STATEMENT OF INVESTMENTS March 31, 2019 Unaudited | |||||||||||
Shares | Value | Shares | Value | ||||||||
Common Stocks33.9% | Real Estate Investment Trusts (REITs) (Continued) | ||||||||||
Consumer Discretionary5.6% | Mid-America Apartment Communities, | ||||||||||
Auto Components0.1% | Inc. | 3,390 | $ | 370,629 | |||||||
Visteon Corp.1 | 4,230 | $ | 284,891 | Prologis, Inc. | 15,367 | 1,105,655 | |||||
Entertainment0.8% | 2,163,770 | ||||||||||
Netflix, Inc.1 | 2,590 | 923,490 | Health Care4.6% | ||||||||
Zynga, Inc., Cl. A1 | 106,890 | 569,724 | Biotechnology0.6% | ||||||||
1,493,214 | BioMarin Pharmaceutical, Inc.1 | 3,030 | 269,155 | ||||||||
Hotels, Restaurants & Leisure0.7% | uniQure NV1 | 5,100 | 304,215 | ||||||||
Cedar Fair LP2 | 5,485 | 288,621 | Vertex Pharmaceuticals, Inc.1 | 2,790 | 513,220 | ||||||
McDonald's Corp. | 5,300 | 1,006,470 | 1,086,590 | ||||||||
1,295,091 | Health Care Equipment & Supplies1.3% | ||||||||||
Interactive Media & Services1.1% | Becton Dickinson & Co. | 2,550 | 636,812 | ||||||||
Facebook, Inc., Cl. A1 | 10,090 | 1,681,902 | Boston Scientific Corp.1 | 15,750 | 604,485 | ||||||
Snap, Inc., Cl. A1 | 33,890 | 373,468 | CryoPort, Inc.1 | 16,840 | 217,573 | ||||||
2,055,370 | Intuitive Surgical, Inc.1 | 1,380 | 787,400 | ||||||||
Zimmer Biomet Holdings, Inc. | 2,610 | 333,297 | |||||||||
Internet & Catalog Retail1.0% | 2,579,567 | ||||||||||
Amazon.com, Inc.1 | 1,090 | 1,941,017 | Health Care Providers & Services0.5% | ||||||||
Specialty Retail1.5% | Anthem, Inc. | 3,110 | 892,508 | ||||||||
Burlington Stores, Inc.1 | 4,490 | 703,493 | |||||||||
CarMax, Inc.1 | 9,070 | 633,086 | Health Care Technology0.1% | ||||||||
Lowe's Cos., Inc. | 14,110 | 1,544,622 | Teladoc Health, Inc.1 | 5,340 | 296,904 | ||||||
2,881,201 | Life Sciences Tools & Services0.4% | ||||||||||
Textiles, Apparel & Luxury Goods0.4% | Agilent Technologies, Inc. | 10,090 | 811,034 | ||||||||
NIKE, Inc., Cl. B | 8,910 | 750,311 | Pharmaceuticals1.7% | ||||||||
Consumer Staples1.7% | Bayer AG, Sponsored ADR | 27,990 | 450,779 | ||||||||
Beverages0.5% | Johnson & Johnson | 10,160 | 1,420,266 | ||||||||
Coca-Cola Co. (The) | 21,420 | 1,003,741 | Merck & Co., Inc. | 14,100 | 1,172,697 | ||||||
TherapeuticsMD, Inc.1 | 30,050 | 146,344 | |||||||||
Food & Staples Retailing0.7% | 3,190,086 | ||||||||||
Walmart, Inc. | 13,160 | 1,283,495 | Industrials3.6% | ||||||||
Food Products0.4% | Aerospace & Defense1.0% | ||||||||||
Conagra Brands, Inc. | 30,630 | 849,676 | Boeing Co. (The) | 1,740 | 663,671 | ||||||
Tobacco0.1% | Lockheed Martin Corp. | 2,250 | 675,360 | ||||||||
Philip Morris International, Inc. | 2,030 | 179,432 | Spirit AeroSystems Holdings, Inc., Cl. A | 6,610 | 605,013 | ||||||
1,944,044 | |||||||||||
Energy1.9% | |||||||||||
Energy Equipment & Services0.3% | Airlines0.3% | ||||||||||
Schlumberger Ltd. | 12,310 | 536,346 | Spirit Airlines, Inc.1 | 10,570 | 558,730 | ||||||
Oil, Gas & Consumable Fuels1.6% | Building Products0.2% | ||||||||||
EQT Corp. | 37,169 | 770,885 | Masco Corp. | 11,590 | 455,603 | ||||||
Exxon Mobil Corp. | 21,820 | 1,763,056 | Commercial Services & Supplies0.6% | ||||||||
Shell Midstream Partners LP2 | 29,695 | 607,263 | ACCO Brands Corp. | 35,660 | 305,249 | ||||||
3,141,204 | KAR Auction Services, Inc. | 7,380 | 378,668 | ||||||||
Financials6.2% | Waste Connections, Inc. | 4,810 | 426,118 | ||||||||
Capital Markets0.5% | 1,110,035 | ||||||||||
Intercontinental Exchange, Inc. | 12,900 | 982,206 | Construction & Engineering0.1% | ||||||||
Commercial Banks3.2% | Dycom Industries, Inc.1 | 4,740 | 217,756 | ||||||||
Citigroup, Inc. | 11,360 | 706,819 | Machinery0.5% | ||||||||
East West Bancorp, Inc. | 13,790 | 661,507 | Illinois Tool Works, Inc. | 3,180 | 456,425 | ||||||
IBERIABANK Corp. | 7,010 | 502,687 | Stanley Black & Decker, Inc. | 3,200 | 435,744 | ||||||
JPMorgan Chase & Co. | 21,510 | 2,177,457 | 892,169 | ||||||||
Signature Bank (New York) | 7,070 | 905,455 | |||||||||
SVB Financial Group1 | 3,380 | 751,577 | Professional Services0.3% | ||||||||
Wells Fargo & Co. | 7,260 | 350,803 | Korn Ferry | 12,820 | 574,080 | ||||||
6,056,305 | Road & Rail0.3% | ||||||||||
Insurance1.4% | Canadian Pacific Railway Ltd. | 3,140 | 646,934 | ||||||||
American International Group, Inc. | 17,710 | 762,593 | Trading Companies & Distributors0.3% | ||||||||
Arthur J. Gallagher & Co. | 7,510 | 586,531 | Fastenal Co. | 8,020 | 515,766 | ||||||
Fidelity National Financial, Inc. | 13,470 | 492,328 | Information Technology7.5% | ||||||||
Progressive Corp. (The) | 12,480 | 899,683 | Communications Equipment0.4% | ||||||||
2,741,135 | Motorola Solutions, Inc. | 5,990 | 841,116 | ||||||||
Real Estate Investment Trusts (REITs)1.1% | IT Services1.6% | ||||||||||
EPR Properties | 8,940 | 687,486 | DXC Technology Co. | 12,550 | 807,091 |
1 OPPENHEIMER CONSERVATIVE BALANCED FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued | |||||||||
Shares | Value | Principal | |||||||
IT Services (Continued) | Amount | Value | |||||||
First Data Corp., Cl. A1 | 25,820 | $ | 678,291 | Asset-Backed Securities (Continued) | |||||
Mastercard, Inc., Cl. A | 5,720 | 1,346,774 | Capital Auto Receivables Asset Trust: (Continued) | ||||||
Perspecta, Inc. | 16,597 | 335,591 | Series 2018-2, Cl. B, 3.48%, 10/20/233 | $ | 125,000 | $ | 126,131 | ||
3,167,747 | Series 2018-2, Cl. C, 3.69%, 12/20/233 | 120,000 | 121,021 | ||||||
CarMax Auto Owner Trust: | |||||||||
Semiconductors & Semiconductor Equipment1.4% | Series 2015-2, Cl. D, 3.04%, 11/15/21 | 115,000 | 115,017 | ||||||
Applied Materials, Inc. | 18,890 | 749,178 | Series 2015-3, Cl. D, 3.27%, 3/15/22 | 330,000 | 329,448 | ||||
NVIDIA Corp. | 5,490 | 985,784 | Series 2016-1, Cl. D, 3.11%, 8/15/22 | 220,000 | 219,375 | ||||
Texas Instruments, Inc. | 8,810 | 934,477 | Series 2017-1, Cl. D, 3.43%, 7/17/23 | 245,000 | 245,844 | ||||
2,669,439 | Series 2017-4, Cl. D, 3.30%, 5/15/24 | 110,000 | 109,617 | ||||||
Software2.5% | Series 2018-1, Cl. D, 3.37%, 7/15/24 | 75,000 | 75,106 | ||||||
Microsoft Corp. | 23,140 | 2,729,132 | Series 2018-4, Cl. C, 3.85%, 7/15/24 | 90,000 | 92,186 | ||||
Palo Alto Networks, Inc.1 | 1,940 | 471,187 | CCG Receivables Trust: | ||||||
Q2 Holdings, Inc.1 | 4,970 | 344,222 | Series 2017-1, Cl. B, 2.75%, 11/14/233 | 250,000 | 249,293 | ||||
salesforce.com, Inc.1 | 4,120 | 652,484 | Series 2018-1, Cl. B, 3.09%, 6/16/253 | 90,000 | 90,276 | ||||
ServiceNow, Inc.1 | 2,110 | 520,094 | Series 2018-1, Cl. C, 3.42%, 6/16/253 | 25,000 | 25,081 | ||||
4,717,119 | Series 2018-2, Cl. C, 3.87%, 12/15/253 | 60,000 | 61,031 | ||||||
Technology Hardware, Storage & Peripherals1.6% | CIG Auto Receivables Trust, Series | ||||||||
2017-1A, Cl. A, 2.71%, 5/15/233 | 50,558 | 50,456 | |||||||
Apple, Inc. | 13,990 | 2,657,400 | CNH Equipment Trust: | ||||||
Western Digital Corp. | 8,760 | 421,006 | Series 2017-C, Cl. B, 2.54%, 5/15/25 | 70,000 | 69,475 | ||||
3,078,406 | Series 2019-A, Cl. A4, 3.22%, 1/15/26 | 120,000 | 121,675 | ||||||
Materials0.5% | CPS Auto Receivables Trust: | ||||||||
Chemicals0.2% | Series 2018-A, Cl. B, 2.77%, 4/18/223 | 145,000 | 144,562 | ||||||
Valvoline, Inc. | 18,870 | 350,227 | Series 2018-B, Cl. B, 3.23%, 7/15/223 | 155,000 | 155,348 | ||||
Metals & Mining0.3% | CPS Auto Trust, Series 2017-A, Cl. B, | ||||||||
Compass Minerals International, Inc. | 10,780 | 586,109 | 2.68%, 5/17/213 | 29,867 | 29,839 | ||||
Credit Acceptance Auto Loan Trust: | |||||||||
Telecommunication Services1.2% | Series 2017-3A, Cl. C, 3.48%, | ||||||||
Diversified Telecommunication Services0.9% | 10/15/263 | 220,000 | 220,115 | ||||||
ORBCOMM, Inc.1 | 375 | 2,542 | Series 2018-1A, Cl. B, 3.60%, 4/15/273 | 135,000 | 136,075 | ||||
Verizon Communications, Inc. | 23,060 | 1,363,538 | Series 2018-1A, Cl. C, 3.77%, 6/15/273 | 190,000 | 191,481 | ||||
Zayo Group Holdings, Inc.1 | 10,680 | 303,526 | Series 2018-2A, Cl. C, 4.16%, 9/15/273 | 160,000 | 163,683 | ||||
1,669,606 | Series 2018-3A, Cl. C, 4.04%, | ||||||||
Wireless Telecommunication Services0.3% | 12/15/273 | 220,000 | 223,484 | ||||||
T-Mobile US, Inc.1 | 8,070 | 557,637 | Dell Equipment Finance Trust: | ||||||
Series 2017-2, Cl. B, 2.47%, 10/24/223 | 75,000 | 74,677 | |||||||
Utilities1.1% | Series 2018-1, Cl. B, 3.34%, 6/22/233 | 90,000 | 90,752 | ||||||
Electric Utilities0.2% | Drive Auto Receivables Trust: | ||||||||
Duke Energy Corp. | 4,390 | 395,100 | Series 2015-BA, Cl. D, 3.84%, 7/15/213 | 9,833 | 9,845 | ||||
Gas Utilities0.3% | Series 2016-CA, Cl. D, 4.18%, 3/15/243 | 170,000 | 172,192 | ||||||
Suburban Propane Partners LP2 | 22,085 | 494,925 | Series 2017-1, Cl. D, 3.84%, 3/15/23 | 225,000 | 226,812 | ||||
Multi-Utilities0.6% | Series 2018-1, Cl. D, 3.81%, 5/15/24 | 160,000 | 161,388 | ||||||
Dominion Energy, Inc. | 7,850 | 601,781 | Series 2018-2, Cl. D, 4.14%, 8/15/24 | 315,000 | 320,466 | ||||
National Grid plc | 54,250 | 603,255 | Series 2018-3, Cl. C, 3.72%, 9/16/24 | 120,000 | 121,156 | ||||
1,205,036 | Series 2018-3, Cl. D, 4.30%, 9/16/24 | 215,000 | 219,633 | ||||||
Total Common Stocks (Cost $56,408,509) | 65,142,678 | Series 2018-5, Cl. C, 3.99%, 1/15/25 | 210,000 | 214,554 | |||||
Series 2019-1, Cl. C, 3.78%, 4/15/25 | 340,000 | 345,234 | |||||||
Principal | DT Auto Owner Trust: | ||||||||
Amount | Series 2016-4A, Cl. E, 6.49%, 9/15/233 | 75,000 | 76,806 | ||||||
Asset-Backed Securities9.2% | Series 2017-1A, Cl. D, 3.55%, | ||||||||
American Credit Acceptance Receivables Trust: | 11/15/223 | 150,000 | 150,473 | ||||||
Series 2015-3, Cl. D, 5.86%, 7/12/223 | $ | 135,000 | 135,141 | Series 2017-1A, Cl. E, 5.79%, 2/15/243 | 285,000 | 292,549 | |||
Series 2017-4, Cl. B, 2.61%, 5/10/213 | 42,177 | 42,162 | Series 2017-2A, Cl. D, 3.89%, 1/15/233 | 180,000 | 181,090 | ||||
Series 2017-4, Cl. C, 2.94%, 1/10/243 | 195,000 | 194,729 | Series 2017-3A, Cl. D, 3.58%, 5/15/233 | 75,000 | 75,402 | ||||
Series 2017-4, Cl. D, 3.57%, 1/10/243 | 246,000 | 246,203 | Series 2017-3A, Cl. E, 5.60%, 8/15/243 | 155,000 | 160,147 | ||||
Series 2018-2, Cl. C, 3.70%, 7/10/243 | 275,000 | 276,346 | Series 2017-4A, Cl. D, 3.47%, 7/17/233 | 205,000 | 205,554 | ||||
Series 2018-3, Cl. B, 3.49%, 6/13/223 | 80,000 | 80,220 | Series 2017-4A, Cl. E, 5.15%, | ||||||
Series 2018-4, Cl. C, 3.97%, 1/13/253 | 180,000 | 182,521 | 11/15/243 | 150,000 | 153,244 | ||||
AmeriCredit Automobile Receivables Trust: | Series 2018-3A, Cl. B, 3.56%, 9/15/223 | 270,000 | 272,077 | ||||||
Series 2017-2, Cl. D, 3.42%, 4/18/23 | 320,000 | 321,848 | Series 2018-3A, Cl. C, 3.79%, 7/15/243 | 105,000 | 106,186 | ||||
Series 2017-4, Cl. D, 3.08%, 12/18/23 | 205,000 | 205,225 | Element Rail Leasing I LLC, Series | ||||||
Series 2018-3, Cl. C, 3.74%, 10/18/24 | 260,000 | 266,206 | 2014-1A, Cl. A1, 2.299%, 4/19/443 | 114,486 | 114,136 | ||||
Ameriquest Mortgage Securities, Inc. | Exeter Automobile Receivables Trust: | ||||||||
Asset-Backed Pass-Through Certificates, | Series 2018-1A, Cl. B, 2.75%, 4/15/223 | 155,000 | 154,830 | ||||||
Series 2005-R5, Cl. M2, 3.176% | Series 2018-4A, Cl. B, 3.64%, | ||||||||
[US0001M+69], 7/25/354 | 78,660 | 78,949 | 11/15/223 | 220,000 | 221,906 | ||||
Capital Auto Receivables Asset Trust: | Series 2019-1A, Cl. D, 4.13%, | ||||||||
Series 2017-1, Cl. D, 3.15%, 2/20/253 | 40,000 | 39,802 | 12/16/243 | 190,000 | 194,342 |
2 OPPENHEIMER CONSERVATIVE BALANCED FUND/VA
Principal | Principal | ||||||||||
Amount | Value | Amount | Value | ||||||||
Asset-Backed Securities (Continued) | FHLMC/FNMA/FHLB/Sponsored (Continued) | ||||||||||
Flagship Credit Auto Trust, Series 2016- | Federal Home Loan Mortgage Corp. Gold Pool: (Continued) | ||||||||||
1, Cl. C | , 6.22%, 6/15/223 | $ | 380,000 | $ | 393,400 | 6.50%, 7/1/28-4/1/34 | $ | 17,769 | $ | 19,689 | |
FRS I LLC, Series 2013-1A, Cl. A1, | 7.00%, 10/1/31-10/1/37 | 54,231 | 60,431 | ||||||||
1.80%, 4/15/433 | 1,120 | 1,119 | 9.00%, 8/1/22-5/1/25 | 884 | 947 | ||||||
GE Capital Credit Card Master Note | Federal Home Loan Mortgage Corp., Interest-Only Stripped Mtg.-Backed Security: | ||||||||||
Trust, Series 2012-7, Cl. B, 2.21%, | Series 183,Cl. IO, 86.754%, 4/1/276 | 40,236 | 8,592 | ||||||||
9/15/22 | 200,000 | 199,235 | Series 192,Cl. IO, 99.999%, 2/1/286 | 10,853 | 2,123 | ||||||
GLS Auto Receivables Trust: | Series 243,Cl. 6, 5.885%, 12/15/326 | 31,989 | 6,009 | ||||||||
Series 2018-1A, Cl. A, 2.82%, 7/15/225 | 206,541 | 206,243 | Series 304,Cl. C31, 9.481%, 12/15/276 | 158,014 | 12,828 | ||||||
Series 2018-3A, Cl. A, 3.35%, 8/15/223 | 105,424 | 105,593 | Series 304,Cl. C45, 6.833%, 12/15/276 | 77,771 | 6,272 | ||||||
GM Financial Automobile Leasing Trust: | Series 304,Cl. C47, 5.553%, 12/15/276 | 73,075 | 6,163 | ||||||||
Series 2017-3, Cl. C, 2.73%, 9/20/21 | 120,000 | 119,419 | Federal Home Loan Mortgage Corp., | ||||||||
Series 2018-2, Cl. C, 3.50%, 4/20/22 | 145,000 | 145,729 | Mtg.-Linked Amortizing Global Debt | ||||||||
GMF Floorplan Owner Revolving Trust: | Securities, Series 2012-1, Cl. A10, | ||||||||||
Series 2018-3, Cl. B, 3.49%, 9/15/223 | 250,000 | 252,218 | 2.06%, 1/15/22 | 113,034 | 111,983 | ||||||
Series 2018-3, Cl. C, 3.68%, 9/15/223 | 210,000 | 211,906 | Federal Home Loan Mortgage Corp., Multifamily Structured Pass-Through Certificates, | ||||||||
Series 2018-4, Cl. B, 3.68%, 9/15/233 | 210,000 | 213,668 | Interest-Only Stripped Mtg.-Backed Security: | ||||||||
Series 2018-4, Cl. C, 3.88%, 9/15/233 | 265,000 | 269,667 | Series KC02,Cl. X1, 0.00%, 3/25/246,7 | 4,864,523 | 84,886 | ||||||
Navistar Financial Dealer Note Master Owner Trust II: | Series KC03,Cl. X1, 0.00%, 11/25/246,7 | 2,715,000 | 68,945 | ||||||||
Series 2017-1, Cl. C, 4.036% | Federal Home Loan Mortgage Corp., | ||||||||||
[US0001M+155], 6/27/223,4 | 60,000 | 60,074 | Principal-Only Stripped Mtg.-Backed | ||||||||
Series 2017-1, Cl. D, 4.786% | Security, Series 176, Cl. PO, 4.198%, | ||||||||||
[US0001M+230], 6/27/223,4 | 75,000 | 75,038 | 6/1/268 | 12,006 | 11,023 | ||||||
Series 2018-1, Cl. A, 3.116% | Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass | ||||||||||
[US0001M+63], 9/25/233,4 | 115,000 | 115,213 | Pass-Through Certificates: | ||||||||
Series 2018-1, Cl. B, 3.286% | Series 2427,Cl. ZM, 6.50%, 3/15/32 | 74,548 | 82,147 | ||||||||
[US0001M+80], 9/25/233,4 | 135,000 | 135,177 | Series 2461,Cl. PZ, 6.50%, 6/15/32 | 28,986 | 31,941 | ||||||
Santander Drive Auto Receivables Trust: | Series 2626,Cl. TB, 5.00%, 6/15/33 | 44,300 | 46,054 | ||||||||
Series 2017-1, Cl. D, 3.17%, 4/17/23 | 175,000 | 175,219 | Series 2635,Cl. AG, 3.50%, 5/15/32 | 24,563 | 24,870 | ||||||
Series 2017-1, Cl. E, 5.05%, 7/15/243 | 410,000 | 419,473 | Series 3010,Cl. WB, 4.50%, 7/15/20 | 2,402 | 2,406 | ||||||
Series 2017-3, Cl. D, 3.20%, 11/15/23 | 295,000 | 294,866 | Series 3025,Cl. SJ, 15.643% [-3.667 x | ||||||||
Series 2018-1, Cl. D, 3.32%, 3/15/24 | 110,000 | 110,384 | LIBOR01M+2,475], 8/15/354 | 10,792 | 15,677 | ||||||
Series 2018-2, Cl. D, 3.88%, 2/15/24 | 170,000 | 172,531 | Series 3030,Cl. FL, 2.884% | ||||||||
Series 2018-3, Cl. C, 3.51%, 8/15/23 | 440,000 | 442,748 | [LIBOR01M+40], 9/15/354 | 57,498 | 57,524 | ||||||
Series 2018-4, Cl. C, 3.56%, 7/15/24 | 300,000 | 303,102 | Series 3822,Cl. JA, 5.00%, 6/15/40 | 15,795 | 16,088 | ||||||
Series 2018-5, Cl. C, 3.81%, 12/16/24 | 225,000 | 228,506 | Series 3848,Cl. WL, 4.00%, 4/15/40 | 49,654 | 50,306 | ||||||
Santander Retail Auto Lease Trust, | Series 3857,Cl. GL, 3.00%, 5/15/40 | 3,443 | 3,508 | ||||||||
Series 2017-A, Cl. C, 2.96%, 11/21/223 | 195,000 | 194,653 | Series 4221,Cl. HJ, 1.50%, 7/15/23 | 317,113 | 311,327 | ||||||
TCF Auto Receivables Owner Trust, | Federal Home Loan Mortgage Corp., Real Estate Mtg. Investment Conduit Multiclass | ||||||||||
Series 2015-1A, Cl. D, 3.53%, 3/15/223 | 190,000 | 189,988 | Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security: | ||||||||
United Auto Credit Securitization Trust, | Series 2130,Cl. SC, 56.782%, 3/15/296 | 29,268 | 3,877 | ||||||||
Series 2018-1, Cl. C, 3.05%, 9/10/213 | 285,000 | 285,164 | Series 2796,Cl. SD, 46.218%, 7/15/266 | 52,918 | 6,112 | ||||||
Veros Automobile Receivables Trust, | Series 2920,Cl. S, 11.792%, 1/15/356 | 301,526 | 48,449 | ||||||||
Series 2017-1, Cl. A, 2.84%, 4/17/233 | 34,417 | 34,365 | Series 2922,Cl. SE, 15.113%, 2/15/356 | 17,427 | 2,869 | ||||||
Westlake Automobile Receivables Trust: | Series 2981,Cl. AS, 0.668%, 5/15/356 | 150,730 | 20,921 | ||||||||
Series 2016-1A, Cl. E, 6.52%, 6/15/223 | 270,000 | 271,229 | Series 3397,Cl. GS, 0.00%, 12/15/376,7 | 19,615 | 3,429 | ||||||
Series 2017-2A, Cl. E, 4.63%, 7/15/243 | 320,000 | 322,405 | Series 3424,Cl. EI, 0.00%, 4/15/386,7 | 6,860 | 681 | ||||||
Series 2018-1A, Cl. D, 3.41%, 5/15/233 | 315,000 | 315,855 | Series 3450,Cl. BI, 7.441%, 5/15/386 | 53,422 | 7,829 | ||||||
Series 2018-3A, Cl. B, 3.32%, | Series 3606,Cl. SN, 11.24%, 12/15/396 | 27,674 | 3,596 | ||||||||
10/16/233 | 252,000 | 252,880 | Series 4057,Cl. QI, 4.56%, 6/15/276 | 510,595 | 38,524 | ||||||
World Financial Network Credit Card Master Trust: | Series 4146,Cl. AI, 10.738%, 12/15/276 | 201,276 | 15,647 | ||||||||
Series 2018-A, Cl. A, 3.07%, 12/16/24 | 540,000 | 543,101 | Series 4205,Cl. AI, 8.248%, 5/15/286 | 124,994 | 9,238 | ||||||
Series 2018-B, Cl. A, 3.46%, 7/15/25 | 245,000 | 249,394 | Series 4818,Cl. BI, 0.00%, 3/15/456,7 | 202,203 | 33,851 | ||||||
Series 2018-C, Cl. A, 3.55%, 8/15/25 | 490,000 | 499,105 | Federal Home Loan Mortgage Corp., | ||||||||
Series 2019-A, Cl. A, 3.14%, 12/15/25 | 160,000 | 161,639 | STACR Trust, Series 2019-DNA1, | ||||||||
Total Asset-Backed Securities (Cost | Cl. M2, 5.136% [US0001M+265], | ||||||||||
$ | 17,586,714 | ) | 17,720,728 | 1/25/493,4 | 265,000 | 269,707 | |||||
Federal National Mortgage Assn.: | |||||||||||
Mortgage-Backed Obligations29.4% | 2.50%, 4/1/349 | 1,560,000 | 1,550,991 | ||||||||
Government Agency19.0% | 3.00%, 4/1/34-4/1/499 | 1,505,000 | 1,516,451 | ||||||||
FHLMC/FNMA/FHLB/Sponsored16.5% | 3.50%, 4/1/499 | 8,240,000 | 8,354,909 | ||||||||
Federal Home Loan Mortgage Corp., | 4.00%, 4/1/499 | 10,100,000 | 10,390,375 | ||||||||
Series 2018-HQA2, Cl. M1, 3.236% | 4.50%, 4/1/499 | 3,345,000 | 3,485,774 | ||||||||
[US0001M+75], 10/25/483,4 | 395,000 | 394,843 | 5.00%, 4/1/499 | 2,405,000 | 2,543,241 | ||||||
Federal Home Loan Mortgage Corp. Gold Pool: | Federal National Mortgage Assn. Pool: | ||||||||||
5.00%, 12/1/34 | 1,832 | 1,963 | 5.00%, 3/1/21 | 217 | 222 | ||||||
5.50%, 9/1/39 | 209,310 | 227,663 | 5.50%, 9/1/20 | 589 | 593 | ||||||
6.00%, 3/1/37 | 98,184 | 108,485 |
3 OPPENHEIMER CONSERVATIVE BALANCED FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued | ||||||||||
Principal | Principal | |||||||||
Amount | Value | Amount | Value | |||||||
FHLMC/FNMA/FHLB/Sponsored (Continued) | FHLMC/FNMA/FHLB/Sponsored (Continued) | |||||||||
Federal National Mortgage Assn. Pool: (Continued) | Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass | |||||||||
7.00%, 10/1/35 | $ | 3,034 | $ | 3,035 | Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security: (Continued) | |||||
7.50%, 1/1/33 | 42,892 | 49,934 | Series 2002-84,Cl. SA, 6.452%, | |||||||
8.50%, 7/1/32 | 1,338 | 1,353 | 12/25/326 | $ | 67,725 | $ | 13,281 | |||
Federal National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | Series 2002-9,Cl. MS, 14.057%, | |||||||||
Series 222,Cl. 2, 99.999%, 6/25/236 | 70,630 | 7,453 | 3/25/326 | 19,346 | 3,705 | |||||
Series 233,Cl. 2, 62.527%, 8/25/236 | 41,504 | 4,345 | Series 2003-33,Cl. SP, 9.68%, 5/25/336 | 75,012 | 14,628 | |||||
Series 252,Cl. 2, 99.999%, 11/25/236 | 58,557 | 6,993 | Series 2003-4,Cl. S, 3.818%, 2/25/336 | 40,557 | 8,098 | |||||
Series 319,Cl. 2, 22.126%, 2/25/326 | 18,469 | 4,079 | Series 2003-46,Cl. IH, 0.00%, | |||||||
Series 320,Cl. 2, 61.689%, 4/25/326 | 6,935 | 1,604 | 6/25/236,7 | 102,848 | 8,246 | |||||
Series 321,Cl. 2, 29.124%, 4/25/326 | 68,276 | 15,776 | Series 2004-54,Cl. DS, 47.892%, | |||||||
Series 331,Cl. 9, 14.788%, 2/25/336 | 79,009 | 16,070 | 11/25/306 | 56,030 | 8,176 | |||||
Series 334,Cl. 17, 33.006%, 2/25/336 | 43,208 | 9,159 | Series 2004-56,Cl. SE, 5.912%, | |||||||
Series 339,Cl. 12, 0.00%, 6/25/336,7 | 57,349 | 12,907 | 10/25/336 | 14,376 | 2,688 | |||||
Series 339,Cl. 7, 0.00%, 11/25/336,7 | 164,761 | 35,983 | Series 2005-12,Cl. SC, 19.415%, | |||||||
Series 343,Cl. 13, 0.00%, 9/25/336,7 | 61,283 | 12,965 | 3/25/356 | 8,020 | 1,206 | |||||
Series 345,Cl. 9, 0.00%, 1/25/346,7 | 56,836 | 11,963 | Series 2005-14,Cl. SE, 11.89%, | |||||||
Series 351,Cl. 10, 0.00%, 4/25/346,7 | 7,459 | 1,676 | 3/25/356 | 27,703 | 3,600 | |||||
Series 351,Cl. 8, 0.00%, 4/25/346,7 | 26,679 | 5,989 | Series 2005-40,Cl. SA, 21.282%, | |||||||
Series 356,Cl. 10, 0.00%, 6/25/356,7 | 18,154 | 3,708 | 5/25/356 | 149,655 | 23,962 | |||||
Series 356,Cl. 12, 0.00%, 2/25/356,7 | 9,766 | 2,017 | Series 2005-52,Cl. JH, 22.417%, | |||||||
Series 362,Cl. 13, 0.00%, 8/25/356,7 | 69,492 | 15,537 | 5/25/356 | 385,703 | 57,948 | |||||
Series 364,Cl. 16, 0.00%, 9/25/356,7 | 50,259 | 10,240 | Series 2005-93,Cl. SI, 0.00%, | |||||||
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass | 10/25/356,7 | 33,732 | 5,072 | |||||||
Pass-Through Certificates: | Series 2007-88,Cl. XI, 0.00%, | |||||||||
Series 1998-61,Cl. PL, 6.00%, | 6/25/376,7 | 73,504 | 11,920 | |||||||
11/25/28 | 29,636 | 32,406 | Series 2008-55,Cl. SA, 0.00%, | |||||||
Series 2003-130,Cl. CS, 9.129% [-2 x | 7/25/386,7 | 28,335 | 3,426 | |||||||
LIBOR01M+1,410], 12/25/334 | 1,203 | 1,236 | Series 2009-8,Cl. BS, 0.00%, 2/25/246,7 | 228 | 12 | |||||
Series 2005-104,Cl. MC, 5.50%, | Series 2011-96,Cl. SA, 5.205%, | |||||||||
12/25/25 | 101,289 | 105,225 | 10/25/416 | 94,369 | 15,050 | |||||
Series 2005-31,Cl. PB, 5.50%, 4/25/35 | 250,000 | 275,538 | Series 2012-121,Cl. IB, 8.077%, | |||||||
Series 2005-73,Cl. DF, 2.736% | 11/25/276 | 217,209 | 17,627 | |||||||
[LIBOR01M+25], 8/25/354 | 44,811 | 44,761 | Series 2012-134,Cl. SA, 0.00%, | |||||||
Series 2006-11,Cl. PS, 15.453% | 12/25/426,7 | 364,528 | 68,907 | |||||||
[ | -3.667 x LIBOR01M+2,456.67], | Series 2012-40,Cl. PI, 22.186%, | ||||||||
3/25/364 | 44,499 | 65,696 | 4/25/416 | 186,324 | 23,163 | |||||
Series 2006-46,Cl. SW, 15.086% | Series 2015-57,Cl. LI, 5.983%, | |||||||||
[ | -3.667 x LIBOR01M+2,419.92], | 8/25/356 | 453,191 | 65,930 | ||||||
6/25/364 | 30,369 | 43,401 | Series 2016-45,Cl. MI, 8.547%, | |||||||
Series 2006-50,Cl. KS, 15.087% | 7/25/466 | 133,307 | 29,916 | |||||||
[ | -3.667 x LIBOR01M+2,420], 6/25/364 | 5,813 | 8,403 | Series 2017-66,Cl. AS, 0.00%, | ||||||
Series 2008-75,Cl. DB, 4.50%, 9/25/23 | 2 | 2 | 9/25/476,7 | 1,124,466 | 164,632 | |||||
Series 2009-113,Cl. DB, 3.00%, | Series 2018-16,Cl. NI, 0.156%, | |||||||||
12/25/20 | 3,302 | 3,288 | 12/25/446 | 103,116 | 15,691 | |||||
Series 2009-36,Cl. FA, 3.426% | Series 2018-69,Cl. CI, 0.00%, | |||||||||
[LIBOR01M+94], 6/25/374 | 21,543 | 22,083 | 10/25/466,7 | 227,701 | 23,079 | |||||
Series 2009-70,Cl. TL, 4.00%, 8/25/19 | 138 | 138 | Federal National Mortgage Assn., | |||||||
Series 2010-43,Cl. KG, 3.00%, 1/25/21 | 4,183 | 4,178 | Real Estate Mtg. Investment Conduit | |||||||
Series 2011-15,Cl. DA, 4.00%, 3/25/41 | 11,924 | 12,169 | Multiclass Pass-Through Certificates, | |||||||
Principal-Only Stripped Mtg.-Backed | ||||||||||
Series 2011-3,Cl. EL, 3.00%, 5/25/20 | 2,666 | 2,657 | Security, Series 1993-184, Cl. M, | |||||||
Series 2011-3,Cl. KA, 5.00%, 4/25/40 | 81,669 | 85,495 | 5.343%, 9/25/238 | 25,656 | 24,200 | |||||
Series 2011-38,Cl. AH, 2.75%, 5/25/20 | 1 | 1 | 31,708,731 | |||||||
Series 2011-82,Cl. AD, 4.00%, 8/25/26 | 19,331 | 19,339 | ||||||||
Federal National Mortgage Assn., Real Estate Mtg. Investment Conduit Multiclass | GNMA/Guaranteed2.5% | |||||||||
Pass-Through Certificates, Interest-Only Stripped Mtg.-Backed Security: | Government National Mortgage Assn. I Pool: | |||||||||
Series 2001-65,Cl. S, 11.688%, | 7.00%, 1/15/24 | 7,631 | 7,640 | |||||||
11/25/316 | 71,921 | 13,592 | 7.50%, 1/15/23-6/15/24 | 12,631 | 12,844 | |||||
Series 2001-81,Cl. S, 14.725%, | 8.00%, 4/15/23 | 5,017 | 5,204 | |||||||
1/25/326 | 18,261 | 3,200 | Government National Mortgage Assn. II | |||||||
Series 2002-47,Cl. NS, 10.534%, | Pool, 3.50%, 4/1/499 | 4,465,000 | 4,563,718 | |||||||
4/25/326 | 51,863 | 9,566 | Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | |||||||
Series 2002-51,Cl. S, 10.827%, | Series 2002-15,Cl. SM, 76.93%, | |||||||||
8/25/326 | 47,623 | 8,784 | 2/16/326 | 75,976 | 512 | |||||
Series 2002-52,Cl. SD, 39.348%, | Series 2002-76,Cl. SY, 0.00%, | |||||||||
9/25/326 | 74,489 | 14,369 | 12/16/266,7 | 129,930 | 319 | |||||
Series 2002-77,Cl. SH, 24.055%, | Series 2007-17,Cl. AI, 37.07%, | |||||||||
12/18/326 | 25,810 | 4,276 | 4/16/376 | 248,084 | 36,326 |
4 OPPENHEIMER CONSERVATIVE BALANCED FUND/VA
Principal | Principal | ||||||||
Amount | Value | Amount | Value | ||||||
GNMA/Guaranteed (Continued) | Commercial (Continued) | ||||||||
Government National Mortgage Assn., Interest-Only Stripped Mtg.-Backed Security: | FREMF Mortgage Trust: | ||||||||
(Continued) | Series 2010-K6,Cl. B, 5.375%, | ||||||||
Series 2011-52,Cl. HS, 17.90%, | 12/25/463,10 | $ | 60,000 | $ | 60,970 | ||||
4/16/416 | $ | 120,123 | $ | 17,582 | Series 2012-K710,Cl. B, 3.933%, | ||||
Series 2017-136,Cl. LI, 6.988%, | 6/25/473,10 | 40,000 | 39,931 | ||||||
9/16/476 | 408,123 | 79,330 | Series 2012-K711,Cl. B, 3.519%, | ||||||
Series 2017-149,Cl. GS, 0.00%, | 8/25/453,10 | 15,000 | 14,990 | ||||||
10/16/476,7 | 427,825 | 65,660 | Series 2012-K711,Cl. C, 3.519%, | ||||||
4,789,135 | 8/25/453,10 | 135,000 | 134,834 | ||||||
Non-Agency10.4% | Series 2013-K25,Cl. C, 3.623%, | ||||||||
Commercial5.3% | 11/25/453,10 | 60,000 | 60,386 | ||||||
BANK, Interest-Only Stripped Mtg.- | Series 2013-K26,Cl. C, 3.598%, | ||||||||
Backed Security, Series 2019-BN16, Cl. | 12/25/453,10 | 40,000 | 40,237 | ||||||
XA, 10.805%, 2/15/526 | 1,579,139 | 116,949 | Series 2013-K27,Cl. C, 3.496%, | ||||||
BCAP LLC Trust, Series 2011-R11, | 1/25/463,10 | 110,000 | 110,310 | ||||||
Cl. 18A5, 4.69% [H15T1Y+210], | Series 2013-K28,Cl. C, 3.49%, | ||||||||
9/26/353,4 | 14,659 | 14,722 | 6/25/463,10 | 450,000 | 451,416 | ||||
Benchmark Mortgage Trust, Interest- | Series 2013-K712,Cl. C, 3.359%, | ||||||||
Only Commercial Mtg. Pass-Through | 5/25/453,10 | 75,000 | 74,937 | ||||||
Certificates, Series 2018-B1, Cl. XA, | Series 2013-K713,Cl. C, 3.155%, | ||||||||
10.646%, 1/15/516 | 2,191,893 | 80,409 | 4/25/463,10 | 275,000 | 274,477 | ||||
CD Mortgage Trust, Interest-Only | Series 2014-K715,Cl. C, 4.122%, | ||||||||
Commercial Mtg. Pass-Through | 2/25/463,10 | 180,000 | 182,243 | ||||||
Certificates, Series 2017-CD6, Cl. XA, | GS Mortgage Securities Trust: | ||||||||
12.622%, 11/13/506 | 879,687 | 50,435 | Series 2012-GC6,Cl. A3, 3.482%, | ||||||
Chase Mortgage Finance Trust, Series | 1/10/45 | 54,793 | 55,605 | ||||||
2005-A2, Cl. 1A3, 4.349%, 1/25/3610 | 99,439 | 97,248 | Series 2013-GC12,Cl. AAB, 2.678%, | ||||||
Citigroup Commercial Mortgage Trust: | 6/10/46 | 28,939 | 28,807 | ||||||
Series 2012-GC8,Cl. AAB, 2.608%, | Series 2013-GC16,Cl. AS, 4.649%, | ||||||||
9/10/45 | 87,128 | 86,850 | 11/10/46 | 65,000 | 69,395 | ||||
Series 2014-GC21,Cl. AAB, 3.477%, | Series 2014-GC18,Cl. AAB, 3.648%, | ||||||||
5/10/47 | 105,000 | 106,903 | 1/10/47 | 86,950 | 88,482 | ||||
Citigroup Commercial Mortgage Trust, Interest-Only Commercial Mtg. Pass-Through | GSMSC Pass-Through Trust, Series | ||||||||
Certificates: | 2009-3R, Cl. 1A2, 6.00%, 4/25/373,10 | 195,567 | 187,334 | ||||||
Series 2013-GC17,Cl. XA, 0.00%, | JP Morgan Chase Commercial Mortgage Securities Trust: | ||||||||
11/10/466,7 | 423,224 | 17,283 | Series 2012-LC9,Cl. A4, 2.611%, | ||||||
Series 2017-C4,Cl. XA, 11.938%, | 12/15/47 | 11,934 | 11,923 | ||||||
10/12/506 | 2,351,445 | 161,430 | Series 2013-C10,Cl. AS, 3.372%, | ||||||
COMM Mortgage Trust: | 12/15/47 | 325,000 | 328,228 | ||||||
Series 2013-CR6,Cl. AM, 3.147%, | Series 2013-C16,Cl. AS, 4.517%, | ||||||||
3/10/463 | 255,000 | 255,662 | 12/15/46 | 330,000 | 349,199 | ||||
Series 2014-CR17,Cl. ASB, 3.598%, | Series 2013-LC11,Cl. AS, 3.216%, | ||||||||
5/10/47 | 255,000 | 260,245 | 4/15/46 | 78,000 | 78,246 | ||||
Series 2014-CR20,Cl. ASB, 3.305%, | Series 2014-C20,Cl. AS, 4.043%, | ||||||||
11/10/47 | 70,000 | 71,107 | 7/15/47 | 245,000 | 254,380 | ||||
Series 2014-CR21,Cl. AM, 3.987%, | Series 2016-JP3,Cl. A2, 2.435%, | ||||||||
12/10/47 | 865,000 | 890,574 | 8/15/49 | 203,137 | 201,302 | ||||
Series 2014-LC15,Cl. AM, 4.198%, | JP Morgan Mortgage Trust, Series | ||||||||
4/10/47 | 140,000 | 145,840 | 2007-A1, Cl. 5A1, 4.687%, 7/25/3510 | 73,876 | 76,144 | ||||
Series 2014-UBS6,Cl. AM, 4.048%, | JP Morgan Resecuritization Trust, Series | ||||||||
12/10/47 | 495,000 | 505,967 | 2009-5, Cl. 1A2, 4.542%, 7/26/363,10 | 100,007 | 100,130 | ||||
Series 2015-CR22,Cl. A2, 2.856%, | JPMBB Commercial Mortgage Securities Trust: | ||||||||
3/10/48 | 124,344 | 124,249 | Series 2014-C18,Cl. A3, 3.578%, | ||||||
COMM Mortgage Trust, Interest- | 2/15/47 | 66,037 | 66,660 | ||||||
Only Stripped Mtg.-Backed Security, | Series 2014-C19,Cl. ASB, 3.584%, | ||||||||
Series 2012-CR5, Cl. XA, 21.379%, | 4/15/47 | 42,769 | 43,564 | ||||||
12/10/456 | 319,349 | 15,085 | Series 2014-C24,Cl. B, 4.116%, | ||||||
CSMC Mortgage-Backed Trust, Series | 11/15/4710 | 270,000 | 276,412 | ||||||
2006-6, Cl. 1A4, 6.00%, 7/25/36 | 121,028 | 99,144 | Series 2014-C25,Cl. AS, 4.065%, | ||||||
Federal Home Loan Mortgage Corp., | 11/15/47 | 105,000 | 108,919 | ||||||
Series 2019-HQA1, Cl. M2, 4.836% | JPMBB Commercial Mortgage | ||||||||
[US0001M+235], 2/25/493,4 | 130,000 | 131,050 | Securities Trust., Interest-Only Stripped | ||||||
First Horizon Alternative Mortgage | Mtg.-Backed Security, Series 2015-C27, | ||||||||
Securities Trust, Series 2005-FA8, | Cl. XA, 24.311%, 2/15/486 | 2,923,952 | 136,218 | ||||||
Cl. 1A6, 3.136% [US0001M+65], | MASTR Adjustable Rate Mortgages | ||||||||
11/25/354 | 73,380 | 52,611 | Trust, Series 2004-13, Cl. 2A2, | ||||||
4.727%, 4/21/3410 | 23,861 | 24,543 |
5 OPPENHEIMER CONSERVATIVE BALANCED FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued | |||||||||||
Principal | Principal | ||||||||||
Amount | Value | Amount | Value | ||||||||
Commercial (Continued) | Residential (Continued) | ||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | Bear Stearns ARM Trust: (Continued) | ||||||||||
Series 2013-C7,Cl. AAB, 2.469%, | Series 2006-1,Cl. A1, 4.91% | ||||||||||
2/15/46 | $ | 85,860 | $ | 85,410 | [H15T1Y+225], 2/25/364 | $ | 115,457 | $ | 116,748 | ||
Series 2013-C9,Cl. AS, 3.456%, | CHL Mortgage Pass-Through Trust: | ||||||||||
5/15/46 | 240,000 | 243,464 | Series 2005-26,Cl. 1A8, 5.50%, | ||||||||
Series 2014-C19,Cl. AS, 3.832%, | 11/25/35 | 55,307 | 49,923 | ||||||||
12/15/47 | 720,000 | 738,411 | Series 2006-6,Cl. A3, 6.00%, 4/25/36 | 34,229 | 27,957 | ||||||
Morgan Stanley Capital I Trust: | Citigroup Mortgage Loan Trust, Inc., | ||||||||||
Series 2011-C1,Cl. A4, 5.033%, | Series 2006-AR1, Cl. 1A1, 4.97% | ||||||||||
9/15/473,10 | 45,116 | 46,259 | [H15T1Y+240], 10/25/354 | 296,170 | 300,599 | ||||||
Series 2011-C2,Cl. A4, 4.661%, | Connecticut Avenue Securities: | ||||||||||
6/15/443 | 70,000 | 72,121 | Series 2014-C02,Cl. 1M2, 5.086% | ||||||||
Morgan Stanley Capital I, Inc., Interest- | [US0001M+260], 5/25/244 | 115,000 | 120,661 | ||||||||
Only Commercial Mtg. Pass-Through | Series 2014-C03,Cl. 1M2, 5.486% | ||||||||||
Certificates, Series 2017-HR2, Cl. XA, | [US0001M+300], 7/25/244 | 306,719 | 325,871 | ||||||||
10.363%, 12/15/506 | 769,866 | 42,814 | Series 2014-C03,Cl. 2M2, 5.386% | ||||||||
Morgan Stanley Re-Remic Trust, Series | [US0001M+290], 7/25/244 | 34,037 | 35,665 | ||||||||
2012-R3, Cl. 1B, 3.644%, 11/26/363,10 | 243,429 | 226,654 | Series 2016-C02,Cl. 1M2, 8.486% | ||||||||
Morgan Stanley Resecuritization Trust, | [US0001M+600], 9/25/284 | 128,967 | 147,067 | ||||||||
Series 2013-R9, Cl. 3A, 3.912%, | Series 2016-C03,Cl. 1M1, 4.486% | ||||||||||
6/26/463,10 | 83,721 | 83,880 | [US0001M+200], 10/25/284 | 48,419 | 48,799 | ||||||
RBSSP Resecuritization Trust, Series | Series 2017-C07,Cl. 1M2, 4.886% | ||||||||||
2010-1, Cl. 2A1, 4.433%, 7/26/453,10 | 13,144 | 13,507 | [US0001M+240], 5/25/304 | 225,000 | 230,019 | ||||||
Structured Adjustable Rate Mortgage | Series 2018-C01,Cl. 1M1, 3.086% | ||||||||||
Loan Trust, Series 2004-10, Cl. 2A, | [US0001M+60], 7/25/304 | 390,941 | 390,196 | ||||||||
4.493%, 8/25/3410 | 130,978 | 131,665 | Series 2018-C02,Cl. 2M2, 4.686% | ||||||||
UBS Commercial Mortgage Trust, | [US0001M+220], 8/25/304 | 225,000 | 224,631 | ||||||||
Interest-Only Commercial Mtg. Pass- | Series 2018-C03,Cl. 1M1, 3.166% | ||||||||||
Through Certificates, Series 2017-C5, | [US0001M+68], 10/25/304 | 253,805 | 253,786 | ||||||||
Cl. XA, 12.272%, 11/15/506 | 1,516,445 | 93,415 | Series 2018-C03,Cl. 1M2, 4.636% | ||||||||
Wells Fargo Commercial Mortgage | [US0001M+215], 10/25/304 | 260,000 | 259,990 | ||||||||
Trust, Series 2015-NXS1, Cl. ASB, | Series 2018-C04,Cl. 2M2, 5.036% | ||||||||||
2.934%, 5/15/48 | 355,000 | 355,639 | [US0001M+255], 12/25/304 | 250,000 | 251,936 | ||||||
Wells Fargo Commercial Mortgage | Series 2018-C05,Cl. 1M1, 3.206% | ||||||||||
Trust, Interest-Only Commercial Mtg. | [US0001M+72], 1/25/314 | 103,036 | 103,048 | ||||||||
Pass-Through Certificates, Series 2017- | Series 2018-C05,Cl. 1M2, 4.836% | ||||||||||
C42, Cl. XA | , 10.338%, 12/15/506 | 1,074,442 | 68,187 | [US0001M+235], 1/25/314 | 110,000 | 110,614 | |||||
Wells Fargo Mortgage Backed | Series 2018-C06,Cl. 2M1, 3.036% | ||||||||||
Securities Trust, Series 2019-1, Cl. A7, | [US0001M+55], 3/25/314 | 43,664 | 43,613 | ||||||||
4.00%, 11/25/483,10 | 150,536 | 153,249 | Series 2018-C06,Cl. 2M2, 4.586% | ||||||||
WF-RBS Commercial Mortgage Trust: | [US0001M+210], 3/25/314 | 305,000 | 301,531 | ||||||||
Series 2013-C14,Cl. AS, 3.488%, | Connecticut Avenue Securities Trust: | ||||||||||
6/15/46 | 155,000 | 156,578 | Series 2019-R01,Cl. 2M2, 4.936% | ||||||||
Series 2014-C20,Cl. AS, 4.176%, | [US0001M+245], 7/25/313,4 | 265,000 | 265,776 | ||||||||
5/15/47 | 150,000 | 155,640 | Series 2019-R02,Cl. 1M1, 3.336% | ||||||||
Series 2014-C22,Cl. A3, 3.528%, | [US0001M+85], 8/25/313,4 | 310,000 | 310,804 | ||||||||
9/15/57 | 45,000 | 45,711 | GSR Mortgage Loan Trust, Series 2005- | ||||||||
Series 2014-LC14,Cl. AS, 4.351%, | AR4, Cl | . 6A1, 4.329%, 7/25/3510 | 15,897 | 16,059 | |||||||
3/15/4710 | 165,000 | 173,214 | HomeBanc Mortgage Trust, | ||||||||
WF-RBS Commercial Mortgage Trust, | Series 2005-3, Cl. A2, 2.796% | ||||||||||
Interest-Only Commercial Mtg. Pass- | [US0001M+31], 7/25/354 | 17,581 | 17,511 | ||||||||
Through Certificates, Series 2011-C3, | RALI Trust, Series 2006-QS13, Cl. 1A8, | ||||||||||
Cl. XA, 27.206%, 3/15/443,6 | 2,032,443 | 43,950 | 6.00%, 9/25/36 | 7,552 | 6,715 | ||||||
10,143,753 | STACR Trust: | ||||||||||
Residential5.1% | Series 2018-DNA2,Cl. M1, 3.286% | ||||||||||
Alternative Loan Trust, Series 2005- | [US0001M+80], 12/25/303,4 | 445,000 | 445,061 | ||||||||
29CB, Cl. A4, 5.00%, 7/25/35 | 182,890 | 157,039 | Series 2018-DNA3,Cl. M1, 3.236% | ||||||||
Banc of America Funding Trust: | [US0001M+75], 9/25/483,4 | 75,000 | 74,954 | ||||||||
Series 2007-1,Cl. 1A3, 6.00%, 1/25/37 | 40,544 | 37,755 | Series 2018-DNA3,Cl. M2, 4.586% | ||||||||
Series 2007-C,Cl. 1A4, 4.622%, | [US0001M+210], 9/25/483,4 | 275,000 | 271,754 | ||||||||
5/20/3610 | 14,433 | 14,328 | Series 2018-HRP2,Cl. M2, 3.736% | ||||||||
Series 2014-R7,Cl. 3A1, 4.954%, | [US0001M+125], 2/25/473,4 | 215,000 | 216,003 | ||||||||
3/26/363,10 | 40,773 | 40,879 | Structured Agency Credit Risk Debt Nts.: | ||||||||
Banc of America Mortgage Trust, Series | Series 2013-DN2,Cl. M2, 6.736% | ||||||||||
2004-E, Cl. 2A6, 4.39%, 6/25/3410 | 44,173 | 44,235 | [US0001M+425], 11/25/234 | 207,513 | 226,802 | ||||||
Bear Stearns ARM Trust: | Series 2014-DN1,Cl. M2, 4.686% | ||||||||||
Series 2005-9,Cl. A1, 4.73% | [US0001M+220], 2/25/244 | 38,277 | 38,944 | ||||||||
[H15T1Y+230], 10/25/354 | 311,900 | 316,564 |
6 OPPENHEIMER CONSERVATIVE BALANCED FUND/VA
Principal | Principal | ||||||||||
Amount | Value | Amount | Value | ||||||||
Residential (Continued) | Automobiles (Continued) | ||||||||||
Structured Agency Credit Risk Debt Nts.: (Continued) | Harley-Davidson Financial Services, Inc., | ||||||||||
Series 2014-DN1,Cl. M3, 6.986% | 2.40% Sr. Unsec. Nts., 6/15/203 | $ | 337,000 | $ | 333,232 | ||||||
[US0001M+450], 2/25/244 | $ | 160,000 | $ | 178,455 | Hyundai Capital America: | ||||||
Series 2014-DN2,Cl. M3, 6.086% | 1.75% Sr. Unsec. Nts., 9/27/193 | 260,000 | 258,714 | ||||||||
[US0001M+360], 4/25/244 | 185,000 | 199,938 | 4.125% Sr. Unsec. Nts., 6/8/233 | 336,000 | 342,645 | ||||||
Series 2014-HQ2,Cl. M3, 6.236% | Nissan Motor Acceptance Corp., 3.65% | ||||||||||
[US0001M+375], 9/25/244 | 335,000 | 371,001 | Sr. Unsec. Nts., 9/21/213 | 326,000 | 327,908 | ||||||
Series 2015-HQA2,Cl. M2, 5.286% | Volkswagen Group of America Finance | ||||||||||
[US0001M+280], 5/25/284 | 3,795 | 3,871 | LLC, 4.00% Sr. Unsec. Nts., 11/12/213 | 311,000 | 317,481 | ||||||
Series 2016-DNA1,Cl. M2, 5.39% | 2,523,468 | ||||||||||
[US0001M+290], 7/25/284 | 29,134 | 29,649 | Diversified Consumer Services0.2% | ||||||||
Series 2016-DNA4,Cl. M3, 6.286% | |||||||||||
[US0001M+380], 3/25/294 | 355,000 | 390,599 | Service Corp. International, 4.625% Sr. | ||||||||
Series 2016-HQA3,Cl. M3, 6.336% | Unsec. Nts., 12/15/27 | 322,000 | 321,195 | ||||||||
[US0001M+385], 3/25/294 | 120,000 | 132,564 | Entertainment0.2% | ||||||||
Series 2016-HQA4,Cl. M3, 6.386% | Fox Corp., 3.666% Sr. Unsec. Nts., | ||||||||||
[US0001M+390], 4/25/294 | 350,000 | 386,886 | 1/25/223 | 245,000 | 250,009 | ||||||
Series 2017-HQA1,Cl. M1, 3.686% | Viacom, Inc., 4.375% Sr. Unsec. Nts., | ||||||||||
[US0001M+120], 8/25/294 | 383,470 | 384,551 | 3/15/43 | 105,000 | 94,410 | ||||||
Series 2018-DNA1,Cl. M1, 2.936% | Walt Disney Co. (The), 4.75% Sr. Unsec. | ||||||||||
[US0001M+45], 7/25/304 | 586,448 | 583,998 | Nts., 11/15/463 | 92,000 | 107,226 | ||||||
Series 2018-DNA1,Cl. M2, 4.286% | 451,645 | ||||||||||
[US0001M+180], 7/25/304 | 460,000 | 449,759 | Hotels, Restaurants & Leisure0.4% | ||||||||
WaMu Mortgage Pass-Through Certificates Trust: | Aramark Services, Inc., 5.00% Sr. | ||||||||||
Series 2003-AR10,Cl. A7, 4.481%, | Unsec. Nts., 4/1/253 | 299,000 | 306,924 | ||||||||
10/25/3310 | 67,200 | 68,402 | Marriott International, Inc., 3.245% | ||||||||
Series 2005-AR14,Cl. 1A4, 4.193%, | [US0003M+65] Sr. Unsec. Nts., 3/8/214 | 204,000 | 204,568 | ||||||||
12/25/3510 | 68,269 | 67,734 | Royal Caribbean Cruises Ltd., 2.65% Sr. | ||||||||
Series 2005-AR16,Cl. 1A1, 4.256%, | Unsec. Nts., 11/28/20 | 305,000 | 304,794 | ||||||||
12/25/3510 | 66,122 | 66,060 | 816,286 | ||||||||
Wells Fargo Mortgage-Backed Securities Trust: | |||||||||||
Series 2005-AR1,Cl. 1A1, 5.083%, | Household Durables0.8% | ||||||||||
2/25/3510 | 10,939 | 11,290 | DR Horton, Inc., 2.55% Sr. Unsec. Nts., | ||||||||
Series 2005-AR15,Cl. 1A2, 4.667%, | 12/1/20 | 334,000 | 331,980 | ||||||||
9/25/3510 | 77,944 | 76,371 | Lennar Corp., 4.75% Sr. Unsec. Nts., | ||||||||
Series 2005-AR15,Cl. 1A6, 4.667%, | 5/30/25 | 343,000 | 352,004 | ||||||||
9/25/3510 | 149,375 | 145,093 | Newell Brands, Inc.: | ||||||||
Series 2005-AR4,Cl. 2A2, 5.086%, | 5.00% Sr. Unsec. Nts., 11/15/23 | 194,000 | 194,714 | ||||||||
4/25/3510 | 130,664 | 132,295 | 5.50% Sr. Unsec. Nts., 4/1/46 | 106,000 | 95,907 | ||||||
Series 2006-AR10,Cl. 1A1, 4.704%, | PulteGroup, Inc., 5.00% Sr. Unsec. Nts., | ||||||||||
7/25/3610 | 31,392 | 31,612 | 1/15/27 | 237,000 | 237,296 | ||||||
Series 2006-AR10,Cl. 5A5, 4.542%, | Toll Brothers Finance Corp.: | ||||||||||
7/25/3610 | 113,154 | 113,720 | 4.375% Sr. Unsec. Nts., 4/15/23 | 298,000 | 299,862 | ||||||
Series 2006-AR2,Cl. 2A3, 4.954%, | 4.875% Sr. Unsec. Nts., 3/15/27 | 45,000 | 44,424 | ||||||||
3/25/3610 | 13,505 | 13,748 | 1,556,187 | ||||||||
Series 2006-AR7,Cl. 2A4, 4.42%, | Internet & Catalog Retail0.3% | ||||||||||
5/25/3610 | 86,951 | 89,454 | Amazon.com, Inc., 4.95% Sr. Unsec. | ||||||||
Series 2007-16,Cl. 1A1, 6.00%, | Nts., 12/5/44 | 107,000 | 128,270 | ||||||||
12/28/37 | 21,694 | 21,579 | QVC, Inc., 4.45% Sr. Sec. Nts., 2/15/25 | 505,000 | 504,936 | ||||||
9,792,466 | 633,206 | ||||||||||
Total Mortgage-Backed Obligations (Cost | |||||||||||
$ | 56,356,902 | ) | 56,434,085 | Media1.1% | |||||||
CBS Corp., 4.20% Sr. Unsec. Nts., | |||||||||||
6/1/29 | 159,000 | 160,408 | |||||||||
U.S. Government Obligation0.3% | Charter Communications Operating | ||||||||||
United States Treasury Nts., 1.50%, 5/31/1911 | LLC/Charter Communications Operating | ||||||||||
(Cost $552,122) | 552,000 | 551,128 | Capital, 5.375% Sr. Sec. Nts., 5/1/47 | 68,000 | 67,854 | ||||||
Comcast Corp.: | |||||||||||
Non | -Convertible Corporate Bonds and Notes32.1% | 3.95% Sr. Unsec. Nts., 10/15/25 | 220,000 | 230,385 | |||||||
Consumer Discretionary5.4% | 4.00% Sr. Unsec. Nts., 3/1/48 | 86,000 | 84,592 | ||||||||
Automobiles1.3% | Interpublic Group of Cos., Inc. (The): | ||||||||||
Daimler Finance North America LLC, | 3.75% Sr. Unsec. Nts., 10/1/21 | 265,000 | 269,780 | ||||||||
3.75% Sr. Unsec. Nts., 11/5/213 | 279,000 | 284,025 | 4.20% Sr. Unsec. Nts., 4/15/24 | 330,000 | 339,806 | ||||||
General Motors Co., 6.25% Sr. Unsec. | Sky Ltd., 3.75% Sr. Unsec. Nts., | ||||||||||
Nts., 10/2/43 | 82,000 | 82,180 | 9/16/243 | 161,000 | 166,936 | ||||||
General Motors Financial Co., Inc.: | Time Warner Cable LLC, 4.50% Sr. | ||||||||||
4.15% Sr. Unsec. Nts., 6/19/23 | 310,000 | 313,223 | Unsec. Unsub. Nts., 9/15/42 | 111,000 | 97,577 | ||||||
4.20% Sr. Unsec. Nts., 11/6/21 | 259,000 | 264,060 | Virgin Media Secured Finance plc, | ||||||||
5.25% Sr. Sec. Nts., 1/15/263 | 318,000 | 321,180 |
7 OPPENHEIMER CONSERVATIVE BALANCED FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued | |||||||||
Principal | Principal | ||||||||
Amount | Value | Amount | Value | ||||||
Media (Continued) | Tobacco0.7% | ||||||||
WPP Finance 2010, 3.75% Sr. Unsec. | Altria Group, Inc., 3.49% Sr. Unsec. | ||||||||
Nts., 9/19/24 | $ | 322,000 | $ | 317,931 | Nts., 2/14/22 | $ | 206,000 | $ | 209,411 |
2,056,449 | BAT Capital Corp.: | ||||||||
Specialty Retail0.8% | 2.297% Sr. Unsec. Nts., 8/14/20 | 351,000 | 347,629 | ||||||
AutoNation, Inc., 5.50% Sr. Unsec. | 3.557% Sr. Unsec. Nts., 8/15/27 | 177,000 | 167,904 | ||||||
Nts., 2/1/20 | 306,000 | 312,141 | Imperial Brands Finance plc, 3.75% Sr. | ||||||
AutoZone, Inc., 1.625% Sr. Unsec. Nts., | Unsec. Nts., 7/21/223 | 328,000 | 332,611 | ||||||
4/21/19 | 68,000 | 67,936 | Imperial Tobacco Finance plc, 2.95% Sr. | ||||||
L Brands, Inc., 5.625% Sr. Unsec. Nts., | Unsec. Nts., 7/21/203 | 230,000 | 229,366 | ||||||
2/15/22 | 295,000 | 307,538 | 1,286,921 | ||||||
Penske Truck Leasing Co. LP/PTL | Energy2.4% | ||||||||
Finance Corp., 3.65% Sr. Unsec. Nts., | Energy Equipment & Services0.1% | ||||||||
7/29/213 | 110,000 | 111,547 | Halliburton Co., 5.00% Sr. Unsec. Nts., | ||||||
Ross Stores, Inc., 3.375% Sr. Unsec. | 11/15/45 | 75,000 | 80,035 | ||||||
Nts., 9/15/24 | 344,000 | 350,485 | Schlumberger Holdings Corp., 4.00% | ||||||
Signet UK Finance plc, 4.70% Sr. | Sr. Unsec. Nts., 12/21/253 | 196,000 | 202,387 | ||||||
Unsec. Nts., 6/15/24 | 356,000 | 304,380 | 282,422 | ||||||
1,454,027 | Oil, Gas & Consumable Fuels2.3% | ||||||||
Textiles, Apparel & Luxury Goods0.3% | Anadarko Petroleum Corp., 4.50% Sr. | ||||||||
Hanesbrands, Inc., 4.875% Sr. Unsec. | Unsec. Nts., 7/15/44 | 72,000 | 68,082 | ||||||
Nts., 5/15/263 | 320,000 | 317,312 | Andeavor Logistics LP/Tesoro Logistics | ||||||
Levi Strauss & Co., 5.00% Sr. Unsec. | Finance Corp., 4.25% Sr. Unsec. Nts., | ||||||||
Nts., 5/1/25 | 302,000 | 312,570 | 12/1/27 | 192,000 | 193,767 | ||||
629,882 | Apache Corp., 4.375% Sr. Unsec. Nts., | ||||||||
Consumer Staples3.3% | 10/15/28 | 251,000 | 253,337 | ||||||
Beverages0.7% | Cimarex Energy Co., 4.375% Sr. Unsec. | ||||||||
Anheuser-Busch InBev Worldwide, Inc., | Nts., 3/15/29 | 158,000 | 163,032 | ||||||
8.20% Sr. Unsec. Unsub. Nts., 1/15/39 | 197,000 | 274,616 | Columbia Pipeline Group, Inc., 3.30% | ||||||
Bacardi Ltd., 4.70% Sr. Unsec. Nts., | Sr. Unsec. Nts., 6/1/20 | 324,000 | 325,442 | ||||||
5/15/283 | 171,000 | 171,409 | Devon Energy Corp., 4.75% Sr. Unsec. | ||||||
Keurig Dr Pepper, Inc., 4.057% Sr. | Nts., 5/15/42 | 63,000 | 63,724 | ||||||
Unsec. Nts., 5/25/233 | 305,000 | 314,024 | Energy Transfer Operating LP: | ||||||
Molson Coors Brewing Co., 2.10% Sr. | 4.25% Sr. Unsec. Nts., 3/15/23 | 260,000 | 267,270 | ||||||
Unsec. Nts., 7/15/21 | 324,000 | 317,961 | 5.30% Sr. Unsec. Nts., 4/15/47 | 100,000 | 98,720 | ||||
Pernod Ricard SA, 4.25% Sr. Unsec. | Enterprise Products Operating LLC: | ||||||||
Nts., 7/15/223 | 299,000 | 310,549 | 4.85% Sr. Unsec. Nts., 8/15/42 | 80,000 | 84,216 | ||||
1,388,559 | 4.90% Sr. Unsec. Nts., 5/15/46 | 32,000 | 34,431 | ||||||
EQT Corp., 2.50% Sr. Unsec. Nts., | |||||||||
Food & Staples Retailing0.0% | 10/1/20 | 353,000 | 348,487 | ||||||
Kroger Co. (The), 4.45% Sr. Unsec. Nts., | Kinder Morgan Energy Partners LP, | ||||||||
2/1/47 | 93,000 | 84,767 | 5.80% Sr. Unsec. Nts., 3/1/21 | 132,000 | 138,989 | ||||
Food Products1.9% | Kinder Morgan, Inc., 5.20% Sr. Unsec. | ||||||||
Bunge Ltd. Finance Corp.: | Nts., 3/1/48 | 217,000 | 229,210 | ||||||
3.25% Sr. Unsec. Nts., 8/15/26 | 232,000 | 208,676 | Marathon Petroleum Corp., 3.80% Sr. | ||||||
3.50% Sr. Unsec. Nts., 11/24/20 | 311,000 | 312,661 | Unsec. Nts., 4/1/285 | 134,000 | 132,922 | ||||
Campbell Soup Co., 3.30% Sr. Unsec. | Midwest Connector Capital Co. LLC, | ||||||||
Nts., 3/15/21 | 338,000 | 340,292 | 3.625% Sr. Unsec. Nts., 4/1/223 | 310,000 | 314,686 | ||||
Conagra Brands, Inc.: | ONEOK, Inc., 4.35% Sr. Unsec. Nts., | ||||||||
3.80% Sr. Unsec. Nts., 10/22/21 | 252,000 | 256,793 | 3/15/29 | 156,000 | 159,100 | ||||
4.60% Sr. Unsec. Nts., 11/1/25 | 317,000 | 333,858 | Pioneer Natural Resources Co., 3.45% | ||||||
Kraft Heinz Foods Co.: | Sr. Unsec. Nts., 1/15/21 | 347,000 | 350,769 | ||||||
2.80% Sr. Unsec. Nts., 7/2/20 | 332,000 | 331,567 | Sabine Pass Liquefaction LLC: | ||||||
4.375% Sr. Unsec. Nts., 6/1/46 | 204,000 | 177,561 | 4.20% Sr. Sec. Nts., 3/15/28 | 180,000 | 181,791 | ||||
Lamb Weston Holdings, Inc., 4.875% | 5.625% Sr. Sec. Nts., 2/1/21 | 260,000 | 270,232 | ||||||
Sr. Unsec. Nts., 11/1/263 | 306,000 | 311,738 | Sunoco Logistics Partners Operations | ||||||
Mondelez International Holdings | LP, 4.00% Sr. Unsec. Nts., 10/1/27 | 207,000 | 205,662 | ||||||
Netherlands BV, 2.00% Sr. Unsec. Nts., | Valero Energy Corp., 4.00% Sr. Unsec. | ||||||||
10/28/213 | 339,000 | 330,648 | Nts., 4/1/29 | 154,000 | 155,591 | ||||
Smithfield Foods, Inc.: | Williams Cos., Inc. (The), 3.70% Sr. | ||||||||
2.70% Sr. Unsec. Nts., 1/31/203 | 148,000 | 146,993 | Unsec. Unsub. Nts., 1/15/23 | 334,000 | 340,340 | ||||
3.35% Sr. Unsec. Nts., 2/1/223 | 183,000 | 179,192 | 4,379,800 | ||||||
5.20% Sr. Unsec. Nts., 4/1/293 | 252,000 | 253,710 | Financials8.8% | ||||||
Tyson Foods, Inc.: | Capital Markets1.7% | ||||||||
3.90% Sr. Unsec. Nts., 9/28/23 | 271,000 | 279,468 | Blackstone Holdings Finance Co. LLC, | ||||||
5.10% Sr. Unsec. Nts., 9/28/48 | 88,000 | 89,870 | 3.15% Sr. Unsec. Nts., 10/2/273 | 117,000 | 113,849 | ||||
3,553,027 | Brookfield Asset Management, Inc., | ||||||||
4.00% Sr. Unsec. Nts., 1/15/25 | 269,000 | 271,932 |
8 OPPENHEIMER CONSERVATIVE BALANCED FUND/VA
Principal | Principal | ||||||||
Amount | Value | Amount | Value | ||||||
Capital Markets (Continued) | Commercial Banks (Continued) | ||||||||
Credit Suisse AG (New York), 3.625% | Fortis, Inc., 3.055% Sr. Unsec. Nts., | ||||||||
Sr. Unsec. Nts., 9/9/24 | $ | 197,000 | $ | 200,735 | 10/4/26 | $ | 198,000 | $ | 189,725 |
Credit Suisse Group Funding Guernsey | HSBC Holdings plc: | ||||||||
Ltd., 4.55% Sr. Unsec. Nts., 4/17/26 | 154,000 | 161,115 | 3.95% [US0003M+98.72] Sr. Unsec. | ||||||
E*TRADE Financial Corp., 5.875% | Nts., 5/18/244 | 109,000 | 111,282 | ||||||
[US0003M+443.5] Jr. Sub. Perpetual | 4.041% [US0003M+154.6] Sr. Unsec. | ||||||||
Bonds4,12 | 307,000 | 311,221 | Nts., 3/13/284 | 135,000 | 136,261 | ||||
Goldman Sachs Group, Inc. (The): | 4.583% [US0003M+153.46] Sr. Unsec. | ||||||||
3.50% Sr. Unsec. Nts., 11/16/26 | 166,000 | 164,076 | Nts., 6/19/294 | 183,000 | 192,737 | ||||
3.75% Sr. Unsec. Nts., 2/25/26 | 163,000 | 163,874 | Huntington Bancshares, Inc., 4.00% Sr. | ||||||
4.017% [US0003M+137.3] Sr. Unsec. | Unsec. Nts., 5/15/25 | 334,000 | 347,882 | ||||||
Nts., 10/31/384 | 144,000 | 138,331 | JPMorgan Chase & Co.: | ||||||
Morgan Stanley: | 3.54% [US0003M+138] Sr. Unsec. | ||||||||
4.431% [US0003M+162.8] Sr. Unsec. | Nts., 5/1/284 | 252,000 | 252,611 | ||||||
Nts., 1/23/304 | 235,000 | 248,249 | 3.782% [US0003M+133.7] Sr. Unsec. | ||||||
5.00% Sub. Nts., 11/24/25 | 257,000 | 275,897 | Nts., 2/1/284 | 332,000 | 338,778 | ||||
MSCI, Inc., 4.75% Sr. Unsec. Nts., | 3.797% [US0003M+89] Sr. Unsec. | ||||||||
8/1/263 | 307,000 | 316,210 | Nts., 7/23/244 | 335,000 | 344,298 | ||||
Northern Trust Corp., 3.375% | KeyCorp, 4.15% Sr. Unsec. Nts., | ||||||||
[US0003M+113.1] Sub. Nts., 5/8/324 | 115,000 | 112,853 | 10/29/25 | 106,000 | 111,764 | ||||
Plains All American Pipeline LP/PAA | Lloyds Banking Group plc, 6.657% | ||||||||
Finance Corp., 4.50% Sr. Unsec. Nts., | [US0003M+127] Jr. Sub. Perpetual | ||||||||
12/15/26 | 191,000 | 196,011 | Bonds3,4,12 | 300,000 | 307,500 | ||||
Raymond James Financial, Inc., 3.625% | Nordea Bank Abp, 4.625% | ||||||||
Sr. Unsec. Nts., 9/15/26 | 153,000 | 151,690 | [USSW5+169] Sub. Nts., 9/13/333,4 | 118,000 | 119,334 | ||||
TD Ameritrade Holding Corp., 3.30% | PNC Financial Services Group, Inc. | ||||||||
Sr. Unsec. Nts., 4/1/27 | 188,000 | 189,075 | (The), 3.15% Sr. Unsec. Nts., 5/19/27 | 253,000 | 253,868 | ||||
UBS Group Funding Switzerland AG: | Regions Financial Corp., 2.75% Sr. | ||||||||
4.125% Sr. Unsec. Nts., 4/15/263 | 160,000 | 165,731 | Unsec. Nts., 8/14/22 | 175,000 | 173,797 | ||||
4.253% Sr. Unsec. Nts., 3/23/283 | 147,000 | 153,128 | Royal Bank of Canada, 3.70% Sr. | ||||||
3,333,977 | Unsec. Nts., 10/5/23 | 290,000 | 299,930 | ||||||
Societe Generale SA, 3.875% Sr. Unsec. | |||||||||
Commercial Banks4.6% | Nts., 3/28/243 | 250,000 | 251,063 | ||||||
ABN AMRO Bank NV, 4.40% | SunTrust Bank (Atlanta GA): | ||||||||
[USSW5+219.7] Sub. Nts., 3/27/284,13 | 329,000 | 332,174 | 3.30% Sub. Nts., 5/15/26 | 118,000 | 117,154 | ||||
Bank of America Corp.: | 4.05% Sr. Unsec. Nts., 11/3/25 | 141,000 | 148,782 | ||||||
3.248% Sr. Unsec. Nts., 10/21/27 | 258,000 | 253,068 | Synovus Financial Corp., 3.125% Sr. | ||||||
3.366% [US0003M+81] Sr. Unsec. | Unsec. Nts., 11/1/22 | 177,000 | 175,097 | ||||||
Nts., 1/23/264 | 286,000 | 286,625 | US Bancorp, 3.10% Sub. Nts., 4/27/26 | 199,000 | 198,974 | ||||
3.824% [US0003M+157.5] Sr. Unsec. | Wells Fargo & Co.: | ||||||||
Nts., 1/20/284 | 191,000 | 193,968 | |||||||
4.271% [US0003M+131] Sr. Unsec. | 3.584% [US0003M+131] Sr. Unsec. | ||||||||
Nts., 7/23/294 | 154,000 | 160,637 | Nts., 5/22/284 | 248,000 | 249,478 | ||||
7.75% Jr. Sub. Nts., 5/14/38 | 226,000 | 314,560 | 4.75% Sub. Nts., 12/7/46 | 157,000 | 164,694 | ||||
Bank of Ireland Group plc, 4.50% Sr. | 8,805,412 | ||||||||
Unsec. Nts., 11/25/233 | 263,000 | 267,808 | Consumer Finance0.4% | ||||||
Bank of Montreal, Series E, 3.30% Sr. | Capital One Financial Corp.: | ||||||||
Unsec. Nts., 2/5/24 | 245,000 | 247,817 | 3.75% Sr. Unsec. Nts., 3/9/27 | 111,000 | 109,385 | ||||
BNP Paribas SA, 4.375% | 3.90% Sr. Unsec. Nts., 1/29/24 | 155,000 | 158,555 | ||||||
[USSW5+148.3] Sub. Nts., 3/1/333,4 | 177,000 | 173,905 | Discover Bank, 4.65% Sr. Unsec. Nts., | ||||||
BPCE SA, 4.50% Sub. Nts., 3/15/253 | 184,000 | 185,305 | 9/13/28 | 122,000 | 127,930 | ||||
Canadian Imperial Bank of Commerce, | Discover Financial Services, 3.75% Sr. | ||||||||
3.10% Sr. Unsec. Nts., 4/2/249 | 312,000 | 311,354 | Unsec. Nts., 3/4/25 | 143,000 | 142,714 | ||||
Citigroup, Inc.: | Synchrony Financial, 4.25% Sr. Unsec. | ||||||||
4.075% [US0003M+119.2] Sr. Unsec. | Nts., 8/15/24 | 248,000 | 249,772 | ||||||
Nts., 4/23/294 | 269,000 | 276,278 | 788,356 | ||||||
4.281% [US0003M+183.9] Sr. Unsec. | Diversified Financial Services0.3% | ||||||||
Nts., 4/24/484 | 356,000 | 365,363 | Berkshire Hathaway Energy Co., 3.80% | ||||||
Citizens Bank NA (Providence RI), | Sr. Unsec. Nts., 7/15/48 | 81,000 | 77,702 | ||||||
2.65% Sr. Unsec. Nts., 5/26/22 | 68,000 | 67,480 | Peachtree Corners Funding Trust, | ||||||
Compass Bank, 2.875% Sr. Unsec. Nts., | 3.976% Sr. Unsec. Nts., 2/15/253 | 126,000 | 127,956 | ||||||
6/29/22 | 279,000 | 276,304 | Voya Financial, Inc., 5.65% | ||||||
Credit Agricole SA, 4.375% Sub. Nts., | [US0003M+358] Jr. Sub. Nts., 5/15/534 | 315,000 | 310,740 | ||||||
3/17/253 | 304,000 | 310,098 | 516,398 | ||||||
Fifth Third Bank (Cincinnati OH), 3.85% | |||||||||
Sub. Nts., 3/15/26 | 160,000 | 163,104 | Insurance1.1% | ||||||
First Republic Bank, 4.375% Sub. Nts., | Aflac, Inc., 4.75% Sr. Unsec. Nts., | ||||||||
8/1/46 | 137,000 | 134,555 | 1/15/49 | 109,000 | 120,833 |
9 OPPENHEIMER CONSERVATIVE BALANCED FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued | |||||||||
Principal | Principal | ||||||||
Amount | Value | Amount | Value | ||||||
Insurance (Continued) | Health Care Providers & Services (Continued) | ||||||||
AXA Equitable Holdings, Inc., 4.35% Sr. | Fresenius Medical Care US Finance II, | ||||||||
Unsec. Nts., 4/20/28 | $ | 163,000 | $ | 165,781 | Inc., 5.875% Sr. Unsec. Nts., 1/31/223 | $ | 291,000 | $ | 308,013 |
Boardwalk Pipelines LP, 4.95% Sr. | McKesson Corp., 3.65% Sr. Unsec. Nts., | ||||||||
Unsec. Nts., 12/15/24 | 162,000 | 168,251 | 11/30/20 | 286,000 | 289,603 | ||||
Brighthouse Financial, Inc., 3.70% Sr. | 1,500,320 | ||||||||
Unsec. Nts., 6/22/27 | 68,000 | 61,398 | Life Sciences Tools & Services0.4% | ||||||
CNA Financial Corp., 3.45% Sr. Unsec. | IQVIA, Inc., 5.00% Sr. Unsec. Nts., | ||||||||
Nts., 8/15/27 | 231,000 | 225,900 | 10/15/263 | 308,000 | 316,279 | ||||
Hartford Financial Services Group, Inc. | Life Technologies Corp., 6.00% Sr. | ||||||||
(The), 4.40% Sr. Unsec. Nts., 3/15/48 | 192,000 | 194,757 | Unsec. Nts., 3/1/20 | 259,000 | 266,077 | ||||
Lincoln National Corp., 3.80% Sr. | Thermo Fisher Scientific, Inc., 4.15% Sr. | ||||||||
Unsec. Nts., 3/1/28 | 188,000 | 190,872 | Unsec. Nts., 2/1/24 | 132,000 | 138,085 | ||||
Manulife Financial Corp., 4.061% | 720,441 | ||||||||
[USISDA05+164.7] Sub. Nts., 2/24/324 | 191,000 | 185,951 | |||||||
Marsh & McLennan Cos., Inc., 4.35% | Pharmaceuticals0.7% | ||||||||
Sr. Unsec. Nts., 1/30/47 | 113,000 | 114,919 | Bayer US Finance II LLC, 3.875% Sr. | ||||||
Prudential Financial, Inc.: | Unsec. Nts., 12/15/233 | 335,000 | 337,895 | ||||||
4.35% Sr. Unsec. Nts., 2/25/50 | 124,000 | 128,569 | Elanco Animal Health, Inc., 4.90% Sr. | ||||||
5.20% [US0003M+304] Jr. Sub. Nts., | Unsec. Nts., 8/28/283 | 145,000 | 154,215 | ||||||
3/15/444 | 246,000 | 249,026 | Mylan NV, 3.15% Sr. Unsec. Nts., | ||||||
Swiss Re Finance Luxembourg SA, | 6/15/21 | 319,000 | 318,426 | ||||||
5.00% [H15T5Y+358.2] Sub. Nts., | Takeda Pharmaceutical Co. Ltd.: | ||||||||
4/2/493,4,9 | 382,000 | 386,614 | 4.00% Sr. Unsec. Nts., 11/26/213 | 280,000 | 287,302 | ||||
2,192,871 | 5.00% Sr. Unsec. Nts., 11/26/283 | 160,000 | 173,762 | ||||||
Real Estate Investment Trusts (REITs)0.7% | 1,271,600 | ||||||||
American Tower Corp.: | Industrials2.3% | ||||||||
3.00% Sr. Unsec. Nts., 6/15/23 | 274,000 | 273,353 | Aerospace & Defense0.7% | ||||||
4.00% Sr. Unsec. Nts., 6/1/25 | 169,000 | 174,142 | BAE Systems Holdings, Inc., 3.85% Sr. | ||||||
Crown Castle International Corp., | Unsec. Nts., 12/15/253 | 245,000 | 247,898 | ||||||
3.65% Sr. Unsec. Nts., 9/1/27 | 176,000 | 173,386 | Huntington Ingalls Industries, Inc., | ||||||
Digital Realty Trust LP, 3.40% Sr. Unsec. | 3.483% Sr. Unsec. Nts., 12/1/27 | 180,000 | 176,472 | ||||||
Nts., 10/1/20 | 30,000 | 30,227 | L3 Technologies, Inc., 3.85% Sr. Unsec. | ||||||
Lamar Media Corp., 5.75% Sr. Unsec. | Nts., 6/15/23 | 335,000 | 345,591 | ||||||
Nts., 2/1/26 | 288,000 | 302,040 | Northrop Grumman Corp., 4.75% Sr. | ||||||
VEREIT Operating Partnership LP, | Unsec. Nts., 6/1/43 | 190,000 | 206,077 | ||||||
4.625% Sr. Unsec. Nts., 11/1/25 | 300,000 | 310,755 | United Technologies Corp.: | ||||||
1,263,903 | 3.35% Sr. Unsec. Nts., 8/16/21 | 82,000 | 83,149 | ||||||
Health Care2.9% | 3.95% Sr. Unsec. Nts., 8/16/25 | 205,000 | 213,240 | ||||||
Biotechnology0.6% | 1,272,427 | ||||||||
AbbVie, Inc.: | Air Freight & Couriers0.1% | ||||||||
3.75% Sr. Unsec. Nts., 11/14/23 | 329,000 | 338,084 | FedEx Corp., 3.40% Sr. Unsec. Nts., | ||||||
4.875% Sr. Unsec. Nts., 11/14/48 | 133,000 | 131,233 | 1/14/22 | 104,000 | 105,467 | ||||
Amgen, Inc., 4.563% Sr. Unsec. Nts., | Building Products0.3% | ||||||||
6/15/48 | 87,000 | 87,573 | Allegion US Holding Co., Inc., 3.55% | ||||||
Biogen, Inc., 5.20% Sr. Unsec. Nts., | Sec. Nts., 10/1/27 | 279,000 | 265,645 | ||||||
9/15/45 | 97,000 | 103,062 | Fortune Brands Home & Security, Inc., | ||||||
Gilead Sciences, Inc., 4.75% Sr. Unsec. | 4.00% Sr. Unsec. Nts., 9/21/23 | 313,000 | 321,965 | ||||||
Nts., 3/1/46 | 128,000 | 134,418 | 587,610 | ||||||
Shire Acquisitions Investments Ireland | |||||||||
DAC, 2.40% Sr. Unsec. Nts., 9/23/21 | 342,000 | 338,254 | Electrical Equipment0.2% | ||||||
1,132,624 | Sensata Technologies BV: | ||||||||
5.00% Sr. Unsec. Nts., 10/1/253 | 170,000 | 175,100 | |||||||
Health Care Equipment & Supplies0.4% | 5.625% Sr. Unsec. Nts., 11/1/243 | 126,000 | 134,820 | ||||||
Becton Dickinson & Co., 3.70% Sr. | 309,920 | ||||||||
Unsec. Nts., 6/6/27 | 268,000 | 267,501 | |||||||
Boston Scientific Corp., 4.00% Sr. | Industrial Conglomerates0.0% | ||||||||
Unsec. Nts., 3/1/28 | 300,000 | 308,956 | GE Capital International Funding Co. | ||||||
Hologic, Inc., 4.375% Sr. Unsec. Nts., | Unlimited Co., 3.373% Sr. Unsec. Nts., | ||||||||
10/15/253 | 310,000 | 309,938 | 11/15/25 | 107,000 | 103,997 | ||||
886,395 | Machinery0.2% | ||||||||
Health Care Providers & Services0.8% | Fortive Corp., 1.80% Sr. Unsec. Nts., | ||||||||
Cigna Corp., 4.125% Sr. Unsec. Nts., | 6/15/19 | 40,000 | 39,835 | ||||||
11/15/253 | 250,000 | 259,066 | Ingersoll-Rand Luxembourg Finance SA, | ||||||
CVS Health Corp.: | 3.80% Sr. Unsec. Nts., 3/21/29 | 154,000 | 156,368 | ||||||
2.125% Sr. Unsec. Nts., 6/1/21 | 356,000 | 349,886 | Nvent Finance Sarl, 4.55% Sr. Unsec. | ||||||
5.05% Sr. Unsec. Nts., 3/25/48 | 291,000 | 293,752 | Nts., 4/15/28 | 176,000 | 177,172 | ||||
373,375 |
10 OPPENHEIMER CONSERVATIVE BALANCED FUND/VA
Principal | Principal | ||||||||
Amount | Value | Amount | Value | ||||||
Professional Services0.1% | Technology Hardware, Storage & Peripherals (Continued) | ||||||||
IHS Markit Ltd., 4.125% Sr. Unsec. Nts., | Dell International LLC/EMC Corp., | ||||||||
8/1/23 | $ | 211,000 | $ | 215,450 | 5.30% Sr. Sec. Nts., 10/1/293 | $ | 312,000 | $ | 314,636 |
Road & Rail0.3% | Hewlett Packard Enterprise Co., 3.60% | ||||||||
Penske Truck Leasing Co. LP/PTL | Sr. Unsec. Nts., 10/15/20 | 342,000 | 345,310 | ||||||
Finance Corp., 3.40% Sr. Unsec. Nts., | 862,957 | ||||||||
11/15/263 | 269,000 | 257,877 | Materials1.6% | ||||||
Ryder System, Inc.: | Chemicals0.7% | ||||||||
3.50% Sr. Unsec. Nts., 6/1/21 | 79,000 | 80,001 | Dow Chemical Co. (The), 4.55% Sr. | ||||||
3.75% Sr. Unsec. Nts., 6/9/23 | 335,000 | 343,331 | Unsec. Nts., 11/30/253 | 207,000 | 218,765 | ||||
681,209 | DowDuPont, Inc., 5.419% Sr. Unsec. | ||||||||
Trading Companies & Distributors0.4% | Nts., 11/15/48 | 125,000 | 142,133 | ||||||
Air Lease Corp.: | Eastman Chemical Co., 3.50% Sr. | ||||||||
3.25% Sr. Unsec. Nts., 3/1/25 | 108,000 | 104,010 | Unsec. Nts., 12/1/21 | 130,000 | 132,042 | ||||
3.625% Sr. Unsec. Nts., 4/1/27 | 112,000 | 105,584 | Nutrien Ltd.: | ||||||
GATX Corp., 3.50% Sr. Unsec. Nts., | 4.875% Sr. Unsec. Nts., 3/30/20 | 40,000 | 40,800 | ||||||
3/15/28 | 197,000 | 188,088 | 5.00% Sr. Unsec. Nts., 4/1/499 | 85,000 | 88,982 | ||||
Mitsubishi UFJ Financial Group, Inc., | PolyOne Corp., 5.25% Sr. Unsec. Nts., | ||||||||
3.741% Sr. Unsec. Nts., 3/7/29 | 194,000 | 199,436 | 3/15/23 | 308,000 | 319,550 | ||||
United Rentals North America, Inc., | RPM International, Inc., 3.45% Sr. | ||||||||
4.625% Sr. Unsec. Nts., 10/15/25 | 178,000 | 176,220 | Unsec. Unsub. Nts., 11/15/22 | 329,000 | 329,462 | ||||
773,338 | Yara International ASA, 4.75% Sr. | ||||||||
Unsec. Nts., 6/1/283 | 165,000 | 172,473 | |||||||
Information Technology2.5% | 1,444,207 | ||||||||
Communications Equipment0.2% | |||||||||
Motorola Solutions, Inc., 4.60% Sr. | Construction Materials0.2% | ||||||||
Unsec. Nts., 2/23/28 | 256,000 | 258,555 | James Hardie International Finance | ||||||
DAC, 4.75% Sr. Unsec. Nts., 1/15/253 | 191,000 | 189,090 | |||||||
Electronic Equipment, Instruments, & Components0.3% | Martin Marietta Materials, Inc., 3.50% | ||||||||
Arrow Electronics, Inc., 3.875% Sr. | Sr. Unsec. Nts., 12/15/27 | 171,000 | 165,083 | ||||||
Unsec. Nts., 1/12/28 | 248,000 | 239,199 | 354,173 | ||||||
CDW LLC/CDW Finance Corp., 5.50% | |||||||||
Sr. Unsec. Nts., 12/1/24 | 58,000 | 61,262 | Containers & Packaging0.2% | ||||||
Tech Data Corp., 4.95% Sr. Unsec. Nts., | Packaging Corp. of America, 3.65% Sr. | ||||||||
2/15/27 | 271,000 | 274,605 | Unsec. Nts., 9/15/24 | 113,000 | 113,748 | ||||
575,066 | Silgan Holdings, Inc., 4.75% Sr. Unsec. | ||||||||
Nts., 3/15/25 | 290,000 | 286,012 | |||||||
IT Services0.5% | 399,760 | ||||||||
DXC Technology Co.: | |||||||||
2.875% Sr. Unsec. Nts., 3/27/20 | 261,000 | 260,916 | Metals & Mining0.4% | ||||||
Anglo American Capital plc, 3.625% Sr. | |||||||||
4.75% Sr. Unsec. Nts., 4/15/27 | 246,000 | 250,287 | Unsec. Nts., 9/11/243 | 86,000 | 85,319 | ||||
Fidelity National Information Services, | ArcelorMittal, 6.125% Sr. Unsec. Nts., | ||||||||
Inc., 4.25% Sr. Unsec. Nts., 5/15/28 | 163,000 | 167,896 | 6/1/25 | 280,000 | 310,805 | ||||
VeriSign, Inc.: | Steel Dynamics, Inc., 4.125% Sr. Unsec. | ||||||||
4.75% Sr. Unsec. Nts., 7/15/27 | 189,000 | 189,732 | Nts., 9/15/25 | 316,000 | 310,470 | ||||
5.25% Sr. Unsec. Nts., 4/1/25 | 105,000 | 110,381 | 706,594 | ||||||
979,212 | |||||||||
Paper & Forest Products0.1% | |||||||||
Semiconductors & Semiconductor Equipment0.8% | Louisiana-Pacific Corp., 4.875% Sr. | ||||||||
Broadcom, Inc.: | Unsec. Nts., 9/15/24 | 199,000 | 199,000 | ||||||
3.125% Sr. Unsec. Nts., 4/15/213,9 | 446,000 | 445,474 | |||||||
4.25% Sr. Unsec. Nts., 4/15/263,9 | 365,000 | 362,303 | Telecommunication Services1.3% | ||||||
4.75% Sr. Unsec. Nts., 4/15/293,9 | 142,000 | 141,326 | Diversified Telecommunication Services1.1% | ||||||
Microchip Technology, Inc., 3.922% Sr. | AT&T, Inc.: | ||||||||
Sec. Nts., 6/1/213 | 335,000 | 338,127 | 4.30% Sr. Unsec. Nts., 2/15/30 | 331,000 | 335,569 | ||||
NXP BV/NXP Funding LLC, 4.125% Sr. | 4.35% Sr. Unsec. Nts., 6/15/45 | 48,000 | 44,198 | ||||||
Unsec. Nts., 6/1/213 | 304,000 | 310,462 | 4.50% Sr. Unsec. Nts., 3/9/48 | 142,000 | 133,954 | ||||
1,597,692 | British Telecommunications plc: | ||||||||
4.50% Sr. Unsec. Nts., 12/4/23 | 202,000 | 211,467 | |||||||
Software0.2% | 9.625% Sr. Unsec. Nts., 12/15/30 | 272,000 | 389,397 | ||||||
Autodesk, Inc., 4.375% Sr. Unsec. Nts., | Deutsche Telekom International Finance | ||||||||
6/15/25 | 104,000 | 107,564 | BV, 4.375% Sr. Unsec. Nts., 6/21/283 | 146,000 | 152,075 | ||||
Open Text Corp., 5.625% Sr. Unsec. | Telefonica Emisiones SA: | ||||||||
Nts., 1/15/233 | 155,000 | 159,650 | |||||||
VMware, Inc., 3.90% Sr. Unsec. Nts., | 4.103% Sr. Unsec. Nts., 3/8/27 | 85,000 | 86,211 | ||||||
8/21/27 | 170,000 | 163,710 | 5.213% Sr. Unsec. Nts., 3/8/47 | 123,000 | 125,119 | ||||
430,924 | T-Mobile USA, Inc., 6.50% Sr. Unsec. | ||||||||
Nts., 1/15/26 | 280,000 | 299,600 | |||||||
Technology Hardware, Storage & Peripherals0.5% | Verizon Communications, Inc.: | ||||||||
Apple, Inc., 4.375% Sr. Unsec. Nts., | 4.125% Sr. Unsec. Nts., 8/15/46 | 140,000 | 136,135 | ||||||
5/13/45 | 186,000 | 203,011 |
11 OPPENHEIMER CONSERVATIVE BALANCED FUND/VA
STATEMENT OF INVESTMENTS Unaudited / Continued | ||||||||||||
Principal | Principal | |||||||||||
Amount | Value | Amount | Value | |||||||||
Diversified Telecommunication Services (Continued) | Electric Utilities (Continued) | |||||||||||
Verizon Communications, Inc.: (Continued) | Mid-Atlantic Interstate Transmission | |||||||||||
4.522% Sr. Unsec. Nts., 9/15/48 | $ | 173,000 | $ | 178,058 | LLC, 4.10% Sr. Unsec. Nts., 5/15/283 | $ | 171,000 | $ | 175,703 | |||
2,091,783 | NextEra Energy Operating Partners LP, | |||||||||||
Wireless Telecommunication Services0.2% | 4.25% Sr. Unsec. Nts., 9/15/243 | 314,000 | 312,823 | |||||||||
PPL WEM Ltd./Western Power | ||||||||||||
Vodafone Group plc: | Distribution Ltd., 5.375% Sr. Unsec. | |||||||||||
3.75% Sr. Unsec. Nts., 1/16/24 | 332,000 | 335,155 | Unsub. Nts., 5/1/213 | 317,000 | 327,414 | |||||||
7.00% [USSW5+487.3] Sub. Nts., | TECO Finance, Inc., 5.15% Sr. Unsec. | |||||||||||
4/4/794,9 | 120,000 | 122,094 | Nts., 3/15/20 | 161,000 | 164,338 | |||||||
457,249 | 2,394,314 | |||||||||||
Utilities1.6% | Multi | -Utilities0.4% | ||||||||||
Electric Utilities1.2% | CenterPoint Energy, Inc.: | |||||||||||
AEP Texas, Inc., 3.95% Sr. Unsec. Nts., | 3.60% Sr. Unsec. Nts., 11/1/21 | 203,000 | 206,136 | |||||||||
6/1/283 | 172,000 | 179,522 | 4.25% Sr. Unsec. Nts., 11/1/28 | 147,000 | 152,533 | |||||||
Duke Energy Corp., 3.75% Sr. Unsec. | Dominion Energy, Inc.: | |||||||||||
Nts., 9/1/46 | 69,000 | 64,773 | ||||||||||
Edison International: | 2.579% Jr. Sub. Nts., 7/1/20 | 285,000 | 283,510 | |||||||||
2.125% Sr. Unsec. Nts., 4/15/20 | 131,000 | 130,029 | 4.60% Sr. Unsec. Nts., 3/15/49 | 77,000 | 80,300 | |||||||
2.95% Sr. Unsec. Nts., 3/15/23 | 207,000 | 192,396 | 722,479 | |||||||||
Total Non-Convertible Corporate Bonds and | ||||||||||||
EDP Finance BV, 3.625% Sr. Unsec. | Notes | (Cost $60,881,278) | 61,726,896 | |||||||||
Nts., 7/15/243 | 231,000 | 229,697 | ||||||||||
Emera US Finance LP, 2.70% Sr. Unsec. | Shares | |||||||||||
Nts., 6/15/21 | 179,000 | 177,476 | Investment Company2.8% | |||||||||
Exelon Corp.: | Oppenheimer Institutional Government | |||||||||||
2.45% Sr. Unsec. Nts., 4/15/21 | 165,000 | 163,175 | Money Market Fund, Cl. E, 2.42%14,15 (Cost | |||||||||
4.45% Sr. Unsec. Nts., 4/15/46 | 87,000 | 89,956 | $ | 5,367,607 | ) | 5,367,607 | 5,367,607 | |||||
FirstEnergy Corp., 3.90% Sr. Unsec. | Total Investments, at Value (Cost | |||||||||||
Nts., 7/15/27 | 184,000 | 187,012 | $ | 197,153,132 | ) | 107.7 | % | 206,943,122 | ||||
Net Other Assets (Liabilities) | (7.7 | ) | (14,776,573 | ) | ||||||||
Net Assets | 100.0 | % $ | 192,166,549 |
Footnotes to Statement of Investments
1. Non-income producing security.
2. Security is a Master Limited Partnership.
3. Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under guidelines established by the Board of Trustees. These securities amount to $31,571,300 or 16.43% of the Fund's net assets at period end.
4. 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].
5. Restricted security. The aggregate value of restricted securities at period end was $339,165, which represents 0.18% of the Fund's net assets. See Note 4 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 | $ | 206,527 | $ | 206,243 | $ | (284 | ) |
Marathon Petroleum Corp., 3.80% Sr. Unsec. Nts., | ||||||||
4/1/28 | 7/25/18 | 127,881 | 132,922 | 5,041 | ||||
$ | 334,408 | $ | 339,165 | $ | 4,757 | |||
6. 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 $2,238,959 or 1.17% of the
Funds net assets at period end.
7. Interest rate is less than 0.0005%.
8. 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 $35,223 or 0.02% of the Fund's net assets at period end.
9. All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after period end. See Note 4 of the accompanying Notes.
10. 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.
11. All or a portion of the security position is held in accounts at a futures clearing merchant and pledged to cover margin requirements on open futures contracts and written options on futures, if applicable. The aggregate market value of such securities is $141,776. See Note 6 of the accompanying Notes.
12. This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest.
13. Represents securities sold under Regulation S, which are exempt from registration under the Securities Act of 1933, as amended. These securities may not be offered or sold in the United States without and exemption from, or in a transaction not subject to, the registration requirements of the Securities Act of 1933. These securities amount to $332,174 or 0.17% of the Fund's net assets at period end.
14. Rate shown is the 7-day yield at period end.
12 OPPENHEIMER CONSERVATIVE BALANCED FUND/VA
Footnotes to Statement of Investments (Continued)
15. Is or was an affiliate, as defined in the Investment Company Act of 1940, as amended, at or during the reporting period, by virtue of the Fund owning at least 5% of the voting securities of the issuer or as a result of the Fund and the issuer having the same investment adviser. Transactions during the reporting period in which the issuer was an affiliate are as follows:
Shares | Gross | Gross | Shares | ||||||||||||||
December 31, 2018 | Additions | Reductions | March 31, 2019 | ||||||||||||||
Investment Company | |||||||||||||||||
Oppenheimer Institutional Government Money Market Fund, Cl. E | 5,367,607 | | | 5,367,607 | |||||||||||||
Realized | Change in Unrealized | ||||||||||||||||
Value | Income | Gain (Loss) | Gain (Loss) | ||||||||||||||
Investment Company | |||||||||||||||||
Oppenheimer Institutional Government Money Market Fund, Cl. E | $ | 5,367,607 | $ | 31,465 | $ | | $ | | |||||||||
a | |||||||||||||||||
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 | 28 | USD | 4,098 | $ | 4,190,375 | $ | 92,847 | ||||||||
United States Treasury Nts., 10 yr. | Buy | 6/19/19 | 27 | USD | 3,341 | 3,353,906 | 13,192 | ||||||||||
United States Treasury Nts., 2 yr. | Sell | 6/28/19 | 18 | 3,834 | 3,835,687 | (1,879 | ) | ||||||||||
United States Treasury Nts., 5 yr. | Sell | 6/28/19 | 32 | 3,681 | 3,706,500 | (25,106 | ) | ||||||||||
United States Ultra Bonds | Buy | 6/19/19 | 62 | USD | 10,037 | 10,416,000 | 378,773 | ||||||||||
$ | 457,827 | ||||||||||||||||
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 | 5,237 | $ | (113,456 | ) $ | (113,456 | ) |
* 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 | |
Definitions | ||
BBA | British Bankers' Association | |
H15 | T5Y | US Treasury Yield Curve Rate T Note Constant Maturity 5 Year |
H15 | T1Y | US Treasury Yield Curve Rate T Note Constant Maturity 1 Year |
ICE LIBOR | Intercontinental Exchange London Interbank Offered Rate | |
LIBOR | London Interbank Offered Rate | |
LIBOR01M | ICE LIBOR USD 1 Month | |
US0001 | M | ICE LIBOR USD 1 Month |
US0003 | M | 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 CONSERVATIVE BALANCED FUND/VA
NOTES TO STATEMENT OF INVESTMENTS March 31, 2019 Unaudited
1. Organization
Oppenheimer Conservative Balanced Fund/VA (the Fund), a separate series of Oppenheimer Variable Account Funds, is a diversified open-end management investment company registered under the Investment Company Act of 1940 (1940 Act), as amended. The 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. Significant Accounting Policies
Security Valuation. All investments in securities are recorded at their estimated fair value, as described in Note 3.
Foreign Currency Translation. The books and records of the Fund are maintained in U.S. dollars. Any foreign currency amounts are translated into U.S. dollars on the following basis: (1) Value of investment securities, other assets and liabilities at the exchange rates prevailing at Market Close as described in Note 3.
(2) Purchases and sales of investment securities, income and expenses at the rates of exchange prevailing on the respective dates of such transactions.
3. Securities Valuation
The Fund calculates the net asset value of its shares as of 4:00 P.M. Eastern Time, on each day the New York Stock Exchange (the "Exchange" or "NYSE") is open for trading, except in the case of a scheduled early closing of the Exchange, in which case the Fund will calculate net asset value of the shares as of the scheduled early closing time of the Exchange.
The Funds Board has adopted procedures for the valuation of the Funds securities and has delegated the day-to-day responsibility for valuation determinations under those procedures to the Manager. The Manager has established a Valuation Committee which is responsible for determining a fair valuation for any security for which market quotations are not readily available. The Valuation Committees fair valuation determinations are subject to review, approval and ratification by the Funds Board at least quarterly or more frequently, if necessary.
Valuation Methods and Inputs
Securities are valued primarily using unadjusted quoted market prices, when available, as supplied by third party pricing services or broker-dealers. The following methodologies are used to determine the market value or the fair value of the types of securities described below: Equity securities traded on a securities exchange (including exchange-traded derivatives other than futures and futures options) are valued based on the official closing price on the principal exchange on which the security is traded, as identified by the Manager, prior to the time when the Funds assets are valued. If the official closing price is unavailable, the security is valued at the last sale price on the principal exchange on which it is traded, or if no sales occurred, the security is valued at the mean between the quoted bid and asked prices. Over-the-counter equity securities are valued at the last published sale price, or if no sales occurred, at the mean between the quoted bid and asked prices. Events occurring after the close of trading on foreign exchanges may result in adjustments to the valuation of foreign securities to more accurately reflect their fair value as of the time when the Funds assets are valued.
Shares of a registered investment company that are not traded on an exchange are valued at that investment companys net asset value per share. Corporate and government debt securities (of U.S. or foreign issuers) and municipal debt securities, short-term notes, mortgage-backed securities, collateralized mortgage obligations, and asset-backed securities are valued at the mean between the bid and asked prices utilizing evaluated prices obtained from third party pricing services or broker-dealers who may use matrix pricing methods to determine the evaluated prices. Pricing services generally price debt securities assuming orderly transactions of an institutional round lot size, but some trades may occur in smaller, odd lot sizes, sometimes at lower prices than institutional round lot trades. Standard inputs generally considered by third-party pricing vendors include reported trade data, broker-dealer price quotations, benchmark yields, issuer spreads on comparable securities, the credit quality, yield, maturity, as well as other appropriate factors.
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
14 OPPENHEIMER CONSERVATIVE BALANCED FUND/VA
3. Securities Valuation (Continued) 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.
Classifications
Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation. Various data inputs may be used in determining the value of each of the Funds investments as of the reporting period end. These data inputs are categorized in the following hierarchy under applicable financial accounting standards: 1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange) 2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets and market corroborated inputs such as interest rates, prepayment speeds, credit risks, etc.) 3) Level 3-significant unobservable inputs (including the Managers own judgments about assumptions that market participants would use in pricing the asset or liability).
The inputs used for valuing securities are not necessarily an indication of the risks associated with investing in those securities.
The Fund classifies each of its investments in investment companies which are publicly offered as Level 1. Investment companies that are not publicly offered, if any, are classified as Level 2 in the fair value hierarchy.
The table below categorizes 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: | |||||||||||
Common Stocks | |||||||||||
Consumer Discretionary | $ | 10,701,095 | $ | | $ | | $ | 10,701,095 | |||
Consumer Staples | 3,316,344 | | | 3,316,344 | |||||||
Energy | 3,677,550 | | | 3,677,550 | |||||||
Financials | 11,943,416 | | | 11,943,416 | |||||||
Health Care | 8,856,689 | | | 8,856,689 | |||||||
Industrials | 6,915,117 | | | 6,915,117 | |||||||
Information Technology | 14,473,827 | | | 14,473,827 | |||||||
Materials | 936,336 | | | 936,336 | |||||||
Telecommunication Services | 2,227,243 | | | 2,227,243 | |||||||
Utilities | 1,491,806 | 603,255 | | 2,095,061 | |||||||
Asset-Backed Securities | | 17,720,728 | | 17,720,728 | |||||||
Mortgage-Backed Obligations | | 56,434,085 | | 56,434,085 | |||||||
U.S. Government Obligation | | 551,128 | | 551,128 | |||||||
Non-Convertible Corporate Bonds and Notes | | 61,726,896 | | 61,726,896 | |||||||
Investment Company | 5,367,607 | | | 5,367,607 | |||||||
Total Investments, at Value | 69,907,030 | 137,036,092 | | 206,943,122 | |||||||
Other Financial Instruments: | |||||||||||
Futures contracts | 484,812 | | | 484,812 | |||||||
Total Assets | $ | 70,391,842 | $ | 137,036,092 | $ | | $ | 207,427,934 | |||
Liabilities Table | |||||||||||
Other Financial Instruments: | |||||||||||
Futures contracts | $ | (26,985 | ) $ | | $ | | $ | (26,985 | ) | ||
Swaps, at value | | (113,456 | ) | | (113,456 | ) | |||||
Total Liabilities | $ | (26,985 | ) $ | (113,456 | ) $ | | $ | (140,441 | ) |
Forward currency exchange contracts and futures contracts, if any, are reported at their unrealized appreciation/depreciation at measurement date, which represents the change in the contracts value from trade date. All additional assets and liabilities included in the above table are reported at their market value at measurement date.
For the reporting period, there were no transfers between levels.
4. Investments and Risks
Investments in Affiliated Funds. The Fund is permitted to invest in other mutual funds advised by the Manager or an affiliate of the Manager (Affiliated Funds). Affiliated Funds are management investment companies registered under the 1940 Act, as amended. Unless otherwise stated, the Manager is the investment adviser of, and the Sub-Adviser provides investment and related advisory services to, the Affiliated Funds. When
15 OPPENHEIMER CONSERVATIVE BALANCED FUND/VA
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
4. Investments and Risks (Continued) applicable, the Fund's investments in Affiliated Funds are included in the Statement of Investments. Shares of Affiliated Funds are valued at their net asset value per share. As a shareholder, the Fund is subject to its proportional share of the Affiliated Funds expenses, including their management fee. The Manager will waive fees and/or reimburse Fund expenses in an amount equal to the indirect management fees incurred through the Funds investment in the Affiliated Funds.
Each of the Affiliated Funds in which the Fund invests has its own investment risks, and those risks can affect the value of the Funds investments and therefore the value of the Funds shares. To the extent that the Fund invests more of its assets in one Affiliated Fund than in another, the Fund will have greater exposure to the risks of that Affiliated Fund.
Investments in Money Market Instruments. The Fund is permitted to invest its free cash balances in money market instruments to provide liquidity or for defensive purposes. The Fund may invest in money market instruments by investing in Class E shares of Oppenheimer Institutional Government Money Market Fund ("IGMMF"), which is an Affiliated Fund. IGMMF is regulated as a money market fund under the 1940 Act, as amended. The Fund may also invest in money market instruments directly or in other affiliated or unaffiliated money market funds.
Master Limited Partnerships (MLPs). MLPs issue common units that represent an equity ownership interest in a partnership and provide limited voting rights. MLP common units are registered with the Securities and Exchange Commission (SEC), and are freely tradable on securities exchanges such as the NYSE and the NASDAQ Stock Market (NASDAQ), or in the over-the-counter (OTC) market. An MLP consists of one or more general partners, who conduct the business, and one or more limited partners, who contribute capital. MLP common unit holders have a limited role in the partnerships operations and management. The Fund, as a limited partner, normally would not be liable for the debts of the MLP beyond the amounts the Fund has contributed, but would not be shielded to the same extent that a shareholder of a corporation would be. In certain circumstances creditors of an MLP would have the right to seek return of capital distributed to a limited partner. This right of an MLPs creditors would continue after the Fund sold its investment in the MLP.
Securities on a When-Issued or Delayed Delivery Basis. The Fund may purchase securities on a when-issued basis, and may purchase or sell securities on a delayed delivery basis. When-issued or delayed delivery refers to securities whose terms and indenture are available and for which a market exists, but which are not available for immediate delivery. Delivery and payment for securities that have been purchased by the Fund on a when-issued basis normally takes place within six months and possibly as long as two years or more after the trade date. During this period, such securities do not earn interest, are subject to market fluctuation and may increase or decrease in value prior to their delivery. The purchase of securities on a when-issued basis may increase the volatility of the Fund's net asset value to the extent the Fund executes such transactions while remaining substantially fully invested. When the Fund engages in when-issued or delayed delivery transactions, it relies on the buyer or seller, as the case may be, to complete the transaction. Their failure to do so may cause the Fund to lose the opportunity to obtain or dispose of the security at a price and yield it considers advantageous. The Fund may also sell securities that it purchased on a when-issued basis or forward commitment prior to settlement of the original purchase.
At period end, the Fund had purchased securities issued on a when-issued or delayed delivery basis and sold securities issued on a delayed delivery basis as follows:
The Fund may enter into forward roll transactions with respect to mortgage-related securities. In this type of transaction, the Fund sells a mortgage-related security to a buyer and simultaneously agrees to repurchase a similar security (same type, coupon and maturity) at a later date at a set price. During the period between the sale and the repurchase, the Fund will not be entitled to receive interest and principal payments on the securities that have been sold. The Fund records the incremental difference between the forward purchase and sale of each forward roll as realized gain (loss) on investments or as fee income in the case of such transactions that have an associated fee in lieu of a difference in the forward purchase and sale price. Forward roll transactions may be deemed to entail embedded leverage since the Fund purchases mortgage-related securities with extended settlement dates rather than paying for the securities under a normal settlement cycle. This embedded leverage increases the 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.
16 |
OPPENHEIMER CONSERVATIVE BALANCED FUND/VA |
When-Issued or | ||
Delayed Delivery | ||
Basis Transactions | ||
Purchased securities | $ | 47,126,552 |
Sold securities | 13,195,695 |
4. Investments and Risks (Continued)
Equity Security Risk. Stocks and other equity securities fluctuate in price. The value of the Funds portfolio may be affected by changes in the equity markets generally. Equity markets may experience significant short-term volatility and may fall sharply at times. Different markets may behave differently from each other and U.S. equity markets may move in the opposite direction from one or more foreign stock markets. Adverse events in any part of the equity or fixed-income markets may have unexpected negative effects on other market segments.
The prices of individual equity securities generally do not all move in the same direction at the same time and a variety of factors can affect the price of a particular companys securities. These factors may include, but are not limited to, poor earnings reports, a loss of customers, litigation against the company, general unfavorable performance of the companys sector or industry, or changes in government regulations affecting the company or its industry.
5. Market Risk Factors
The Funds investments in securities and/or financial derivatives may expose the Fund to various market risk factors:
Commodity Risk. Commodity risk relates to the change in value of commodities or commodity indexes as they relate to increases or decreases in the commodities market. Commodities are physical assets that have tangible properties. Examples of these types of assets are crude oil, heating oil, metals, livestock, and agricultural products.
Credit Risk. Credit risk relates to the ability of the issuer of debt to meet interest and principal payments, or both, as they come due. In general, lower-grade, higher-yield debt securities are subject to credit risk to a greater extent than lower-yield, higher-quality securities.
Equity Risk. Equity risk relates to the change in value of equity securities as they relate to increases or decreases in the general market. Foreign Exchange Rate Risk. Foreign exchange rate risk relates to the change in the U.S. dollar value of a security held that is denominated in a foreign currency. The U.S. dollar value of a foreign currency denominated security will decrease as the dollar appreciates against the currency, while the U.S. dollar value will increase as the dollar depreciates against the currency.
Interest Rate Risk. Interest rate risk refers to the fluctuations in value of fixed-income securities resulting from the inverse relationship between price and yield. For example, an increase in general interest rates will tend to reduce the market value of already issued fixed-income investments, and a decline in general interest rates will tend to increase their value. In addition, debt securities with longer maturities, which tend to have higher yields, are subject to potentially greater fluctuations in value from changes in interest rates than obligations with shorter maturities.
Volatility Risk. Volatility risk refers to the magnitude of the movement, but not the direction of the movement, in a financial instruments price over a defined time period. Large increases or decreases in a financial instruments price over a relative time period typically indicate greater volatility risk, while small increases or decreases in its price typically indicate lower volatility risk.
6. Use of Derivatives
The Funds investment objective not only permits the Fund to purchase investment securities, it also allows the Fund to enter into various types of derivatives contracts, including, but not limited to, futures contracts, forward currency exchange contracts, credit default swaps, interest rate swaps, total return swaps, variance swaps and purchased and written options. In doing so, the Fund will employ strategies in differing combinations to permit it to increase, decrease, or change the level or types of exposure to market risk factors. These instruments may allow the Fund to pursue its objectives more quickly and efficiently than if it were to make direct purchases or sales of securities capable of effecting a similar response to market factors. Such contracts may be entered into through a bilateral over-the-counter (OTC) transaction, or through a securities or futures exchange and cleared through a clearinghouse.
Derivatives may have little or no initial cash investment relative to their market value exposure and therefore can produce significant gains or losses in excess of their cost due to changes in the market risk factors and the overall market. This use of embedded leverage allows the Fund to increase its market value exposure relative to its net assets and can substantially increase the volatility of the Funds performance. In instances where the Fund is using derivatives to decrease, or hedge, exposures to market risk factors for securities held by the Fund, there are also risks that those derivatives may not perform as expected resulting in losses for the combined or hedged positions. Some derivatives have the potential for unlimited loss, regardless of the size of the Funds initial investment.
Additional associated risks from investing in derivatives also exist and potentially could have significant effects on the valuation of the derivative and the Fund. Typically, the associated risks are not the risks that the Fund is attempting to increase or decrease exposure to, per its investment objectives, but are the additional risks from investing in derivatives. Examples of these associated risks are liquidity risk, which is the risk that the Fund will not be able to sell the derivative in the open market in a timely manner, and counterparty credit risk, which is the risk that the counterparty will not fulfill its obligation to the Fund.
The Fund's actual exposures to these market risk factors and associated risks during the period are discussed in further detail, by derivative type, below.
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
NOTES TO STATEMENT OF INVESTMENTS Unaudited / Continued
6. Use of Derivatives (Continued) 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 $12,604,266 and $20,110,314 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 semi annual 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, 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 $0 and $1,309,228 on total return swaps which are long the reference asset and total return swaps which are short the reference asset, respectively.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
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
18 OPPENHEIMER CONSERVATIVE BALANCED FUND/VA
6. Use of Derivatives (Continued) 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.
7. 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 CONSERVATIVE BALANCED FUND/VA