-Backed Obligations (Cost $57,058,033) | 56,299,242 | Media—1.6% | ||||||||
CBS Corp. , 4.20% Sr. Unsec. Nts. , 6/1/29 | 160,000 | 161,417 | ||||||||
Charter Communications Operating LLC/ | ||||||||||
U. S. Government Obligation—0.1% | Charter Communications Operating | |||||||||
United States Treasury Nts. , 1.50%, 5/31/1910 | Capital, 5.375% Sr. Sec. Nts. , 5/1/47 | 65,000 | 64,860 | |||||||
(Cost $193,043) | 193,000 | 192,695 | Comcast Corp.: | |||||||
3.95% Sr. Unsec. Nts. , 10/15/25 | 207,000 | 216,771 | ||||||||
Corporate Bonds and Notes—47.6% | 4.00% Sr. Unsec. Nts. , 3/1/48 | 105,000 | 103,281 | |||||||
Consumer Discretionary—8.0% | Interpublic Group of Cos. , Inc. (The): | |||||||||
Automobiles—1.9% | 3.75% Sr. Unsec. Nts. , 10/1/21 | 251,000 | 255,528 | |||||||
Daimler Finance North America LLC, | 4.20% Sr. Unsec. Nts. , 4/15/24 | 311,000 | 320,242 | |||||||
3.75% Sr. Unsec. Nts. , 11/5/211 | 269,000 | 273,846 | Sky Ltd. , 3.75% Sr. Unsec. Nts. , 9/16/241 | 152,000 | 157,604 | |||||
General Motors Co. , 6.25% Sr. Unsec. | Time Warner Cable LLC, 4.50% Sr. | |||||||||
Nts. , 10/2/43 | 78,000 | 78,171 | Unsec. Unsub. Nts. , 9/15/42 | 106,000 | 93,182 | |||||
General Motors Financial Co. , Inc.: | Virgin Media Secured Finance plc, | |||||||||
4.15% Sr. Unsec. Nts. , 6/19/23 | 310,000 | 313,223 | 5.25% Sr. Sec. Nts. , 1/15/261 | 319,000 | 322,190 | |||||
4.20% Sr. Unsec. Nts. , 11/6/21 | 250,000 | 254,884 | WPP Finance 2010, 3.75% Sr. Unsec. | |||||||
Harley-Davidson Financial Services, Inc. , | Nts. , 9/19/24 | 321,000 | 316,943 | |||||||
2.40% Sr. Unsec. Nts. , 6/15/201 | 323,000 | 319,388 | 2,012,018 | |||||||
Hyundai Capital America: | ||||||||||
1.75% Sr. Unsec. Nts. , 9/27/191 | 243,000 | 241,799 | Specialty Retail—1.1% | |||||||
4.125% Sr. Unsec. Nts. , 6/8/231 | 315,000 | 321,229 | AutoNation, Inc. , 5.50% Sr. Unsec. Nts., | |||||||
Nissan Motor Acceptance Corp. , 3.65% | 2/1/20 | 291,000 | 296,840 | |||||||
Sr. Unsec. Nts. , 9/21/211 | 310,000 | 311,815 | AutoZone, Inc. , 1.625% Sr. Unsec. Nts., | |||||||
Volkswagen Group of America Finance | 4/21/19 | 64,000 | 63,940 | |||||||
LLC, 4.00% Sr. Unsec. Nts. , 11/12/211 | 298,000 | 304,210 | L Brands, Inc. , 5.625% Sr. Unsec. Nts., | |||||||
2,418,565 | 2/15/22 | 297,000 | 309,623 | |||||||
Penske Truck Leasing Co. LP/PTL Finance | ||||||||||
Diversified Consumer Services—0.3% | Corp. , 3.65% Sr. Unsec. Nts. , 7/29/211 | 110,000 | 111,547 | |||||||
Service Corp. International, 4.625% Sr. | Ross Stores, Inc. , 3.375% Sr. Unsec. Nts., | |||||||||
Unsec. Nts. , 12/15/27 | 325,000 | 324,187 | 9/15/24 | 324,000 | 330,108 | |||||
Entertainment—0.3% | Signet UK Finance plc, 4.70% Sr. Unsec. | |||||||||
Fox Corp. , 3.666% Sr. Unsec. Nts., | Nts. , 6/15/24 | 342,000 | 292,410 | |||||||
1/25/221 | 250,000 | 255,111 | 1,404,468 | |||||||
6 | OPPENHEIMER TOTAL RETURN BOND FUND/VA |
Principal Amount | Value | Principal Amount | Value | ||||||
Textiles, Apparel & Luxury Goods—0.5% | Oil, Gas & Consumable Fuels—3.3% | ||||||||
Hanesbrands, Inc. , 4.875% Sr. Unsec. | Anadarko Petroleum Corp. , 4.50% Sr. | ||||||||
Nts. , 5/15/261 | $ | 316,000 | $ | 313,346 | Unsec. Nts. , 7/15/44 | $ | 64,000 | $ | 60,518 |
Levi Strauss & Co. , 5.00% Sr. Unsec. | Andeavor Logistics LP/Tesoro Logistics | ||||||||
Nts. , 5/1/25 | 307,000 | 317,745 | Finance Corp. , 4.25% Sr. Unsec. Nts., | ||||||
631,091 | 12/1/27 | 195,000 | 196,795 | ||||||
Consumer Staples—4.8% | Apache Corp. , 4.375% Sr. Unsec. Nts., | ||||||||
Beverages—1.1% | 10/15/28 | 237,000 | 239,206 | ||||||
Cimarex Energy Co. , 4.375% Sr. Unsec. | |||||||||
Anheuser-Busch InBev Worldwide, Inc. , | Nts. , 3/15/29 | 160,000 | 165,095 | ||||||
8.20% Sr. Unsec. Unsub. Nts. , 1/15/39 | 186,000 | 259,282 | |||||||
Bacardi Ltd. , 4.70% Sr. Unsec. Nts., | Columbia Pipeline Group, Inc. , 3.30% Sr. | ||||||||
5/15/281 | 163,000 | 163,389 | Unsec. Nts. , 6/1/20 | 302,000 | 303,344 | ||||
Devon Energy Corp. , 4.75% Sr. Unsec. | |||||||||
Keurig Dr Pepper, Inc. , 4.057% Sr. Unsec. | Nts. , 5/15/42 | 64,000 | 64,735 | ||||||
Nts. , 5/25/231 | 304,000 | 312,995 | |||||||
Molson Coors Brewing Co. , 2.10% Sr. | Energy Transfer Operating LP: | ||||||||
Unsec. Nts. , 7/15/21 | 311,000 | 305,204 | 4.25% Sr. Unsec. Nts. , 3/15/23 | 245,000 | 251,851 | ||||
Pernod Ricard SA, 4.25% Sr. Unsec. Nts., | 5.30% Sr. Unsec. Nts. , 4/15/47 | 94,000 | 92,797 | ||||||
7/15/221 | 307,000 | 318,858 | Enterprise Products Operating LLC: | ||||||
1,359,728 | 4.85% Sr. Unsec. Nts. , 8/15/42 | 79,000 | 83,163 | ||||||
4.90% Sr. Unsec. Nts. , 5/15/46 | 27,000 | 29,051 | |||||||
Food & Staples Retailing—0.0% | EQT Corp. , 2.50% Sr. Unsec. Nts., | ||||||||
Kroger Co. (The), 4.45% Sr. Unsec. Nts., | 10/1/20 | 340,000 | 335,653 | ||||||
2/1/47 | 89,000 | 81,121 | Kinder Morgan Energy Partners LP, | ||||||
Food Products—2.7% | 5.80% Sr. Unsec. Nts. , 3/1/21 | 124,000 | 130,565 | ||||||
Bunge Ltd. Finance Corp.: | Kinder Morgan, Inc. , 5.20% Sr. Unsec. | ||||||||
3.25% Sr. Unsec. Nts. , 8/15/26 | 216,000 | 194,284 | Nts. , 3/1/48 | 221,000 | 233,435 | ||||
3.50% Sr. Unsec. Nts. , 11/24/20 | 313,000 | 314,672 | Marathon Petroleum Corp. , 3.80% Sr. | ||||||
Campbell Soup Co. , 3.30% Sr. Unsec. | Unsec. Nts. , 4/1/282 | 138,000 | 136,890 | ||||||
Nts. , 3/15/21 | 311,000 | 313,108 | Midwest Connector Capital Co. LLC, | ||||||
Conagra Brands, Inc.: | 3.625% Sr. Unsec. Nts. , 4/1/221 | 316,000 | 320,777 | ||||||
3.80% Sr. Unsec. Nts. , 10/22/21 | 240,000 | 244,565 | ONEOK, Inc. , 4.35% Sr. Unsec. Nts., | ||||||
4.60% Sr. Unsec. Nts. , 11/1/25 | 302,000 | 318,060 | 3/15/29 | 161,000 | 164,199 | ||||
Kraft Heinz Foods Co.: | Pioneer Natural Resources Co. , 3.45% | ||||||||
2.80% Sr. Unsec. Nts. , 7/2/20 | 316,000 | 315,588 | Sr. Unsec. Nts. , 1/15/21 | 318,000 | 321,454 | ||||
4.375% Sr. Unsec. Nts. , 6/1/46 | 207,000 | 180,173 | Sabine Pass Liquefaction LLC: | ||||||
Lamb Weston Holdings, Inc. , 4.875% Sr. | 4.20% Sr. Sec. Nts. , 3/15/28 | 166,000 | 167,652 | ||||||
Unsec. Nts. , 11/1/261 | 308,000 | 313,775 | 5.625% Sr. Sec. Nts. , 2/1/21 | 237,000 | 246,327 | ||||
Mondelez International Holdings | Sunoco Logistics Partners Operations LP, | ||||||||
Netherlands BV, 2.00% Sr. Unsec. Nts., | 4.00% Sr. Unsec. Nts. , 10/1/27 | 194,000 | 192,746 | ||||||
10/28/211 | 319,000 | 311,141 | Valero Energy Corp. , 4.00% Sr. Unsec. | ||||||
Smithfield Foods, Inc.: | Nts. , 4/1/29 | 153,000 | 154,580 | ||||||
2.70% Sr. Unsec. Nts. , 1/31/201 | 137,000 | 136,068 | Williams Cos. , Inc. (The), 3.70% Sr. | ||||||
3.35% Sr. Unsec. Nts. , 2/1/221 | 174,000 | 170,379 | Unsec. Unsub. Nts. , 1/15/23 | 318,000 | 324,037 | ||||
5.20% Sr. Unsec. Nts. , 4/1/291 | 255,000 | 256,731 | 4,214,870 | ||||||
Tyson Foods, Inc.: | Financials—13.2% | ||||||||
3.90% Sr. Unsec. Nts. , 9/28/23 | 255,000 | 262,968 | Capital Markets—2.6% | ||||||
5.10% Sr. Unsec. Nts. , 9/28/48 | 89,000 | 90,891 | Blackstone Holdings Finance Co. LLC, | ||||||
3,422,403 | 3.15% Sr. Unsec. Nts. , 10/2/271 | 121,000 | 117,741 | ||||||
Tobacco—1.0% | Brookfield Asset Management, Inc. , | ||||||||
4.00% Sr. Unsec. Nts. , 1/15/25 | 252,000 | 254,747 | |||||||
Altria Group, Inc. , 3.49% Sr. Unsec. Nts., | Credit Suisse AG (New York), 3.625% Sr. | ||||||||
2/14/22 | 209,000 | 212,460 | Unsec. Nts. , 9/9/24 | 189,000 | 192,583 | ||||
BAT Capital Corp.: | Credit Suisse Group Funding Guernsey | ||||||||
2.297% Sr. Unsec. Nts. , 8/14/20 | 330,000 | 326,831 | Ltd. , 4.55% Sr. Unsec. Nts. , 4/17/26 | 147,000 | 153,792 | ||||
3.557% Sr. Unsec. Nts. , 8/15/27 | 169,000 | 160,315 | E*TRADE Financial Corp. , 5.875% | ||||||
Imperial Brands Finance plc, 3.75% Sr. | [US0003M+443.5] Jr. Sub. Perpetual | ||||||||
Unsec. Nts. , 7/21/221 | 308,000 | 312,330 | Bonds3,11 | 308,000 | 312,235 | ||||
Imperial Tobacco Finance plc, 2.95% Sr. | Goldman Sachs Group, Inc. (The): | ||||||||
Unsec. Nts. , 7/21/201 | 233,000 | 232,358 | 3.50% Sr. Unsec. Nts. , 11/16/26 | 172,000 | 170,006 | ||||
1,244,294 | 3.75% Sr. Unsec. Nts. , 2/25/26 | 170,000 | 170,911 | ||||||
Energy—3.5% | 4.017% [US0003M+137.3] Sr. Unsec. | ||||||||
Energy Equipment & Services—0.2% | Nts. , 10/31/383 | 136,000 | 130,646 | ||||||
Halliburton Co. , 5.00% Sr. Unsec. Nts., | Morgan Stanley: | ||||||||
11/15/45 | 70,000 | 74,700 | 4.431% [US0003M+162.8] Sr. Unsec. | ||||||
Schlumberger Holdings Corp. , 4.00% Sr. | Nts. , 1/23/303 | 238,000 | 251,418 | ||||||
Unsec. Nts. , 12/21/251 | 184,000 | 189,995 | 5.00% Sub. Nts. , 11/24/25 | 264,000 | 283,412 | ||||
264,695 | MSCI, Inc. , 4.75% Sr. Unsec. Nts., | ||||||||
8/1/261 | 311,000 | 320,330 | |||||||
Northern Trust Corp. , 3.375% | |||||||||
[US0003M+113.1] Sub. Nts. , 5/8/323 | 119,000 | 116,778 | |||||||
7 | OPPENHEIMER TOTAL RETURN BOND FUND/VA |
STATEMENT OF INVESTMENTS Unaudited / Continued | |||||||||
Principal Amount | Value | Principal Amount | Value | ||||||
Capital Markets (Continued) | Commercial Banks (Continued) | ||||||||
Plains All American Pipeline LP/PAA | Nordea Bank Abp, 4.625% | ||||||||
Finance Corp. , 4.50% Sr. Unsec. Nts., | [USSW5+169] Sub. Nts. , 9/13/331,3 | $ | 112,000 | $ | 113,266 | ||||
12/15/26 | $ | 195,000 | $ | 200,116 | PNC Financial Services Group, Inc. (The), | ||||
Raymond James Financial, Inc. , 3.625% | 3.15% Sr. Unsec. Nts. , 5/19/27 | 235,000 | 235,806 | ||||||
Sr. Unsec. Nts. , 9/15/26 | 157,000 | 155,656 | Regions Financial Corp. , 2.75% Sr. | ||||||
TD Ameritrade Holding Corp. , 3.30% Sr. | Unsec. Nts. , 8/14/22 | 177,000 | 175,783 | ||||||
Unsec. Nts. , 4/1/27 | 191,000 | 192,092 | Royal Bank of Canada, 3.70% Sr. Unsec. | ||||||
UBS Group Funding Switzerland AG: | Nts. , 10/5/23 | 272,000 | 281,314 | ||||||
4.125% Sr. Unsec. Nts. , 4/15/261 | 153,000 | 158,480 | Societe Generale SA, 3.875% Sr. Unsec. | ||||||
4.253% Sr. Unsec. Nts. , 3/23/281 | 135,000 | 140,628 | Nts. , 3/28/241 | 248,000 | 249,055 | ||||
3,321,571 | SunTrust Bank (Atlanta GA): | ||||||||
Commercial Banks—6.7% | 3.30% Sub. Nts. , 5/15/26 | 112,000 | 111,197 | ||||||
ABN AMRO Bank NV, 4.40% | 4.05% Sr. Unsec. Nts. , 11/3/25 | 135,000 | 142,451 | ||||||
[USSW5+219.7] Sub. Nts. , 3/27/283,12 | 321,000 | 324,097 | Synovus Financial Corp. , 3.125% Sr. | ||||||
Bank of America Corp.: | Unsec. Nts. , 11/1/22 | 180,000 | 178,065 | ||||||
3.248% Sr. Unsec. Nts. , 10/21/27 | 262,000 | 256,992 | US Bancorp, 3.10% Sub. Nts. , 4/27/26 | 204,000 | 203,973 | ||||
3.824% [US0003M+157.5] Sr. Unsec. | Wells Fargo & Co.: | ||||||||
Nts. , 1/20/283 | 185,000 | 187,875 | 3.584% [US0003M+131] Sr. Unsec. | ||||||
4.271% [US0003M+131] Sr. Unsec. | Nts. , 5/22/283 | 257,000 | 258,532 | ||||||
Nts. , 7/23/293 | 253,000 | 263,903 | 4.75% Sub. Nts. , 12/7/46 | 160,000 | 167,841 | ||||
7.75% Jr. Sub. Nts. , 5/14/38 | 232,000 | 322,912 | 8,496,223 | ||||||
Bank of Ireland Group plc, 4.50% Sr. | Consumer Finance—0.6% | ||||||||
Unsec. Nts. , 11/25/231 | 250,000 | 254,570 | Capital One Financial Corp. : | ||||||
Bank of Montreal, Series E, 3.30% Sr. | 3.75% Sr. Unsec. Nts. , 3/9/27 | 103,000 | 101,502 | ||||||
Unsec. Nts. , 2/5/24 | 247,000 | 249,840 | 3.90% Sr. Unsec. Nts. , 1/29/24 | 157,000 | 160,601 | ||||
BNP Paribas SA, 4.375% | Discover Bank, 4.65% Sr. Unsec. Nts., | ||||||||
[USSW5+148.3] Sub. Nts. , 3/1/331,3 | 176,000 | 172,922 | 9/13/28 | 116,000 | 121,638 | ||||
BPCE SA, 4.50% Sub. Nts. , 3/15/251 | 185,000 | 186,312 | Discover Financial Services, 3.75% Sr. | ||||||
Canadian Imperial Bank of Commerce, | Unsec. Nts. , 3/4/25 | 137,000 | 136,726 | ||||||
3.10% Sr. Unsec. Nts. , 4/2/247 | 315,000 | 314,348 | Synchrony Financial, 4.25% Sr. Unsec. | ||||||
Citigroup, Inc.: | Nts. , 8/15/24 | 252,000 | 253,800 | ||||||
4.075% [US0003M+119.2] Sr. Unsec. | 774,267 | ||||||||
Nts. , 4/23/293 | 256,000 | 262,926 | Diversified Financial Services—0.4% | ||||||
4.281% [US0003M+183.9] Sr. Unsec. | |||||||||
Nts. , 4/24/483 | 334,000 | 342,784 | Berkshire Hathaway Energy Co. , 3.80% | ||||||
Sr. Unsec. Nts. , 7/15/48 | 75,000 | 71,947 | |||||||
Citizens Bank NA (Providence RI), | Peachtree Corners Funding Trust, | ||||||||
2.65% Sr. Unsec. Nts. , 5/26/22 | 65,000 | 64,503 | 3.976% Sr. Unsec. Nts. , 2/15/251 | 121,000 | 122,878 | ||||
Compass Bank, 2.875% Sr. Unsec. Nts., | |||||||||
6/29/22 | 285,000 | 282,246 | Voya Financial, Inc. , 5.65% | ||||||
[US0003M+358] Jr. Sub. Nts. , 5/15/533 | 300,000 | 295,943 | |||||||
Credit Agricole SA, 4.375% Sub. Nts., | 490,768 | ||||||||
3/17/251 | 310,000 | 316,219 | |||||||
Fifth Third Bank (Cincinnati OH), 3.85% | Insurance—1.8% | ||||||||
Sub. Nts. , 3/15/26 | 168,000 | 171,259 | Aflac, Inc. , 4.75% Sr. Unsec. Nts., | ||||||
First Republic Bank, 4.375% Sub. Nts., | 1/15/49 | 106,000 | 117,508 | ||||||
8/1/46 | 127,000 | 124,733 | AXA Equitable Holdings, Inc. , 4.35% Sr. | ||||||
Fortis, Inc. , 3.055% Sr. Unsec. Nts., | Unsec. Nts. , 4/20/28 | 165,000 | 167,814 | ||||||
10/4/26 | 202,000 | 193,558 | Boardwalk Pipelines LP, 4.95% Sr. | ||||||
HSBC Holdings plc: | Unsec. Nts. , 12/15/24 | 156,000 | 162,019 | ||||||
3.95% [US0003M+98.72] Sr. Unsec. | Brighthouse Financial, Inc. , 3.70% Sr. | ||||||||
Nts. , 5/18/243 | 103,000 | 105,157 | Unsec. Nts. , 6/22/27 | 67,000 | 60,495 | ||||
4.041% [US0003M+154.6] Sr. Unsec. | CNA Financial Corp. , 3.45% Sr. Unsec. | ||||||||
Nts. , 3/13/283 | 125,000 | 126,167 | Nts. , 8/15/27 | 239,000 | 233,724 | ||||
4.583% [US0003M+153.46] Sr. Unsec. | Hartford Financial Services Group, Inc. | ||||||||
Nts. , 6/19/293 | 171,000 | 180,099 | (The), 4.40% Sr. Unsec. Nts. , 3/15/48 | 192,000 | 194,757 | ||||
Huntington Bancshares, Inc. , 4.00% Sr. | Lincoln National Corp. , 3.80% Sr. Unsec. | ||||||||
Unsec. Nts. , 5/15/25 | 317,000 | 330,175 | Nts. , 3/1/28 | 193,000 | 195,949 | ||||
JPMorgan Chase & Co. : | Manulife Financial Corp. , 4.061% | ||||||||
3.54% [US0003M+138] Sr. Unsec. Nts., | [USISDA05+164.7] Sub. Nts. , 2/24/323 | 193,000 | 187,898 | ||||||
5/1/283 | 259,000 | 259,628 | Marsh & McLennan Cos. , Inc. , 4.35% Sr. | ||||||
3.782% [US0003M+133.7] Sr. Unsec. | Unsec. Nts. , 1/30/47 | 106,000 | 107,800 | ||||||
Nts. , 2/1/283 | 337,000 | 343,880 | Prudential Financial, Inc.: | ||||||
3.797% [US0003M+89] Sr. Unsec. Nts., | 4.35% Sr. Unsec. Nts. , 2/25/50 | 125,000 | 129,606 | ||||||
7/23/243 | 315,000 | 323,743 | 5.20% [US0003M+304] Jr. Sub. Nts., | ||||||
KeyCorp, 4.15% Sr. Unsec. Nts., | 3/15/443 | 243,000 | 245,989 | ||||||
10/29/25 | 101,000 | 106,492 | Swiss Re Finance Luxembourg SA, | ||||||
Lloyds Banking Group plc, 6.657% | 5.00% [H15T5Y+358.2] Sub. Nts., | ||||||||
[US0003M+127] Jr. Sub. Perpetual | 4/2/491,3,7 | 387,000 | 391,674 | ||||||
Bonds1,3,11 | 304,000 | 311,600 | 2,195,233 | ||||||
8 | OPPENHEIMER TOTAL RETURN BOND FUND/VA |
Principal Amount | Value | Principal Amount | Value | ||||||
Real Estate Investment Trusts (REITs)—1.1% | Industrials—3.4% | ||||||||
American Tower Corp.: | Aerospace & Defense—1.0% | ||||||||
3.00% Sr. Unsec. Nts. , 6/15/23 | $ | 262,000 $ | 261,381 | BAE Systems Holdings, Inc. , 3.85% Sr. | |||||
4.00% Sr. Unsec. Nts. , 6/1/25 | 168,000 | 173,112 | Unsec. Nts. , 12/15/251 | $ | 246,000 | $ | 248,910 | ||
5.05% Sr. Unsec. Unsub. Nts. , 9/1/20 | 160,000 | 164,920 | Huntington Ingalls Industries, Inc. , | ||||||
Crown Castle International Corp. , 3.65% | 3.483% Sr. Unsec. Nts. , 12/1/27 | 176,000 | 172,550 | ||||||
Sr. Unsec. Nts. , 9/1/27 | 170,000 | 167,475 | L3 Technologies, Inc. , 3.85% Sr. Unsec. | ||||||
Digital Realty Trust LP, 3.40% Sr. Unsec. | Nts. , 6/15/23 | 317,000 | 327,022 | ||||||
Nts. , 10/1/20 | 29,000 | 29,219 | Northrop Grumman Corp. , 4.75% Sr. | ||||||
Lamar Media Corp. , 5.75% Sr. Unsec. | Unsec. Nts. , 6/1/43 | 175,000 | 189,807 | ||||||
Nts. , 2/1/26 | 292,000 | 306,235 | United Technologies Corp.: | ||||||
VEREIT Operating Partnership LP, | 3.35% Sr. Unsec. Nts. , 8/16/21 | 77,000 | 78,080 | ||||||
4.625% Sr. Unsec. Nts. , 11/1/25 | 305,000 | 315,934 | 3.95% Sr. Unsec. Nts. , 8/16/25 | 193,000 | 200,758 | ||||
1,418,276 | 1,217,127 | ||||||||
Health Care—4.3% | Air Freight & Couriers—0.1% | ||||||||
Biotechnology—0.9% | FedEx Corp. , 3.40% Sr. Unsec. Nts., | ||||||||
AbbVie, Inc.: | 1/14/22 | 106,000 | 107,495 | ||||||
3.75% Sr. Unsec. Nts. , 11/14/23 | 312,000 | 320,615 | Building Products—0.4% | ||||||
4.875% Sr. Unsec. Nts. , 11/14/48 | 131,000 | 129,260 | Allegion US Holding Co. , Inc. , 3.55% | ||||||
Amgen, Inc. , 4.563% Sr. Unsec. Nts., | Sec. Nts. , 10/1/27 | 246,000 | 234,224 | ||||||
6/15/48 | 89,000 | 89,586 | Fortune Brands Home & Security, Inc. , | ||||||
Biogen, Inc. , 5.20% Sr. Unsec. Nts., | 4.00% Sr. Unsec. Nts. , 9/21/23 | 297,000 | 305,507 | ||||||
9/15/45 | 98,000 | 104,124 | 539,731 | ||||||
Gilead Sciences, Inc. , 4.75% Sr. Unsec. | |||||||||
Nts. , 3/1/46 | 133,000 | 139,669 | Electrical Equipment—0.2% | ||||||
Shire Acquisitions Investments Ireland | Sensata Technologies BV: | ||||||||
DAC, 2.40% Sr. Unsec. Nts. , 9/23/21 | 321,000 | 317,484 | 5.00% Sr. Unsec. Nts. , 10/1/251 | 170,000 | 175,100 | ||||
1,100,738 | 5.625% Sr. Unsec. Nts. , 11/1/241 | 128,000 | 136,960 | ||||||
Health Care Equipment & Supplies—0.7% | 312,060 | ||||||||
Becton Dickinson & Co. , 3.70% Sr. | Industrial Conglomerates—0.1% | ||||||||
Unsec. Nts. , 6/6/27 | 252,000 | 251,531 | GE Capital International Funding Co. | ||||||
Boston Scientific Corp. , 4.00% Sr. Unsec. | Unlimited Co. , 3.373% Sr. Unsec. Nts., | ||||||||
Nts. , 3/1/28 | 306,000 | 315,136 | 11/15/25 | 99,000 | 96,222 | ||||
Hologic, Inc. , 4.375% Sr. Unsec. Nts., | Machinery—0.3% | ||||||||
10/15/251 | 318,000 | 317,936 | Fortive Corp. , 1.80% Sr. Unsec. Nts., | ||||||
884,603 | 6/15/19 | 37,000 | 36,847 | ||||||
Health Care Providers & Services—1.2% | Ingersoll-Rand Luxembourg Finance SA, | ||||||||
Cigna Corp. , 4.125% Sr. Unsec. Nts., | 3.80% Sr. Unsec. Nts. , 3/21/29 | 152,000 | 154,337 | ||||||
11/15/251 | 246,000 | 254,921 | Nvent Finance Sarl, 4.55% Sr. Unsec. | ||||||
CVS Health Corp.: | Nts. , 4/15/28 | 162,000 | 163,079 | ||||||
2.125% Sr. Unsec. Nts. , 6/1/21 | 334,000 | 328,264 | 354,263 | ||||||
5.05% Sr. Unsec. Nts. , 3/25/48 | 286,000 | 288,704 | Professional Services—0.2% | ||||||
Fresenius Medical Care US Finance II, | IHS Markit Ltd. , 4.125% Sr. Unsec. Nts., | ||||||||
Inc. , 5.875% Sr. Unsec. Nts. , 1/31/221 | 295,000 | 312,247 | 8/1/23 | 198,000 | 202,176 | ||||
McKesson Corp. , 3.65% Sr. Unsec. Nts., | |||||||||
11/30/20 | 287,000 | 290,616 | Road & Rail—0.5% | ||||||
1,474,752 | Penske Truck Leasing Co. LP/PTL Finance | ||||||||
Corp. , 3.40% Sr. Unsec. Nts. , 11/15/261 | 276,000 | 264,587 | |||||||
Life Sciences Tools & Services—0.5% | Ryder System, Inc.: | ||||||||
IQVIA, Inc. , 5.00% Sr. Unsec. Nts., | 3.50% Sr. Unsec. Nts. , 6/1/21 | 74,000 | 74,938 | ||||||
10/15/261 | 312,000 | 320,387 | 3.75% Sr. Unsec. Nts. , 6/9/23 | 314,000 | 321,809 | ||||
Life Technologies Corp. , 6.00% Sr. | 661,334 | ||||||||
Unsec. Nts. , 3/1/20 | 237,000 | 243,475 | |||||||
Thermo Fisher Scientific, Inc. , 4.15% Sr. | Trading Companies & Distributors—0.6% | ||||||||
Unsec. Nts. , 2/1/24 | 121,000 | 126,578 | Air Lease Corp. : | ||||||
690,440 | 3.25% Sr. Unsec. Nts. , 3/1/25 | 99,000 | 95,343 | ||||||
3.625% Sr. Unsec. Nts. , 4/1/27 | 106,000 | 99,927 | |||||||
Pharmaceuticals—1.0% | GATX Corp. , 3.50% Sr. Unsec. Nts., | ||||||||
Bayer US Finance II LLC, 3.875% Sr. | 3/15/28 | 201,000 | 191,907 | ||||||
Unsec. Nts. , 12/15/231 | 313,000 | 315,705 | Mitsubishi UFJ Financial Group, Inc. , | ||||||
Elanco Animal Health, Inc. , 4.90% Sr. | 3.741% Sr. Unsec. Nts. , 3/7/29 | 196,000 | 201,492 | ||||||
Unsec. Nts. , 8/28/281 | 137,000 | 145,706 | United Rentals North America, Inc. , | ||||||
Mylan NV, 3.15% Sr. Unsec. Nts., | 4.625% Sr. Unsec. Nts. , 10/15/25 | 168,000 | 166,320 | ||||||
6/15/21 | 303,000 | 302,455 | 754,989 | ||||||
Takeda Pharmaceutical Co. Ltd.: | |||||||||
4.00% Sr. Unsec. Nts. , 11/26/211 | 279,000 | 286,276 | Information Technology—3.6% | ||||||
5.00% Sr. Unsec. Nts. , 11/26/281 | 159,000 | 172,676 | Communications Equipment—0.2% | ||||||
1,222,818 | Motorola Solutions, Inc. , 4.60% Sr. | ||||||||
Unsec. Nts. , 2/23/28 | 241,000 | 243,405 | |||||||
9 | OPPENHEIMER TOTAL RETURN BOND FUND/VA |
STATEMENT OF INVESTMENTS Unaudited / Continued | |||||||||
Principal Amount | Value | Principal Amount | Value | ||||||
Electronic Equipment, Instruments, & Components—0.4% | Construction Materials (Continued) | ||||||||
Arrow Electronics, Inc. , 3.875% Sr. | Martin Marietta Materials, Inc. , 3.50% | ||||||||
Unsec. Nts. , 1/12/28 | $ | 232,000 $ | 223,767 | Sr. Unsec. Nts. , 12/15/27 | $ | 161,000 $ | 155,429 | ||
CDW LLC/CDW Finance Corp. , 5.50% Sr. | 346,499 | ||||||||
Unsec. Nts. , 12/1/24 | 54,000 | 57,037 | Containers & Packaging—0.3% | ||||||
Tech Data Corp. , 4.95% Sr. Unsec. Nts., | Packaging Corp. of America, 3.65% Sr. | ||||||||
2/15/27 | 264,000 | 267,512 | Unsec. Nts. , 9/15/24 | 94,000 | 94,622 | ||||
548,316 | Silgan Holdings, Inc. , 4.75% Sr. Unsec. | ||||||||
IT Services—0.7% | Nts. , 3/15/25 | 270,000 | 266,288 | ||||||
DXC Technology Co.: | 360,910 | ||||||||
2.875% Sr. Unsec. Nts. , 3/27/20 | 238,000 | 237,923 | Metals & Mining—0.6% | ||||||
4.75% Sr. Unsec. Nts. , 4/15/27 | 241,000 | 245,200 | Anglo American Capital plc, 3.625% Sr. | ||||||
Fidelity National Information Services, | Unsec. Nts. , 9/11/241 | 83,000 | 82,343 | ||||||
Inc. , 4.25% Sr. Unsec. Nts. , 5/15/28 | 162,000 | 166,866 | ArcelorMittal, 6.125% Sr. Unsec. Nts., | ||||||
VeriSign, Inc.: | 6/1/25 | 285,000 | 316,355 | ||||||
4.75% Sr. Unsec. Nts. , 7/15/27 | 190,000 | 190,735 | Steel Dynamics, Inc. , 4.125% Sr. Unsec. | ||||||
5.25% Sr. Unsec. Nts. , 4/1/25 | 99,000 | 104,074 | Nts. , 9/15/25 | 326,000 | 320,295 | ||||
944,798 | 718,993 | ||||||||
Semiconductors & Semiconductor Equipment—1.3% | Paper & Forest Products—0.1% | ||||||||
Broadcom, Inc.: | Louisiana-Pacific Corp. , 4.875% Sr. | ||||||||
3.125% Sr. Unsec. Nts. , 4/15/211,7 | 452,000 | 451,467 | Unsec. Nts. , 9/15/24 | 186,000 | 186,000 | ||||
4.25% Sr. Unsec. Nts. , 4/15/261,7 | 370,000 | 367,266 | |||||||
4.75% Sr. Unsec. Nts. , 4/15/291,7 | 144,000 | 143,316 | Telecommunication Services—2.0% | ||||||
Microchip Technology, Inc. , 3.922% Sr. | Diversified Telecommunication Services—1.6% | ||||||||
Sec. Nts. , 6/1/211 | 316,000 | 318,949 | AT&T, Inc.: | ||||||
NXP BV/NXP Funding LLC, 4.125% Sr. | 4.30% Sr. Unsec. Nts. , 2/15/30 | 238,000 | 241,285 | ||||||
Unsec. Nts. , 6/1/211 | 292,000 | 298,208 | 4.35% Sr. Unsec. Nts. , 6/15/45 | 126,000 | 116,021 | ||||
1,579,206 | 4.50% Sr. Unsec. Nts. , 3/9/48 | 135,000 | 127,350 | ||||||
British Telecommunications plc: | |||||||||
Software—0.3% | 4.50% Sr. Unsec. Nts. , 12/4/23 | 201,000 | 210,420 | ||||||
Autodesk, Inc. , 4.375% Sr. Unsec. Nts., | 9.625% Sr. Unsec. Nts. , 12/15/30 | 270,000 | 386,533 | ||||||
6/15/25 | 98,000 | 101,358 | Deutsche Telekom International Finance | ||||||
Open Text Corp. , 5.625% Sr. Unsec. Nts., | BV, 4.375% Sr. Unsec. Nts. , 6/21/281 | 149,000 | 155,200 | ||||||
1/15/231 | 158,000 | 162,740 | Telefonica Emisiones SA: | ||||||
VMware, Inc. , 3.90% Sr. Unsec. Nts., | 4.103% Sr. Unsec. Nts. , 3/8/27 | 90,000 | 91,282 | ||||||
8/21/27 | 161,000 | 155,043 | 5.213% Sr. Unsec. Nts. , 3/8/47 | 79,000 | 80,361 | ||||
419,141 | T-Mobile USA, Inc. , 6.50% Sr. Unsec. | ||||||||
Technology Hardware, Storage & Peripherals—0.7% | Nts. , 1/15/26 | 284,000 | 303,880 | ||||||
Apple, Inc. , 4.375% Sr. Unsec. Nts., | Verizon Communications, Inc.: | ||||||||
5/13/45 | 188,000 | 205,194 | 4.125% Sr. Unsec. Nts. , 8/15/46 | 133,000 | 129,329 | ||||
Dell International LLC/EMC Corp. , | 4.522% Sr. Unsec. Nts. , 9/15/48 | 184,000 | 189,380 | ||||||
5.30% Sr. Sec. Nts. , 10/1/291 | 317,000 | 319,679 | 2,031,041 | ||||||
Hewlett Packard Enterprise Co. , 3.60% | Wireless Telecommunication Services—0.4% | ||||||||
Sr. Unsec. Nts. , 10/15/20 | 323,000 | 326,126 | |||||||
850,999 | Vodafone Group plc: | ||||||||
3.75% Sr. Unsec. Nts. , 1/16/24 | 313,000 | 315,975 | |||||||
Materials—2.4% | 7.00% [USSW5+487.3] Sub. Nts., | ||||||||
Chemicals—1.1% | 4/4/793,7 | 122,000 | 124,129 | ||||||
Dow Chemical Co. (The), 4.55% Sr. | 440,104 | ||||||||
Unsec. Nts. , 11/30/251 | 208,000 | 219,822 | |||||||
DowDuPont, Inc. , 5.419% Sr. Unsec. | Utilities—2.4% | ||||||||
Nts. , 11/15/48 | 125,000 | 142,133 | Electric Utilities—1.8% | ||||||
Eastman Chemical Co. , 3.50% Sr. Unsec. | AEP Texas, Inc. , 3.95% Sr. Unsec. Nts., | ||||||||
Nts. , 12/1/21 | 126,000 | 127,979 | 6/1/281 | 162,000 | 169,085 | ||||
Nutrien Ltd.: | Duke Energy Corp. , 3.75% Sr. Unsec. | ||||||||
4.875% Sr. Unsec. Nts. , 3/30/20 | 41,000 | 41,821 | Nts. , 9/1/46 | 65,000 | 61,018 | ||||
5.00% Sr. Unsec. Nts. , 4/1/497 | 84,000 | 87,935 | Edison International: | ||||||
PolyOne Corp. , 5.25% Sr. Unsec. Nts., | 2.125% Sr. Unsec. Nts. , 4/15/20 | 124,000 | 123,081 | ||||||
3/15/23 | 299,000 | 310,212 | 2.95% Sr. Unsec. Nts. , 3/15/23 | 195,000 | 181,243 | ||||
RPM International, Inc. , 3.45% Sr. | EDP Finance BV, 3.625% Sr. Unsec. Nts., | ||||||||
Unsec. Unsub. Nts. , 11/15/22 | 335,000 | 335,470 | 7/15/241 | 219,000 | 217,764 | ||||
Yara International ASA, 4.75% Sr. Unsec. | Emera US Finance LP, 2.70% Sr. Unsec. | ||||||||
Nts. , 6/1/281 | 165,000 | 172,473 | Nts. , 6/15/21 | 168,000 | 166,570 | ||||
1,437,845 | Exelon Corp. : | ||||||||
2.45% Sr. Unsec. Nts. , 4/15/21 | 152,000 | 150,319 | |||||||
Construction Materials—0.3% | 4.45% Sr. Unsec. Nts. , 4/15/46 | 89,000 | 92,024 | ||||||
James Hardie International Finance DAC, | FirstEnergy Corp. , 3.90% Sr. Unsec. Nts., | ||||||||
4.75% Sr. Unsec. Nts. , 1/15/251 | 193,000 | 191,070 | 7/15/27 | 175,000 | 177,864 | ||||
Mid-Atlantic Interstate Transmission LLC, | |||||||||
4.10% Sr. Unsec. Nts. , 5/15/281 | 162,000 | 166,455 | |||||||
10 | OPPENHEIMER TOTAL RETURN BOND FUND/VA |
Principal Amount | Value | Principal Amount | Value | ||||||
Electric Utilities (Continued) | Food Products—0.4% | ||||||||
NextEra Energy Operating Partners LP, | General Mills, Inc. , 2.601%, 4/3/1913,14 | $ | 250,000 | $ | 249,908 | ||||
4.25% Sr. Unsec. Nts. , 9/15/241 | $ | 324,000 $ | 322,785 | McCormick & Co, Inc. , 2.623%, | |||||
PPL WEM Ltd. /Western Power | 4/8/1913,14 | 250,000 | 249,814 | ||||||
Distribution Ltd. , 5.375% Sr. Unsec. | 499,722 | ||||||||
Unsub. Nts. , 5/1/211 | 308,000 | 318,119 | Hotels, Restaurants & Leisure—0.3% | ||||||
TECO Finance, Inc. , 5.15% Sr. Unsec. | Marriott International, Inc. , 2.717%, | ||||||||
Nts. , 3/15/20 | 153,000 | 156,172 | 5/3/1913,14 | 370,000 | 369,014 | ||||
2,302,499 | Household Durables—1.2% | ||||||||
Independent Power and Renewable Electricity Producers—0.0% | Leggett & Platt, Inc. , 2.724%, | ||||||||
PSEG Power LLC, 3.00% Sr. Unsec. Nts., | 4/12/191,13,14 | 550,000 | 549,430 | ||||||
6/15/21 | 16,000 | 15,934 | Mohawk Industries, Inc. , 2.737%, | ||||||
4/22/191,13,14 | 550,000 | 549,003 | |||||||
Multi-Utilities—0.6% | Whirlpool Corp. , 2.663%, 4/10/1914 | 560,000 | 559,506 | ||||||
CenterPoint Energy, Inc.: | 1,657,939 | ||||||||
3.60% Sr. Unsec. Nts. , 11/1/21 | 190,000 | 192,935 | Household Products—0.9% | ||||||
4.25% Sr. Unsec. Nts. , 11/1/28 | 147,000 | 152,533 | Church & Dwight Co, Inc. , 2.571%, | ||||||
Dominion Energy, Inc.: | 4/3/191,13,14 | 560,000 | 559,795 | ||||||
2.579% Jr. Sub. Nts. , 7/1/20 | 255,000 | 253,667 | Clorox Co. (The), 2.685%, 4/22/191,13,14 | 560,000 | 558,985 | ||||
4.60% Sr. Unsec. Nts. , 3/15/49 | 79,000 | 82,386 | 1,118,780 | ||||||
681,521 | Industrial Conglomerates—0.4% | ||||||||
Total Corporate Bonds and Notes (Cost $59,343,905) | 60,190,406 | Johnson Controls International plc, | |||||||
Short-Term Notes—18.3% | 2.701%, 4/1/191,13,14 | 490,000 | 489,892 | ||||||
Auto Components—0.5% | Leasing & Factoring—0.7% | ||||||||
Magna International, Inc. , 2.651%, | Harley-Davidson Financial Services, Inc. , | ||||||||
4/1/191,13,14 | 560,000 | 559,878 | 2.636%, 4/25/1913,14 | 370,000 | 369,243 | ||||
Building Products—0.4% | Hitachi Capital America Corp. , 2.706%, | ||||||||
Assa Abloy Financial AB, 2.681%, | 4/17/1914 | 550,000 | 549,217 | ||||||
4/2/191,13,14 | 500,000 | 499,854 | 918,460 | ||||||
Chemicals—2.1% | Machinery—1.1% | ||||||||
Air Liquide US LLC, 2.602%, 4/4/191,13,14 | 560,000 | 559,776 | Parker-Hannifin Corp. , 2.656%, | ||||||
Albemarle Corp. , 2.664%, 4/8/191,13,14 | 550,000 | 549,564 | 4/25/191,13,14 | 560,000 | 558,971 | ||||
Alliant Energy Corp. , 2.671%, 4/3/1914 | 560,000 | 559,795 | Snap-on, Inc. , 2.551%, 4/2/191,13,14 | 560,000 | 559,836 | ||||
Eastman Chemical Co. , 2.706%, | Xylem, Inc. , 2.684%, 4/10/1913,14 | 250,000 | 249,778 | ||||||
4/2/1913,14 | 370,000 | 369,892 | 1,368,585 | ||||||
Ecolab, Inc. , 2.603%, 4/9/1914 | 550,000 | 549,554 | Metals & Mining—0.4% | ||||||
2,588,581 | Glencore Funding, 3.109%, 4/8/1913,14 | 560,000 | 559,579 | ||||||
Commercial Services & Supplies—0.4% | Multiline Retail—0.4% | ||||||||
Cintas Executive Service, 2.622%, | Dollar General Corp. , 2.727%, | ||||||||
4/10/191,13,14 | 560,000 | 559,500 | 4/22/191,13,14 | 550,000 | 549,003 | ||||
Computers & Peripherals—0.4% | Multi-Utilities—1.1% | ||||||||
NetApp, Inc. , 2.635%, 4/16/191,13,14 | 490,000 | 489,341 | CenterPoint Energy Resources Corp. , | ||||||
Containers & Packaging—0.3% | 2.704%, 4/15/191,13,14 | 310,000 | 309,613 | ||||||
International Paper Co. , 2.653%, | DTE Capital Corp. , 2.612%, 4/2/1914 | 550,000 | 549,839 | ||||||
4/9/191,13,14 | 310,000 | 309,749 | Xcel Energy, Inc. , 2.663%, 4/12/1913,14 | 560,000 | 559,420 | ||||
Electric Utilities—2.3% | 1,418,872 | ||||||||
Ameren Illinois Co. , 2.651%, 4/1/1914 | 560,000 | 559,877 | Oil, Gas & Consumable Fuels—0.4% | ||||||
Commonwealth Edison Co. , 2.704%, | ENI Finance USA, Inc. , 2.777%, | ||||||||
4/9/1913,14 | 250,000 | 249,798 | 4/15/1913,14 | 550,000 | 549,302 | ||||
Duke Energy Corp. , 2.651%, 4/3/191,13,14 | 200,000 | 199,927 | Paper, Containers & Packaging—0.4% | ||||||
Eversource Energy, 2.633%, 4/10/1913,14 | 560,000 | 559,500 | Avery Dennison, 2.613%, 4/3/1913,14 | 550,000 | 549,805 | ||||
Nextera Energy Capital Holdings, | Specialty Retail—0.4% | ||||||||
2.671%, 4/4/191,13,14 | 560,000 | 559,753 | Relx, Inc. , 2.633%, 4/3/191,13,14 | 550,000 | 549,798 | ||||
Southern Company Funding Corp. , | Telephone Utilities—0.9% | ||||||||
2.777%, 4/8/191,13,14 | 570,000 | 569,580 | Bell Canada, Inc. , 2.686%, 4/8/1913,14 | 570,000 | 569,577 | ||||
2,698,435 | Telus Corp. , 2.706%, 4/18/191,14 | 550,000 | 549,173 | ||||||
Electrical Equipment—0.4% | 1,118,750 | ||||||||
Eaton Corp. , 2.642%, 4/5/191,13,14 | 560,000 | 559,712 | Textiles, Apparel & Luxury Goods—0.4% | ||||||
Electronic Equipment & Instruments—0.9% | VF Corp. , 2.694%, 4/12/191,13,14 | 490,000 | 489,489 | ||||||
Amphenol Corp. , 2.601%, 4/1/1914 | 550,000 | 549,881 | Water Utilities—0.4% | ||||||
Tyco Electronics Group SA, 2.57%, | American Water Capital Corp. , 2.666%, | ||||||||
4/1/191,13,14 | 560,000 | 559,877 | 4/5/1913,14 | 560,000 | 559,710 | ||||
1,109,758 | Total Short-Term Notes (Cost $23,135,575) | 23,130,539 | |||||||
Energy Equipment & Services—0.3% | |||||||||
TransCanada PipeLines Ltd, 2.746%, | |||||||||
4/24/191,13,14 | 430,000 | 429,154 | |||||||
Food & Staples Retailing—0.5% | |||||||||
Walgreens Boots Alliance, Inc. , 2.60%, | |||||||||
4/1/1914 | 560,000 | 559,877 | |||||||
11 | OPPENHEIMER TOTAL RETURN BOND FUND/VA |
STATEMENT OF INVESTMENTS Unaudited / Continued | |||||||||
Shares | Value | ||||||||
Investment Company—1.2% | |||||||||
Oppenheimer Institutional Government | |||||||||
Money Market Fund, Cl. E, 2.42%15,16 (Cost | |||||||||
$1,521,753) | 1,521,753 | $ 1,521,753 | |||||||
Total Investments, at Value (Cost | |||||||||
$157,757,458) | 124.8% | 157,968,248 | |||||||
Net Other Assets (Liabilities) | (24.8) | (31,396,187) | |||||||
Net Assets | 100.0% | $ 126,572,061 |
Footnotes to Statement of Investments
1. Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under
guidelines established by the Board of Trustees. These securities amount to $43,251,543 or 34.17% of the Fund's net assets at period end.
2. Restricted security. The aggregate value of restricted securities at period end was $328,744, which represents 0.26% of the Fund's net assets. See Note 3 of the accompanying Notes.
Information concerning restricted securities is as follows:
Unrealized | ||||||||
Acquisition | Appreciation/ | |||||||
Security | Dates | Cost | Value | (Depreciation) | ||||
GLS Auto Receivables Trust, Series 2018-1A, Cl. A, | ||||||||
2.82%, 7/15/22 | 1/30/18 $ | 192,119 | $ | 191,854 | $ | (265) | ||
Marathon Petroleum Corp. , 3.80% Sr. Unsec. Nts., | ||||||||
4/1/28 | 7/25/18 | 131,698 | 136,890 | 5,192 | ||||
$ | 323,817 | $ | 328,744 | $ | 4,927 |
3. 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].
4. Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. These securities typically decline in price as interest rates decline.
Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is
calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities (for example, GNMA pass-throughs). Interest
rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $2,312,132 or 1.83% of the
Fund’s net assets at period end.
5. Interest rate is less than 0.0005%.
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 $53,050 or 0.04% of the Fund's net assets at period end.
7. All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after period end. See Note 3 of the accompanying Notes.
8. The value of this security was determined using significant unobservable inputs. See Note 2 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 $169,731. See Note 5 of the accompanying Notes.
11. This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest.
12. 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 $324,097 or 0.26% of the Fund's
net assets at period end.
13. Security issued in an exempt transaction without registration under the Securities Act of 1933. Such securities amount to $18,143,820 or 14.33% of the Fund’s net assets, and have been
determined to be liquid pursuant to guidelines adopted by the Board of Trustees.
14. Current yield as of period end.
15. Rate shown is the 7-day yield at period end.
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:
Shares | Gross | Gross | Shares | |||||
December 31, 2018 | Additions | Reductions | March 31, 2019 | |||||
Investment Company | ||||||||
Oppenheimer Institutional Government Money Market Fund, Cl. E | 1,840,843 | 38,460,769 | 38,779,859 | 1,521,753 | ||||
Realized | Change in Unrealized | |||||||
Value | Income | Gain (Loss) | Gain (Loss) | |||||
Investment Company | ||||||||
Oppenheimer Institutional Government Money Market Fund, Cl. E | $ | 1,521,753 | $ | 6,073 | $ | — | $ | — |
Futures Contracts as of March 31, 2019 | ||||||||||
Notional | Unrealized | |||||||||
Number of | Amount | Appreciation/ | ||||||||
Description | Buy/Sell | Expiration Date | Contracts | (000's) | Value | (Depreciation) | ||||
United States Treasury Long Bonds | Buy | 6/19/19 | 31 | USD | 4,550 $ | 4,639,344 | $ | 89,783 | ||
United States Treasury Nts. , 10 yr. | Buy | 6/19/19 | 55 | USD | 6,785 | 6,832,031 | 46,697 | |||
United States Treasury Nts. , 2 yr. | Sell | 6/28/19 | 16 | USD | 3,406 | 3,409,500 | (3,227) | |||
United States Treasury Nts. , 5 yr. | Sell | 6/28/19 | 28 | USD | 3,222 | 3,243,187 | (20,895) | |||
12 | OPPENHEIMER TOTAL RETURN BOND FUND/VA |
Futures Contracts (Continued) | ||||||||||
Notional | Unrealized | |||||||||
Number of | Amount | Appreciation/ | ||||||||
Description | Buy/Sell Expiration Date | Contracts | (000’s) | Value | (Depreciation) | |||||
United States Ultra Bonds | Buy | 6/19/19 | 58 | USD 9,390 | $ | 9,744,000 | $ | 354,135 | ||
$ | 466,493 | |||||||||
1 | ||||||||||
Over-the-Counter Total Return Swaps at March 31, 2019 | ||||||||||
Notional | Unrealized | |||||||||
Pay/Receive Total | Amount | Appreciation/ | ||||||||
Reference Asset | Counterparty | Return* | Floating Rate | Maturity Date | (000's) | Value | (Depreciation) | |||
iBoxx USD Liquid IG Series 1 | ||||||||||
Version 1 | GSCO-OT | Pay | USD-LIBOR-BBA | 9/26/19 | USD 5,189 | $ | (112,413 | ) $ | (112,413 | ) |
* Fund will pay or receive the total return of the reference asset depending on whether the return is positive or negative. For contracts where the Fund has elected to receive the total return
of the reference asset if positive, it will be responsible for paying the floating rate and the total return of the reference asset if negative. If the Fund has elected to pay the total return of the
reference asset if positive, it will receive the floating rate and the total return of the reference asset if negative.
Glossary: | |||
Counterparty Abbreviations | |||
GSCO-OT | Goldman Sachs Bank USA | ||
Currency abbreviations indicate amounts reporting in currencies | |||
Definitions | |||
BBA LIBOR | British Bankers' Association London - Interbank Offered Rate | ||
H15T5Y | US Treasury Yield Curve Rate T Note Constant Maturity 5 Year | ||
H15T1Y | US Treasury Yield Curve Rate T Note Constant Maturity 1 Year | ||
ICE LIBOR | Intercontinental Exchange Benchmark Administration-London Interbank Offered Rate | ||
LIBOR01M | ICE LIBOR USD 1 Month | ||
US0001M | ICE LIBOR USD 1 Month | ||
US0003M | ICE LIBOR USD 3 Month | ||
USISDA05 | USD ICE Swap Rate 11:00am NY 5 Year | ||
USSW5 | USD Swap Semi 30/360 5 Year | ||
13 | OPPENHEIMER TOTAL RETURN BOND FUND/VA |
NOTES TO STATEMENT OF INVESTMENTS March 31, 2019 Unaudited
1. Organization
Oppenheimer Total Return Bond Fund/VA (the Fund), a separate series of Oppenheimer Variable Account Funds, is a diversified open-end management
investment company registered under the Investment Company Act of 1940 (1940 Act), as amended. The 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. Shares of the Fund are sold
only to separate accounts of life insurance companies.
2. 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:
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.
Structured securities, swaps, swaptions, and other over-the-counter derivatives are valued utilizing evaluated prices obtained from third party pricing
services or broker-dealers. Standard inputs generally considered by third-party pricing vendors include market information relevant to the underlying
reference asset such as the price of financial instruments, stock market indices, foreign currencies, interest rate spreads, commodities, credit spreads,
credit event probabilities, index values, individual security values, forward interest rates, variable interest rates, volatility measures, and forward currency
rates, or the occurrence of other specific events.
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.
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
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
14 OPPENHEIMER TOTAL RETURN BOND FUND/VA
2. Securities Valuation (Continued)
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: | |||||||||||
Level 3— | |||||||||||
Level 1— | Level 2— | Significant | |||||||||
Unadjusted | Other Significant | Unobservable | |||||||||
Quoted Prices | Observable Inputs | Inputs | Value | ||||||||
Assets Table | |||||||||||
Investments, at Value: | |||||||||||
Asset-Backed Securities | $ | — | $ | 16,633,613 | $ | — | $ | 16,633,613 | |||
Mortgage-Backed Obligations | — | 56,278,744 | 20,498 | 56,299,242 | |||||||
U. S. Government Obligation | — | 192,695 | — | 192,695 | |||||||
Corporate Bonds and Notes | — | 60,190,406 | — | 60,190,406 | |||||||
Short-Term Notes | — | 23,130,539 | — | 23,130,539 | |||||||
Investment Company | 1,521,753 | — | — | 1,521,753 | |||||||
Total Investments, at Value | 1,521,753 | 156,425,997 | 20,498 | 157,968,248 | |||||||
Other Financial Instruments: | |||||||||||
Futures contracts | 490,615 | — | — | 490,615 | |||||||
Total Assets | $ | 2,012,368 | $ | 156,425,997 | $ | 20,498 | $ | 158,458,863 | |||
Liabilities Table | |||||||||||
Other Financial Instruments: | |||||||||||
Swaps, at value | $ | — | $ | (112,413) $ | — | $ | (112,413) | ||||
Futures contracts | (24,122) | — | — | (24,122) | |||||||
Total Liabilities | $ | (24,122) $ | (112,413) $ | — | $ | (136,535) |
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.
For the reporting period, there were no transfers between levels.
3. Investments and Risks
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 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.
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
15 OPPENHEIMER TOTAL RETURN BOND FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
3. Investments and Risks (Continued)
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 Funds market value of investments
relative to its net assets which can incrementally increase the volatility of the Funds 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 did not have any forward roll securities.
Restricted Securities. At period end, investments in securities included issues that are restricted. A restricted security may have a contractual
restriction on its resale and is valued under methods approved by the Board of Trustees as reflecting fair value. Securities that are restricted are marked
with an applicable footnote on the Statement of Investments. Restricted securities are reported on a schedule following the Statement of Investments.
When-Issued or | ||
Delayed Delivery | ||
Basis Transactions | ||
Purchased securities | $ | 47,723,534 |
Sold securities | 13,846,327 |
4. 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
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.
5. 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
16 OPPENHEIMER TOTAL RETURN BOND FUND/VA
5. Use of Derivatives (Continued)
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.
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
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 $157,829,445 and $17,000 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.
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
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.
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,
17 OPPENHEIMER TOTAL RETURN BOND FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
5. Use of Derivatives (Continued)
and interest rate risk.
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 $1,297,202 on total return swaps which are short the
reference asset.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
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.
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.
18 OPPENHEIMER TOTAL RETURN BOND FUND/VA
6. 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.
19 OPPENHEIMER TOTAL RETURN BOND FUND/VA