CONSOLIDATED STATEMENT OF INVESTMENTS March 31, 2019 Unaudited | ||||||||||
Principal Amount | Value | Principal Amount | Value | |||||||
Asset-Backed Securities2.4% | Asset-Backed Securities (Continued) | |||||||||
American Credit Acceptance Receivables Trust: | Santander Drive Auto Receivables Trust: (Continued) | |||||||||
Series 2015-3, Cl. D, 5.86%, 7/12/221 | $ | 275,000 | $ | 275,287 | Series 2017-2, Cl. D, 3.49%, 7/17/23 | $ | 190,000 $ | 191,066 | ||
Series 2017-4, Cl. B, 2.61%, 5/10/211 | 110,028 | 109,988 | Series 2017-3, Cl. D, 3.20%, 11/15/23 | 760,000 | 759,654 | |||||
Series 2017-4, Cl. C, 2.94%, 1/10/241 | 510,000 | 509,290 | Series 2018-1, Cl. D, 3.32%, 3/15/24 | 290,000 | 291,011 | |||||
Series 2017-4, Cl. D, 3.57%, 1/10/241 | 673,000 | 673,555 | Series 2018-2, Cl. D, 3.88%, 2/15/24 | 145,000 | 147,159 | |||||
AmeriCredit Automobile Receivables Trust: | Santander Retail Auto Lease Trust, Series | |||||||||
Series 2017-2, Cl. D, 3.42%, 4/18/23 | 830,000 | 834,793 | 2017-A, Cl. C, 2.96%, 11/21/221 | 505,000 | 504,102 | |||||
Series 2017-4, Cl. D, 3.08%, 12/18/23 | 375,000 | 375,412 | SLM Student Loan Trust, Series 2004- | |||||||
Cabela's Credit Card Master Note | 5X, Cl. A6, 0.092% [EUR003M+40], | |||||||||
Trust, Series 2016-1, Cl. A2, 3.334% | 10/25/392,4 | EUR | 7,781,119 | 8,478,836 | ||||||
[US0001M+85], 6/15/222 | 1,690,000 | 1,692,795 | TCF Auto Receivables Owner Trust, Series | |||||||
Capital Auto Receivables Asset Trust, | 2015-1A, Cl. D, 3.53%, 3/15/221 | 285,000 | 284,982 | |||||||
Series 2017-1, Cl. D, 3.15%, 2/20/251 | 110,000 | 109,455 | United Auto Credit Securitization Trust, | |||||||
CarMax Auto Owner Trust: | Series 2018-1, Cl. C, 3.05%, 9/10/211 | 625,000 | 625,360 | |||||||
Series 2015-2, Cl. D, 3.04%, 11/15/21 | 175,000 | 175,026 | Veros Automobile Receivables Trust, | |||||||
Series 2015-3, Cl. D, 3.27%, 3/15/22 | 610,000 | 608,979 | Series 2017-1, Cl. A, 2.84%, 4/17/231 | 89,080 | 88,944 | |||||
Series 2016-1, Cl. D, 3.11%, 8/15/22 | 465,000 | 463,679 | Westlake Automobile Receivables Trust: | |||||||
Series 2017-1, Cl. D, 3.43%, 7/17/23 | 630,000 | 632,172 | Series 2016-1A, Cl. E, 6.52%, 6/15/221 | 670,000 | 673,051 | |||||
Series 2017-4, Cl. D, 3.30%, 5/15/24 | 280,000 | 279,025 | Series 2017-2A, Cl. E, 4.63%, 7/15/241 | 685,000 | 690,148 | |||||
Series 2018-1, Cl. D, 3.37%, 7/15/24 | 195,000 | 195,276 | Series 2018-1A, Cl. D, 3.41%, 5/15/231 | 845,000 | 847,295 | |||||
CCG Receivables Trust: | World Financial Network Credit Card Master Trust: | |||||||||
Series 2017-1, Cl. B, 2.75%, 11/14/231 | 635,000 | 633,204 | Series 2012-D, Cl. A, 2.15%, 4/17/23 | 420,000 | 419,453 | |||||
Series 2018-1, Cl. B, 3.09%, 6/16/251 | 240,000 | 240,735 | Series 2018-A, Cl. A, 3.07%, 12/16/24 | 1,440,000 | 1,448,270 | |||||
Series 2018-1, Cl. C, 3.42%, 6/16/251 | 70,000 | 70,228 | Series 2018-C, Cl. A, 3.55%, 8/15/25 | 415,000 | 422,711 | |||||
CIG Auto Receivables Trust, Series 2017- | Total Asset-Backed Securities (Cost $34,413,409) | 34,466,530 | ||||||||
1A, Cl. A, 2.71%, 5/15/231 | 130,005 | 129,745 | ||||||||
CNH Equipment Trust, Series 2017-C, Cl. | Mortgage-Backed Obligations20.0% | |||||||||
B, 2.54%, 5/15/25 | 185,000 | 183,611 | Government Agency11.9% | |||||||
CPS Auto Receivables Trust, Series 2018- | FHLMC/FNMA/FHLB/Sponsored11.1% | |||||||||
A, Cl. B, 2.77%, 4/18/221 | 370,000 | 368,884 | Federal Home Loan Mortgage Corp. Gold Pool: | |||||||
CPS Auto Trust, Series 2017-A, Cl. B, | 5.00%, 9/1/33 | 196,054 | 211,405 | |||||||
2.68%, 5/17/211 | 51,201 | 51,153 | 5.50%, 9/1/39 | 222,060 | 241,531 | |||||
Credit Acceptance Auto Loan Trust: | 6.00%, 11/1/21 | 23,210 | 25,138 | |||||||
Series 2017-3A, Cl. C, 3.48%, 10/15/261 | 565,000 | 565,296 | 6.50%, 4/1/19-8/1/32 | 163,228 | 181,195 | |||||
Series 2018-1A, Cl. B, 3.60%, 4/15/271 | 360,000 | 362,866 | 7.00%, 10/1/31-10/1/37 | 36,055 | 39,978 | |||||
Series 2018-1A, Cl. C, 3.77%, 6/15/271 | 510,000 | 513,976 | 7.50%, 1/1/32 | 196,926 | 231,798 | |||||
Dell Equipment Finance Trust, Series | ||||||||||
2017-2, Cl. B, 2.47%, 10/24/221 | 190,000 | 189,181 | Federal Home Loan Mortgage Corp. , Interest-Only Stripped Mtg. -Backed Security: | |||||||
Drive Auto Receivables Trust: | Series 192,Cl. IO, 99.999%, 2/1/285 | 3,885 | 760 | |||||||
Series 2015-BA, Cl. D, 3.84%, 7/15/211 | 22,123 | 22,152 | Series 205,Cl. IO, 62.338%, 9/1/295 | 23,332 | 4,698 | |||||
Series 2016-CA, Cl. D, 4.18%, 3/15/241 | 430,000 | 435,544 | Series 243,Cl. 6, 2.709%, 12/15/325 | 52,627 | 9,886 | |||||
Series 2018-1, Cl. D, 3.81%, 5/15/24 | 470,000 | 474,076 | Federal Home Loan Mortgage Corp. , Real Estate Mtg. Investment Conduit Multiclass | |||||||
Pass-Through Certificates: | ||||||||||
Series 2018-3, Cl. D, 4.30%, 9/16/24 | 175,000 | 178,771 | Series 1360,Cl. PZ, 7.50%, 9/15/22 | 147,031 | 154,786 | |||||
DT Auto Owner Trust: | Series 151,Cl. F, 9.00%, 5/15/21 | 710 | 723 | |||||||
Series 2016-4A, Cl. E, 6.49%, 9/15/231 | 200,000 | 204,816 | Series 1674,Cl. Z, 6.75%, 2/15/24 | 74,708 | 79,134 | |||||
Series 2017-1A, Cl. D, 3.55%, 11/15/221 | 440,000 | 441,387 | Series 1897,Cl. K, 7.00%, 9/15/26 | 276,095 | 301,004 | |||||
Series 2017-1A, Cl. E, 5.79%, 2/15/241 | 415,000 | 425,993 | Series 2043,Cl. ZP, 6.50%, 4/15/28 | 126,828 | 140,613 | |||||
Series 2017-2A, Cl. D, 3.89%, 1/15/231 | 495,000 | 497,998 | Series 2106,Cl. FG, 2.934% | |||||||
Series 2017-3A, Cl. E, 5.60%, 8/15/241 | 380,000 | 392,620 | [LIBOR01M+45], 12/15/282 | 220,346 | 221,339 | |||||
Series 2017-4A, Cl. D, 3.47%, 7/17/231 | 560,000 | 561,512 | Series 2122,Cl. F, 2.934% | |||||||
Series 2017-4A, Cl. E, 5.15%, 11/15/241 | 390,000 | 398,434 | [LIBOR01M+45], 2/15/292 | 5,920 | 5,772 | |||||
Element Rail Leasing I LLC, Series 2014- | Series 2148,Cl. ZA, 6.00%, 4/15/29 | 120,248 | 131,094 | |||||||
1A, Cl. A1, 2.299%, 4/19/441 | 114,486 | 114,136 | Series 2195,Cl. LH, 6.50%, 10/15/29 | 85,031 | 93,682 | |||||
Exeter Automobile Receivables Trust, | Series 2326,Cl. ZP, 6.50%, 6/15/31 | 10,238 | 11,191 | |||||||
Series 2018-1A, Cl. B, 2.75%, 4/15/221 | 405,000 | 404,557 | Series 2344,Cl. FP, 3.434% | |||||||
Flagship Credit Auto Trust, Series 2016- | [LIBOR01M+95], 8/15/312 | 58,627 | 60,084 | |||||||
1, Cl. C, 6.22%, 6/15/221 | 980,000 | 1,014,559 | Series 2368,Cl. PR, 6.50%, 10/15/31 | 41,356 | 46,290 | |||||
GLS Auto Receivables Trust, Series 2018- | ||||||||||
1A, Cl. A, 2.82%, 7/15/223 | 545,172 | 544,386 | Series 2412,Cl. GF, 3.434% | |||||||
[LIBOR01M+95], 2/15/322 | 72,415 | 74,262 | ||||||||
GM Financial Automobile Leasing Trust, | Series 2449,Cl. FL, 3.034% | |||||||||
Series 2017-3, Cl. C, 2.73%, 9/20/21 | 320,000 | 318,449 | [LIBOR01M+55], 1/15/322 | 65,872 | 66,500 | |||||
Navistar Financial Dealer Note Master Owner Trust II: | Series 2451,Cl. FD, 3.484% | |||||||||
Series 2017-1, Cl. C, 4.036% | [LIBOR01M+100], 3/15/322 | 30,736 | 31,576 | |||||||
[US0001M+155], 6/27/221,2 | 160,000 | 160,197 | Series 2461,Cl. PZ, 6.50%, 6/15/32 | 147,475 | 162,505 | |||||
Series 2017-1, Cl. D, 4.786% | ||||||||||
[US0001M+230], 6/27/221,2 | 185,000 | 185,093 | Series 2464,Cl. FI, 3.484% | |||||||
[LIBOR01M+100], 2/15/322 | 28,486 | 29,268 | ||||||||
Santander Drive Auto Receivables Trust: | Series 2470,Cl. AF, 3.484% | |||||||||
Series 2017-1, Cl. D, 3.17%, 4/17/23 | 440,000 | 440,551 | [LIBOR01M+100], 3/15/322 | 52,734 | 54,177 | |||||
Series 2017-1, Cl. E, 5.05%, 7/15/241 | 1,110,000 | 1,135,646 | ||||||||
1 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA |
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued | |||||||||||
Principal Amount | Value | Principal Amount | Value | ||||||||
FHLMC/FNMA/FHLB/Sponsored (Continued) | FHLMC/FNMA/FHLB/Sponsored (Continued) | ||||||||||
Federal Home Loan Mortgage Corp. , Real Estate Mtg. Investment Conduit Multiclass | Federal National Mortgage Assn. , Real Estate Mtg. Investment Conduit Multiclass Pass- | ||||||||||
Pass-Through Certificates: (Continued) | Through Certificates: | ||||||||||
Series 2470,Cl. LF, 3.484% | Series 1999-54,Cl. LH, 6.50%, 11/25/29 | $ | 77,745 $ | 85,213 | |||||||
[LIBOR01M+100], 2/15/322 | $ | 29,151 | $ | 29,952 | Series 2001-80,Cl. ZB, 6.00%, 1/25/32 | 63,501 | 68,679 | ||||
Series 2477,Cl. FZ, 3.034% | Series 2002-29,Cl. F, 3.486% | ||||||||||
[LIBOR01M+55], 6/15/312 | 115,550 | 116,595 | [LIBOR01M+100], 4/25/322 | 31,369 | 32,235 | ||||||
Series 2517,Cl. GF, 3.484% | Series 2002-64,Cl. FJ, 3.486% | ||||||||||
[LIBOR01M+100], 2/15/322 | 25,345 | 26,042 | [LIBOR01M+100], 4/25/322 | 9,659 | 9,926 | ||||||
Series 2635,Cl. AG, 3.50%, 5/15/32 | 37,693 | 38,163 | Series 2002-68,Cl. FH, 2.982% | ||||||||
Series 2676,Cl. KY, 5.00%, 9/15/23 | 320,444 | 331,300 | [LIBOR01M+50], 10/18/322 | 21,523 | 21,679 | ||||||
Series 3025,Cl. SJ, 15.643% [-3.6667 x | Series 2002-84,Cl. FB, 3.486% | ||||||||||
LIBOR01M+2,475], 8/15/352 | 72,135 | 104,789 | [LIBOR01M+100], 12/25/322 | 134,645 | 138,348 | ||||||
Series 3848,Cl. WL, 4.00%, 4/15/40 | 87,815 | 88,967 | Series 2002-90,Cl. FH, 2.986% | ||||||||
Series 3857,Cl. GL, 3.00%, 5/15/40 | 4,427 | 4,511 | [LIBOR01M+50], 9/25/322 | 75,333 | 75,910 | ||||||
Series 3917,Cl. BA, 4.00%, 6/15/38 | 54,364 | 56,108 | Series 2003-11,Cl. FA, 3.486% | ||||||||
Series 4221,Cl. HJ, 1.50%, 7/15/23 | 123,507 | 121,254 | [LIBOR01M+100], 9/25/322 | 134,648 | 138,351 | ||||||
Federal Home Loan Mortgage Corp. , Real Estate Mtg. Investment Conduit Multiclass | Series 2003-116,Cl. FA, 2.886% | ||||||||||
Pass-Through Certificates, Interest-Only Stripped Mtg. -Backed Security: | [LIBOR01M+40], 11/25/332 | 14,004 | 14,051 | ||||||||
Series 2074,Cl. S, 99.999%, 7/17/285 | 5,377 | 504 | Series 2005-109,Cl. AH, 5.50%, | ||||||||
Series 2079,Cl. S, 99.999%, 7/17/285 | 9,927 | 1,128 | 12/25/25 | 457,970 | 471,292 | ||||||
Series 2136,Cl. SG, 32.548%, 3/15/295 | 305,663 | 44,250 | Series 2005-31,Cl. PB, 5.50%, 4/25/35 | 560,000 | 617,206 | ||||||
Series 2399,Cl. SG, 99.999%, 12/15/265 | 159,656 | 20,616 | Series 2005-71,Cl. DB, 4.50%, 8/25/25 | 62,734 | 63,675 | ||||||
Series 2437,Cl. SB, 47.427%, 4/15/325 | 549,933 | 74,888 | Series 2006-11,Cl. PS, 15.453% | ||||||||
Series 2526,Cl. SE, 55.968%, 6/15/295 | 11,218 | 1,848 | [ | -3.6667 x LIBOR01M+2,456.67], | |||||||
Series 2682,Cl. TQ, 99.999%, 10/15/335 | 121,953 | 18,580 | 3/25/362 | 68,893 | 101,709 | ||||||
Series 2795,Cl. SH, 56.46%, 3/15/245 | 186,061 | 11,802 | Series 2006-46,Cl. SW, 15.086% | ||||||||
Series 2920,Cl. S, 44.659%, 1/15/355 | 124,753 | 20,045 | [ | -3.6665 x LIBOR01M+2,419.92], | |||||||
Series 2922,Cl. SE, 16.926%, 2/15/355 | 20,578 | 3,388 | 6/25/362 | 107,091 | 153,044 | ||||||
Series 2981,Cl. AS, 0.668%, 5/15/355 | 186,377 | 25,869 | Series 2008-75,Cl. DB, 4.50%, 9/25/23 | 2 | 2 | ||||||
Series 2981,Cl. BS, 99.999%, 5/15/355 | 249,243 | 38,951 | Series 2009-113,Cl. DB, 3.00%, | ||||||||
Series 3397,Cl. GS, 3.696%, 12/15/375 | 84,888 | 14,840 | 12/25/20 | 3,636 | 3,622 | ||||||
Series 3424,Cl. EI, 0.00%, 4/15/385,6 | 23,835 | 2,368 | Series 2009-36,Cl. FA, 3.426% | ||||||||
Series 3450,Cl. BI, 10.174%, 5/15/385 | 138,768 | 20,337 | [LIBOR01M+94], 6/25/372 | 15,583 | 15,974 | ||||||
Series 3606,Cl. SN, 10.905%, 12/15/395 | 40,852 | 5,308 | Series 2009-70,Cl. TL, 4.00%, 8/25/19 | 61 | 61 | ||||||
Federal National Mortgage Assn.: | Series 2010-43,Cl. KG, 3.00%, 1/25/21 | 4,667 | 4,661 | ||||||||
2.50%, 4/1/347 | 4,545,000 | 4,518,753 | Series 2011-122,Cl. EC, 1.50%, 1/25/20 | 2,270 | 2,255 | ||||||
3.00%, 4/1/34-4/1/497 | 7,670,000 | 7,689,879 | Series 2011-15,Cl. DA, 4.00%, 3/25/41 | 39,581 | 40,394 | ||||||
3.50%, 4/1/497 | 25,675,000 | 26,033,046 | Series 2011-3,Cl. EL, 3.00%, 5/25/20 | 2,937 | 2,926 | ||||||
4.00%, 4/1/497 | 29,450,000 | 30,296,687 | Series 2011-3,Cl. KA, 5.00%, 4/25/40 | 113,081 | 118,378 | ||||||
4.50%, 4/1/497 | 72,910,000 | 75,978,414 | Series 2011-38,Cl. AH, 2.75%, 5/25/20 | 2 | 2 | ||||||
5.00%, 4/1/497 | 5,590,000 | 5,911,316 | Series 2011-6,Cl. BA, 2.75%, 6/25/20 | 1,799 | 1,805 | ||||||
Federal National Mortgage Assn. Pool: | Series 2011-82,Cl. AD, 4.00%, 8/25/26 | 20,029 | 20,037 | ||||||||
5.00%, 7/1/19-7/1/33 | 221,119 | 237,125 | Series 2012-20,Cl. FD, 2.886% | ||||||||
5.50%, 4/1/21-5/1/36 | 121,361 | 132,025 | [LIBOR01M+40], 3/25/422 | 170,870 | 171,071 | ||||||
6.50%, 12/1/29-1/1/34 | 360,847 | 403,755 | Federal National Mortgage Assn. , Real Estate Mtg. Investment Conduit Multiclass Pass- | ||||||||
7.00%, 1/1/30-4/1/34 | 455,591 | 518,696 | Through Certificates, Interest-Only Stripped Mtg. -Backed Security: | ||||||||
7.50%, 2/1/27-3/1/33 | 613,251 | 712,258 | Series 2001-61,Cl. SH, 39.127%, | ||||||||
8.50%, 7/1/32 | 462 | 467 | 11/18/315 | 35,092 | 5,938 | ||||||
Federal National Mortgage Assn. , Interest-Only Stripped Mtg. -Backed Security: | Series 2001-63,Cl. SD, 48.979%, | ||||||||||
12/18/315 | 8,818 | 1,350 | |||||||||
Series 214,Cl. 2, 99.999%, 3/25/235 | 50,806 | 5,100 | Series 2001-68,Cl. SC, 43.14%, | ||||||||
Series 221,Cl. 2, 99.999%, 5/25/235 | 6,056 | 666 | 11/25/315 | 6,464 | 1,198 | ||||||
Series 254,Cl. 2, 99.999%, 1/25/245 | 109,271 | 13,897 | Series 2001-81,Cl. S, 45.963%, 1/25/325 | 7,536 | 1,321 | ||||||
Series 301,Cl. 2, 21.436%, 4/25/295 | 24,043 | 4,817 | Series 2002-28,Cl. SA, 34.265%, | ||||||||
Series 313,Cl. 2, 99.999%, 6/25/315 | 253,686 | 56,293 | 4/25/325 | 5,627 | 1,001 | ||||||
Series 319,Cl. 2, 1.231%, 2/25/325 | 120,849 | 26,688 | Series 2002-38,Cl. SO, 78.285%, | ||||||||
Series 321,Cl. 2, 31.768%, 4/25/325 | 37,007 | 8,551 | 4/25/325 | 38,173 | 6,496 | ||||||
Series 324,Cl. 2, 0.00%, 7/25/325,6 | 36,366 | 8,324 | Series 2002-48,Cl. S, 39.272%, 7/25/325 | 8,252 | 1,586 | ||||||
Series 328,Cl. 2, 0.00%, 12/25/325,6 | 72,236 | 16,291 | Series 2002-52,Cl. SL, 32.045%, | ||||||||
Series 331,Cl. 5, 2.477%, 2/25/335 | 138,281 | 26,522 | 9/25/325 | 5,654 | 1,043 | ||||||
Series 332,Cl. 2, 0.00%, 3/25/335,6 | 595,490 | 135,259 | Series 2002-56,Cl. SN, 40.406%, | ||||||||
Series 334,Cl. 12, 0.00%, 3/25/335,6 | 112,726 | 23,925 | 7/25/325 | 11,339 | 2,179 | ||||||
Series 339,Cl. 15, 7.448%, 10/25/335 | 329,079 | 69,587 | Series 2002-77,Cl. IS, 55.377%, | ||||||||
Series 345,Cl. 9, 0.00%, 1/25/345,6 | 105,725 | 22,252 | 12/18/325 | 65,035 | 12,787 | ||||||
Series 351,Cl. 10, 0.00%, 4/25/345,6 | 63,848 | 14,349 | Series 2002-77,Cl. SH, 39.614%, | ||||||||
Series 351,Cl. 8, 0.00%, 4/25/345,6 | 116,163 | 26,075 | 12/18/325 | 10,612 | 1,758 | ||||||
Series 356,Cl. 10, 0.00%, 6/25/355,6 | 81,242 | 16,593 | Series 2002-9,Cl. MS, 30.419%, | ||||||||
Series 356,Cl. 12, 0.00%, 2/25/355,6 | 40,041 | 8,269 | 3/25/325 | 10,100 | 1,934 | ||||||
Series 362,Cl. 13, 0.00%, 8/25/355,6 | 53,046 | 11,860 | |||||||||
2 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA |
Principal Amount | Value | Principal Amount | Value | |||||||||
FHLMC/FNMA/FHLB/Sponsored (Continued) | Commercial (Continued) | |||||||||||
Federal National Mortgage Assn. , Real Estate Mtg. Investment Conduit Multiclass Pass- | Chase Mortgage Finance Trust, Series 2005- | |||||||||||
Through Certificates, Interest-Only Stripped Mtg. -Backed Security: (Continued) | A2, Cl . 1A3, 4.349%, 1/25/368 | $ | 10,848 | $ | 10,609 | |||||||
Series 2003-13,Cl. IO, 52.267%, | Citigroup Commercial Mortgage Trust: | |||||||||||
3/25/335 | $ | 112,848 | $ | 26,328 | Series 2012-GC8,Cl. AAB, 2.608%, | |||||||
Series 2003-26,Cl. DI, 57.401%, | 9/10/45 | 226,533 | 225,809 | |||||||||
4/25/335 | 87,288 | 22,163 | Series 2014-GC21,Cl. AAB, 3.477%, | |||||||||
Series 2003-33,Cl. SP, 31.817%, | 5/10/47 | 270,000 | 274,893 | |||||||||
5/25/335 | 61,717 | 12,035 | Citigroup Commercial Mortgage Trust, | |||||||||
Series 2003-4,Cl. S, 21.627%, 2/25/335 | 17,359 | 3,466 | Interest-Only Commercial Mtg. Pass-Through | |||||||||
Series 2004-56,Cl. SE, 3.526%, | Certificates, Series 2017-C4, Cl. XA, 11.938%, | |||||||||||
10/25/335 | 292,967 | 54,779 | 10/12/505 | 6,116,733 | 419,923 | |||||||
Series 2005-12,Cl. SC, 25.44%, | COMM Mortgage Trust: | |||||||||||
3/25/355 | 9,493 | 1,428 | Series 2013-CR6,Cl. AM, 3.147%, | |||||||||
Series 2005-14,Cl. SE, 40.638%, | 3/10/461 | 960,000 | 962,494 | |||||||||
3/25/355 | 357,682 | 46,479 | Series 2014-CR17,Cl. ASB, 3.598%, | |||||||||
Series 2005-40,Cl. SA, 43.959%, | 5/10/47 | 870,000 | 887,896 | |||||||||
5/25/355 | 310,890 | 49,779 | Series 2014-CR20,Cl. ASB, 3.305%, | |||||||||
Series 2005-40,Cl. SB, 99.999%, | 11/10/47 | 180,000 | 182,846 | |||||||||
5/25/355 | 502,473 | 63,255 | Series 2014-CR21,Cl. AM, 3.987%, | |||||||||
Series 2005-52,Cl. JH, 26.081%, | 12/10/47 | 25,000 | 25,739 | |||||||||
5/25/355 | 186,072 | 27,955 | Series 2014-LC15,Cl. AM, 4.198%, | |||||||||
Series 2005-63,Cl. SA, 30.376%, | 4/10/47 | 455,000 | 473,980 | |||||||||
10/25/315 | 16,912 | 2,273 | Series 2014-UBS6,Cl. AM, 4.048%, | |||||||||
Series 2006-90,Cl. SX, 99.999%, | 12/10/47 | 1,600,000 | 1,635,447 | |||||||||
9/25/365 | 349,002 | 61,098 | Series 2015-CR22,Cl. A2, 2.856%, | |||||||||
Series 2007-88,Cl. XI, 0.00%, 6/25/375,6 | 334,214 | 54,200 | 3/10/48 | 303,400 | 303,166 | |||||||
Series 2008-55,Cl. SA, 0.00%, | COMM Mortgage Trust, Interest-Only Stripped | |||||||||||
7/25/385,6 | 23,006 | 2,782 | Mtg. -Backed Security, Series 2012-CR5, Cl. XA, | |||||||||
Series 2009-8,Cl. BS, 0.00%, 2/25/245,6 | 728 | 38 | 20.604%, 12/10/455 | 2,540,595 | 120,012 | |||||||
Series 2010-95,Cl. DI, 0.00%, | Deutsche Alt-B Securities, Inc. Mortgage Loan | |||||||||||
11/25/205,6 | 8,133 | 85 | Trust, Series 2006-AB2, Cl. A1, 5.276%, | |||||||||
Series 2011-96,Cl. SA, 4.863%, | 6/25/368 | 44,101 | 42,091 | |||||||||
10/25/415 | 140,094 | 22,342 | Deutsche Mortgage Securities, Inc. , Series | |||||||||
Series 2012-134,Cl. SA, 0.00%, | 2013-RS1, Cl. 1A2, 2.708% [US0001M+22], | |||||||||||
12/25/425,6 | 467,976 | 88,462 | 7/22/361,2 | 4,645,949 | 4,552,299 | |||||||
Series 2012-40,Cl. PI, 24.707%, | FREMF Mortgage Trust: | |||||||||||
4/25/415 | 745,294 | 92,650 | Series 2012-K20,Cl. C, 3.871%, | |||||||||
Federal National Mortgage Assn. , Stripped | 5/25/451,8 | 4,165,000 | 4,232,852 | |||||||||
Mtg. -Backed Security, Series 302, Cl. 2, 6.00%, | Series 2013-K25,Cl. C, 3.623%, | |||||||||||
5/1/29 | 3 | — | 11/25/451,8 | 135,000 | 135,869 | |||||||
159,803,225 | Series 2013-K26,Cl. C, 3.598%, | |||||||||||
12/25/451,8 | 95,000 | 95,563 | ||||||||||
GNMA/Guaranteed—0.8% | Series 2013-K27,Cl. C, 3.496%, | |||||||||||
Government National Mortgage Assn. I Pool: | 1/25/461,8 | 1,460,000 | 1,464,119 | |||||||||
7.00%, 4/15/28-7/15/28 | 44,736 | 48,686 | Series 2013-K28,Cl. C, 3.49%, | |||||||||
8.00%, 5/15/26 | 7,661 | 7,675 | 6/25/461,8 | 2,330,000 | 2,337,331 | |||||||
Government National Mortgage Assn. II Pool: | Series 2013-K29,Cl. C, 3.481%, | |||||||||||
3.50%, 4/1/497 | 11,310,000 | 11,560,057 | 5/25/461,8 | 2,300,000 | 2,304,933 | |||||||
4.125% [H15T1Y+150], 11/20/252 | 1,807 | 1,857 | Series 2013-K713,Cl. C, 3.155%, | |||||||||
Government National Mortgage Assn. , Interest-Only Stripped Mtg. -Backed Security: | 4/25/461,8 | 535,000 | 533,982 | |||||||||
Series 2007-17,Cl. AI, 35.352%, | Series 2014-K714,Cl. C, 3.855%, | |||||||||||
4/16/375 | 185,262 | 27,127 | 1/25/471,8 | 400,000 | 404,024 | |||||||
Series 2011-52,Cl. HS, 16.353%, | Series 2015-K44,Cl. B, 3.683%, | |||||||||||
4/16/415 | 311,481 | 45,591 | 1/25/481,8 | 2,310,000 | 2,336,705 | |||||||
11,690,993 | Series 2015-K45,Cl. B, 3.591%, | |||||||||||
Non-Agency—8.1% | 4/25/481,8 | 4,646,000 | 4,665,955 | |||||||||
Commercial—3.2% | Series 2017-K62,Cl. B, 3.875%, | |||||||||||
BCAP LLC Trust: | 1/25/501,8 | 280,000 | 282,466 | |||||||||
Series 2011-R11,Cl. 18A5, 4.69% | Series 2017-K724,Cl. B, 3.487%, | |||||||||||
[H15T1Y+210], 9/26/351,2 | 12,114 | 12,166 | 11/25/231,8 | 1,535,000 | 1,518,883 | |||||||
Series 2012-RR6,Cl. RR6, 2.054%, | GS Mortgage Securities Trust: | |||||||||||
11/26/361 | 3,635 | 3,641 | Series 2013-GC12,Cl. AAB, 2.678%, | |||||||||
Benchmark Mortgage Trust, Interest-Only | 6/10/46 | 78,548 | 78,191 | |||||||||
Commercial Mtg. Pass-Through Certificates, | Series 2013-GC16,Cl. AS, 4.649%, | |||||||||||
Series 2018-B1, Cl. XA, 10.646%, 1/15/515 | 5,733,410 | 210,330 | 11/10/46 | 160,000 | 170,818 | |||||||
CD Mortgage Trust, Interest-Only Commercial | Series 2014-GC18,Cl. AAB, 3.648%, | |||||||||||
Mtg. Pass-Through Certificates, Series 2017- | 1/10/47 | 227,035 | 231,035 | |||||||||
CD6, Cl. XA , 12.622%, 11/13/505 | 2,303,001 | 132,037 | ||||||||||
3 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA |
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued | ||||||||||||
Principal Amount | Value | Principal Amount | Value | |||||||||
Commercial (Continued) | Multi-Family—0.0% | |||||||||||
JP Morgan Chase Commercial Mortgage Securities Trust: | Connecticut Avenue Securities, Series 2017- | |||||||||||
Series 2012-LC9,Cl. A4, 2.611%, | C04, Cl . 2M1, 3.336% [US0001M+85], | |||||||||||
12/15/47 | $ | 28,642 | $ | 28,615 | 11/25/292 | $ | 538,237 | $ | 539,006 | |||
Series 2013-C10,Cl. AS, 3.372%, | Residential—4.9% | |||||||||||
12/15/47 | 855,000 | 863,493 | Alba plc, Series 2007-1, Cl. F, 4.096% | |||||||||
Series 2013-C16,Cl. AS, 4.517%, | [BP0003M+325], 3/17/392,4 | 557,545 | 698,327 | |||||||||
12/15/46 | 820,000 | 867,706 | Banc of America Funding Trust, Series 2014- | |||||||||
Series 2013-LC11,Cl. AS, 3.216%, | R7, Cl . 3A1, 4.954%, 3/26/361,8 | 16,398 | 16,441 | |||||||||
4/15/46 | 235,000 | 235,740 | Bear Stearns ARM Trust, Series 2006-1, Cl. A1, | |||||||||
Series 2014-C20,Cl. AS, 4.043%, | 4.91% [H15T1Y+225], 2/25/362 | 32,629 | 32,994 | |||||||||
7/15/47 | 630,000 | 654,120 | CHL Mortgage Pass-Through Trust: | |||||||||
Series 2016-JP3,Cl. A2, 2.435%, | Series 2005-17,Cl. 1A8, 5.50%, 9/25/35 | 487,946 | 483,734 | |||||||||
8/15/49 | 529,923 | 525,136 | Series 2005-J4,Cl. A7, 5.50%, 11/25/35 | 451,149 | 450,436 | |||||||
JP Morgan Mortgage Trust, Series 2007-A1, Cl. | Citigroup Mortgage Loan Trust, Inc. : | |||||||||||
5A1, 4.687%, 7/25/358 | 42,676 | 43,986 | Series 2005-2,Cl. 1A3, 4.893%, | |||||||||
JP Morgan Resecuritization Trust, Series 2009- | 5/25/358 | 505,134 | 510,736 | |||||||||
5, Cl . 1A2, 4.542%, 7/26/361,8 | 2,025,596 | 2,028,091 | Series 2006-AR1,Cl. 1A1, 4.97% | |||||||||
JPMBB Commercial Mortgage Securities Trust: | [H15T1Y+240], 10/25/352 | 143,336 | 145,479 | |||||||||
Series 2014-C18,Cl. A3, 3.578%, | Series 2009-8,Cl. 7A2, 4.954%, | |||||||||||
2/15/47 | 169,400 | 170,998 | 3/25/361,8 | 5,981,848 | 5,982,108 | |||||||
Series 2014-C19,Cl. ASB, 3.584%, | Series 2014-8,Cl. 1A2, 2.778% | |||||||||||
4/15/47 | 104,547 | 106,490 | [US0001M+29], 7/20/361,2 | 3,400,000 | 3,353,571 | |||||||
Series 2014-C24,Cl. B, 4.116%, | Connecticut Avenue Securities: | |||||||||||
11/15/478 | 680,000 | 696,148 | Series 2014-C03,Cl. 1M2, 5.486% | |||||||||
Series 2014-C25,Cl. AS, 4.065%, | [US0001M+300], 7/25/242 | 805,137 | 855,412 | |||||||||
11/15/47 | 1,720,000 | 1,784,204 | Series 2016-C03,Cl. 1M1, 4.486% | |||||||||
Morgan Stanley Bank of America Merrill Lynch Trust: | [US0001M+200], 10/25/282 | 121,049 | 121,997 | |||||||||
Series 2013-C7,Cl. AAB, 2.469%, | Series 2017-C01,Cl. 1M2, 6.036% | |||||||||||
2/15/46 | 222,456 | 221,290 | [US0001M+355], 7/25/292 | 4,140,000 | 4,451,460 | |||||||
Series 2013-C9,Cl. AS, 3.456%, 5/15/46 | 570,000 | 578,228 | Series 2017-C02,Cl. 2M1, 3.636% | |||||||||
Series 2014-C14,Cl. B, 4.764%, | [US0001M+115], 9/25/292 | 796,355 | 798,854 | |||||||||
2/15/478 | 240,000 | 254,924 | Series 2017-C03,Cl. 1M1, 3.436% | |||||||||
Morgan Stanley Capital I, Inc. , Interest-Only | [US0001M+95], 10/25/292 | 815,314 | 817,034 | |||||||||
Commercial Mtg. Pass-Through Certificates, | Series 2017-C06,Cl. 1M1, 3.236% | |||||||||||
Series 2017-HR2, Cl. XA, 10.363%, 12/15/505 | 2,011,586 | 111,870 | [US0001M+75], 2/25/302 | 168,608 | 168,669 | |||||||
Morgan Stanley Re-Remic Trust, Series 2012- | Series 2017-C07,Cl. 1M1, 3.136% | |||||||||||
R3, Cl . 1A, 3.644%, 11/26/361,8 | 1,474 | 1,472 | [US0001M+65], 5/25/302 | 511,270 | 510,923 | |||||||
Morgan Stanley Resecuritization Trust, Series | Series 2017-C07,Cl. 1M2, 4.886% | |||||||||||
2013-R9, Cl. 3A, 3.912%, 6/26/461,8 | 40,864 | 40,941 | [US0001M+240], 5/25/302 | 580,000 | 592,938 | |||||||
Structured Adjustable Rate Mortgage Loan | Series 2018-C01,Cl. 1M1, 3.086% | |||||||||||
Trust, Series 2004-10, Cl. 2A, 4.493%, | [US0001M+60], 7/25/302 | 736,423 | 735,021 | |||||||||
8/25/348 | 1,899,176 | 1,909,139 | Series 2018-C02,Cl. 2M1, 3.136% | |||||||||
UBS Commercial Mortgage Trust, Interest-Only | [US0001M+65], 8/25/302 | 217,955 | 217,906 | |||||||||
Commercial Mtg. Pass-Through Certificates, | ||||||||||||
Series 2017-C5, Cl. XA, 12.272%, 11/15/505 | 3,805,979 | 234,454 | Series 2018-C06,Cl. 2M2, 4.586% | |||||||||
[US0001M+210], 3/25/312 | 1,280,000 | 1,265,441 | ||||||||||
Wells Fargo Commercial Mortgage Trust, Series | CWHEQ Revolving Home Equity Loan Trust: | |||||||||||
2015-NXS1, Cl. ASB, 2.934%, 5/15/48 | 940,000 | 941,692 | ||||||||||
Wells Fargo Commercial Mortgage Trust, | Series 2005-G,Cl. 2A, 2.714% | |||||||||||
Interest-Only Commercial Mtg. Pass-Through | [US0001M+23], 12/15/352 | 20,518 | 20,279 | |||||||||
Certificates, Series 2017-C42, Cl. XA, | Series 2006-H,Cl. 2A1A, 2.634% | |||||||||||
10.338%, 12/15/505 | 2,795,539 | 177,411 | [US0001M+15], 11/15/362 | 17,347 | 13,357 | |||||||
WF-RBS Commercial Mortgage Trust: | GSR Mortgage Loan Trust, Series 2005-AR4, | |||||||||||
Series 2013-C14,Cl. AS, 3.488%, | Cl. 6A1, 4.329%, 7/25/358 | 9,427 | 9,524 | |||||||||
6/15/46 | 640,000 | 646,515 | HomeBanc Mortgage Trust, Series 2005-3, Cl. | |||||||||
Series 2014-C20,Cl. AS, 4.176%, | A2, 2.796% [US0001M+31], 7/25/352 | 12,786 | 12,735 | |||||||||
5/15/47 | 490,000 | 508,425 | Marble Arch Residential Securitisation | |||||||||
Series 2014-C22,Cl. A3, 3.528%, | No 4 plc, Series 4X, Cl. E1C, 4.74% | |||||||||||
9/15/57 | 120,000 | 121,897 | [BP0003M+390], 3/20/402,4 | 1,741,000 | 2,205,704 | |||||||
Series 2014-LC14,Cl. AS, 4.351%, | MASTR Asset Backed Securities Trust, Series | |||||||||||
3/15/478 | 395,000 | 414,665 | 2006-WMC3, Cl. A3, 2.586% [US0001M+10], | |||||||||
8/25/362 | 839,652 | 405,961 | ||||||||||
WF-RBS Commercial Mortgage Trust, | RALI Trust, Series 2006-QS13, Cl. 1A8, 6.00%, | |||||||||||
Interest-Only Commercial Mtg. Pass-Through | ||||||||||||
Certificates, Series 2011-C3, Cl. XA, 25.227%, | 9/25/36 | 11,953 | 10,629 | |||||||||
3/15/441,5 | 2,996,332 | 64,794 | Residential Asset Securitization Trust, Series | |||||||||
45,500,548 | 2005-A6CB, Cl. A7, 6.00%, 6/25/35 | 1,682,414 | 1,545,587 | |||||||||
Structured Agency Credit Risk Debt Nts. : | ||||||||||||
Series 2013-DN2,Cl. M2, 6.736% | ||||||||||||
[US0001M+425], 11/25/232 | 874,205 | 955,464 | ||||||||||
Series 2014-DN1,Cl. M3, 6.986% | ||||||||||||
[US0001M+450], 2/25/242 | 815,000 | 909,007 | ||||||||||
4 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA |
Principal Amount | Value | Principal Amount | Value | ||||||||
Residential (Continued) | Argentina—2.2% | ||||||||||
Structured Agency Credit Risk Debt Nts. : (Continued) | Argentine Republic: | ||||||||||
Series 2014-DN2,Cl. M3, 6.086% | 0.000% Unsec. Nts. , 4/30/209 | ARS | 257,200,000 $ | 6,517,012 | |||||||
[US0001M+360], 4/25/242 | $ | 840,000 | $ | 907,827 | 0.236% Unsec. Nts. , 7/31/209 | ARS | 642,000,000 | 14,264,051 | |||
Series 2014-HQ2,Cl. M3, 6.236% | 4.625% Sr. Unsec. Nts. , 1/11/23 | 530,000 | 435,395 | ||||||||
[US0001M+375], 9/25/242 | 915,000 | 1,013,331 | 5.875% Sr. Unsec. Nts. , 1/11/28 | 2,025,000 | 1,559,503 | ||||||
Series 2015-HQA2,Cl. M2, 5.286% | 6.875% Sr. Unsec. Nts. , 1/26/27 | 2,585,000 | 2,099,343 | ||||||||
[US0001M+280], 5/25/282 | 227,697 | 232,287 | 6.875% Sr. Unsec. Nts. , 1/11/48 | 1,785,000 | 1,318,669 | ||||||
Series 2016-DNA1,Cl. M2, 5.39% | 7.50% Sr. Unsec. Nts. , 4/22/26 | 6,535,000 | 5,562,102 | ||||||||
[US0001M+290], 7/25/282 | 262,206 | 266,839 | 18.20% Unsec. Nts. , 10/3/21 | ARS | 9,285,000 | 151,983 | |||||
Series 2016-DNA3,Cl. M3, 7.486% | 31,908,058 | ||||||||||
[US0001M+500], 12/25/282 | 3,845,000 | 4,363,554 | |||||||||
Series 2016-DNA4,Cl. M3, 6.286% | Brazil—1.8% | ||||||||||
[US0001M+380], 3/25/292 | 5,570,000 | 6,128,555 | Federative Republic of Brazil: | ||||||||
Series 2016-HQA3,Cl. M1, 3.286% | 10.00% Unsec. Nts. , 1/1/21 | BRL | 11,000,000 | 2,932,392 | |||||||
[US0001M+80], 3/25/292 | 56,377 | 56,379 | 10.00% Unsec. Nts. , 1/1/25 | BRL | 26,900,000 | 7,286,989 | |||||
Series 2016-HQA3,Cl. M3, 6.336% | 10.00% Unsec. Nts. , 1/1/27 | BRL | 35,000,000 | 9,476,434 | |||||||
[US0001M+385], 3/25/292 | 3,400,000 | 3,755,980 | 10.00% Unsec. Nts. , 1/1/29 | BRL | 4,500,000 | 1,225,687 | |||||
Series 2016-HQA4,Cl. M3, 6.386% | 13.288% Unsec. Nts. , 8/15/50 | BRL | 900,000 | 907,414 | |||||||
[US0001M+390], 4/25/292 | 4,580,000 | 5,062,678 | 18.447% Unsec. Nts. , 5/15/4514 | BRL | 4,350,000 | 4,299,416 | |||||
Series 2017-DNA1,Cl. M2, 5.736% | 26,128,332 | ||||||||||
[US0001M+325], 7/25/292 | 1,980,000 | 2,127,068 | Colombia—0.8% | ||||||||
Series 2017-HQA1,Cl. M1, 3.686% | Republic of Colombia: | ||||||||||
[US0001M+120], 8/25/292 | 1,276,084 | 1,279,681 | 6.125% Sr. Unsec. Nts. , 1/18/41 | 1,615,000 | 1,912,176 | ||||||
Series 2017-HQA2,Cl. M1, 3.286% | Series B, 6.25% Bonds, 11/26/25 | COP 8,700,000,000 | 2,767,008 | ||||||||
[US0001M+80], 12/25/292 | 376,518 | 376,753 | Series B, 7.50% Bonds, 8/26/26 | COP 12,830,000,000 | 4,352,983 | ||||||
Series 2017-HQA3,Cl. M1, 3.036% | Series B, 10.00% Bonds, 7/24/24 | COP 5,146,000,000 | 1,926,250 | ||||||||
[US0001M+55], 4/25/302 | 774,359 | 773,385 | 10,958,417 | ||||||||
Series 2018-DNA1,Cl. M1, 2.936% | |||||||||||
[US0001M+45], 7/25/302 | 1,522,947 | 1,516,583 | Dominican Republic—0.3% | ||||||||
Series 2018-DNA1,Cl. M2, 4.286% | Dominican Republic: | ||||||||||
[US0001M+180], 7/25/302 | 1,200,000 | 1,173,284 | 5.95% Sr. Unsec. Nts. , 1/25/271 | 2,770,000 | 2,915,425 | ||||||
Towd Point Mortgage Funding 2019-Granite4 plc: | 6.85% Sr. Unsec. Nts. , 1/27/451 | 930,000 | 998,587 | ||||||||
2.23%, 10/20/517 | 2,920,000 | 3,804,675 | 3,914,012 | ||||||||
2.58%, 10/20/517 | 4,400,000 | 5,733,072 | Ecuador—0.3% | ||||||||
WaMu Mortgage Pass-Through Certificates Trust: | Republic of Ecuador: | ||||||||||
Series 2003-AR10,Cl. A7, 4.481%, | 8.875% Sr. Unsec. Nts. , 10/23/271 | 3,250,000 | 3,262,188 | ||||||||
10/25/338 | 48,825 | 49,699 | 9.65% Sr. Unsec. Nts. , 12/13/261 | 985,000 | 1,035,481 | ||||||
Series 2005-AR16,Cl. 1A1, 4.256%, | 4,297,669 | ||||||||||
12/25/358 | 7,048 | 7,042 | |||||||||
Wells Fargo Mortgage-Backed Securities Trust: | Egypt—0.7% | ||||||||||
Series 2005-AR1,Cl. 1A1, 5.083%, | Arab Republic of Egypt: | ||||||||||
2/25/358 | 622,737 | 642,691 | 4.75% Sr. Unsec. Nts. , 4/16/261 | EUR | 1,900,000 | 2,108,686 | |||||
Series 2005-AR15,Cl. 1A2, 4.667%, | 6.125% Sr. Unsec. Nts. , 1/31/221 | 965,000 | 978,353 | ||||||||
9/25/358 | 104,912 | 102,795 | 8.50% Sr. Unsec. Nts. , 1/31/471 | 1,450,000 | 1,483,769 | ||||||
Series 2005-AR15,Cl. 1A6, 4.667%, | 8.70% Sr. Unsec. Nts. , 3/1/491 | 1,575,000 | 1,641,991 | ||||||||
9/25/358 | 1,270,042 | 1,233,633 | 18.15% Unsec. Nts. , 12/11/21 | EGP | 45,000,000 | 2,688,214 | |||||
Series 2005-AR4,Cl. 2A2, 5.086%, | Series 3YR, 16.00% Unsec. Nts. , | ||||||||||
4/25/358 | 5,352 | 5,419 | 12/12/20 | EGP | 29,000,000 | 1,651,845 | |||||
Series 2006-AR10,Cl. 1A1, 4.704%, | 10,552,858 | ||||||||||
7/25/368 | 127,281 | 128,171 | Fiji—0.1% | ||||||||
Series 2006-AR10,Cl. 5A5, 4.542%, | Republic of Fiji, 6.625% Sr. Unsec. Nts. , | ||||||||||
7/25/368 | 229,325 | 230,472 | 10/2/204 | 1,535,000 | 1,538,543 | ||||||
Series 2006-AR2,Cl. 2A3, 4.954%, | |||||||||||
3/25/368 | 1,023,389 | 1,041,791 | France—1.3% | ||||||||
Series 2006-AR7,Cl. 2A4, 4.42%, | French Republic, 4.00% Bonds, | ||||||||||
5/25/368 | 598,385 | 615,611 | 10/25/384 | EUR | 11,050,000 | 19,300,061 | |||||
70,926,983 | Gabon—0.1% | ||||||||||
Total Mortgage-Backed Obligations (Cost $282,756,361) | 288,460,755 | Gabonese Republic, 6.375% Bonds, | |||||||||
12/12/241 | 1,665,000 | 1,599,679 | |||||||||
U. S. Government Obligations—6.9% | Ghana—0.3% | ||||||||||
United States Treasury Inflation-Protected Securities: | Republic of Ghana: | ||||||||||
1.00%, 2/15/46-2/15/4914 | 96,263,307 | 98,784,383 | 8.125% Sr. Unsec. Nts. , 3/26/321 | 2,020,000 | 2,017,160 | ||||||
Total U. S. Government Obligations (Cost $95,659,772) | 98,784,383 | 8.627% Sr. Unsec. Nts. , 6/16/491 | 1,440,000 | 1,408,536 | |||||||
8.95% Sr. Unsec. Nts. , 3/26/511 | 870,000 | 875,825 | |||||||||
Foreign Government Obligations—23.5% | 4,301,521 | ||||||||||
Angola—0.1% | Greece—3.7% | ||||||||||
Republic of Angola, 9.375% Sr. Unsec. | Hellenic Republic: | ||||||||||
Nts. , 5/8/481 | 1,750,000 | 1,896,825 | 0.00% Bonds, 10/15/428 | EUR | 30,230,000 | 119,704 | |||||
5 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA |
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued | |||||||||||
Principal Amount | Value | Principal Amount | Value | ||||||||
Greece (Continued) | Saudi Arabia—0.2% | ||||||||||
Hellenic Republic: (Continued) | Kingdom of Saudi Arabia, 4.375% Sr. | ||||||||||
3.45% Sr. Unsec. Nts. , 4/2/241,4 | EUR | 8,000,000 | $ | 9,336,100 | Unsec. Nts. , 4/16/291 | $ | 2,465,000 | $ | 2,573,154 | ||
3.875% Sr. Unsec. Nts. , 3/12/291,4 | EUR | 12,360,000 | 14,035,298 | Senegal—0.1% | |||||||
3.90% Bonds, 1/30/334 | EUR | 17,005,000 | 18,642,100 | Republic of Senegal: | |||||||
4.00% Bonds, 1/30/374 | EUR | 9,975,000 | 10,642,728 | 6.25% Unsec. Nts. , 5/23/331 | 460,000 | 442,868 | |||||
52,775,930 | 6.75% Sr. Unsec. Nts. , 3/13/481 | 835,000 | 772,792 | ||||||||
India—1.6% | 1,215,660 | ||||||||||
Republic of India: | Serbia—0.1% | ||||||||||
7.17% Sr. Unsec. Nts. , 1/8/28 | INR | 235,000,000 | 3,335,443 | Republic of Serbia, 4.875% Sr. Unsec. | |||||||
7.59% Sr. Unsec. Nts. , 1/11/26 | INR | 600,000,000 | 8,806,103 | Nts. , 2/25/201 | 1,050,000 | 1,062,672 | |||||
7.72% Sr. Unsec. Nts. , 5/25/25 | INR | 15,000,000 | 222,760 | ||||||||
8.20% Sr. Unsec. Nts. , 2/15/22 | INR | 365,000,000 | 5,474,373 | South Africa—2.3% | |||||||
8.20% Sr. Unsec. Nts. , 9/24/25 | INR | 315,600,000 | 4,794,669 | Republic of South Africa: | |||||||
22,633,348 | Series 2023, 7.75% Bonds, 2/28/23 | ZAR | 22,500,000 | 1,560,882 | |||||||
Series 2030, 8.00% Bonds, 1/31/30 | ZAR | 144,100,000 | 9,204,144 | ||||||||
Indonesia—1.9% | Series 2037, 8.50% Bonds, 1/31/37 | ZAR | 107,000,000 | 6,657,022 | |||||||
Perusahaan Penerbit SBSN Indonesia III: | Series 2048, 8.75% Bonds, 2/28/48 | ZAR | 60,000,000 | 3,753,336 | |||||||
4.35% Sr. Unsec. Nts. , 9/10/241 | 525,000 | 543,769 | Series R186, 10.50% Bonds, 12/21/26 | ZAR | 131,675,000 | 10,075,124 | |||||
4.55% Sr. Unsec. Nts. , 3/29/261 | 790,000 | 822,587 | Series R214, 6.50% Bonds, 2/28/41 | ZAR | 25,000,000 | 1,227,294 | |||||
Republic of Indonesia: | 32,477,802 | ||||||||||
3.85% Sr. Unsec. Nts. , 7/18/271 | 440,000 | 440,470 | |||||||||
4.125% Sr. Unsec. Nts. , 1/15/251 | 490,000 | 503,402 | Sri Lanka—0.2% | ||||||||
8.125% Sr. Unsec. Nts. , 5/15/24 | IDR 86,000,000,000 | 6,306,222 | Democratic Socialist Republic of Sri Lanka: | ||||||||
Series FR53, 8.25% Sr. Unsec. Nts. , | 5.75% Sr. Unsec. Nts. , 4/18/231 | 1,450,000 | 1,432,712 | ||||||||
7/15/21 | IDR 43,000,000,000 | 3,119,946 | 5.875% Sr. Unsec. Nts. , 7/25/221 | 1,350,000 | 1,356,385 | ||||||
Series FR56, 8.375% Sr. Unsec. Nts. , | 6.25% Sr. Unsec. Nts. , 10/4/201 | 465,000 | 473,062 | ||||||||
9/15/26 | IDR 104,095,000,000 | 7,688,337 | 3,262,159 | ||||||||
Series FR59, 7.00% Sr. Unsec. Nts. , | Thailand—0.6% | ||||||||||
5/15/27 | IDR 10,000,000,000 | 677,704 | Kingdom of Thailand: | ||||||||
Series FR74, 7.50% Sr. Unsec. Nts. , | 1.875% Sr. Unsec. Nts. , 6/17/22 | THB | 65,400,000 | 2,061,129 | |||||||
8/15/32 | IDR 112,480,000,000 | 7,583,632 | 2.125% Sr. Unsec. Nts. , 12/17/26 | THB | 210,000,000 | 6,525,988 | |||||
27,686,069 | 8,587,117 | ||||||||||
Iraq—0.1% | Turkey—0.5% | ||||||||||
Republic of Iraq: | Republic of Turkey: | ||||||||||
5.80% Sr. Unsec. Nts. , 1/15/281 | 615,000 | 592,067 | 8.50% Bonds, 9/14/22 | TRY | 15,200,000 | 1,911,075 | |||||
6.752% Sr. Unsec. Nts. , 3/9/231 | 800,000 | 812,743 | 10.60% Bonds, 2/11/26 | TRY | 5,000,000 | 616,985 | |||||
1,404,810 | 10.70% Bonds, 2/17/21 | TRY | 22,045,000 | 3,269,880 | |||||||
Ivory Coast—0.3% | 12.40% Bonds, 3/8/28 | TRY | 13,500,000 | 1,796,610 | |||||||
Republic of Cote d'Ivoire, 5.25% Sr. | 7,594,550 | ||||||||||
Unsec. Nts. , 3/22/301 | EUR | 3,685,000 | 3,968,737 | Ukraine—0.5% | |||||||
Mexico—2.9% | Ukraine: | ||||||||||
United Mexican States: | 7.75% Sr. Unsec. Nts. , 9/1/234 | 1,520,000 | 1,481,392 | ||||||||
Series M, 5.75% Bonds, 3/5/26 | MXN | 54,445,000 | 2,480,483 | 7.75% Sr. Unsec. Nts. , 9/1/244 | 1,295,000 | 1,249,351 | |||||
Series M, 6.50% Bonds, 6/9/22 | MXN | 160,000,000 | 7,946,482 | 7.75% Sr. Unsec. Nts. , 9/1/254 | 900,000 | 859,518 | |||||
Series M, 8.00% Sr. Unsec. Nts. , 12/7/23 | MXN | 340,000,000 | 17,647,192 | 7.75% Sr. Unsec. Nts. , 9/1/264 | 2,410,000 | 2,269,882 | |||||
Series M20, 8.50% Sr. Unsec. Nts. , | 8.994% Sr. Unsec. Nts. , 2/1/241 | 1,565,000 | 1,575,453 | ||||||||
5/31/29 | MXN | 256,700,000 | 13,605,586 | 7,435,596 | |||||||
41,679,743 | Uruguay—0.0% | ||||||||||
Nigeria—0.1% | Oriental Republic of Uruguay, 9.875% | ||||||||||
Federal Republic of Nigeria: | Sr. Unsec. Nts. , 6/20/221 | UYU | 13,555,000 | 403,037 | |||||||
7.143% Sr. Unsec. Nts. , 2/23/301 | 625,000 | 626,465 | Total Foreign Government Obligations (Cost $355,655,983) | 338,321,182 | |||||||
7.696% Sr. Unsec. Nts. , 2/23/381 | 550,000 | 547,153 | |||||||||
1,173,618 | Corporate Loans—0.5% | ||||||||||
Oman—0.2% | Albertson's LLC, Sr. Sec. Credit Facilities | ||||||||||
Sultanate of Oman, 6.75% Sr. Unsec. | 1st Lien Term Loan, Tranche B7, 5.499% | ||||||||||
Nts. , 1/17/481 | 3,185,000 | 2,837,596 | [LIBOR4+300], 11/17/252 | 272,370 | 269,333 | ||||||
Paraguay—0.0% | Aleris International, Inc. , Sr. Sec. Credit | ||||||||||
Facilities 1st Lien Term Loan, 7.249% | |||||||||||
Republic of Paraguay, 5.40% Sr. Unsec. | [LIBOR6+475], 2/27/232 | 545,875 | 546,830 | ||||||||
Nts. , 3/30/501 | 530,000 | 556,831 | American Greetings Corp. , Sr. Sec. Credit | ||||||||
Russia—0.2% | Facilities 1st Lien Term Loan, Tranche B, | ||||||||||
Russian Federation: | 6.999% [LIBOR12+450], 4/6/242 | 540,688 | 541,364 | ||||||||
5.10% Sr. Unsec. Nts. , 3/28/351,7 | 1,565,000 | 1,589,098 | Claire's Stores, Inc. , Sr. Sec. Credit | ||||||||
Series 6209, 7.60% Bonds, 7/20/22 | RUB | 66,585,000 | 1,007,680 | Facilities Term Loan, 9.938% 10/12/388 | 37,137 | 37,137 | |||||
2,596,778 | |||||||||||
6 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA |
Principal Amount | Value | Principal Amount | Value | |||||||
Corporate Loans (Continued) | Diversified Consumer Services—0.0% | |||||||||
Clear Channel Communications, Inc. , | Cengage Learning, Inc. , 9.50% Sr. | |||||||||
Extended Sr. Sec. Credit Facilities 1st | Unsec. Nts. , 6/15/241 | $ | 140,000 | $ | 116,550 | |||||
Lien Term Loan, Tranche D, 11.252% | KCA Deutag UK Finance plc, 9.625% Sr. | |||||||||
[LIBOR12+875], 1/30/192,10 | $ | 800,000 | $ | 572,800 | Sec. Nts. , 4/1/231 | 275,000 | 231,344 | |||
Dun & Bradstreet Corp. (The), Sr. Sec. | Service Corp. International, 4.625% Sr. | |||||||||
Credit Facilities 1st Lien Term Loan, | Unsec. Nts. , 12/15/27 | 290,000 | 289,275 | |||||||
Tranche B, 7.513% 2/6/268 | 860,000 | 851,937 | 637,169 | |||||||
JC Penney Corp. , Inc. , Sr. Sec. Credit | Entertainment—0.3% | |||||||||
Facilities 1st Lien Term Loan, Tranche B, | ||||||||||
6.956% [LIBOR4+425], 6/23/232 | 382,175 | 340,453 | AMC Entertainment Holdings, Inc.: | |||||||
KIK Custom Products, Inc. , Sr. Sec. Credit | 5.75% Sr. Sub. Nts. , 6/15/25 | 705,000 | 661,678 | |||||||
Facilities 1st Lien Term Loan, Tranche B, | 5.875% Sr. Sub. Nts. , 11/15/26 | 760,000 | 687,800 | |||||||
6.493% [LIBOR12+400], 5/15/232 | 570,000 | 533,902 | Cinemark USA, Inc. , 4.875% Sr. Unsec. | |||||||
Monitronics International, Inc. , Sr. Sec. | Nts. , 6/1/23 | 495,000 | 504,554 | |||||||
Credit Facilities 1st Lien Term Loan, | Lions Gate Capital Holdings LLC, | |||||||||
Tranche B2, 8.101% [LIBOR4+550], | 5.875% Sr. Unsec. Nts. , 11/1/241 | 930,000 | 962,550 | |||||||
9/30/222 | 272,208 | 228,946 | Live Nation Entertainment, Inc. , 5.625% | |||||||
Murray Energy Corp. , Sr. Sec. Credit | Sr. Unsec. Nts. , 3/15/261 | 550,000 | 569,250 | |||||||
Facilities 1st Lien Term Loan, Tranche B2, | Netflix, Inc. , 5.875% Sr. Unsec. Nts. , | |||||||||
9.879% [LIBOR12+725], 10/17/222 | 1,571,103 | 1,303,034 | 11/15/281 | 275,000 | 291,156 | |||||
Neiman Marcus Group Ltd. LLC, Sr. Sec. | Sirius XM Radio, Inc. , 5.375% Sr. Unsec. | |||||||||
Credit Facilities 1st Lien Term Loan, | Nts. , 7/15/261 | 665,000 | 679,131 | |||||||
5.763% [LIBOR12+325], 10/25/202 | 841,248 | 784,552 | 4,356,119 | |||||||
PetSmart, Inc. , Sr. Sec. Credit Facilities | Hotels, Restaurants & Leisure—1.8% | |||||||||
1st Lien Term Loan, Tranche B, 5.52% | 1011778 B. C. ULC/New Red Finance, | |||||||||
[LIBOR12+300], 3/11/222 | 272,874 | 245,451 | Inc.: | |||||||
Scientific Games International, Inc. , Sr. | 4.25% Sr. Sec. Nts. , 5/15/241 | 785,000 | 779,113 | |||||||
Sec. Credit Facilities 1st Lien Term Loan, | 5.00% Sec. Nts. , 10/15/251 | 1,335,000 | 1,322,051 | |||||||
Tranche B5, 4.449% [LIBOR6+275], | Aramark Services, Inc.: | |||||||||
8/14/242,7 | 852,846 | 832,058 | 4.75% Sr. Unsec. Nts. , 6/1/26 | 745,000 | 745,000 | |||||
Windstream Services LLC, Sr. Sec. Credit | 5.00% Sr. Unsec. Nts. , 2/1/281 | 815,000 | 813,680 | |||||||
Facilities Term Loan, Tranche B6, 8.50% | Boyd Gaming Corp.: | |||||||||
[PRIME4+500], 3/29/212,10 | 306,086 | 307,664 | 6.00% Sr. Unsec. Nts. , 8/15/26 | 690,000 | 709,837 | |||||
Total Corporate Loans (Cost $7,710,294) | 7,395,461 | 6.375% Sr. Unsec. Nts. , 4/1/26 | 220,000 | 228,525 | ||||||
Caesars Resort Collection LLC/CRC | ||||||||||
Corporate Bonds and Notes—41.9% | Finco, Inc. , 5.25% Sr. Unsec. Nts. , | |||||||||
Consumer Discretionary—6.5% | 10/15/251 | 820,000 | 793,350 | |||||||
Auto Components—0.3% | CEC Entertainment, Inc. , 8.00% Sr. | |||||||||
American Axle & Manufacturing, Inc. , | Unsec. Nts. , 2/15/22 | 670,000 | 623,100 | |||||||
6.25% Sr. Unsec. Nts. , 4/1/25 | 1,100,000 | 1,076,625 | Downstream Development Authority of | |||||||
Cooper-Standard Automotive, Inc. , | the Quapaw Tribe of Oklahoma, 10.50% | |||||||||
5.625% Sr. Unsec. Nts. , 11/15/261 | 250,000 | 220,750 | Sr. Sec. Nts. , 2/15/231 | 330,000 | 342,787 | |||||
Dana Financing Luxembourg Sarl, | Eldorado Resorts, Inc. , 6.00% Sr. Unsec. | |||||||||
6.50% Sr. Unsec. Nts. , 6/1/261 | 705,000 | 722,625 | Nts. , 4/1/25 | 540,000 | 549,450 | |||||
Goodyear Tire & Rubber Co. (The), | Gateway Casinos & Entertainment Ltd. , | |||||||||
5.00% Sr. Unsec. Nts. , 5/31/26 | 520,000 | 497,770 | 8.25% Sec. Nts. , 3/1/241 | 390,000 | 410,962 | |||||
Grinding Media, Inc. /Moly-Cop AltaSteel | Golden Nugget, Inc.: | |||||||||
Ltd. , 7.375% Sr. Sec. Nts. , 12/15/231 | 345,000 | 332,925 | 6.75% Sr. Unsec. Nts. , 10/15/243 | 1,370,000 | 1,380,275 | |||||
Panther BF Aggregator 2 LP/Panther | 8.75% Sr. Sub. Nts. , 10/1/251 | 1,160,000 | 1,220,900 | |||||||
Finance Co. , Inc.: | Hilton Domestic Operating Co. , Inc.: | |||||||||
6.25% Sr. Sec. Nts. , 5/15/261,7 | 265,000 | 270,647 | 4.25% Sr. Unsec. Nts. , 9/1/24 | 425,000 | 425,263 | |||||
8.50% Sr. Unsec. Nts. , 5/15/271,7 | 570,000 | 572,563 | 5.125% Sr. Unsec. Nts. , 5/1/261 | 550,000 | 559,625 | |||||
Tenneco, Inc. , 5.00% Sr. Unsec. Nts. , | Hilton Grand Vacations Borrower LLC/ | |||||||||
7/15/26 | 360,000 | 289,800 | Hilton Grand Vacations Borrower, Inc. , | |||||||
3,983,705 | 6.125% Sr. Unsec. Nts. , 12/1/24 | 700,000 | 729,750 | |||||||
International Game Technology plc, | ||||||||||
Automobiles—0.3% | 6.25% Sr. Sec. Nts. , 2/15/221 | 2,595,000 | 2,708,531 | |||||||
Ford Motor Credit Co. LLC, 5.75% Sr. | IRB Holding Corp. , 6.75% Sr. Unsec. | |||||||||
Unsec. Nts. , 2/1/21 | 1,460,000 | 1,504,330 | Nts. , 2/15/261 | 270,000 | 254,475 | |||||
General Motors Financial Co. , Inc. , | KFC Holding Co. /Pizza Hut Holdings LLC/ | |||||||||
4.20% Sr. Unsec. Nts. , 11/6/21 | 1,460,000 | 1,488,524 | Taco Bell of America LLC: | |||||||
Tesla, Inc. , 5.30% Sr. Unsec. Nts. , | 4.75% Sr. Unsec. Nts. , 6/1/271 | 435,000 | 428,475 | |||||||
8/15/251 | 570,000 | 495,900 | 5.25% Sr. Unsec. Nts. , 6/1/261 | 995,000 | 1,006,816 | |||||
Williams Scotsman International, Inc. , | Marriott Ownership Resorts, Inc. /ILG LLC, | |||||||||
6.875% Sr. Sec. Nts. , 8/15/233 | 525,000 | 526,313 | 6.50% Sr. Unsec. Nts. , 9/15/261 | 280,000 | 294,406 | |||||
4,015,067 | Melco Resorts Finance Ltd. , 4.875% Sr. | |||||||||
Distributors—0.0% | Unsec. Nts. , 6/6/251 | 1,230,000 | 1,221,336 | |||||||
LKQ Corp. , 4.75% Sr. Unsec. Nts. , | ||||||||||
5/15/23 | 387,000 | 391,218 | ||||||||
7 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA |
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued | ||||||||||
Principal Amount | Value | Principal Amount | Value | |||||||
Hotels, Restaurants & Leisure (Continued) | Media—2.0% | |||||||||
MGM Growth Properties Operating | Altice Financing SA: | |||||||||
Partnership LP/MGP Finance Co. -Issuer, | 6.625% Sr. Sec. Nts. , 2/15/231 | $ | 205,000 $ | 210,125 | ||||||
Inc. , 5.625% Sr. Unsec. Nts. , 5/1/24 | $ | 925,000 | $ | 970,094 | 7.50% Sr. Sec. Nts. , 5/15/261 | 770,000 | 764,225 | |||
MGM Resorts International: | Altice Finco SA, 8.125% Sec. Nts. , | |||||||||
5.75% Sr. Unsec. Nts. , 6/15/25 | 510,000 | 531,038 | 1/15/241 | 695,000 | 707,162 | |||||
6.00% Sr. Unsec. Nts. , 3/15/23 | 855,000 | 904,162 | Altice France SA: | |||||||
6.625% Sr. Unsec. Nts. , 12/15/21 | 405,000 | 433,856 | 7.375% Sr. Sec. Nts. , 5/1/261 | 1,025,000 | 1,007,063 | |||||
Mohegan Gaming & Entertainment, | 8.125% Sr. Sec. Nts. , 2/1/271 | 560,000 | 567,000 | |||||||
7.875% Sr. Unsec. Nts. , 10/15/241 | 700,000 | 698,250 | Altice Luxembourg SA: | |||||||
Penn National Gaming, Inc. , 5.625% Sr. | 7.625% Sr. Unsec. Nts. , 2/15/251 | 285,000 | 250,800 | |||||||
Unsec. Nts. , 1/15/271 | 725,000 | 706,875 | 7.75% Sr. Unsec. Nts. , 5/15/221 | 205,000 | 205,512 | |||||
Premier Cruises Ltd. , 11.00% Sr. Unsec. | AMC Networks, Inc.: | |||||||||
Nts. , 3/15/081,10,11 | 250,000 | — | 4.75% Sr. Unsec. Nts. , 8/1/25 | 530,000 | 527,350 | |||||
Scientific Games International, Inc.: | 5.00% Sr. Unsec. Nts. , 4/1/24 | 275,000 | 277,035 | |||||||
8.25% Sr. Unsec. Nts. , 3/15/261 | 570,000 | 582,825 | Belo Corp. , 7.75% Sr. Unsec. Nts. , | |||||||
10.00% Sr. Unsec. Nts. , 12/1/22 | 1,712,000 | 1,808,300 | 6/1/27 | 1,362,000 | 1,494,795 | |||||
Six Flags Entertainment Corp. , 4.875% | Block Communications, Inc. , 6.875% Sr. | |||||||||
Sr. Unsec. Nts. , 7/31/241 | 500,000 | 493,438 | Unsec. Nts. , 2/15/251 | 460,000 | 478,975 | |||||
Viking Cruises Ltd. , 5.875% Sr. Unsec. | CCO Holdings LLC/CCO Holdings Capital | |||||||||
Nts. , 9/15/271 | 385,000 | 375,375 | Corp.: | |||||||
William Hill plc, 4.25% Sr. Unsec. Nts. , | 4.00% Sr. Unsec. Nts. , 3/1/231 | 265,000 | 265,411 | |||||||
6/5/204 | GBP | 295,000 | 392,148 | 5.00% Sr. Unsec. Nts. , 2/1/281 | 840,000 | 832,650 | ||||
Wynn Las Vegas LLC/Wynn Las Vegas | 5.125% Sr. Unsec. Nts. , 5/1/271 | 1,040,000 | 1,049,100 | |||||||
Capital Corp. : | 5.375% Sr. Unsec. Nts. , 5/1/251 | 205,000 | 212,175 | |||||||
5.25% Sr. Unsec. Nts. , 5/15/271 | 390,000 | 369,525 | 5.75% Sr. Unsec. Nts. , 2/15/261 | 1,315,000 | 1,380,750 | |||||
5.50% Sr. Unsec. Nts. , 3/1/251 | 275,000 | 272,250 | 5.875% Sr. Unsec. Nts. , 4/1/241 | 325,000 | 340,473 | |||||
Wynn Macau Ltd.: | 5.875% Sr. Unsec. Nts. , 5/1/271 | 205,000 | 213,262 | |||||||
4.875% Sr. Unsec. Nts. , 10/1/241 | 135,000 | 132,042 | Clear Channel International BV, 8.75% | |||||||
5.50% Sr. Unsec. Nts. , 10/1/271 | 135,000 | 129,600 | Sr. Unsec. Nts. , 12/15/203 | 265,000 | 273,281 | |||||
26,347,485 | Clear Channel Worldwide Holdings, | |||||||||
Household Durables—0.9% | Inc. , Series B, 6.50% Sr. Unsec. Nts. , | |||||||||
Arcelik AS, 5.00% Sr. Unsec. Nts. , | 11/15/22 | 1,465,000 | 1,503,456 | |||||||
4/3/231 | 495,000 | 462,301 | CSC Holdings LLC: | |||||||
Beazer Homes USA, Inc.: | 5.25% Sr. Unsec. Nts. , 6/1/24 | 715,000 | 727,512 | |||||||
5.875% Sr. Unsec. Nts. , 10/15/27 | 365,000 | 320,287 | 5.50% Sr. Sec. Nts. , 5/15/261 | 205,000 | 211,211 | |||||
6.75% Sr. Unsec. Nts. , 3/15/25 | 1,610,000 | 1,529,500 | 5.50% Sr. Unsec. Nts. , 4/15/271 | 560,000 | 573,244 | |||||
7.25% Sr. Unsec. Nts. , 2/1/23 | 43,000 | 41,495 | 6.50% Sr. Unsec. Nts. , 2/1/291 | 285,000 | 303,881 | |||||
Lennar Corp. : | 10.875% Sr. Unsec. Nts. , 10/15/251 | 722,000 | 835,354 | |||||||
4.50% Sr. Unsec. Nts. , 4/30/24 | 405,000 | 411,764 | DISH DBS Corp. : | |||||||
4.75% Sr. Unsec. Nts. , 4/1/21 | 2,925,000 | 2,987,156 | 5.875% Sr. Unsec. Nts. , 7/15/22 | 145,000 | 140,875 | |||||
4.75% Sr. Unsec. Nts. , 5/30/25 | 840,000 | 862,050 | 5.875% Sr. Unsec. Nts. , 11/15/24 | 2,280,000 | 1,923,750 | |||||
5.00% Sr. Unsec. Nts. , 6/15/27 | 430,000 | 432,688 | 7.75% Sr. Unsec. Nts. , 7/1/26 | 250,000 | 218,125 | |||||
5.25% Sr. Unsec. Nts. , 6/1/26 | 295,000 | 304,588 | Gray Television, Inc.: | |||||||
LGI Homes, Inc. , 6.875% Sr. Unsec. Nts. , | 5.125% Sr. Unsec. Nts. , 10/15/241 | 575,000 | 577,875 | |||||||
7/15/261 | 285,000 | 285,712 | 5.875% Sr. Unsec. Nts. , 7/15/261 | 1,150,000 | 1,173,230 | |||||
M/I Homes, Inc. , 5.625% Sr. Unsec. Nts. , | iHeartCommunications, Inc. , 9.00% Sr. | |||||||||
8/1/25 | 795,000 | 765,188 | Sec. Nts. , 12/15/19 | 1,455,000 | 1,040,325 | |||||
PulteGroup, Inc. , 5.50% Sr. Unsec. Nts. , | Lamar Media Corp. , 5.75% Sr. Unsec. | |||||||||
3/1/26 | 740,000 | 766,825 | Nts. , 2/1/261 | 285,000 | 298,894 | |||||
Resideo Funding, Inc. , 6.125% Sr. Unsec. | MDC Partners, Inc. , 6.50% Sr. Unsec. | |||||||||
Nts. , 11/1/261 | 615,000 | 636,525 | Nts. , 5/1/241 | 255,000 | 212,288 | |||||
Taylor Morrison Communities, Inc. , | Meredith Corp. , 6.875% Sr. Unsec. Nts. , | |||||||||
6.625% Sr. Unsec. Nts. , 5/15/22 | 1,240,000 | 1,286,500 | 2/1/26 | 250,000 | 264,375 | |||||
Taylor Morrison Communities, Inc. /Taylor | Nexstar Broadcasting, Inc. , 5.625% Sr. | |||||||||
Morrison Holdings II, Inc. , 5.875% Sr. | Unsec. Nts. , 8/1/241 | 990,000 | 1,007,325 | |||||||
Unsec. Nts. , 4/15/231 | 560,000 | 574,000 | Salem Media Group, Inc. , 6.75% Sr. Sec. | |||||||
William Lyon Homes, Inc.: | Nts. , 6/1/241 | 575,000 | 523,250 | |||||||
5.875% Sr. Unsec. Nts. , 1/31/25 | 775,000 | 732,375 | Sinclair Television Group, Inc. , 5.625% | |||||||
6.00% Sr. Unsec. Nts. , 9/1/23 | 550,000 | 534,875 | Sr. Unsec. Nts. , 8/1/241 | 715,000 | 723,044 | |||||
12,933,829 | TEGNA, Inc. , 5.50% Sr. Unsec. Nts. , | |||||||||
9/15/241 | 650,000 | 658,938 | ||||||||
Internet & Catalog Retail—0.0% | Townsquare Media, Inc. , 6.50% Sr. | |||||||||
Getty Images, Inc. , 9.75% Sr. Unsec. | Unsec. Nts. , 4/1/231 | 265,000 | 254,731 | |||||||
Nts. , 3/1/271 | 70,000 | 70,612 | Tribune Media Co. , 5.875% Sr. Unsec. | |||||||
Leisure Equipment & Products—0.1% | Nts. , 7/15/22 | 725,000 | 743,578 | |||||||
Mattel, Inc. , 6.75% Sr. Unsec. Nts. , | Univision Communications, Inc. : | |||||||||
12/31/251 | 715,000 | 705,169 | 5.125% Sr. Sec. Nts. , 5/15/231 | 245,000 | 233,975 | |||||
5.125% Sr. Sec. Nts. , 2/15/251 | 1,435,000 | 1,343,519 | ||||||||
8 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA |
Principal Amount | Value | Principal Amount | Value | |||||||
Media (Continued) | Food Products—0.3% | |||||||||
UPCB Finance IV Ltd. , 5.375% Sr. Sec. | Darling Ingredients, Inc. , 5.25% Sr. | |||||||||
Nts. , 1/15/251 | $ | 135,000 | $ | 137,363 | Unsec. Nts. , 4/15/271,7 | $ | 285,000 | $ | 289,507 | |
Virgin Media Secured Finance plc, | JBS USA LUX SA/JBS USA Finance, Inc.: | |||||||||
5.50% Sr. Sec. Nts. , 8/15/261 | 705,000 | 719,100 | 5.75% Sr. Unsec. Nts. , 6/15/251 | 910,000 | 936,163 | |||||
Ziggo BV, 5.50% Sr. Sec. Nts. , 1/15/271 | 1,190,000 | 1,181,075 | 6.75% Sr. Unsec. Nts. , 2/15/281 | 845,000 | 877,744 | |||||
28,587,437 | Minerva Luxembourg SA, 6.50% Sr. | |||||||||
Multiline Retail—0.1% | Unsec. Nts. , 9/20/261 | 510,000 | 508,037 | |||||||
JC Penney Corp. , Inc.: | Pilgrim's Pride Corp.: | |||||||||
5.875% Sr. Sec. Nts. , 7/1/231 | 525,000 | 444,937 | 5.75% Sr. Unsec. Nts. , 3/15/251 | 860,000 | 872,900 | |||||
8.625% Sec. Nts. , 3/15/251 | 585,000 | 345,150 | 5.875% Sr. Unsec. Nts. , 9/30/271 | 265,000 | 267,650 | |||||
790,087 | Post Holdings, Inc.: | |||||||||
5.00% Sr. Unsec. Nts. , 8/15/261 | 325,000 | 317,281 | ||||||||
Specialty Retail—0.6% | 5.75% Sr. Unsec. Nts. , 3/1/271 | 795,000 | 801,956 | |||||||
Freedom Mortgage Corp.: | 4,871,238 | |||||||||
8.125% Sr. Unsec. Nts. , 11/15/241 | 400,000 | 357,000 | ||||||||
8.25% Sr. Unsec. Nts. , 4/15/251 | 825,000 | 736,312 | Household Products—0.1% | |||||||
GameStop Corp.: | Kronos Acquisition Holdings, Inc. , 9.00% | |||||||||
5.50% Sr. Unsec. Nts. , 10/1/191 | 685,000 | 687,569 | Sr. Unsec. Nts. , 8/15/231 | 645,000 | 556,313 | |||||
6.75% Sr. Unsec. Nts. , 3/15/211 | 1,180,000 | 1,191,800 | Spectrum Brands, Inc. , 6.125% Sr. | |||||||
L Brands, Inc.: | Unsec. Nts. , 12/15/24 | 280,000 | 284,200 | |||||||
5.25% Sr. Unsec. Nts. , 2/1/28 | 270,000 | 240,975 | 840,513 | |||||||
6.875% Sr. Unsec. Nts. , 11/1/35 | 1,775,000 | 1,542,031 | Personal Products—0.1% | |||||||
Lithia Motors, Inc. , 5.25% Sr. Unsec. | Avon International Operations, Inc. , | |||||||||
Nts. , 8/1/251 | 530,000 | 534,638 | 7.875% Sr. Sec. Nts. , 8/15/221 | 910,000 | 947,538 | |||||
Party City Holdings, Inc. , 6.625% Sr. | Energy—6.4% | |||||||||
Unsec. Nts. , 8/1/261 | 560,000 | 558,600 | Energy Equipment & Services—1.3% | |||||||
PetSmart, Inc.: | Basic Energy Services, Inc. , 10.75% Sr. | |||||||||
5.875% Sr. Sec. Nts. , 6/1/251 | 700,000 | 589,750 | Sec. Nts. , 10/15/231 | 285,000 | 229,425 | |||||
7.125% Sr. Unsec. Nts. , 3/15/231 | 285,000 | 213,750 | Bristow Group, Inc. , 8.75% Sr. Sec. Nts. , | |||||||
Sonic Automotive, Inc. , 6.125% Sr. Sub. | 3/1/231 | 215,000 | 155,875 | |||||||
Nts. , 3/15/27 | 650,000 | 593,125 | Calfrac Holdings LP, 8.50% Sr. Unsec. | |||||||
Staples, Inc. , 8.50% Sr. Unsec. Nts. , | Nts. , 6/15/261 | 715,000 | 557,700 | |||||||
9/15/251 | 1,665,000 | 1,823,175 | CGG Holding US, Inc. , 9.00% Sr. Sec. | |||||||
9,068,725 | Nts. , 5/1/231 | 140,000 | 148,750 | |||||||
Textiles, Apparel & Luxury Goods—0.1% | CSI Compressco LP/CSI Compressco | |||||||||
Hanesbrands, Inc.: | Finance, Inc. , 7.50% Sr. Sec. Nts. , | |||||||||
4.625% Sr. Unsec. Nts. , 5/15/241 | 380,000 | 382,926 | 4/1/251 | 285,000 | 273,600 | |||||
4.875% Sr. Unsec. Nts. , 5/15/261 | 405,000 | 401,598 | Ensco plc: | |||||||
William Carter Co. (The), 5.625% Sr. | 5.20% Sr. Unsec. Nts. , 3/15/25 | 685,000 | 534,505 | |||||||
Unsec. Nts. , 3/15/271 | 285,000 | 295,687 | 7.75% Sr. Unsec. Nts. , 2/1/26 | 135,000 | 114,581 | |||||
1,080,211 | Eterna Capital Pte Ltd.: | |||||||||
7.50% Sr. Sec. Nts. , 12/11/224,12 | 726,204 | 712,746 | ||||||||
Consumer Staples—1.0% | 8.00% Sr. Sec. Nts. , 12/11/2212 | 2,966,596 | 2,694,915 | |||||||
Beverages—0.0% | Exterran Energy Solutions LP/EES | |||||||||
Coca-Cola Icecek AS, 4.215% Sr. Unsec. | Finance Corp. , 8.125% Sr. Unsec. Nts. , | |||||||||
Nts. , 9/19/241 | 445,000 | 416,556 | 5/1/25 | 260,000 | 266,500 | |||||
Food & Staples Retailing—0.5% | KCA Deutag UK Finance plc, 7.25% Sr. | |||||||||
Albertsons Cos. LLC/Safeway, Inc. /New | Sec. Nts. , 5/15/211 | 100,000 | 86,500 | |||||||
Albertsons LP/Albertson's LLC: | McDermott Technology Americas, | |||||||||
5.75% Sr. Unsec. Nts. , 3/15/25 | 315,000 | 300,431 | Inc. /McDermott Technology US, Inc. , | |||||||
6.625% Sr. Unsec. Nts. , 6/15/24 | 1,035,000 | 1,050,525 | 10.625% Sr. Unsec. Nts. , 5/1/241 | 2,935,000 | 2,450,725 | |||||
7.50% Sr. Unsec. Nts. , 3/15/261 | 285,000 | 294,619 | Nabors Industries, Inc. , 5.75% Sr. Unsec. | |||||||
Fresh Market, Inc. (The), 9.75% Sr. Sec. | Nts. , 2/1/25 | 655,000 | 590,306 | |||||||
Nts. , 5/1/231 | 820,000 | 619,100 | Pertamina Persero PT, 5.625% Sr. Unsec. | |||||||
Ingles Markets, Inc. , 5.75% Sr. Unsec. | Nts. , 5/20/431 | 3,840,000 | 3,999,291 | |||||||
Nts. , 6/15/23 | 688,000 | 704,340 | Pioneer Energy Services Corp. , 6.125% | |||||||
New Albertsons LP, 7.45% Sr. Unsec. | Sr. Unsec. Nts. , 3/15/22 | 1,095,000 | 689,850 | |||||||
Nts. , 8/1/29 | 740,000 | 658,600 | Precision Drilling Corp. , 7.125% Sr. | |||||||
Par Pharmaceutical, Inc. , 7.50% Sr. Sec. | Unsec. Nts. , 1/15/261 | 480,000 | 478,350 | |||||||
Nts. , 4/1/271 | 1,430,000 | 1,453,237 | Rowan Cos. , Inc. , 7.375% Sr. Unsec. | |||||||
Rite Aid Corp. , 6.125% Sr. Unsec. Nts. , | Nts. , 6/15/25 | 610,000 | 536,800 | |||||||
4/1/231 | 1,345,000 | 1,119,712 | SESI LLC, 7.75% Sr. Unsec. Nts. , 9/15/24 | 435,000 | 362,137 | |||||
Simmons Foods, Inc.: | Tervita Escrow Corp. , 7.625% Sec. Nts. , | |||||||||
5.75% Sec. Nts. , 11/1/241 | 1,145,000 | 1,010,463 | 12/1/211 | 275,000 | 274,312 | |||||
7.75% Sr. Sec. Nts. , 1/15/241 | 275,000 | 294,250 | Transocean Pontus Ltd. , 6.125% Sr. Sec. | |||||||
7,505,277 | Nts. , 8/1/251 | 259,875 | 264,423 | |||||||
Transocean Poseidon Ltd. , 6.875% Sr. | ||||||||||
Sec. Nts. , 2/1/271 | 145,000 | 151,163 | ||||||||
9 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA |
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued | ||||||||||
Principal Amount | Value | Principal Amount | Value | |||||||
Energy Equipment & Services (Continued) | Oil, Gas & Consumable Fuels (Continued) | |||||||||
Transocean, Inc.: | Ecopetrol SA, 5.375% Sr. Unsec. Nts. , | |||||||||
7.50% Sr. Unsec. Nts. , 1/15/261 | $ | 265,000 | $ | 263,013 | 6/26/26 | $ | 735,000 $ | 793,800 | ||
9.00% Sr. Unsec. Nts. , 7/15/231 | 845,000 | 904,150 | Energy Transfer Operating LP: | |||||||
Unit Corp. , 6.625% Sr. Sub. Nts. , | 5.875% Sr. Unsec. Nts. , 1/15/24 | 565,000 | 618,939 | |||||||
5/15/21 | 285,000 | 275,025 | 6.625% [US0003M+415.5] Jr. Sub. | |||||||
USA Compression Partners LP/USA | Perpetual Bonds2,13 | 684,000 | 651,253 | |||||||
Compression Finance Corp. , 6.875% Sr. | 7.50% Sr. Unsec. Nts. , 10/15/20 | 290,000 | 308,869 | |||||||
Unsec. Nts. , 9/1/271 | 430,000 | 439,138 | Enviva Partners LP/Enviva Partners | |||||||
Weatherford International Ltd. , 9.875% | Finance Corp. , 8.50% Sr. Unsec. Nts. , | |||||||||
Sr. Unsec. Nts. , 2/15/24 | 862,000 | 624,950 | 11/1/21 | 815,000 | 852,694 | |||||
18,078,730 | EP Energy LLC/Everest Acquisition | |||||||||
Oil, Gas & Consumable Fuels5.1% | Finance, Inc.: | |||||||||
Alta Mesa Holdings LP/Alta Mesa | 7.75% Sr. Sec. Nts. , 5/15/261 | 415,000 | 340,300 | |||||||
Finance Services Corp. , 7.875% Sr. | 8.00% Sr. Sec. Nts. , 11/29/241 | 1,440,000 | 802,800 | |||||||
Unsec. Nts. , 12/15/24 | 265,000 | 100,700 | 8.00% Sec. Nts. , 2/15/251 | 262,000 | 91,700 | |||||
Ardagh Packaging Finance plc/Ardagh | 9.375% Sec. Nts. , 5/1/243 | 2,852,000 | 1,040,980 | |||||||
Holdings USA, Inc. , 6.00% Sr. Unsec. | Extraction Oil & Gas, Inc.: | |||||||||
Nts. , 2/15/251 | 955,000 | 957,387 | 5.625% Sr. Unsec. Nts. , 2/1/261 | 430,000 | 332,175 | |||||
Ascent Resources Utica Holdings LLC/ | 7.375% Sr. Unsec. Nts. , 5/15/241 | 265,000 | 222,600 | |||||||
ARU Finance Corp. , 10.00% Sr. Unsec. | Foresight Energy LLC/Foresight Energy | |||||||||
Nts. , 4/1/221 | 705,000 | 775,711 | Finance Corp. , 11.50% Sec. Nts. , 4/1/231 | 210,000 | 171,150 | |||||
Baytex Energy Corp. , 5.625% Sr. Unsec. | Fortress Transportation & Infrastructure | |||||||||
Nts. , 6/1/241 | 505,000 | 471,544 | Investors LLC, 6.75% Sr. Unsec. Nts. , | |||||||
Berry Petroleum Co. LLC, 7.00% Sr. | 3/15/221 | 285,000 | 290,700 | |||||||
Unsec. Nts. , 2/15/261 | 135,000 | 134,325 | Genesis Energy LP/Genesis Energy | |||||||
Blue Racer Midstream LLC/Blue Racer | Finance Corp. : | |||||||||
Finance Corp. , 6.625% Sr. Unsec. Nts. , | 6.00% Sr. Unsec. Nts. , 5/15/23 | 380,000 | 383,800 | |||||||
7/15/261 | 550,000 | 563,750 | 6.25% Sr. Unsec. Nts. , 5/15/26 | 1,005,000 | 954,750 | |||||
Brazos Valley Longhorn LLC/Brazos | 6.50% Sr. Unsec. Nts. , 10/1/25 | 715,000 | 698,913 | |||||||
Valley Longhorn Finance Corp. , 6.875% | 6.75% Sr. Unsec. Nts. , 8/1/22 | 115,000 | 118,162 | |||||||
Sr. Unsec. Nts. , 2/1/25 | 275,000 | 278,781 | Gulfport Energy Corp.: | |||||||
California Resources Corp. : | 6.00% Sr. Unsec. Nts. , 10/15/24 | 420,000 | 383,309 | |||||||
5.00% Sr. Unsec. Nts. , 1/15/20 | 285,000 | 269,325 | 6.375% Sr. Unsec. Nts. , 5/15/25 | 275,000 | 249,906 | |||||
8.00% Sec. Nts. , 12/15/221 | 1,003,000 | 790,163 | Halcon Resources Corp. , 6.75% Sr. | |||||||
Calumet Specialty Products Partners LP/ | Unsec. Nts. , 2/15/25 | 245,000 | 148,225 | |||||||
Calumet Finance Corp.: | Hess Infrastructure Partners LP/Hess | |||||||||
6.50% Sr. Unsec. Nts. , 4/15/21 | 415,000 | 407,737 | Infrastructure Partners Finance Corp. , | |||||||
7.625% Sr. Unsec. Nts. , 1/15/22 | 480,000 | 445,200 | 5.625% Sr. Unsec. Nts. , 2/15/261 | 275,000 | 281,188 | |||||
Carrizo Oil & Gas, Inc.: | HighPoint Operating Corp. , 8.75% Sr. | |||||||||
6.25% Sr. Unsec. Nts. , 4/15/23 | 145,000 | 143,190 | Unsec. Nts. , 6/15/25 | 188,000 | 181,420 | |||||
8.25% Sr. Unsec. Nts. , 7/15/25 | 290,000 | 301,600 | Hilcorp Energy I LP/Hilcorp Finance Co. , | |||||||
Centennial Resource Production LLC: | 5.75% Sr. Unsec. Nts. , 10/1/251 | 165,000 | 162,938 | |||||||
5.375% Sr. Unsec. Nts. , 1/15/261 | 145,000 | 139,744 | Holly Energy Partners LP/Holly Energy | |||||||
6.875% Sr. Unsec. Nts. , 4/1/271 | 285,000 | 288,505 | Finance Corp. , 6.00% Sr. Unsec. Nts. , | |||||||
Cheniere Corpus Christi Holdings LLC: | 8/1/241 | 265,000 | 274,805 | |||||||
5.125% Sr. Sec. Nts. , 6/30/27 | 525,000 | 551,906 | Indigo Natural Resources LLC, 6.875% | |||||||
7.00% Sr. Sec. Nts. , 6/30/24 | 865,000 | 978,574 | Sr. Unsec. Nts. , 2/15/261 | 455,000 | 404,950 | |||||
Chesapeake Energy Corp.: | Jones Energy Holdings LLC/Jones Energy | |||||||||
6.125% Sr. Unsec. Nts. , 2/15/21 | 493,000 | 510,255 | Finance Corp. , 6.75% Sr. Unsec. Nts. , | |||||||
7.00% Sr. Unsec. Nts. , 10/1/24 | 645,000 | 645,806 | 4/1/22 | 818,000 | 28,630 | |||||
KazMunayGas National Co. JSC, 6.375% | ||||||||||
7.50% Sr. Unsec. Nts. , 10/1/26 | 570,000 | 562,761 | Sr. Unsec. Nts. , 10/24/481 | 1,985,000 | 2,175,715 | |||||
8.00% Sr. Unsec. Nts. , 6/15/27 | 425,000 | 420,750 | KazTransGas JSC, 4.375% Sr. Unsec. | |||||||
CITGO Petroleum Corp. , 6.25% Sr. Sec. | Nts. , 9/26/271 | 1,890,000 | 1,837,346 | |||||||
Nts. , 8/15/221 | 70,000 | 69,825 | Kinder Morgan Energy Partners LP, | |||||||
CNX Resources Corp. , 5.875% Sr. Unsec. | 3.45% Sr. Unsec. Nts. , 2/15/23 | 1,455,000 | 1,473,033 | |||||||
Nts. , 4/15/22 | 128,000 | 128,320 | Laredo Petroleum, Inc.: | |||||||
Crestwood Midstream Partners LP/ | 5.625% Sr. Unsec. Nts. , 1/15/22 | 285,000 | 261,844 | |||||||
Crestwood Midstream Finance Corp. , | ||||||||||
5.75% Sr. Unsec. Nts. , 4/1/25 | 100,000 | 103,000 | 6.25% Sr. Unsec. Nts. , 3/15/23 | 115,000 | 103,213 | |||||
CrownRock LP/CrownRock Finance, Inc. , | LBC Tank Terminals Holding Netherlands | |||||||||
5.625% Sr. Unsec. Nts. , 10/15/251 | 720,000 | 693,900 | BV, 6.875% Sr. Unsec. Nts. , 5/15/231 | 235,000 | 223,838 | |||||
CVR Refining LLC/Coffeyville Finance, | MEG Energy Corp. : | |||||||||
Inc. , 6.50% Sr. Unsec. Nts. , 11/1/22 | 1,155,000 | 1,172,325 | 6.50% Sec. Nts. , 1/15/251 | 715,000 | 706,956 | |||||
DCP Midstream Operating LP, 2.70% Sr. | 7.00% Sr. Unsec. Nts. , 3/31/241 | 760,000 | 712,500 | |||||||
Unsec. Nts. , 4/1/19 | 345,000 | 345,000 | Moss Creek Resources Holdings, Inc. , | |||||||
Denbury Resources, Inc.: | 7.50% Sr. Unsec. Nts. , 1/15/261 | 525,000 | 486,938 | |||||||
9.00% Sec. Nts. , 5/15/211 | 555,000 | 542,512 | Murphy Oil Corp. , 6.875% Sr. Unsec. | |||||||
9.25% Sec. Nts. , 3/31/221 | 611,000 | 592,670 | Nts. , 8/15/24 | 110,000 | 116,529 | |||||
10 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA |
Principal Amount | Value | Principal Amount | Value | ||||||||
Oil, Gas & Consumable Fuels (Continued) | Oil, Gas & Consumable Fuels (Continued) | ||||||||||
Murray Energy Corp. , 12.00% Sec. Nts. , | Summit Midstream Holdings LLC/Summit | ||||||||||
4/15/241,12 | $ | 2,318,173 | $ | 985,224 | Midstream Finance Corp. , 5.75% Sr. | ||||||
Newfield Exploration Co. , 5.625% Sr. | Unsec. Nts. , 4/15/25 | $ | 995,000 | $ | 944,006 | ||||||
Unsec. Nts. , 7/1/24 | 290,000 | 317,201 | Sunoco LP/Sunoco Finance Corp. : | ||||||||
NGL Energy Partners LP/NGL Energy | 4.875% Sr. Unsec. Nts. , 1/15/23 | 335,000 | 341,164 | ||||||||
Finance Corp. : | 5.50% Sr. Unsec. Nts. , 2/15/26 | 180,000 | 178,650 | ||||||||
6.125% Sr. Unsec. Nts. , 3/1/25 | 1,295,000 | 1,256,150 | 5.875% Sr. Unsec. Nts. , 3/15/28 | 404,000 | 401,980 | ||||||
7.50% Sr. Unsec. Nts. , 11/1/23 | 705,000 | 732,918 | 6.00% Sr. Unsec. Nts. , 4/15/271 | 285,000 | 286,425 | ||||||
Northern Oil & Gas, Inc. , 9.50% Sec. | Tallgrass Energy Partners LP/Tallgrass | ||||||||||
Nts. , 5/15/2312 | 145,362 | 151,176 | Energy Finance Corp.: | ||||||||
Oasis Petroleum, Inc.: | 5.50% Sr. Unsec. Nts. , 9/15/241 | 555,000 | 571,650 | ||||||||
6.25% Sr. Unsec. Nts. , 5/1/261 | 275,000 | 262,625 | 5.50% Sr. Unsec. Nts. , 1/15/281 | 335,000 | 337,094 | ||||||
6.875% Sr. Unsec. Nts. , 1/15/23 | 610,000 | 611,525 | Targa Resources Partners LP/Targa | ||||||||
Parkland Fuel Corp. , 6.00% Sr. Unsec. | Resources Partners Finance Corp.: | ||||||||||
Nts. , 4/1/261 | 275,000 | 278,864 | 5.00% Sr. Unsec. Nts. , 1/15/28 | 610,000 | 601,613 | ||||||
Parsley Energy LLC/Parsley Finance | 5.875% Sr. Unsec. Nts. , 4/15/261 | 550,000 | 584,100 | ||||||||
Corp. , 5.625% Sr. Unsec. Nts. , 10/15/271 | 400,000 | 401,000 | 6.50% Sr. Unsec. Nts. , 7/15/271 | 285,000 | 308,156 | ||||||
PBF Holding Co. LLC/PBF Finance Corp.: | Topaz Marine SA, 9.125% Sr. Unsec. | ||||||||||
7.00% Sr. Sec. Nts. , 11/15/23 | 375,000 | 387,563 | Nts. , 7/26/221 | 480,000 | 488,158 | ||||||
7.25% Sr. Unsec. Nts. , 6/15/25 | 420,000 | 433,230 | Transcanada Trust, 5.875% | ||||||||
PBF Logistics LP/PBF Logistics Finance | [US0003M+464] Jr. Sub. Nts. , 8/15/762 | 1,455,000 | 1,478,316 | ||||||||
Corp. , 6.875% Sr. Unsec. Nts. , 5/15/23 | 430,000 | 439,675 | TransMontaigne Partners LP/TLP Finance | ||||||||
PDC Energy, Inc. , 5.75% Sr. Unsec. Nts. , | Corp. , 6.125% Sr. Unsec. Nts. , 2/15/26 | 135,000 | 127,575 | ||||||||
5/15/26 | 535,000 | 524,300 | USA Compression Partners LP/USA | ||||||||
Peabody Energy Corp. , 6.375% Sr. Sec. | Compression Finance Corp. , 6.875% Sr. | ||||||||||
Nts. , 3/31/251 | 275,000 | 268,538 | Unsec. Nts. , 4/1/26 | 415,000 | 426,413 | ||||||
Petrobras Global Finance BV: | W&T Offshore, Inc. , 9.75% Sec. Nts. , | ||||||||||
5.75% Sr. Unsec. Nts. , 2/1/29 | 845,000 | 839,085 | 11/1/231 | 70,000 | 70,088 | ||||||
5.999% Sr. Unsec. Nts. , 1/27/28 | 1,595,000 | 1,618,128 | Whiting Petroleum Corp. , 6.625% Sr. | ||||||||
6.90% Sr. Unsec. Nts. , 3/19/49 | 3,155,000 | 3,127,867 | Unsec. Nts. , 1/15/26 | 550,000 | 541,750 | ||||||
Petroleos Mexicanos: | WPX Energy, Inc. , 8.25% Sr. Unsec. Nts. , | ||||||||||
3.75% Sr. Unsec. Nts. , 4/16/264 | EUR | 1,400,000 | 1,535,217 | 8/1/23 | 285,000 | 322,050 | |||||
6.375% Sr. Unsec. Nts. , 2/4/21 | 2,915,000 | 3,030,143 | 74,048,059 | ||||||||
6.375% Sr. Unsec. Nts. , 1/23/45 | 1,165,000 | 1,033,413 | Financials—13.7% | ||||||||
6.50% Sr. Unsec. Nts. , 1/23/29 | 1,055,000 | 1,047,351 | Capital Markets—1.6% | ||||||||
Puma International Financing SA, 5.00% | Charles Schwab Corp. (The), 5.00% | ||||||||||
Sr. Unsec. Nts. , 1/24/261 | 1,045,000 | 909,682 | [US0003M+257.5] Jr. Sub. Perpetual | ||||||||
QEP Resources, Inc. , 5.625% Sr. Unsec. | Bonds2,13 | 1,343,000 | 1,264,401 | ||||||||
Nts. , 3/1/26 | 665,000 | 605,150 | Credit Suisse Group AG: | ||||||||
Range Resources Corp. , 5.00% Sr. | 7.125% [USSW5+510.8] Jr. Sub. | ||||||||||
Unsec. Nts. , 3/15/23 | 285,000 | 280,369 | Perpetual Bonds2,4,13 | 1,260,000 | 1,293,661 | ||||||
Reliance Industries Ltd.: | 7.50% [USSW5+459.8] Jr. Sub. | ||||||||||
6.78% Unsec. Nts. , 9/16/20 | INR | 70,000,000 | 1,010,433 | Perpetual Bonds2,4,13 | 3,410,000 | 3,614,395 | |||||
7.00% Unsec. Nts. , 8/31/22 | INR | 210,000,000 | 3,022,063 | Diamond Resorts International, Inc.: | |||||||
Repsol International Finance BV, 4.50% | 7.75% Sr. Sec. Nts. , 9/1/231 | 265,000 | 265,994 | ||||||||
[EUSA10+420] Jr. Sub. Nts. , 3/25/752,4 | EUR | 1,410,000 | 1,734,132 | 10.75% Sr. Unsec. Nts. , 9/1/241 | 255,000 | 241,294 | |||||
Resolute Energy Corp. , 8.50% Sr. Unsec. | E*TRADE Financial Corp. , 5.875% | ||||||||||
Nts. , 5/1/20 | 1,520,000 | 1,520,000 | [US0003M+443.5] Jr. Sub. Perpetual | ||||||||
Saka Energi Indonesia PT, 4.45% Sr. | Bonds2,13 | 1,258,000 | 1,275,298 | ||||||||
Unsec. Nts. , 5/5/241 | 600,000 | 593,172 | Eagle Intermediate Global Holding BV/ | ||||||||
Sanchez Energy Corp.: | Ruyi US Finance LLC, 7.50% Sr. Sec. Nts. , | ||||||||||
6.125% Sr. Unsec. Nts. , 1/15/23 | 1,600,000 | 224,000 | 5/1/253 | 285,000 | 282,150 | ||||||
7.25% Sr. Sec. Nts. , 2/15/231 | 285,000 | 230,850 | European Bank for Reconstruction & | ||||||||
7.75% Sr. Unsec. Nts. , 6/15/21 | 755,000 | 108,531 | Development, 28.50%, 7/10/19 | TRY | 10,100,000 | 1,785,103 | |||||
SemGroup Corp. /Rose Rock Finance | Flex Acquisition Co. , Inc. , 6.875% Sr. | ||||||||||
Corp.: | Unsec. Nts. , 1/15/251 | 1,435,000 | 1,377,600 | ||||||||
5.625% Sr. Unsec. Nts. , 7/15/22 | 315,000 | 313,031 | Goldman Sachs Group, Inc. (The), 5.00% | ||||||||
5.625% Sr. Unsec. Nts. , 11/15/23 | 545,000 | 514,535 | [US0003M+287.4] Jr. Sub. Perpetual | ||||||||
SM Energy Co. : | Bonds2,13 | 681,000 | 630,078 | ||||||||
6.625% Sr. Unsec. Nts. , 1/15/27 | 280,000 | 267,400 | Icahn Enterprises LP/Icahn Enterprises | ||||||||
6.75% Sr. Unsec. Nts. , 9/15/26 | 455,000 | 438,506 | Finance Corp. , 6.375% Sr. Unsec. Nts. , | ||||||||
Southern Gas Corridor CJSC, 6.875% Sr. | 12/15/25 | 545,000 | 559,306 | ||||||||
Unsec. Nts. , 3/24/261 | 1,540,000 | 1,730,573 | Macquarie Bank Ltd. (London), 6.125% | ||||||||
Southwestern Energy Co.: | [USSW5+370.3] Jr. Sub. Perpetual | ||||||||||
6.20% Sr. Unsec. Nts. , 1/23/25 | 137,000 | 135,288 | Bonds1,2,13 | 1,268,000 | 1,171,930 | ||||||
7.50% Sr. Unsec. Nts. , 4/1/26 | 560,000 | 574,000 | Martin Midstream Partners LP/Martin | ||||||||
SRC Energy, Inc. , 6.25% Sr. Unsec. Nts. , | Midstream Finance Corp. , 7.25% Sr. | ||||||||||
12/1/25 | 305,000 | 273,829 | Unsec. Nts. , 2/15/21 | 290,000 | 282,750 | ||||||
11 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA |
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued | ||||||||||
Principal Amount | Value | Principal Amount | Value | |||||||
Capital Markets (Continued) | Commercial Banks (Continued) | |||||||||
MSCI, Inc. , 5.375% Sr. Unsec. Nts. , | Bank of America Corp. , 6.30% | |||||||||
5/15/271 | $ | 275,000 | $ | 291,500 | [US0003M+455.3] Jr. Sub. Perpetual | |||||
NCI Building Systems, Inc. , 8.00% Sec. | Bonds2,13 | $ | 1,478,000 | $ | 1,606,874 | |||||
Nts. , 4/15/261 | 425,000 | 383,252 | Bank of China Ltd. , 5.00% Sub. Nts. , | |||||||
Prime Security Services Borrower LLC/ | 11/13/241 | 1,050,000 | 1,110,430 | |||||||
Prime Finance, Inc. , 9.25% Sec. Nts. , | Bankinter SA, 8.625% [EUSA5+886.7] | |||||||||
5/15/231 | 764,000 | 804,110 | Jr. Sub. Perpetual Bonds2,4,13 | EUR | 1,345,000 | 1,683,330 | ||||
Refinitiv US Holdings, Inc.: | Barclays plc: | |||||||||
6.25% Sr. Sec. Nts. , 5/15/261 | 285,000 | 289,631 | 7.75% [USSW5+484.2] Jr. Sub. | |||||||
8.25% Sr. Unsec. Nts. , 11/15/261 | 285,000 | 280,369 | Perpetual Bonds2,13 | 580,000 | 581,325 | |||||
Rivers Pittsburgh Borrower LP/Rivers | 7.875% [USSW5+677.2] Jr. Sub. | |||||||||
Pittsburgh Finance Corp. , 6.125% Sr. | Perpetual Bonds2,4,13 | 1,225,000 | 1,269,577 | |||||||
Sec. Nts. , 8/15/211 | 375,000 | 376,875 | 8.00% [H15T5Y+567.2] Jr. Sub. | |||||||
State Street Corp. , 5.625% | Perpetual Bonds2,13 | 1,432,000 | 1,467,516 | |||||||
[US0003M+253.9] Jr. Sub. Perpetual | BBVA Bancomer SA, 5.35% | |||||||||
Bonds2,13 | 609,000 | 613,924 | [H15T5Y+300] Sub. Nts. , 11/12/291,2 | 865,000 | 833,946 | |||||
Tempo Acquisition LLC/Tempo | BNP Paribas SA: | |||||||||
Acquisition Finance Corp. , 6.75% Sr. | 6.625% [USSW5+414.9] Jr. Sub. | |||||||||
Unsec. Nts. , 6/1/251 | 545,000 | 551,813 | Perpetual Bonds1,2,13 | 1,165,000 | 1,168,630 | |||||
TerraForm Power Operating LLC: | 7.625% [USSW5+631.4] Jr. Sub. | |||||||||
4.25% Sr. Unsec. Nts. , 1/31/231 | 510,000 | 506,425 | Perpetual Bonds1,2,13 | 1,630,000 | 1,710,098 | |||||
5.00% Sr. Unsec. Nts. , 1/31/281 | 195,000 | 188,906 | 7.625% [USSW5+631.4] Jr. Sub. | |||||||
Trident Merger Sub, Inc. , 6.625% Sr. | Perpetual Bonds2,4,13 | 3,665,000 | 3,845,098 | |||||||
Unsec. Nts. , 11/1/251 | 580,000 | 545,200 | CaixaBank SA, 6.75% [EUSA5+649.8] | |||||||
UBS Group Funding Switzerland AG: | Jr. Sub. Perpetual Bonds2,4,13 | EUR | 4,370,000 | 5,103,821 | ||||||
6.875% [USISDA05+549.65] Jr. Sub. | CIT Group, Inc.: | |||||||||
Perpetual Bonds2,4,13 | 3,175,000 | 3,259,439 | 4.125% Sr. Unsec. Nts. , 3/9/21 | 460,000 | 466,900 | |||||
7.00% [USSW5+434.4] Jr. Sub. | 5.00% Sr. Unsec. Nts. , 8/15/22 | 140,000 | 146,125 | |||||||
Perpetual Bonds1,2,13 | 468,000 | 475,308 | 5.25% Sr. Unsec. Nts. , 3/7/25 | 285,000 | 303,967 | |||||
7.125% [USSW5+588.3] Jr. Sub. | 5.80% [US0003M+397.2] Jr. Sub. | |||||||||
Perpetual Bonds2,4,13 | 799,000 | 831,571 | Perpetual Bonds2,13 | 1,308,000 | 1,296,849 | |||||
23,442,283 | Citigroup, Inc. , 6.125% | |||||||||
Commercial Banks7.1% | [US0003M+447.8] Jr. Sub. Perpetual | |||||||||
Abanca Corp. Bancaria SA, 6.125% | Bonds2,13 | 947,000 | 966,309 | |||||||
[EUSA5+592.7] Sub. Nts. , 1/18/292,4 | EUR | 1,500,000 | 1,695,505 | Citizens Financial Group, Inc. , 6.00% | ||||||
ABN AMRO Bank NV, 5.75% | [US0003M+300.3] Jr. Sub. Perpetual | |||||||||
[EUSA5+545.2] Jr. Sub. Perpetual | Bonds2,13 | 635,000 | 631,682 | |||||||
Bonds2,4,13 | EUR | 2,050,000 | 2,385,859 | Clear Channel Worldwide Holdings, Inc. , | ||||||
Astana Finance JSC, 9.16% Sr. Unsec. | 9.25% Sr. Sub. Nts. , 2/15/241 | 570,000 | 605,625 | |||||||
Nts. , 12/22/2410,11 | 315,159 | | Cooperatieve Rabobank UA, 6.625% | |||||||
Australia & New Zealand Banking | [EUSA5+669.7] Jr. Sub. Perpetual | |||||||||
Group Ltd. (United Kingdom), 6.75% | Bonds2,4,13 | EUR | 2,915,000 | 3,570,078 | ||||||
[USISDA05+516.8] Jr. Sub. Perpetual | Credit Agricole SA: | |||||||||
Bonds1,2,13 | 105,000 | 111,268 | 7.875% [USSW5+489.8] Jr. Sub. | |||||||
Banca Monte dei Paschi di Siena SpA, | Perpetual Bonds2,4,13 | 290,000 | 312,095 | |||||||
5.375% [EUSA5+500.5] Sub. Nts. , | 8.125% [USSW5+618.5] Jr. Sub. | |||||||||
1/18/282,4 | EUR | 3,939,000 | 2,605,067 | Perpetual Bonds1,2,13 | 1,010,000 | 1,137,210 | ||||
Banco Bilbao Vizcaya Argentaria SA: | Credit Suisse AG, 6.50% Sub. Nts. , | |||||||||
5.875% [EUSA5+566] Jr. Sub. Perpetual | 8/8/234 | 2,920,000 | 3,135,645 | |||||||
Bonds2,4,13 | EUR | 2,190,000 | 2,392,008 | Fifth Third Bancorp, 5.10% | ||||||
6.75% [EUSA5+660.4] Jr. Sub. Perpetual | [US0003M+303.33] Jr. Sub. Perpetual | |||||||||
Bonds2,4,13 | EUR | 4,580,000 | 5,276,217 | Bonds2,13 | 335,000 | 321,257 | ||||
8.875% [EUSA5+917.7] Jr. Sub. | HSBC Holdings plc: | |||||||||
Perpetual Bonds2,4,13 | EUR | 1,695,000 | 2,095,914 | 5.25% [EUSA5+438.3] Jr. Sub. Perpetual | ||||||
Banco Comercial Portugues SA, 4.50% | Bonds2,4,13 | EUR | 5,215,000 | 6,194,633 | ||||||
[EUSA5+426.7] Sub. Nts. , 12/7/272,4 | EUR | 730,000 | 789,865 | 6.00% [EUSA5+533.8] Jr. Sub. Perpetual | ||||||
Banco do Brasil SA (Cayman): | Bonds2,4,13 | EUR | 1,745,000 | 2,185,354 | ||||||
3.875% Sr. Unsec. Nts. , 10/10/22 | 1,370,000 | 1,358,012 | Huntington Bancshares, Inc. , 5.70% | |||||||
4.75% Sr. Unsec. Nts. , 3/20/241 | 1,053,000 | 1,057,212 | [US0003M+288] Jr. Sub. Perpetual | |||||||
Banco Mercantil del Norte SA (Grand | Bonds2,13 | 674,000 | 657,544 | |||||||
Cayman), 7.625% [H15T10Y+535.3] Jr. | IDBI Bank Ltd. (GIFT-IFC), 5.00% Sr. | |||||||||
Sub. Perpetual Bonds1,2,13 | 395,000 | 396,975 | Unsec. Nts. , 9/25/194 | 430,000 | 431,157 | |||||
Banco Santander SA: | ING Groep NV, 6.875% [USSW5+512.4] | |||||||||
5.25% [EUSA5+499.9] Jr. Sub. Perpetual | Jr. Sub. Perpetual Bonds2,4,13 | 1,685,000 | 1,741,581 | |||||||
Bonds2,4,13 | EUR | 1,455,000 | 1,558,047 | Intesa Sanpaolo SpA, 7.70% | ||||||
[USSW5+546.15] Jr. Sub. Perpetual | ||||||||||
6.75% [EUSA5+680.3] Jr. Sub. Perpetual | Bonds1,2,13 | 4,336,000 | 4,101,618 | |||||||
Bonds2,4,13 | EUR | 2,780,000 | 3,314,772 | |||||||
12 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA |
Principal Amount | Value | Principal Amount | Value | ||||||||
Commercial Banks (Continued) | Consumer Finance (Continued) | ||||||||||
JPMorgan Chase & Co. , 6.125% | Dresdner Funding Trust I, 8.151% Jr. | ||||||||||
[US0003M+333] Jr. Sub. Perpetual | Sub. Nts. , 6/30/314 | $ | 875,000 $ | 1,108,321 | |||||||
Bonds2,13 | $ | 1,231,000 | $ | 1,291,793 | Enova International, Inc. , 8.50% Sr. | ||||||
Kenan Advantage Group, Inc. (The), | Unsec. Nts. , 9/15/251 | 495,000 | 464,681 | ||||||||
7.875% Sr. Unsec. Nts. , 7/31/231 | 965,000 | 938,462 | Lions Gate Capital Holdings LLC, | ||||||||
Lloyds Bank plc, 7.50% Sr. Unsec. Nts. , | 6.375% Sr. Unsec. Nts. , 2/1/241 | 285,000 | 299,250 | ||||||||
4/2/324,8 | 2,825,000 | 2,192,954 | MGM Growth Properties Operating | ||||||||
Lloyds Banking Group plc, 7.50% | Partnership LP/MGP Finance Co. -Issuer, | ||||||||||
[USSW5+449.6] Jr. Sub. Perpetual | Inc. , 5.75% Sr. Unsec. Nts. , 2/1/271 | 285,000 | 295,331 | ||||||||
Bonds2,13 | 1,239,000 | 1,258,384 | Minejesa Capital BV, 4.625% Sr. Sec. | ||||||||
NatWest Markets plc, 3.625% Sr. Unsec. | Nts. , 8/10/303 | 1,170,000 | 1,138,238 | ||||||||
Nts. , 9/29/221 | 2,915,000 | 2,918,947 | Navient Corp. : | ||||||||
Nordea Bank Abp, 6.625% | 5.875% Sr. Unsec. Nts. , 10/25/24 | 790,000 | 768,275 | ||||||||
[H15T5Y+411] Jr. Sub. Perpetual | 6.50% Sr. Unsec. Nts. , 6/15/22 | 535,000 | 558,908 | ||||||||
Bonds1,2,13 | 874,000 | 873,060 | 6.625% Sr. Unsec. Nts. , 7/26/21 | 505,000 | 528,987 | ||||||
Novo Banco SA, 8.50% [EUSA5+823.3] | 6.75% Sr. Unsec. Nts. , 6/25/25 | 685,000 | 680,924 | ||||||||
Sub. Nts. , 7/6/282,4 | EUR | 1,500,000 | 1,690,702 | 6.75% Sr. Unsec. Nts. , 6/15/26 | 415,000 | 398,400 | |||||
Royal Bank of Scotland Group plc, | Springleaf Finance Corp. , 6.125% Sr. | ||||||||||
7.50% [USSW5+580] Jr. Sub. Perpetual | Unsec. Nts. , 3/15/24 | 570,000 | 584,239 | ||||||||
Bonds2,13 | 1,695,000 | 1,731,019 | Termocandelaria Power Ltd. , 7.875% Sr. | ||||||||
Societe Generale SA: | Unsec. Nts. , 1/30/291 | 530,000 | 561,143 | ||||||||
7.375% [USSW5+623.8] Jr. Sub. | Terraform Global Operating LLC, 6.125% | ||||||||||
Perpetual Bonds1,2,13 | 4,445,000 | 4,595,019 | Sr. Unsec. Nts. , 3/1/261 | 820,000 | 801,550 | ||||||
8.00% [USISDA05+587.3] Jr. Sub. | TMX Finance LLC/TitleMax Finance | ||||||||||
Perpetual Bonds1,2,13 | 1,465,000 | 1,557,947 | Corp. , 11.125% Sr. Sec. Nts. , 4/1/231 | 270,000 | 254,812 | ||||||
SunTrust Banks, Inc. : | Vistra Operations Co. LLC, 5.625% Sr. | ||||||||||
5.05% [US0003M+310.2] Jr. Sub. | Unsec. Nts. , 2/15/271 | 575,000 | 599,438 | ||||||||
Perpetual Bonds2,13 | 992,000 | 972,433 | 15,056,867 | ||||||||
5.125% [US0003M+278.6] Jr. Sub. | |||||||||||
Perpetual Bonds2,13 | 694,000 | 653,009 | Diversified Financial Services—0.4% | ||||||||
Swiss Insured Brazil Power Finance Sarl, | Export-Import Bank of India, 7.35% Sr. | ||||||||||
9.85% Sr. Sec. Nts. , 7/16/32 | BRL | 5,250,000 | 1,407,920 | Unsec. Nts. , 5/18/22 | INR | 70,000,000 | 1,005,569 | ||||
Turkiye Vakiflar Bankasi TAO, 8.125% Sr. | Fidelity & Guaranty Life Holdings, Inc. , | ||||||||||
Unsec. Nts. , 3/28/241 | 1,050,000 | 992,208 | 5.50% Sr. Unsec. Nts. , 5/1/251 | 385,000 | 388,369 | ||||||
UBS Group Funding Switzerland AG: | JP Morgan/Hipotecaria su Casita, 6.47% | ||||||||||
5.00% [USSW5+243.2] Jr. Sub. | Sec. Nts. , 8/26/351,11 | MXN | 5,808,600 | 28,429 | |||||||
Perpetual Bonds2,4,13 | 435,000 | 379,828 | Park Aerospace Holdings Ltd.: | ||||||||
5.75% [EUSA5+528.7] Jr. Sub. Perpetual | 5.25% Sr. Unsec. Nts. , 8/15/221 | 135,000 | 138,699 | ||||||||
Bonds2,4,13 | EUR | 2,200,000 | 2,697,187 | 5.50% Sr. Unsec. Nts. , 2/15/241 | 570,000 | 592,800 | |||||
UniCredit SpA: | Rural Electrification Corp. Ltd.: | ||||||||||
6.625% [EUSA5+638.7] Jr. Sub. | 7.24% Sr. Unsec. Nts. , 10/21/21 | INR | 140,000,000 | 2,007,082 | |||||||
Perpetual Bonds2,4,13 | EUR | 440,000 | 481,231 | 7.60% Sr. Unsec. Nts. , 4/17/21 | INR | 100,000,000 | 1,447,773 | ||||
6.75% [EUSA5+610] Jr. Sub. Perpetual | Voya Financial, Inc. , 4.70% | ||||||||||
Bonds2,4,13 | EUR | 440,000 | 486,712 | [US0003M+208.4] Jr. Sub. Nts. , | |||||||
Wachovia Capital Trust III, 5.57% | 1/23/482 | 686,000 | 592,175 | ||||||||
[US0003M+93] Jr. Sub. Perpetual | 6,200,896 | ||||||||||
Bonds2,13 | 1,323,000 | 1,307,819 | Insurance—0.9% | ||||||||
102,049,629 | AXA SA, 3.875% [EUSA11+325] Jr. Sub. | ||||||||||
Consumer Finance—1.0% | Perpetual Bonds2,4,13 | EUR | 2,825,000 | 3,391,777 | |||||||
Ahern Rentals, Inc. , 7.375% Sec. Nts. , | Genworth Holdings, Inc.: | ||||||||||
5/15/231 | 605,000 | 560,381 | 7.625% Sr. Unsec. Nts. , 9/24/21 | 330,000 | 320,100 | ||||||
Ally Financial, Inc.: | 7.70% Sr. Unsec. Nts. , 6/15/20 | 430,000 | 431,066 | ||||||||
4.625% Sr. Unsec. Nts. , 5/19/22 | 440,000 | 449,900 | Hartford Financial Services Group, Inc. | ||||||||
5.75% Sub. Nts. , 11/20/25 | 1,070,000 | 1,143,680 | (The), 4.809% [US0003M+212.5] Jr. | ||||||||
8.00% Sr. Unsec. Nts. , 11/1/31 | 415,000 | 517,194 | Sub. Nts. , 2/12/472,3 | 689,000 | 595,279 | ||||||
American Express Co. , 4.90% | Lincoln National Corp. , 5.04% | ||||||||||
[US0003M+328.5] Jr. Sub. Perpetual | [US0003M+235.75] Jr. Sub. Nts. , | ||||||||||
Bonds2,13 | 974,000 | 964,723 | 5/17/662 | 581,000 | 500,517 | ||||||
Colfax Corp.: | MetLife, Inc. , 5.875% | ||||||||||
6.00% Sr. Unsec. Nts. , 2/15/241 | 575,000 | 600,875 | [US0003M+295.9] Jr. Sub. Perpetual | ||||||||
6.375% Sr. Unsec. Nts. , 2/15/261 | 290,000 | 309,030 | Bonds2,13 | 580,000 | 597,995 | ||||||
Comstock Resources, Inc. , 9.75% Sr. | NN Group NV, 4.375% [EUR003M+390] | ||||||||||
Unsec. Nts. , 8/15/261 | 290,000 | 268,250 | Jr. Sub. Perpetual Bonds2,4,13 | EUR | 1,465,000 | 1,741,671 | |||||
Credit Acceptance Corp. , 6.625% Sr. | Power Finance Corp. Ltd.: | ||||||||||
Unsec. Nts. , 3/15/261 | 570,000 | 579,975 | 7.27% Sr. Unsec. Nts. , 12/22/21 | INR | 140,000,000 | 1,985,405 | |||||
Discover Financial Services, 5.50% | 7.42% Sr. Unsec. Nts. , 6/26/20 | INR | 43,000,000 | 619,476 | |||||||
[US0003M+307.6] Jr. Sub. Perpetual | 7.50% Sr. Unsec. Nts. , 8/16/21 | INR | 140,000,000 | 1,998,701 | |||||||
Bonds2,13 | 652,000 | 620,362 | 12,181,987 | ||||||||
13 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA |
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued | |||||||||||
Principal Amount | Value | Principal Amount | Value | ||||||||
Real Estate Investment Trusts (REITs)0.8% | Thrifts & Mortgage Finance (Continued) | ||||||||||
Banco Invex SA/Hipotecaria Credito | Quicken Loans, Inc.: | ||||||||||
y Casa SA de CV, 6.45% Sec. Nts. , | 5.25% Sr. Unsec. Nts. , 1/15/281 | $ | 690,000 $ | 648,600 | |||||||
3/13/3410,11,14 | MXN | 4,830,531 | $ | | 5.75% Sr. Unsec. Nts. , 5/1/251 | 615,000 | 619,612 | ||||
Brookfield Residential Properties, Inc. / | Radian Group, Inc. , 4.50% Sr. Unsec. | ||||||||||
Brookfield Residential US Corp. , 6.125% | Nts. , 10/1/24 | 545,000 | 539,550 | ||||||||
Sr. Unsec. Nts. , 7/1/221 | 285,000 | 287,494 | 7,315,773 | ||||||||
Equinix, Inc.: | |||||||||||
5.375% Sr. Unsec. Nts. , 5/15/27 | 780,000 | 819,000 | Health Care2.4% | ||||||||
5.875% Sr. Unsec. Nts. , 1/15/26 | 945,000 | 997,873 | Biotechnology0.1% | ||||||||
GLP Capital LP/GLP Financing II, Inc. , | WeWork Cos, Inc. , 7.875% Sr. Unsec. | ||||||||||
5.375% Sr. Unsec. Nts. , 11/1/23 | 410,000 | 433,140 | Nts. , 5/1/251 | 855,000 | 790,875 | ||||||
Iron Mountain US Holdings, Inc. , | Health Care Equipment & Supplies0.1% | ||||||||||
5.375% Sr. Unsec. Nts. , 6/1/261 | 995,000 | 985,050 | Hill-Rom Holdings, Inc. , 5.75% Sr. Unsec. | ||||||||
Iron Mountain, Inc. , 4.875% Sr. Unsec. | Nts. , 9/1/231 | 495,000 | 512,325 | ||||||||
Nts. , 9/15/271 | 410,000 | 395,650 | Hologic, Inc. , 4.375% Sr. Unsec. Nts. , | ||||||||
iStar, Inc.: | 10/15/251 | 430,000 | 429,914 | ||||||||
5.25% Sr. Unsec. Nts. , 9/15/22 | 800,000 | 790,000 | 942,239 | ||||||||
6.00% Sr. Unsec. Nts. , 4/1/22 | 1,165,000 | 1,172,281 | Health Care Providers & Services1.4% | ||||||||
Lamar Media Corp. , 5.75% Sr. Unsec. | Acadia Healthcare Co. , Inc.: | ||||||||||
Nts. , 2/1/26 | 520,000 | 545,350 | 5.625% Sr. Unsec. Nts. , 2/15/23 | 305,000 | 308,431 | ||||||
MPT Operating Partnership LP/MPT | 6.50% Sr. Unsec. Nts. , 3/1/24 | 250,000 | 257,500 | ||||||||
Finance Corp. : | Centene Corp. : | ||||||||||
5.00% Sr. Unsec. Nts. , 10/15/27 | 565,000 | 576,300 | 4.75% Sr. Unsec. Nts. , 5/15/22 | 655,000 | 668,100 | ||||||
6.375% Sr. Unsec. Nts. , 3/1/24 | 250,000 | 261,875 | 5.375% Sr. Unsec. Nts. , 6/1/261 | 825,000 | 862,125 | ||||||
Outfront Media Capital LLC/Outfront | 6.125% Sr. Unsec. Nts. , 2/15/24 | 565,000 | 592,713 | ||||||||
Media Capital Corp. , 5.875% Sr. Unsec. | CHS/Community Health Systems, Inc.: | ||||||||||
Nts. , 3/15/25 | 720,000 | 739,800 | |||||||||
SBA Communications Corp. , 4.00% Sr. | 6.25% Sr. Sec. Nts. , 3/31/23 | 1,255,000 | 1,182,837 | ||||||||
Unsec. Nts. , 10/1/22 | 690,000 | 695,934 | 6.875% Sr. Unsec. Nts. , 2/1/22 | 404,000 | 270,680 | ||||||
Starwood Property Trust, Inc.: | 8.00% Sr. Sec. Nts. , 3/15/261 | 570,000 | 546,801 | ||||||||
4.75% Sr. Unsec. Nts. , 3/15/25 | 805,000 | 802,988 | DaVita, Inc.: | ||||||||
5.00% Sr. Unsec. Nts. , 12/15/21 | 760,000 | 782,800 | 5.00% Sr. Unsec. Nts. , 5/1/25 | 275,000 | 264,550 | ||||||
Uniti Group LP/Uniti Group Finance, Inc. / | 5.125% Sr. Unsec. Nts. , 7/15/24 | 1,285,000 | 1,272,150 | ||||||||
CSL Capital LLC, 8.25% Sr. Unsec. Nts. , | Encompass Health Corp. , 5.75% Sr. | ||||||||||
10/15/23 | 515,000 | 467,362 | Unsec. Nts. , 11/1/24 | 775,000 | 787,594 | ||||||
10,752,897 | Envision Healthcare Corp. , 8.75% Sr. | ||||||||||
Unsec. Nts. , 10/15/261 | 635,000 | 567,531 | |||||||||
Real Estate Management & Development1.4% | HCA, Inc.: | ||||||||||
Agile Group Holdings Ltd. , 9.00% Sr. | 5.375% Sr. Unsec. Nts. , 2/1/25 | 680,000 | 722,500 | ||||||||
Sec. Nts. , 5/21/204 | 2,620,000 | 2,707,152 | 5.375% Sr. Unsec. Nts. , 9/1/26 | 1,130,000 | 1,192,150 | ||||||
China Aoyuan Group Ltd. , 7.50% Sr. Sec. | 5.50% Sr. Sec. Nts. , 6/15/47 | 365,000 | 390,068 | ||||||||
Nts. , 5/10/214 | 1,456,000 | 1,496,800 | 5.625% Sr. Unsec. Nts. , 9/1/28 | 1,285,000 | 1,362,100 | ||||||
CIFI Holdings Group Co. Ltd.: | 5.875% Sr. Unsec. Nts. , 2/15/26 | 275,000 | 297,688 | ||||||||
7.625% Sr. Unsec. Nts. , 3/2/214 | 4,004,000 | 4,141,742 | 7.50% Sr. Unsec. Nts. , 2/15/22 | 1,125,000 | 1,243,463 | ||||||
7.75% Sr. Unsec. Nts. , 6/5/204 | 1,555,000 | 1,595,618 | OCP SA, 4.50% Sr. Unsec. Nts. , | ||||||||
Country Garden Holdings Co. Ltd. , | 10/22/251 | 960,000 | 952,740 | ||||||||
7.50% Sr. Sec. Nts. , 3/9/204 | 1,555,000 | 1,586,986 | Omnicare, Inc. , 4.75% Sr. Unsec. Nts. , | ||||||||
Greystar Real Estate Partners LLC, | 12/1/22 | 1,765,000 | 1,858,040 | ||||||||
5.75% Sr. Sec. Nts. , 12/1/251 | 370,000 | 371,850 | RegionalCare Hospital Partners Holdings, | ||||||||
Mattamy Group Corp. , 6.875% Sr. | Inc. /LifePoint Health, Inc. , 9.75% Sr. | ||||||||||
Unsec. Nts. , 12/15/231 | 505,000 | 517,625 | Unsec. Nts. , 12/1/261 | 855,000 | 889,200 | ||||||
New Metro Global Ltd. , 6.50% Sr. | Select Medical Corp. , 6.375% Sr. Unsec. | ||||||||||
Unsec. Nts. , 4/23/214 | 490,000 | 495,422 | Nts. , 6/1/21 | 770,000 | 773,850 | ||||||
Realogy Group LLC/Realogy Co. -Issuer | Tenet Healthcare Corp.: | ||||||||||
Corp. , 9.375% Sr. Unsec. Nts. , 4/1/271 | 285,000 | 292,481 | 4.375% Sr. Sec. Nts. , 10/1/21 | 520,000 | 531,648 | ||||||
Times China Holdings Ltd.: | 6.25% Sec. Nts. , 2/1/271 | 285,000 | 296,044 | ||||||||
6.25% Sr. Sec. Nts. , 1/23/204 | 490,000 | 492,661 | 6.75% Sr. Unsec. Nts. , 6/15/23 | 1,150,000 | 1,188,813 | ||||||
7.85% Sr. Sec. Nts. , 6/4/214 | 4,732,000 | 4,865,225 | 8.125% Sr. Unsec. Nts. , 4/1/22 | 705,000 | 761,118 | ||||||
Yuzhou Properties Co. Ltd. , 6.375% Sr. | TPC Group, Inc. , 8.75% Sr. Sec. Nts. , | ||||||||||
Sec. Nts. , 3/6/214 | 1,456,000 | 1,460,959 | 12/15/201 | 420,000 | 415,800 | ||||||
20,024,521 | 20,456,234 | ||||||||||
Thrifts & Mortgage Finance0.5% | Health Care Technology0.1% | ||||||||||
Export-Import Bank of India, 8.00% Sr. | Telenet Finance Luxembourg Notes Sarl, | ||||||||||
Unsec. Nts. , 5/27/21 | INR | 280,000,000 | 4,082,689 | 5.50% Sr. Sec. Nts. , 3/1/281 | 805,000 | 793,330 | |||||
LIC Housing Finance Ltd. , 7.45% Sr. Sec. | |||||||||||
Nts. , 10/17/22 | INR | 70,000,000 | 996,834 | Life Sciences Tools & Services0.0% | |||||||
Nationstar Mortgage Holdings, Inc. , | West Street Merger Sub, Inc. , 6.375% Sr. | ||||||||||
8.125% Sr. Unsec. Nts. , 7/15/231 | 415,000 | 428,488 | Unsec. Nts. , 9/1/251 | 415,000 | 405,662 | ||||||
14 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA |
Principal Amount | Value | Principal Amount | Value | |||||||
Pharmaceuticals0.7% | Building Products0.1% | |||||||||
Bausch Health Americas, Inc. , 8.50% Sr. | JELD-WEN, Inc. : | |||||||||
Unsec. Nts. , 1/31/271 | $ | 685,000 | $ | 727,813 | 4.625% Sr. Unsec. Nts. , 12/15/251 | $ | 120,000 $ | 114,300 | ||
Bausch Health Cos. , Inc.: | 4.875% Sr. Unsec. Nts. , 12/15/271 | 120,000 | 113,400 | |||||||
5.50% Sr. Unsec. Nts. , 3/1/231 | 171,000 | 172,467 | Standard Industries, Inc. , 5.375% Sr. | |||||||
5.50% Sr. Sec. Nts. , 11/1/251 | 790,000 | 809,750 | Unsec. Nts. , 11/15/241 | 915,000 | 941,306 | |||||
5.75% Sr. Sec. Nts. , 8/15/271 | 285,000 | 292,837 | 1,169,006 | |||||||
5.875% Sr. Unsec. Nts. , 5/15/231 | 493,000 | 499,779 | Commercial Services & Supplies0.6% | |||||||
6.125% Sr. Unsec. Nts. , 4/15/251 | 910,000 | 903,175 | ACCO Brands Corp. , 5.25% Sr. Unsec. | |||||||
7.00% Sr. Sec. Nts. , 3/15/241 | 635,000 | 673,417 | Nts. , 12/15/241 | 815,000 | 800,737 | |||||
9.00% Sr. Unsec. Nts. , 12/15/251 | 935,000 | 1,019,197 | Affinion Group, Inc. , 12.50% Sr. Unsec. | |||||||
Endo Dac/Endo Finance LLC/Endo Finco, | Nts. , 11/10/223,12 | 1,004,830 | 673,236 | |||||||
Inc.: | ARD Finance SA, 7.125% Sr. Sec. Nts. , | |||||||||
5.875% Sr. Sec. Nts. , 10/15/241 | 275,000 | 271,219 | 9/15/2312 | 575,000 | 575,719 | |||||
6.00% Sr. Unsec. Nts. , 7/15/231 | 1,350,000 | 1,046,250 | Brink's Co. (The), 4.625% Sr. Unsec. | |||||||
6.00% Sr. Unsec. Nts. , 2/1/251 | 540,000 | 394,200 | Nts. , 10/15/271 | 870,000 | 843,900 | |||||
Mallinckrodt International Finance SA/ | Clean Harbors, Inc. , 5.125% Sr. Unsec. | |||||||||
Mallinckrodt CB LLC: | Nts. , 6/1/21 | 830,000 | 833,112 | |||||||
4.875% Sr. Unsec. Nts. , 4/15/201 | 535,000 | 535,000 | Covanta Holding Corp.: | |||||||
5.50% Sr. Unsec. Nts. , 4/15/251 | 570,000 | 447,450 | 5.875% Sr. Unsec. Nts. , 3/1/24 | 530,000 | 544,575 | |||||
5.625% Sr. Unsec. Nts. , 10/15/231 | 285,000 | 237,975 | 5.875% Sr. Unsec. Nts. , 7/1/25 | 310,000 | 316,587 | |||||
5.75% Sr. Unsec. Nts. , 8/1/221 | 455,000 | 429,975 | 6.00% Sr. Unsec. Nts. , 1/1/27 | 570,000 | 571,425 | |||||
Prestige Brands, Inc. , 6.375% Sr. Unsec. | GFL Environmental, Inc. , 5.625% Sr. | |||||||||
Nts. , 3/1/241 | 325,000 | 332,312 | Unsec. Nts. , 5/1/221 | 720,000 | 700,200 | |||||
Teva Pharmaceutical Finance Co. BV, | Hulk Finance Corp. , 7.00% Sr. Unsec. | |||||||||
3.65% Sr. Unsec. Nts. , 11/10/21 | 460,000 | 451,103 | Nts. , 6/1/261 | 670,000 | 636,500 | |||||
Teva Pharmaceutical Finance | RR Donnelley & Sons Co. , 7.875% Sr. | |||||||||
Netherlands III BV: | Unsec. Nts. , 3/15/21 | 371,000 | 382,594 | |||||||
1.70% Sr. Unsec. Nts. , 7/19/19 | 235,000 | 234,501 | TMS International Corp. , 7.25% Sr. | |||||||
3.15% Sr. Unsec. Nts. , 10/1/26 | 275,000 | 225,104 | Unsec. Nts. , 8/15/251 | 265,000 | 257,320 | |||||
6.00% Sr. Unsec. Nts. , 4/15/24 | 875,000 | 878,854 | Waste Pro USA, Inc. , 5.50% Sr. Unsec. | |||||||
10,582,378 | Nts. , 2/15/261 | 125,000 | 120,938 | |||||||
Industrials3.4% | West Corp.: | |||||||||
Aerospace & Defense0.4% | 5.375% Sr. Unsec. Nts. , 7/15/221 | 685,000 | 693,563 | |||||||
Arconic, Inc. , 5.125% Sr. Unsec. Nts. , | 8.50% Sr. Unsec. Nts. , 10/15/251 | 665,000 | 575,225 | |||||||
10/1/24 | 535,000 | 549,212 | 8,525,631 | |||||||
Bombardier, Inc.: | Construction & Engineering0.1% | |||||||||
6.00% Sr. Unsec. Nts. , 10/15/221 | 475,000 | 481,531 | AECOM, 5.125% Sr. Unsec. Nts. , | |||||||
7.50% Sr. Unsec. Nts. , 12/1/241 | 860,000 | 895,475 | 3/15/27 | 535,000 | 519,619 | |||||
7.50% Sr. Unsec. Nts. , 3/15/251 | 585,000 | 604,744 | Fideicomiso PA Pacifico Tres, 8.25% Sr. | |||||||
7.875% Sr. Unsec. Nts. , 4/15/271 | 570,000 | 588,525 | Sec. Nts. , 1/15/351 | 510,000 | 552,075 | |||||
DAE Funding LLC, 4.50% Sr. Unsec. Nts. , | New Enterprise Stone & Lime Co. , Inc. , | |||||||||
8/1/221 | 590,000 | 596,638 | 6.25% Sr. Sec. Nts. , 3/15/261 | 275,000 | 268,155 | |||||
Kratos Defense & Security Solutions, Inc. , | Tutor Perini Corp. , 6.875% Sr. Unsec. | |||||||||
6.50% Sr. Sec. Nts. , 11/30/251 | 400,000 | 422,500 | Nts. , 5/1/251 | 535,000 | 534,401 | |||||
TransDigm, Inc.: | 1,874,250 | |||||||||
6.25% Sr. Sec. Nts. , 3/15/261 | 285,000 | 296,400 | ||||||||
6.375% Sr. Sub. Nts. , 6/15/26 | 655,000 | 650,808 | Electrical Equipment0.2% | |||||||
6.50% Sr. Sub. Nts. , 7/15/24 | 535,000 | 551,719 | Sensata Technologies BV, 5.625% Sr. | |||||||
Triumph Group, Inc. , 5.25% Sr. Unsec. | Unsec. Nts. , 11/1/241 | 1,030,000 | 1,102,100 | |||||||
Nts. , 6/1/22 | 245,000 | 236,425 | Vertiv Group Corp. , 9.25% Sr. Unsec. | |||||||
5,873,977 | Nts. , 10/15/241 | 670,000 | 670,000 | |||||||
Vertiv Intermediate Holding Corp. , | ||||||||||
Air Freight & Couriers0.1% | 12.00% Sr. Unsec. Nts. , 2/15/221,12 | 570,000 | 552,188 | |||||||
XPO Logistics, Inc.: | 2,324,288 | |||||||||
6.125% Sr. Unsec. Nts. , 9/1/231 | 285,000 | 287,850 | Industrial Conglomerates0.4% | |||||||
6.75% Sr. Unsec. Nts. , 8/15/241 | 570,000 | 582,825 | General Electric Co. , 5.00% | |||||||
870,675 | [US0003M+333] Jr. Sub. Perpetual | |||||||||
Airlines0.1% | Bonds2,13 | 2,743,000 | 2,560,659 | |||||||
American Airlines Group, Inc. , 4.625% | Icahn Enterprises LP/Icahn Enterprises | |||||||||
Sr. Unsec. Nts. , 3/1/201 | 645,000 | 651,063 | Finance Corp. , 5.875% Sr. Unsec. Nts. , | |||||||
GOL Equity Finance SA, 3.75% Cv. Sr. | 2/1/22 | 385,000 | 391,210 | |||||||
Unsec. Nts. , 7/15/241 | 315,000 | 297,304 | KOC Holding AS, 6.50% Sr. Unsec. Nts. , | |||||||
Gol Finance, Inc. , 7.00% Sr. Unsec. Nts. , | 3/11/251 | 1,540,000 | 1,494,110 | |||||||
1/31/251 | 515,000 | 479,594 | Tupras Turkiye Petrol Rafinerileri AS, | |||||||
United Continental Holdings, Inc. , | 4.50% Sr. Unsec. Nts. , 10/18/241 | 460,000 | 406,352 | |||||||
4.25% Sr. Unsec. Nts. , 10/1/22 | 800,000 | 803,248 | Turkiye Sise ve Cam Fabrikalari AS, | |||||||
2,231,209 | 6.95% Sr. Unsec. Nts. , 3/14/261 | 675,000 | 653,893 | |||||||
15 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA |
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued | ||||||||||||
Principal Amount | Value | Principal Amount | Value | |||||||||
Industrial Conglomerates (Continued) | Transportation Infrastructure—0.2% | |||||||||||
Wind Tre SpA, 5.00% Sr. Sec. Nts. , | DP World plc, 5.625% Sr. Unsec. Nts. , | |||||||||||
1/20/26 | $ | 805,000 | $ | 736,575 | 9/25/481 | $ | 1,010,000 | $ | 1,053,706 | |||
6,242,799 | GMR Hyderabad International Airport | |||||||||||
Machinery—0.4% | Ltd. , 4.25% Sr. Sec. Nts. , 10/27/271 | 965,000 | 879,090 | |||||||||
Allison Transmission, Inc.: | Jasa Marga Persero Tbk PT, 7.50% Sr. | |||||||||||
5.00% Sr. Unsec. Nts. , 10/1/241 | 500,000 | 500,625 | Unsec. Nts. , 12/11/201 | IDR | 9,160,000,000 | 626,779 | ||||||
5.875% Sr. Unsec. Nts. , 6/1/291 | 285,000 | 288,938 | 2,559,575 | |||||||||
Amsted Industries, Inc. , 5.00% Sr. Unsec. | Information Technology—1.7% | |||||||||||
Nts. , 3/15/221 | 1,100,000 | 1,108,250 | Communications Equipment—0.2% | |||||||||
Icahn Enterprises LP/Icahn Enterprises | Chaparral Energy, Inc. , 8.75% Sr. Unsec. | |||||||||||
Finance Corp. , 6.75% Sr. Unsec. Nts. , | Nts. , 7/15/231 | 430,000 | 296,700 | |||||||||
2/1/24 | 570,000 | 596,362 | CommScope Technologies LLC, 6.00% | |||||||||
Manitowoc Co. , Inc. (The), 9.00% Sec. | Sr. Unsec. Nts. , 6/15/251 | 570,000 | 556,292 | |||||||||
Nts. , 4/1/261 | 570,000 | 578,550 | HTA Group Ltd. , 9.125% Sr. Unsec. Nts. , | |||||||||
Meritor, Inc. , 6.25% Sr. Unsec. Nts. , | 3/8/223 | 455,000 | 476,116 | |||||||||
2/15/24 | 150,000 | 154,875 | Infor US, Inc. , 6.50% Sr. Unsec. Nts. , | |||||||||
Navistar International Corp. , 6.625% Sr. | 5/15/22 | 920,000 | 936,100 | |||||||||
Unsec. Nts. , 11/1/251 | 865,000 | 883,381 | Plantronics, Inc. , 5.50% Sr. Unsec. Nts. , | |||||||||
Terex Corp. , 5.625% Sr. Unsec. Nts. , | 5/31/231 | 435,000 | 437,175 | |||||||||
2/1/251 | 525,000 | 523,031 | Riverbed Technology, Inc. , 8.875% Sr. | |||||||||
Titan International, Inc. , 6.50% Sr. Sec. | Unsec. Nts. , 3/1/231 | 295,000 | 225,675 | |||||||||
Nts. , 11/30/233 | 815,000 | 754,894 | ViaSat, Inc.: | |||||||||
Wabash National Corp. , 5.50% Sr. | 5.625% Sr. Unsec. Nts. , 9/15/251 | 265,000 | 255,062 | |||||||||
Unsec. Nts. , 10/1/251 | 270,000 | 253,125 | 5.625% Sr. Sec. Nts. , 4/15/271 | 430,000 | 439,608 | |||||||
5,642,031 | 3,622,728 | |||||||||||
Professional Services—0.1% | Electronic Equipment, Instruments, & Components—0.1% | |||||||||||
Brand Industrial Services, Inc. , 8.50% Sr. | APX Group, Inc. , 7.875% Sr. Sec. Nts. , | |||||||||||
Unsec. Nts. , 7/15/251 | 795,000 | 717,488 | 12/1/22 | 275,000 | 277,035 | |||||||
Nielsen Finance LLC/Nielsen Finance Co. , | CDW LLC/CDW Finance Corp. , 5.00% Sr. | |||||||||||
5.00% Sr. Unsec. Nts. , 4/15/221 | 285,000 | 283,575 | Unsec. Nts. , 9/1/23 | 485,000 | 497,731 | |||||||
1,001,063 | TTM Technologies, Inc. , 5.625% Sr. | |||||||||||
Road & Rail—0.2% | Unsec. Nts. , 10/1/251 | 800,000 | 771,000 | |||||||||
Algeco Global Finance plc, 8.00% Sr. | 1,545,766 | |||||||||||
Sec. Nts. , 2/15/231 | 270,000 | 272,025 | Internet Software & Services—0.1% | |||||||||
Avis Budget Car Rental LLC/Avis Budget | Rackspace Hosting, Inc. , 8.625% Sr. | |||||||||||
Finance, Inc. , 5.25% Sr. Unsec. Nts. , | Unsec. Nts. , 11/15/241 | 1,395,000 | 1,246,265 | |||||||||
3/15/251 | 520,000 | 498,550 | IT Services—0.5% | |||||||||
DAE Funding LLC, 4.00% Sr. Unsec. Nts. , | ||||||||||||
8/1/201 | 265,000 | 266,325 | Alliance Data Systems Corp. , 5.375% Sr. | |||||||||
Unsec. Nts. , 8/1/221 | 275,000 | 279,606 | ||||||||||
Hertz Corp. (The): | Booz Allen Hamilton, Inc. , 5.125% Sr. | |||||||||||
5.50% Sr. Unsec. Nts. , 10/15/241 | 420,000 | 354,375 | Unsec. Nts. , 5/1/251 | 280,000 | 280,700 | |||||||
5.875% Sr. Unsec. Nts. , 10/15/20 | 660,000 | 660,660 | Everi Payments, Inc. , 7.50% Sr. Unsec. | |||||||||
7.375% Sr. Unsec. Nts. , 1/15/21 | 265,000 | 265,000 | Nts. , 12/15/251 | 1,075,000 | 1,118,000 | |||||||
7.625% Sec. Nts. , 6/1/221 | 535,000 | 548,910 | Exela Intermediate LLC/Exela Finance, | |||||||||
2,865,845 | Inc. , 10.00% Sr. Sec. Nts. , 7/15/231 | 770,000 | 786,940 | |||||||||
Trading Companies & Distributors—0.5% | First Data Corp. : | |||||||||||
American Builders & Contractors | 5.00% Sr. Sec. Nts. , 1/15/241 | 455,000 | 466,205 | |||||||||
Supply Co. , Inc. , 5.75% Sr. Unsec. Nts. , | 5.75% Sec. Nts. , 1/15/241 | 910,000 | 939,120 | |||||||||
12/15/231 | 340,000 | 349,775 | Gartner, Inc. , 5.125% Sr. Unsec. Nts. , | |||||||||
Fly Leasing Ltd. , 5.25% Sr. Unsec. Nts. , | 4/1/251 | 780,000 | 790,296 | |||||||||
10/15/24 | 530,000 | 511,450 | GTT Communications, Inc. , 7.875% Sr. | |||||||||
H&E Equipment Services, Inc. , 5.625% | Unsec. Nts. , 12/31/241 | 140,000 | 123,200 | |||||||||
Sr. Unsec. Nts. , 9/1/25 | 800,000 | 801,000 | Harland Clarke Holdings Corp. , 6.875% | |||||||||
Herc Rentals, Inc. , 7.50% Sec. Nts. , | Sr. Sec. Nts. , 3/1/201 | 835,000 | 826,650 | |||||||||
6/1/221 | 473,000 | 494,285 | Sabre GLBL, Inc. , 5.25% Sr. Sec. Nts. , | |||||||||
ILFC E-Capital Trust I, 4.57% [30YR | 11/15/231 | 825,000 | 845,625 | |||||||||
CMT+155] Jr. Sub. Nts. , 12/21/651,2 | 1,355,000 | 1,072,449 | VeriSign, Inc. , 4.75% Sr. Unsec. Nts. , | |||||||||
National Bank for Agriculture & Rural | 7/15/27 | 590,000 | 592,283 | |||||||||
Development, 8.39% Sr. Unsec. Nts. , | 7,048,625 | |||||||||||
7/19/21 | INR | 55,000,000 | 806,481 | Semiconductors & Semiconductor Equipment—0.0% | ||||||||
Standard Industries, Inc. , 6.00% Sr. | ||||||||||||
Unsec. Nts. , 10/15/251 | 740,000 | 778,546 | Qorvo, Inc. , 5.50% Sr. Unsec. Nts. , | |||||||||
7/15/261 | 555,000 | 574,480 | ||||||||||
United Rentals North America, Inc.: | Versum Materials, Inc. , 5.50% Sr. Unsec. | |||||||||||
4.875% Sr. Unsec. Nts. , 1/15/28 | 690,000 | 672,888 | Nts. , 9/30/241 | 250,000 | 263,438 | |||||||
5.875% Sr. Unsec. Nts. , 9/15/26 | 1,235,000 | 1,281,312 | 837,918 | |||||||||
6.50% Sr. Unsec. Nts. , 12/15/26 | 570,000 | 601,350 | ||||||||||
7,369,536 | ||||||||||||
16 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA |
Principal Amount | Value | Principal Amount | Value | |||||||
Software0.6% | Chemicals (Continued) | |||||||||
Dell International LLC/EMC Corp.: | Olin Corp. : (Continued) | |||||||||
4.42% Sr. Sec. Nts. , 6/15/211 | $ | 2,916,000 | $ | 2,993,212 | 5.125% Sr. Unsec. Nts. , 9/15/27 | $ | 300,000 | $ | 304,875 | |
7.125% Sr. Unsec. Nts. , 6/15/241 | 745,000 | 790,001 | Petkim Petrokimya Holding AS, 5.875% | |||||||
Informatica LLC, 7.125% Sr. Unsec. Nts. , | Sr. Unsec. Nts. , 1/26/231 | 800,000 | 731,605 | |||||||
7/15/231 | 595,000 | 609,131 | PQ Corp.: | |||||||
j2 Cloud Services LLC/j2 Global Co. - | 5.75% Sr. Unsec. Nts. , 12/15/251 | 270,000 | 264,263 | |||||||
Obligor, Inc. , 6.00% Sr. Unsec. Nts. , | 6.75% Sr. Sec. Nts. , 11/15/221 | 285,000 | 296,756 | |||||||
7/15/251 | 790,000 | 823,575 | Rain CII Carbon LLC/CII Carbon Corp. , | |||||||
Symantec Corp. , 5.00% Sr. Unsec. Nts. , | 7.25% Sec. Nts. , 4/1/251 | 980,000 | 872,200 | |||||||
4/15/251 | 495,000 | 496,370 | Starfruit Finco BV/Starfruit US Holdco | |||||||
TIBCO Software, Inc. , 11.375% Sr. | LLC: | |||||||||
Unsec. Nts. , 12/1/211 | 625,000 | 665,703 | 6.50% Sr. Unsec. Nts. , 10/1/261 | EUR | 1,455,000 | 1,640,782 | ||||
Uber Technologies, Inc.: | 8.00% Sr. Unsec. Nts. , 10/1/261 | 430,000 | 435,375 | |||||||
7.50% Sr. Unsec. Nts. , 11/1/231 | 285,000 | 297,825 | Tronox Finance plc, 5.75% Sr. Unsec. | |||||||
8.00% Sr. Unsec. Nts. , 11/1/261 | 285,000 | 304,238 | Nts. , 10/1/251 | 535,000 | 498,219 | |||||
Veritas US, Inc. /Veritas Bermuda Ltd. , | Venator Finance Sarl/Venator Materials | |||||||||
7.50% Sr. Sec. Nts. , 2/1/231 | 1,125,000 | 1,080,000 | LLC, 5.75% Sr. Unsec. Nts. , 7/15/251 | 790,000 | 697,175 | |||||
8,060,055 | 17,615,776 | |||||||||
Technology Hardware, Storage & Peripherals0.2% | Construction Materials0.2% | |||||||||
Banff Merger Sub, Inc. , 9.75% Sr. Unsec. | CIMPOR Financial Operations BV, 5.75% | |||||||||
Nts. , 9/1/261 | 850,000 | 826,625 | Sr. Unsec. Nts. , 7/17/241 | 2,040,000 | 1,807,970 | |||||
Harland Clarke Holdings Corp. , 8.375% | James Hardie International Finance DAC, | |||||||||
Sr. Sec. Nts. , 8/15/221 | 920,000 | 834,164 | 4.75% Sr. Unsec. Nts. , 1/15/251 | 130,000 | 128,700 | |||||
NCR Corp. , 6.375% Sr. Unsec. Nts. , | Summit Materials LLC/Summit Materials | |||||||||
12/15/23 | 520,000 | 535,954 | Finance Corp. , 5.125% Sr. Unsec. Nts. , | |||||||
Western Digital Corp. , 4.75% Sr. Unsec. | 6/1/251 | 260,000 | 251,550 | |||||||
Nts. , 2/15/26 | 570,000 | 545,062 | US Concrete, Inc. , 6.375% Sr. Unsec. | |||||||
2,741,805 | Nts. , 6/1/24 | 600,000 | 612,000 | |||||||
Materials3.5% | 2,800,220 | |||||||||
Chemicals1.2% | Containers & Packaging0.8% | |||||||||
Ashland LLC: | ARD Securities Finance Sarl, 8.75% Sr. | |||||||||
4.75% Sr. Unsec. Nts. , 8/15/22 | 285,000 | 294,263 | Sec. Nts. , 1/31/231,12 | 889,525 | 847,273 | |||||
6.875% Sr. Unsec. Nts. , 5/15/43 | 295,000 | 306,800 | Ball Corp. , 4.375% Sr. Unsec. Nts. , | |||||||
Avantor, Inc.: | 12/15/20 | 1,460,000 | 1,485,550 | |||||||
6.00% Sr. Sec. Nts. , 10/1/241 | 415,000 | 431,600 | BWAY Holding Co.: | |||||||
9.00% Sr. Unsec. Nts. , 10/1/251 | 725,000 | 787,531 | 5.50% Sr. Sec. Nts. , 4/15/241 | 290,000 | 288,999 | |||||
Blue Cube Spinco LLC, 9.75% Sr. Unsec. | 7.25% Sr. Unsec. Nts. , 4/15/251 | 555,000 | 537,307 | |||||||
Nts. , 10/15/23 | 285,000 | 317,775 | Crown Americas LLC/Crown Americas | |||||||
Celanese US Holdings LLC, 5.875% Sr. | Capital Corp. IV, 4.50% Sr. Unsec. Nts. , | |||||||||
Unsec. Nts. , 6/15/21 | 1,419,000 | 1,493,869 | 1/15/23 | 605,000 | 612,562 | |||||
CF Industries, Inc.: | Crown Americas LLC/Crown Americas | |||||||||
3.40% Sr. Sec. Nts. , 12/1/211 | 2,590,000 | 2,591,911 | Capital Corp. VI, 4.75% Sr. Unsec. Nts. , | |||||||
5.15% Sr. Unsec. Nts. , 3/15/34 | 335,000 | 319,925 | 2/1/26 | 270,000 | 271,971 | |||||
Chemours Co. (The), 6.625% Sr. Unsec. | Flex Acquisition Co. , Inc. , 7.875% Sr. | |||||||||
Nts. , 5/15/23 | 233,000 | 241,758 | Unsec. Nts. , 7/15/261 | 555,000 | 536,962 | |||||
Consolidated Energy Finance SA, 6.50% | Graphic Packaging International LLC, | |||||||||
Sr. Unsec. Nts. , 5/15/261 | 275,000 | 275,000 | 4.75% Sr. Unsec. Nts. , 4/15/21 | 1,460,000 | 1,483,725 | |||||
CVR Partners LP/CVR Nitrogen Finance | Greif, Inc. , 6.50% Sr. Unsec. Nts. , 3/1/271 | 285,000 | 292,125 | |||||||
Corp. , 9.25% Sec. Nts. , 6/15/231 | 185,000 | 194,481 | Intertape Polymer Group, Inc. , 7.00% Sr. | |||||||
Element Solutions, Inc. , 5.875% Sr. | Unsec. Nts. , 10/15/261 | 570,000 | 585,675 | |||||||
Unsec. Nts. , 12/1/251 | 305,000 | 307,242 | OI European Group BV, 4.00% Sr. Unsec. | |||||||
Hexion, Inc.: | Nts. , 3/15/231 | 535,000 | 526,306 | |||||||
6.625% Sr. Sec. Nts. , 4/15/20 | 1,020,000 | 854,250 | Owens-Brockway Glass Container, Inc. , | |||||||
10.375% Sr. Sec. Nts. , 2/1/221 | 240,000 | 202,200 | 5.00% Sr. Unsec. Nts. , 1/15/221 | 500,000 | 514,375 | |||||
Koppers, Inc. , 6.00% Sr. Unsec. Nts. , | Plastipak Holdings, Inc. , 6.25% Sr. | |||||||||
2/15/251 | 510,000 | 501,075 | Unsec. Nts. , 10/15/251 | 800,000 | 752,000 | |||||
Kraton Polymers LLC/Kraton Polymers | Reynolds Group Issuer, Inc. /Reynolds | |||||||||
Capital Corp. , 7.00% Sr. Unsec. Nts. , | Group Issuer LLC/Reynolds Group Issuer | |||||||||
4/15/251 | 260,000 | 263,900 | Luxembourg SA: | |||||||
LSB Industries, Inc. , 9.625% Sr. Sec. Nts. , | 5.125% Sr. Sec. Nts. , 7/15/231 | 745,000 | 758,038 | |||||||
5/1/231 | 135,000 | 140,427 | 7.00% Sr. Unsec. Nts. , 7/15/241 | 995,000 | 1,026,840 | |||||
Mexichem SAB de CV, 4.875% Sr. Unsec. | Sealed Air Corp. : | |||||||||
Nts. , 9/19/221 | 1,455,000 | 1,515,019 | 4.875% Sr. Unsec. Nts. , 12/1/221 | 585,000 | 605,908 | |||||
NOVA Chemicals Corp.: | 6.875% Sr. Unsec. Nts. , 7/15/331 | 270,000 | 292,950 | |||||||
4.875% Sr. Unsec. Nts. , 6/1/241 | 260,000 | 256,425 | 11,418,566 | |||||||
5.25% Sr. Unsec. Nts. , 8/1/231 | 340,000 | 342,975 | Metals & Mining1.2% | |||||||
Olin Corp.: | AK Steel Corp. : | |||||||||
5.00% Sr. Unsec. Nts. , 2/1/30 | 240,000 | 236,100 | 6.375% Sr. Unsec. Nts. , 10/15/25 | 940,000 | 784,900 | |||||
17 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA |
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued | ||||||||||
Principal Amount | Value | Principal Amount | Value | |||||||
Metals & Mining (Continued) | Diversified Telecommunication Services (Continued) | |||||||||
AK Steel Corp. : (Continued) | CenturyLink, Inc. : (Continued) | |||||||||
7.00% Sr. Unsec. Nts. , 3/15/27 | $ | 405,000 | $ | 341,334 | 6.15% Sr. Unsec. Nts. , Series Q, 9/15/19 | $ | 340,000 $ | 343,825 | ||
Alcoa Nederland Holding BV: | 6.45% Sr. Unsec. Nts. , Series S, 6/15/21 | 615,000 | 641,906 | |||||||
6.125% Sr. Unsec. Nts. , 5/15/281 | 510,000 | 526,575 | 7.50% Sr. Unsec. Nts. , Series Y, 4/1/24 | 940,000 | 996,400 | |||||
6.75% Sr. Unsec. Nts. , 9/30/241 | 245,000 | 260,312 | Cincinnati Bell, Inc. , 8.00% Sr. Unsec. | |||||||
7.00% Sr. Unsec. Nts. , 9/30/261 | 240,000 | 259,949 | Nts. , 10/15/251 | 265,000 | 243,137 | |||||
Aleris International, Inc. , 10.75% Sec. | Digicel International Finance Ltd. / | |||||||||
Nts. , 7/15/231 | 280,000 | 294,700 | Digicel Holdings Bermuda Ltd. , 8.75% | |||||||
Allegheny Technologies, Inc. , 7.875% Sr. | Sr. Sec. Nts. , 5/25/241 | 285,000 | 282,150 | |||||||
Unsec. Nts. , 8/15/23 | 530,000 | 576,375 | Eldorado Resorts, Inc. , 6.00% Sr. Unsec. | |||||||
ArcelorMittal: | Nts. , 9/15/26 | 425,000 | 433,500 | |||||||
6.75% Sr. Unsec. Nts. , 3/1/41 | 295,000 | 329,868 | Frontier Communications Corp. : | |||||||
7.00% Sr. Unsec. Nts. , 10/15/39 | 145,000 | 165,579 | 8.00% Sr. Sec. Nts. , 4/1/271 | 855,000 | 884,925 | |||||
Coeur Mining, Inc. , 5.875% Sr. Unsec. | 8.50% Sec. Nts. , 4/1/261 | 795,000 | 740,344 | |||||||
Nts. , 6/1/24 | 785,000 | 758,506 | 8.75% Sr. Unsec. Nts. , 4/15/22 | 590,000 | 421,850 | |||||
Constellium NV, 6.625% Sr. Unsec. Nts. , | 10.50% Sr. Unsec. Nts. , 9/15/22 | 735,000 | 564,112 | |||||||
3/1/251 | 510,000 | 521,475 | GCI LLC, 6.75% Sr. Unsec. Nts. , 6/1/21 | 140,000 | 140,875 | |||||
Eldorado Gold Corp. , 6.125% Sr. Unsec. | Intelsat Connect Finance SA, 9.50% Sr. | |||||||||
Nts. , 12/15/201 | 590,000 | 578,908 | Unsec. Nts. , 2/15/231 | 420,000 | 373,926 | |||||
Ferroglobe plc/Globe Specialty Metals, | Intelsat Jackson Holdings SA: | |||||||||
Inc. , 9.375% Sr. Unsec. Nts. , 3/1/221 | 750,000 | 648,750 | 5.50% Sr. Unsec. Nts. , 8/1/23 | 255,000 | 227,587 | |||||
First Quantum Minerals Ltd.: | 8.00% Sr. Sec. Nts. , 2/15/241 | 615,000 | 642,675 | |||||||
6.875% Sr. Unsec. Nts. , 3/1/261 | 505,000 | 470,281 | 8.50% Sr. Unsec. Nts. , 10/15/241 | 565,000 | 552,288 | |||||
7.00% Sr. Unsec. Nts. , 2/15/211 | 76,000 | 77,425 | 9.75% Sr. Unsec. Nts. , 7/15/251 | 790,000 | 806,037 | |||||
7.25% Sr. Unsec. Nts. , 4/1/231 | 780,000 | 764,400 | Intelsat Luxembourg SA, 7.75% Sr. | |||||||
Freeport-McMoRan, Inc.: | Unsec. Nts. , 6/1/21 | 565,000 | 509,559 | |||||||
4.00% Sr. Unsec. Nts. , 11/14/21 | 2,920,000 | 2,945,550 | Level 3 Financing, Inc. , 5.25% Sr. Unsec. | |||||||
4.55% Sr. Unsec. Nts. , 11/14/24 | 530,000 | 520,725 | Nts. , 3/15/26 | 1,175,000 | 1,175,000 | |||||
5.40% Sr. Unsec. Nts. , 11/14/34 | 310,000 | 283,650 | Oi SA, 10.00% Sr. Unsec. Nts. , 7/27/2512 | 2,500,000 | 2,646,250 | |||||
5.45% Sr. Unsec. Nts. , 3/15/43 | 350,000 | 308,003 | Qwest Capital Funding, Inc. , 7.75% Sr. | |||||||
Hudbay Minerals, Inc. , 7.625% Sr. | Unsec. Nts. , 2/15/31 | 260,000 | 235,950 | |||||||
Unsec. Nts. , 1/15/251 | 850,000 | 875,500 | Qwest Corp. , 6.875% Sr. Unsec. Nts. , | |||||||
JSW Steel Ltd. , 4.75% Sr. Unsec. Nts. , | 9/15/33 | 785,000 | 782,818 | |||||||
11/12/194 | 950,000 | 952,223 | Telecom Italia SpA, 5.303% Sr. Unsec. | |||||||
Kinross Gold Corp. , 4.50% Sr. Unsec. | Nts. , 5/30/241 | 435,000 | 438,806 | |||||||
Nts. , 7/15/27 | 450,000 | 428,625 | T-Mobile USA, Inc.: | |||||||
Metinvest BV, 7.75% Sr. Unsec. Nts. , | 4.00% Sr. Unsec. Nts. , 4/15/22 | 780,000 | 790,725 | |||||||
4/23/231 | 465,000 | 456,218 | 5.125% Sr. Unsec. Nts. , 4/15/25 | 345,000 | 354,488 | |||||
Mountain Province Diamonds, Inc. , | 6.00% Sr. Unsec. Nts. , 4/15/24 | 710,000 | 741,950 | |||||||
8.00% Sec. Nts. , 12/15/221 | 200,000 | 200,250 | Windstream Services LLC/Windstream | |||||||
Northwest Acquisitions ULC/Dominion | Finance Corp. , 8.625% Sr. Sec. Nts. , | |||||||||
Finco, Inc. , 7.125% Sec. Nts. , 11/1/221 | 435,000 | 383,888 | 10/31/25 | 537,000 | 512,164 | |||||
Southern Copper Corp. , 7.50% Sr. | Zayo Group LLC/Zayo Capital, Inc.: | |||||||||
Unsec. Nts. , 7/27/35 | 480,000 | 605,856 | 5.75% Sr. Unsec. Nts. , 1/15/271 | 265,000 | 265,080 | |||||
SunCoke Energy Partners LP/SunCoke | 6.00% Sr. Unsec. Nts. , 4/1/23 | 815,000 | 829,263 | |||||||
Energy Partners Finance Corp. , 7.50% Sr. | 19,307,369 | |||||||||
Unsec. Nts. , 6/15/251 | 330,000 | 334,950 | ||||||||
Teck Resources Ltd. , 5.20% Sr. Unsec. | Wireless Telecommunication Services1.2% | |||||||||
Nts. , 3/1/42 | 685,000 | 663,413 | Bharti Airtel Ltd. , 4.375% Sr. Unsec. | |||||||
United States Steel Corp.: | Nts. , 6/10/251 | 525,000 | 517,826 | |||||||
6.25% Sr. Unsec. Nts. , 3/15/26 | 140,000 | 131,438 | C&W Senior Financing DAC, 6.875% Sr. | |||||||
Unsec. Nts. , 9/15/271 | 550,000 | 554,125 | ||||||||
6.875% Sr. Unsec. Nts. , 8/15/25 | 745,000 | 731,963 | Fortress Transportation & Infrastructure | |||||||
Zekelman Industries, Inc. , 9.875% Sr. | Investors LLC, 6.50% Sr. Unsec. Nts. , | |||||||||
Sec. Nts. , 6/15/231 | 275,000 | 293,047 | 10/1/251 | 850,000 | 841,500 | |||||
17,474,636 | Gogo Intermediate Holdings LLC/Gogo | |||||||||
Paper & Forest Products0.1% | Finance Co. , Inc. , 12.50% Sr. Sec. Nts. , | |||||||||
Louisiana-Pacific Corp. , 4.875% Sr. | 7/1/221 | 140,000 | 151,550 | |||||||
Unsec. Nts. , 9/15/24 | 255,000 | 255,000 | GTH Finance BV, 7.25% Sr. Unsec. Nts. , | |||||||
Mercer International, Inc.: | 4/26/231 | 940,000 | 1,004,428 | |||||||
5.50% Sr. Unsec. Nts. , 1/15/26 | 250,000 | 246,250 | Springleaf Finance Corp.: | |||||||
6.50% Sr. Unsec. Nts. , 2/1/24 | 165,000 | 169,538 | 6.125% Sr. Unsec. Nts. , 5/15/22 | 785,000 | 816,400 | |||||
670,788 | 6.875% Sr. Unsec. Nts. , 3/15/25 | 560,000 | 579,600 | |||||||
Telecommunication Services2.5% | 7.125% Sr. Unsec. Nts. , 3/15/26 | 850,000 | 866,996 | |||||||
Diversified Telecommunication Services1.3% | 8.25% Sr. Unsec. Nts. , 12/15/20 | 490,000 | 527,362 | |||||||
Axtel SAB de CV, 6.375% Sr. Unsec. Nts. , | Sprint Capital Corp. , 6.875% Sr. Unsec. | |||||||||
11/14/241 | 965,000 | 968,329 | Nts. , 11/15/28 | 1,192,158 | 1,148,942 | |||||
CenturyLink, Inc.: | Sprint Communications, Inc.: | |||||||||
5.625% Sr. Unsec. Nts. , 4/1/25 | 785,000 | 761,450 | 6.00% Sr. Unsec. Nts. , 11/15/22 | 1,484,000 | 1,499,285 | |||||
18 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA |
Principal Amount | Value | Principal Amount | Value | ||||||||
Wireless Telecommunication Services (Continued) | Multi-Utilities (Continued) | ||||||||||
Sprint Communications, Inc. : (Continued) | NGPL PipeCo LLC: | ||||||||||
7.00% Sr. Unsec. Nts. , 3/1/201 | $ | 850,000 | $ | 874,437 | 4.875% Sr. Unsec. Nts. , 8/15/271 | $ | 395,000 | $ | 400,432 | ||
Sprint Corp.: | 7.768% Sr. Unsec. Nts. , 12/15/371 | 210,000 | 253,050 | ||||||||
7.125% Sr. Unsec. Nts. , 6/15/24 | 2,250,000 | 2,289,375 | Rockpoint Gas Storage Canada Ltd. , | ||||||||
7.625% Sr. Unsec. Nts. , 3/1/26 | 830,000 | 844,525 | 7.00% Sr. Sec. Nts. , 3/31/231 | 365,000 | 363,631 | ||||||
7.875% Sr. Unsec. Nts. , 9/15/23 | 2,075,000 | 2,183,938 | 1,290,063 | ||||||||
Telefonica Europe BV, 5.875% | Total Corporate Bonds and Notes (Cost $620,382,245) | 603,109,747 | |||||||||
[EUSA10+430.1] Jr. Sub. Perpetual | Shares | ||||||||||
Bonds2,4,13 | EUR | 1,410,000 | 1,762,096 | Preferred Stocks—0.8% | |||||||
Trilogy International Partners LLC/Trilogy | |||||||||||
International Finance, Inc. , 8.875% Sr. | American Homes 4 Rent, 6.35% Cum. , Non- | ||||||||||
Sec. Nts. , 5/1/221 | 685,000 | 666,163 | Vtg. | 2,300 | 60,030 | ||||||
Vodafone Group plc, 7.00% | Claire's Holdings LLC, 0.00%, Series A15 | 62 | 9,817 | ||||||||
[USSW5+487.3] Sub. Nts. , 4/4/792,7 | 222,000 | 225,875 | CMS Energy Corp. , 5.875%, Jr. Sub. | 3,596 | 94,314 | ||||||
17,354,423 | Digital Realty Trust, Inc. , 6.625% Cum. , Series | ||||||||||
C, Non-Vtg. | 3,500 | 91,980 | |||||||||
Utilities—0.8% | DTE Energy Co. , 5.375% Jr. Sub. , Non-Vtg. | 18,850 | 473,512 | ||||||||
Electric Utilities—0.1% | eBay, Inc. , 6.00% Cv. | 25,700 | 674,882 | ||||||||
Eskom Holdings SOC Ltd. , 6.75% Sr. | Entergy Louisiana LLC , 5.25%, Sec. | 17,780 | 451,256 | ||||||||
Unsec. Nts. , 8/6/231 | 850,000 | 840,991 | Fifth Third Bancorp, 6.625% Non-Cum. , Non- | ||||||||
Inkia Energy Ltd. , 5.875% Sr. Unsec. | Vtg. [US0003M+371]2 | 19,325 | 520,809 | ||||||||
Nts. , 11/9/271 | 865,000 | 847,708 | GMAC Capital Trust I, 7.20% Jr. Sub. , Non-Vtg. | ||||||||
NextEra Energy Capital Holdings, Inc. , | [US0003M+578.5]2 | 46,000 | 1,197,840 | ||||||||
4.80% [US0003M+240.9] Jr. Sub. Nts. , | Goldman Sachs Group, Inc. (The), 6.30% Non- | ||||||||||
12/1/772 | 665,000 | 596,006 | Cum. , Series N, Non-Vtg. | 26,223 | 683,371 | ||||||
NextEra Energy Operating Partners LP, | Huntington Bancshares, Inc. , 6.25% Non- | ||||||||||
4.50% Sr. Unsec. Nts. , 9/15/271 | 125,000 | 122,344 | Cum. , Non-Vtg. | 17,450 | 455,968 | ||||||
2,407,049 | JPMorgan Chase & Co. , 6% Non-Cum. , Series | ||||||||||
Gas Utilities—0.2% | EE, Non-Vtg.15 | 23,200 | 614,104 | ||||||||
AmeriGas Partners LP/AmeriGas Finance | KeyCorp, 6.125% Non-Cum. , Non-Vtg. | ||||||||||
Corp. , 5.50% Sr. Unsec. Nts. , 5/20/25 | 550,000 | 550,687 | [US0003M+389.2]2 | 47,290 | 1,260,751 | ||||||
Naturgy Finance BV, 4.125% | Morgan Stanley, 5.85% Non-Cum. , Non-Vtg. | ||||||||||
[EUSA8+335.3] Jr. Sub. Perpetual | [US0003M+349.1]2 | 20,350 | 520,349 | ||||||||
Bonds2,4,13 | EUR | 1,410,000 | 1,679,416 | Morgan Stanley, 6.375% Non-Cum. , Non-Vtg. | |||||||
Suburban Propane Partners LP/Suburban | [US0003M+370.8]2 | 20,147 | 537,522 | ||||||||
Energy Finance Corp. , 5.875% Sr. Unsec. | NiSource, Inc. , 6.50%, Non-Vtg. | ||||||||||
Nts. , 3/1/27 | 645,000 | 614,363 | [H15T5Y+363.2]2 | 16,386 | 431,771 | ||||||
Superior Plus LP/Superior General | PNC Financial Services Group, Inc. | ||||||||||
Partner, Inc. , 7.00% Sr. Unsec. Nts. , | (The), 6.125% Non-Cum. , Non-Vtg. | ||||||||||
7/15/261 | 275,000 | 280,844 | [US0003M+406.7]2 | 21,150 | 566,820 | ||||||
3,125,310 | PPL Capital Funding, Inc. , 5.90%, Jr. Sub. | 10,025 | 255,337 | ||||||||
Prudential Financial, Inc. , 5.75% Jr. Sub. | 1,225 | 31,115 | |||||||||
Independent Power and Renewable Electricity Producers—0.4% | Public Storage, 5.20% Cum. , Series X, Non- | ||||||||||
AES Andres BV/Dominican Power | Vtg. | 22,900 | 569,065 | ||||||||
Partners/Empresa Generadora de | Qwest Corp. , 7.00% Sr. Unsec. | 15,297 | 397,722 | ||||||||
Electricidad Itabo SA, 7.95% Sr. Unsec. | Senior Housing Properties Trust, 5.625% Sr. | ||||||||||
Nts. , 5/11/261 | 490,000 | 522,462 | Unsec. | 8,575 | 198,769 | ||||||
AES Corp.: | Senior Housing Properties Trust, 6.25% Sr. | ||||||||||
4.00% Sr. Unsec. Nts. , 3/15/21 | 275,000 | 279,375 | Unsec. , Non-Vtg. | 6,375 | 169,320 | ||||||
6.00% Sr. Unsec. Nts. , 5/15/26 | 380,000 | 404,692 | Synovus Financial Corp. , 6.30% Non-Cum. , | ||||||||
Calpine Corp. : | Series D, Non-Vtg. [US0003M+335.2]2 | 17,691 | 458,551 | ||||||||
5.25% Sr. Sec. Nts. , 6/1/261 | 965,000 | 963,794 | US Bancorp, 6.50% Non-Cum. , Non-Vtg. | ||||||||
5.75% Sr. Unsec. Nts. , 1/15/25 | 720,000 | 718,200 | [US0003M+446.8]2 | 36,325 | 972,784 | ||||||
5.875% Sr. Sec. Nts. , 1/15/241 | 275,000 | 282,562 | Vornado Realty Trust, 5.70%, Cum. | 1,271 | 32,080 | ||||||
Clearway Energy Operating LLC, 5.75% | Wells Fargo & Co. , 6.625% Non-Cum. , Non- | ||||||||||
Sr. Unsec. Nts. , 10/15/251 | 285,000 | 287,138 | Vtg. [US0003M+369]2 | 3,986 | 110,133 | ||||||
Drax Finco plc, 6.625% Sr. Sec. Nts. , | Total Preferred Stocks (Cost $12,036,682) | 11,839,972 | |||||||||
11/1/251 | 275,000 | 279,813 | |||||||||
NRG Energy, Inc.: | |||||||||||
6.625% Sr. Unsec. Nts. , 1/15/27 | 665,000 | 718,200 | Common Stocks—0.2% | ||||||||
7.25% Sr. Unsec. Nts. , 5/15/26 | 520,000 | 574,049 | Advanced Micro Devices, Inc.15 | 7,285 | 185,913 | ||||||
Vistra Operations Co. LLC, 5.50% Sr. | Alcoa Corp.15 | 1,726 | 48,604 | ||||||||
Unsec. Nts. , 9/1/261 | 280,000 | 291,900 | Arco Capital Corp. Ltd.1,11,15,16 | 690,638 | — | ||||||
5,322,185 | Claire's Holdings LLC15 | 235 | 158,625 | ||||||||
Concho Resources, Inc. | 1,803 | 200,061 | |||||||||
Multi-Utilities—0.1% | CVS Health Corp. | 3,962 | 213,671 | ||||||||
Crestwood Midstream Partners LP/ | Freeport-McMoRan, Inc. | 6,771 | 87,278 | ||||||||
Crestwood Midstream Finance Corp. , | Intelsat SA15 | 21,150 | 331,209 | ||||||||
6.25% Sr. Unsec. Nts. , 4/1/23 | 265,000 | 272,950 | International Game Technology plc | 18,841 | 244,745 | ||||||
JSC Astana Finance, GDR1,11,15 | 446,838 | — | |||||||||
19 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA |
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued | ||||||||||
Shares | Value | Principal Amount | Value | |||||||
Common Stocks (Continued) | Structured Securities (Continued) | |||||||||
Micron Technology, Inc.15 | 4,613 $ | 190,655 | Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds: (Continued) | |||||||
Premier Holdings Ltd.11,15 | 18,514 | — | 3.098% Sr. Sec. Nts. , 4/30/251,9 | $ | 969,950 $ | 882,703 | ||||
Quicksilver Resources, Inc.11,15 | 4,151,000 | — | 3.131% Sr. Sec. Nts. , 4/30/251,9 | 867,013 | 789,025 | |||||
Sabine Oil11,15 | 837 | 24,273 | 3.179% Sr. Sec. Nts. , 4/30/251,9 | 1,079,501 | 982,400 | |||||
Targa Resources Corp. | 1,315 | 54,638 | 3.231% Sr. Sec. Nts. , 4/30/251,9 | 1,232,087 | 1,121,260 | |||||
Teck Resources Ltd. , Cl. B | 7,945 | 184,165 | 3.265% Sr. Sec. Nts. , 4/30/251,9 | 984,293 | 895,756 | |||||
Western Digital Corp. | 3,991 | 191,808 | 3.346% Sr. Sec. Nts. , 4/30/251,9 | 925,194 | 841,973 | |||||
XPO Logistics, Inc.15 | 1,681 | 90,337 | Morgan Stanley, Russian Federation | |||||||
Total Common Stocks (Cost $6,724,813) | 2,205,982 | Total Return Linked Bonds, Series 007, | ||||||||
Cl. VR, 2.66%, 8/22/3411 | RUB | 24,807,284 | 76,239 | |||||||
Rights, Warrants and Certificates—0.0% | Units | Total Structured Securities (Cost $7,698,454) | 7,414,220 | |||||||
Affinion Group Wts. , Strike Price $1, Exp. | Short-Term Notes—0.7% | |||||||||
11/10/2211,15 | 8,816 | 14,974 | Arab Republic of Egypt Treasury Bills, | |||||||
Sabine Oil Tranche 1 Wts. , Strike Price $4.49, | 17.657%, 8/6/199 | EGP | 89,700,000 | 4,929,007 | ||||||
Exp. 8/11/2611,15 | 2,612 | 11,101 | Argentine Republic Treasury Bills: | |||||||
Sabine Oil Tranche 2 Wts. , Strike Price $2.72, | 0.00% Unsec. Nts. , 4/30/19-6/28/199 | ARS | 214,200,000 | 5,545,600 | ||||||
Exp. 8/11/2611,15 | 549 | 1,922 | Total Short-Term Notes (Cost $11,354,141) | 10,474,607 | ||||||
Total Rights, Warrants and Certificates (Cost $420,786) | 27,997 | Shares | ||||||||
Principal Amount | Investment Companies—11.4% | |||||||||
Structured Securities—0.5% | OFI Carlyle Private Credit Fund, Cl. I17 | 132,653 | 1,280,127 | |||||||
Deutsche Bank AG, Coriolanus Ltd. Sec. Credit Linked Bonds: | Oppenheimer Limited-Term Bond Fund, Cl. I17 | 1,667,604 | 7,537,568 | |||||||
3.003% Sr. Sec. Nts. , 4/30/251,9 | $ | 881,750 | 802,436 | Oppenheimer Master Event-Linked Bond Fund, | ||||||
3.054% Sr. Sec. Nts. , 4/30/251,9 | 1,123,486 | 1,022,428 | LLC17 | 1,954,233 | 30,389,028 | |||||
Oppenheimer Master Loan Fund, LLC17 | 4,197,582 | 73,203,397 | ||||||||
Oppenheimer Ultra-Short Duration Fund, Cl. | ||||||||||
Y17 | 10,308,002 | 51,540,008 | ||||||||
Total Investment Companies (Cost $174,512,258) | 163,950,128 |
Notional | ||||||||||
Expiration | Amount | |||||||||
Counterparty | Exercise Price | Date | Contracts | (000's) | Value | |||||
Over-the-Counter Options Purchased—1.0% | ||||||||||
AUD Currency Call15 | BOA | USD | 0.717 | 6/3/19 | AUD | 25,500,000 | AUD 200,000 $ | 231,469 | ||
BRL Currency Call15 | JPM | BRL | 3.200 | 4/25/19 | BRL | 48,000,000 | BRL 482,560 | 672 | ||
BRL Currency Call15 | CITNA-B | BRL | 3.200 | 4/25/19 | BRL | 48,000,000 | BRL 512,000 | 672 | ||
BRL Currency Put15 | GSCO-OT | BRL | 3.430 | 3/30/20 | BRL | 1,457,000 | BRL 10,000 | 313,294 | ||
BRL Currency Call15 | JPM | BRL | 3.000 | 5/16/19 | BRL | 550,000 | BRL 5,000 | 261 | ||
BRL Currency Call15 | GSCO-OT | BRL | 3.150 | 5/20/19 | BRL | 424,096 | BRL 5,000 | 318 | ||
BRL Currency Call15 | JPM | BRL | 3.150 | 5/20/19 | BRL | 424,096 | BRL 5,000 | 318 | ||
BRL Currency Put15 | GSCO-OT | BRL | 3.430 | 3/30/20 | BRL | 1,457,000 | BRL 10,000 | 313,294 | ||
BRL Currency Put15 | GSCO-OT | BRL | 3.432 | 3/27/20 | BRL | 1,460,000 | BRL 10,500 | 314,146 | ||
BRL Currency Call15 | JPM | BRL | 3.354 | 9/25/19 | BRL | 600,000 | BRL 5,150 | 26,957 | ||
BRL Currency Call15,18 | JPM | BRL | 3.200 | 10/17/19 | BRL | 1,414,000 | BRL 32,000 | 33,904 | ||
BRL Currency Call15 | GSCO-OT | BRL | 3.629 | 5/2/19 | BRL | 52,976,100 | BRL 362,850 | 9,471 | ||
BRL Currency Put15 | GSCO-OT | BRL | 3.350 | 12/6/19 | BRL | 586,000 | BRL 5,000 | 49,885 | ||
BRL Currency Call15 | GSCO-OT | BRL | 3.400 | 12/10/19 | BRL | 586,000 | BRL 5,300 | 73,759 | ||
CAD Currency Call15 | RBC | CAD | 1.310 | 5/21/19 | CAD | 36,500,000 | CAD 250,000 | 70,268 | ||
CLP Currency Call15 | CITNA-B | CLP | 642.000 | 5/2/19 | CLP | 11,267,100,000 | CLP 96,300,000 | 7,887 | ||
CLP Currency Call15 | GSCO-OT | CLP | 641.000 | 8/5/19 | CLP | 10,256,000,000 CLP 128,200,000 | 62,254 | |||
CLP Currency Call15 | CITNA-B | CLP | 643.700 | 11/4/19 | CLP | 18,914,000,000 | CLP 64,370,000 | 264,796 | ||
EUR Currency Put15 | GSCO-OT | NOK | 8.360 | 1/6/21 | EUR | 3,650,000 | EUR 12,500 | 274,965 | ||
EUR Currency Put15 | GSCO-OT | NOK | 8.648 | 1/6/21 | EUR | 3,650,000 | EUR 12,500 | 541,723 | ||
EUR Currency Put15 | CITNA-B | ZAR | 16.450 | 6/27/19 | EUR | 29,100,000 | EUR 200,000 | 977,843 | ||
EUR Currency Call15 | SCB | USD | 1.180 | 4/4/19 | EUR | 90,000,000 | EUR 300,000 | 1,165 | ||
EUR Currency Put15 | JPM | ZAR | 16.378 | 1/6/20 | EUR | 7,300,000 | EUR 75,000 | 259,879 | ||
EUR Currency Call15 | CITNA-B | USD | 1.168 | 5/9/19 | EUR | 87,600,000 | EUR 600,000 | 20,498 | ||
EUR Currency Put15 | JPM | RUB | 73.550 | 6/27/19 | EUR | 26,317,000 | EUR 200,000 | 386,819 | ||
EUR Currency Put15 | BOA | SEK | 9.250 | 4/29/20 | EUR | 2,800,000 | EUR 10,000 | 205,534 | ||
Federal Republic of | ||||||||||
Germany Government | ||||||||||
Bonds Put15 | MSCO | EUR | 100.468 | 3/30/20 | EUR | 24,285,000 | EUR 62,264,174 | 9,732 | ||
Federal Republic of | ||||||||||
Germany Government | ||||||||||
Bonds Put15 | MSCO | EUR | 100.468 | 3/19/20 | EUR | 24,285,000 | EUR 62,264,174 | 9,074 | ||
Federal Republic of | ||||||||||
Germany Government | ||||||||||
Bonds Put15 | MSCO | EUR | 100.468 | 4/2/20 | EUR | 24,300,000 | EUR 62,274,721 | 9,956 | ||
20 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA |
Notional | |||||||||||||||
Expiration | Amount | ||||||||||||||
Counterparty | Exercise Price | Date | Contracts | (000’s) | Value | ||||||||||
Over-the-Counter Options Purchased (Continued) | |||||||||||||||
French Republic | |||||||||||||||
Government Bonds Call15 | MSCO | EUR | 116.740 | 6/25/19 | EUR | 10,000,000 | EUR 28,117,920 $ | 202,468 | |||||||
INR Currency Call15 | GSCO-OT | INR | 68.950 | 6/21/19 | INR | 504,050,000 | INR 6,895,000 | 54,679 | |||||||
JPY Currency Call15 | BOA | JPY | 109.000 | 8/22/19 | JPY | 3,187,300,000 | JPY 10,900,000 | 423,337 | |||||||
JPY Currency Call15 | BOA | JPY | 107.850 | 4/24/19 | JPY | 6,312,732,000 | JPY 21,570,000 | 57,635 | |||||||
JPY Currency Call15 | SCB | JPY | 109.000 | 8/22/19 | JPY | 3,187,000,000 | JPY 10,900,000 | 423,297 | |||||||
KRW Currency Call15 | GSCO-OT | KRW | 1125.000 | 7/18/19 | KRW | 16,425,000,000 | KRW112,500,000 | 143,390 | |||||||
MXN Currency Call15 | BOA | MXN | 18.553 | 1/14/20 | MXN | 542,710,000 | MXN 1,855,250 | 225,046 | |||||||
MXN Currency Call15 | CITNA-B | MXN | 18.578 | 8/15/19 | MXN | 139,332,500 | MXN 1,393,328 | 38,456 | |||||||
MXN Currency Call15 | GSCO-OT | MXN | 19.733 | 3/4/20 | MXN | 384,700,000 | MXN 3,946,500 | 484,033 | |||||||
MXN Currency Call15 | SCB | MXN | 19.050 | 6/18/19 | MXN | 554,355,000 | MXN 2,857,500 | 221,143 | |||||||
MXN Currency Call15,19 | CITNA-B | MXN | 18.000 | 10/23/19 | MXN | 750,000 | MXN 5,500 | 63,555 | |||||||
RUB Currency Call15 | JPM | RUB | 59.500 | 6/7/19 | RUB | 1,682,200,000 | RUB 14,875,000 | 20,186 | |||||||
RUB Currency Call15 | GSCO-OT | RUB | 57.300 | 3/30/20 | RUB | 2,914,000 | RUB 20,500 | 341,916 | |||||||
RUB Currency Call15 | JPM | RUB | 70.000 | 2/25/21 | RUB | 1,535,200,000 | RUB 5,250,000 | 1,231,537 | |||||||
RUB Currency Call15 | GSCO-OT | RUB | 70.000 | 2/5/21 | RUB | 511,000,000 | RUB 7,350,000 | 411,631 | |||||||
S&P 500 Index Put15 | BOA | USD | 2632.590 | 2/21/20 | USD | 21,973 | USD 62,281 | 2,024,725 | |||||||
S&P 500 Index Put15 | GSCOI | USD | 2679.690 | 3/13/20 | USD | 20,733 | USD 58,766 | 2,249,716 | |||||||
S&P 500 Index Put15 | JPM | USD | 2658.670 | 2/26/20 | USD | 15,621 | USD 44,276 | 1,551,090 | |||||||
SGD Currency Put15 | GSCO-OT | CNY | 4.948 | 5/17/19 | SGD | 21,900,000 | SGD 150,000 | 43,477 | |||||||
TRY Currency Put15 | JPM | TRY | 4.000 | 5/23/19 | TRY | 710,000 | TRY 10,000 | 6,757 | |||||||
ZAR Currency Call15 | GSCO-OT | ZAR | 13.613 | 1/27/20 | ZAR | 99,512,000 | ZAR 1,020,938 | 144,768 | |||||||
Total Over-the-Counter Options Purchased (Cost $21,395,127) | 14,833,655 | ||||||||||||||
Buy /Sell | Expiration | ||||||||||||||
Counterparty | Protection Reference Asset | Fixed Rate | Date | Notional Amount (000's) | |||||||||||
Over-the-Counter Credit Default Swaptions Purchased—0.0% | |||||||||||||||
Credit Default Swap | |||||||||||||||
maturing 12/20/23 Put15 | JPM | Buy | CDX. NA. HY. 31 | 5.000% | 4/17/19 | USD | 36,500 | 31,171 | |||||||
ITraxx Europe | |||||||||||||||
Credit Default Swap | Crossover Series 30 | ||||||||||||||
maturing 12/20/23 Put15 | JPM | Buy | Version 2 | 3.000 | 4/17/19 | EUR | 25,620 | 63,341 | |||||||
Credit Default Swap | |||||||||||||||
maturing 12/20/23 Put15 | JPM | Buy | CDX. NA. HY. 31 | 3.000 | 5/15/19 | EUR | 36,600 | 209,304 | |||||||
Credit Default Swap | |||||||||||||||
maturing 12/20/23 Put15 | JPM | Buy | CDX. NA. HY. 31 | 5.000 | 5/15/19 | USD | 29,100 | 62,099 | |||||||
Total Over-the-Counter Credit Default Swaptions Purchased (Cost $795,789) | 365,915 | ||||||||||||||
Pay / Receive | Expiration | ||||||||||||||
Counterparty | Floating Rate | Floating Rate | Fixed Rate | Date | Notional Amount (000's) | ||||||||||
Over-the-Counter Interest Rate Swaptions Purchased—0.2% | |||||||||||||||
MAX [((CMS10 minus | |||||||||||||||
Interest Rate Cap maturing | CMS2) minus 0.32%), | ||||||||||||||
2/22/21 Put15 | MSCO | Receive | 0.00 | %] * 10 | 32.000% | 2/25/21 | USD | 35,000 | 630,000 | ||||||
Interest Rate Swap maturing | Three-Month | ||||||||||||||
2/2/21 Put15 | MSCO | Receive | USD-LIBOR-BBA | 2.860 | 2/21/20 | USD | 45,800 | 471,740 | |||||||
Interest Rate Swap maturing | Six-Month EUR | ||||||||||||||
3/31/26 Put15 | JPM | Receive | EURIBOR | 1.122 | 3/29/21 | EUR | 146,200 | 275,920 | |||||||
Interest Rate Swap maturing | Three-Month | ||||||||||||||
5/30/25 Put15 | BOA | Receive | CAD-BA-CDOR | 2.588 | 3/30/20 | CAD | 195,000 | 678,399 | |||||||
Interest Rate Swap maturing | Six-Month EUR | ||||||||||||||
8/12/29 Put15 | JPM | Receive | EURIBOR | 0.718 | 8/8/19 | EUR | 54,800 | 188,245 | |||||||
Interest Rate Swap maturing | Three-Month | ||||||||||||||
8/19/20 Put15 | GSCOI | Receive | USD-LIBOR-BBA | 3.350 | 5/14/19 | USD | 146,500 | — | |||||||
Total Over-the-Counter Interest Rate Swaptions Purchased (Cost $2,531,943) | 2,244,304 | ||||||||||||||
Total Investments, at Value (Cost $1,634,048,057) | 110.0 | % | 1,583,894,838 | ||||||||||||
Net Other Assets (Liabilities) | (10.0 | ) | (144,492,951) | ||||||||||||
Net Assets | 100.0% | $ | 1,439,401,887 |
Footnotes to Consolidated Statement of Investments
1. Represents securities sold under Rule 144A, which are exempt from registration under the Securities Act of 1933, as amended. These securities have been determined to be liquid under
guidelines established by the Board of Trustees. These securities amount to $385,027,371 or 26.75% of the Fund's net assets at period end.
2. 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].
21 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
3. Restricted security. The aggregate value of restricted securities at period end was $7,685,148, which represents 0.53% of the Fund's net assets. See Note 4 of the accompanying
Consolidated Notes. Information concerning restricted securities is as follows:
Unrealized | |||||||||
Acquisition | Appreciation/ | ||||||||
Security | Dates | Cost | Value | (Depreciation) | |||||
Affinion Group, Inc. , 12.50% Sr. Unsec. Nts. , 11/10/22 | 1/15/13-11/10/18 $ | 905,067 | $ | 673,236 | $ | (231,831) | |||
Clear Channel International BV, 8.75% Sr. Unsec. Nts. , | |||||||||
12/15/20 | 8/9/17 | 268,370 | 273,281 | 4,911 | |||||
Eagle Intermediate Global Holding BV/Ruyi US Finance | |||||||||
LLC, 7.50% Sr. Sec. Nts. , 5/1/25 | 9/27/18 | 280,311 | 282,150 | 1,839 | |||||
EP Energy LLC/Everest Acquisition Finance, Inc. , | |||||||||
9.375% Sec. Nts. , 5/1/24 | 1/29/13-10/23/18 | 2,460,829 | 1,040,980 | (1,419,849) | |||||
GLS Auto Receivables Trust, Series 2018-1A, Cl. A, | |||||||||
2.82%, 7/15/22 | 1/30/18 | 545,136 | 544,386 | (750) | |||||
Golden Nugget, Inc. , 6.75% Sr. Unsec. Nts. , 10/15/24 | 9/20/16-9/12/17 | 1,366,434 | 1,380,275 | 13,841 | |||||
Hartford Financial Services Group, Inc. (The), 4.809% | |||||||||
[US0003M+212.5] Jr. Sub. Nts. , 2/12/47 | 1/18/18-1/22/18 | 670,914 | 595,279 | (75,635) | |||||
HTA Group Ltd. , 9.125% Sr. Unsec. Nts. , 3/8/22 | 3/1/17-3/7/18 | 458,312 | 476,116 | 17,804 | |||||
Minejesa Capital BV, 4.625% Sr. Sec. Nts. , 8/10/30 | 11/9/17-5/11/18 | 1,102,082 | 1,138,238 | 36,156 | |||||
Titan International, Inc. , 6.50% Sr. Sec. Nts. , 11/30/23 | 11/9/17 | 815,000 | 754,894 | (60,106) | |||||
Williams Scotsman International, Inc. , 6.875% Sr. Sec. | |||||||||
Nts. , 8/15/23 | 7/31/2018 | 525,000 | 526,313 | 1,313 | |||||
$ | 9,397,455 | $ | 7,685,148 | $ | (1,712,307) |
4. 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 $193,103,455 or 13.42% of the
Fund's net assets at period end.
5. Interest-Only Strips represent the right to receive the monthly interest payments on an underlying pool of mortgage loans. These securities typically decline in price as interest rates decline.
Most other fixed income securities increase in price when interest rates decline. The principal amount of the underlying pool represents the notional amount on which current interest is
calculated. The price of these securities is typically more sensitive to changes in prepayment rates than traditional mortgage-backed securities (for example, GNMA pass-throughs). Interest
rates disclosed represent current yields based upon the current cost basis and estimated timing and amount of future cash flows. These securities amount to $3,029,121 or 0.21% of the
Fund’s net assets at period end.
6. Interest rate is less than 0.0005%.
7. All or a portion of the security position is when-issued or delayed delivery to be delivered and settled after period end. See Note 4 of the accompanying Consolidated Notes.
8. 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.
9. Zero coupon bond reflects effective yield on the original acquisition date.
10. This security is not accruing income because the issuer has missed an interest payment on it and/or is not anticipated to make future interest and or principal payments. The rate shown is
the contractual interest rate. See Note 4 of the accompanying Consolidated Notes.
11. The value of this security was determined using significant unobservable inputs. See Note 3 of the accompanying Consolidated Notes.
12. Interest or dividend is paid-in-kind, when applicable.
13. This bond has no contractual maturity date, is not redeemable and contractually pays an indefinite stream of interest.
14. Denotes an inflation-indexed security: coupon or principal are indexed to a consumer price index.
15. Non-income producing security.
16. Security received as the result of issuer reorganization.
17. 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 | |||||||||||
OFI Carlyle Private Credit Fund, Cl. I | — | 132,653 | — | 132,653 | |||||||
Oppenheimer Institutional Government Money Market Fund, Cl. E | 70,746,424 | 169,146,233 | 239,892,657 | — | |||||||
Oppenheimer Limited-Term Bond Fund, Cl. I | 1,654,825 | 12,779 | — | 1,667,604 | |||||||
Oppenheimer Master Event-Linked Bond Fund, LLC | 1,954,233 | — | — | 1,954,233 | |||||||
Oppenheimer Master Loan Fund, LLC | 8,607,367 | — | 4,409,785 | 4,197,582 | |||||||
Oppenheimer Ultra-Short Duration Fund, Cl. Y | 10,238,165 | 69,837 | — | 10,308,002 | |||||||
Realized | Change in Unrealized | ||||||||||
Value | Income | Gain (Loss) | Gain (Loss) | ||||||||
Investment Company | |||||||||||
OFI Carlyle Private Credit Fund, Cl. I | $ | 1,280,127 | $ | 23,853 | $ | — | $ | (19,873) | |||
Oppenheimer Institutional Government Money Market Fund, Cl. E | — | 331,882 | — | — | |||||||
Oppenheimer Limited-Term Bond Fund, Cl. I | 7,537,568 | 57,460 | — | 116,136 | |||||||
Oppenheimer Master Event-Linked Bond Fund, LLC | 30,389,028 | 610,542a | (13,208)a | 26,665a | |||||||
Oppenheimer Master Loan Fund, LLC | 73,203,397 | 1,607,756b | (1,019,433)b | 3,780,276b | |||||||
Oppenheimer Ultra-Short Duration Fund, Cl. Y | 51,540,008 | 347,972 | — | 102,382 | |||||||
Total | $ | 163,950,128 | $ | 2,979,465 | $ | (1,032,641) | $ | 4,005,586 |
a. Represents the amount allocated to the Fund from Oppenheimer Master Event-Linked Bond Fund, LLC.
b. Represents the amount allocated to the Fund from Oppenheimer Master Loan Fund, LLC.
18. One-Touch Binary option becomes eligible for exercise if at any time spot rates are less than or equal to 3.2 BRL per 1USD
19. One-Touch Binary option becomes eligible for exercise if at any time spot rates are less than or equal to18 MXN per 1USD
22 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
Distribution of investments representing geographic holdings, as a percentage of total investments at value, is as follows: | ||||||||
Geographic Holdings | Value | Percent | ||||||
United States | $ | 952,210,759 | 60.1% | |||||
Mexico | 53,100,798 | 3.3 | ||||||
Greece | 52,775,930 | 3.3 | ||||||
India | 44,450,829 | 2.8 | ||||||
Brazil | 42,311,135 | 2.7 | ||||||
France | 38,943,216 | 2.5 | ||||||
Argentina | 37,453,658 | 2.4 | ||||||
Indonesia | 37,451,210 | 2.4 | ||||||
United Kingdom | 34,838,792 | 2.2 | ||||||
South Africa | 33,463,560 | 2.1 | ||||||
Spain | 28,295,260 | 1.8 | ||||||
Canada | 20,176,114 | 1.3 | ||||||
China | 19,135,096 | 1.2 | ||||||
Switzerland | 15,687,034 | 1.0 | ||||||
Egypt | 15,481,865 | 1.0 | ||||||
Netherlands | 13,901,657 | 0.9 | ||||||
Colombia | 12,865,435 | 0.8 | ||||||
Turkey | 12,758,332 | 0.8 | ||||||
Italy | 8,850,009 | 0.6 | ||||||
Thailand | 8,587,117 | 0.5 | ||||||
Ukraine | 7,891,815 | 0.5 | ||||||
Luxembourg | 7,378,089 | 0.5 | ||||||
Peru | 7,101,864 | 0.4 | ||||||
Russia | 4,678,288 | 0.3 | ||||||
Dominican Republic | 4,436,475 | 0.3 | ||||||
Ghana | 4,301,521 | 0.3 | ||||||
Ecuador | 4,297,669 | 0.3 | ||||||
Kazakhstan | 4,013,061 | 0.2 | ||||||
Ivory Coast | 3,968,737 | 0.2 | ||||||
Ireland | 3,586,435 | 0.2 | ||||||
Sri Lanka | 3,262,159 | 0.2 | ||||||
Eurozone | 3,129,316 | 0.2 | ||||||
Oman | 2,837,596 | 0.2 | ||||||
Saudi Arabia | 2,573,154 | 0.2 | ||||||
Israel | 2,496,724 | 0.2 | ||||||
Portugal | 2,480,566 | 0.1 | ||||||
United Arab Emirates | 2,404,827 | 0.1 | ||||||
Angola | 1,896,825 | 0.1 | ||||||
Cayman Islands | 1,876,848 | 0.1 | ||||||
Supranational | 1,785,103 | 0.1 | ||||||
New Zealand | 1,784,878 | 0.1 | ||||||
Azerbaijan | 1,730,573 | 0.1 | ||||||
Gabon | 1,599,679 | 0.1 | ||||||
Fiji | 1,538,543 | 0.1 | ||||||
Australia | 1,514,667 | 0.1 | ||||||
Bermuda | 1,472,659 | 0.1 | ||||||
Iraq | 1,404,810 | 0.1 | ||||||
Hong Kong | 1,221,336 | 0.1 | ||||||
Senegal | 1,215,660 | 0.1 | ||||||
Nigeria | 1,173,618 | 0.1 | ||||||
Germany | 1,137,084 | 0.1 | ||||||
Serbia | 1,062,672 | 0.1 | ||||||
Belgium | 1,017,167 | 0.1 | ||||||
Singapore | 953,159 | 0.1 | ||||||
Morocco | 952,741 | 0.1 | ||||||
Japan | 904,270 | 0.1 | ||||||
Finland | 873,060 | 0.0 | ||||||
Paraguay | 556,831 | 0.0 | ||||||
Mauritius | 476,116 | 0.0 | ||||||
Zambia | 470,281 | 0.0 | ||||||
Uruguay | 403,037 | 0.0 | ||||||
Chile | 334,937 | 0.0 | ||||||
St. Lucia | 282,150 | 0.0 | ||||||
Trinidad and Tobago | 275,000 | 0.0 | ||||||
Macau | 261,642 | 0.0 | ||||||
South Korea | 143,390 | 0.0 | ||||||
Total | $ | 1,583,894,838 | 100.0% | |||||
23 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA |
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued | |||||||||||
Forward Currency Exchange Contracts as of March 31, 2019 | |||||||||||
Unrealized | Unrealized | ||||||||||
Counterparty | Settlement Month(s) | Currency Purchased (000's) | Currency Sold (000's) | Appreciation | Depreciation | ||||||
BAC | 04/2019 | BRL | 4,570 | USD | 1,173 $ | | $ | 5,586 | |||
BAC | 05/2019 | EUR | 175 | USD | 199 | | 2,463 | ||||
BAC | 06/2019 | KRW | 2,937,600 | USD | 2,604 | | 16,611 | ||||
BAC | 06/2019 | MYR | 760 | USD | 186 | 410 | | ||||
BAC | 04/2019 | USD | 1,220 | BRL | 4,570 | 53,093 | | ||||
BAC | 06/2019 | USD | 16,437 | MXN | 320,720 | 121,993 | | ||||
BAC | 05/2019 | USD | 11,527 | NOK | 98,905 | 42,158 | | ||||
BOA | 05/2019 | AUD | 19,000 | USD | 13,486 | 21,913 | 6,721 | ||||
BOA | 05/2019 - 06/2019 | EUR | 28,685 | USD | 32,800 | | 453,354 | ||||
BOA | 06/2019 | INR | 276,100 | USD | 3,915 | 21,096 | | ||||
BOA | 05/2019 | USD | 52,823 | EUR | 46,390 | 609,693 | | ||||
BOA | 06/2019 | USD | 25,616 | IDR | 369,851,000 | | 28,597 | ||||
BOA | 06/2019 | USD | 46,505 | INR | 3,276,200 | 27,570 | 223,892 | ||||
BOA | 08/2019 | USD | 6,414 | PLN | 24,400 | 31,017 | | ||||
BOA | 06/2019 | USD | 2,203 | ZAR | 32,460 | | 25,337 | ||||
CITNA-B | 04/2019 - 06/2019 | BRL | 318,459 | USD | 81,774 | 834,556 | 1,375,024 | ||||
CITNA-B | 06/2019 | COP | 23,809,000 | USD | 7,539 | | 102,091 | ||||
CITNA-B | 05/2019 | EUR | 3,790 | USD | 4,299 | | 33,398 | ||||
CITNA-B | 05/2019 | NOK | 112,820 | USD | 13,314 | | 213,869 | ||||
CITNA-B | 06/2019 | RUB | 749,300 | USD | 11,304 | | 9,541 | ||||
CITNA-B | 05/2019 | SEK | 160,600 | USD | 17,759 | | 435,621 | ||||
CITNA-B | 04/2019 - 05/2019 | USD | 79,150 | BRL | 305,610 | 1,256,551 | 99,962 | ||||
CITNA-B | 06/2019 | USD | 9,478 | COP | 29,934,000 | 128,354 | | ||||
CITNA-B | 05/2019 | USD | 708 | GBP | 545 | | 2,966 | ||||
CITNA-B | 06/2019 | USD | 34,348 | MXN | 674,700 | 25,842 | | ||||
CITNA-B | 06/2019 | USD | 1,267 | RUB | 84,000 | 1,070 | | ||||
CITNA-B | 06/2019 | USD | 8,638 | THB | 272,800 | 24,549 | | ||||
CITNA-B | 10/2019 | USD | 3,466 | TRY | 22,230 | 26,525 | | ||||
CITNA-B | 06/2019 | USD | 32,657 | ZAR | 474,980 | 49,489 | | ||||
CITNA-B | 06/2019 | ZAR | 32,460 | USD | 2,232 | | 3,382 | ||||
DEU | 05/2019 | EUR | 14,605 | USD | 16,669 | | 232,673 | ||||
DEU | 05/2019 | USD | 79,075 | EUR | 69,180 | 1,220,567 | | ||||
GSCO-OT | 04/2019 - 03/2021 | BRL | 88,215 | USD | 22,400 | 3,751 | 636,309 | ||||
GSCO-OT | 08/2019 | CLP | 4,545,900 | USD | 6,960 | | 281,084 | ||||
GSCO-OT | 01/2021 | EUR | 23,500 | USD | 28,433 | | 707,668 | ||||
GSCO-OT | 08/2019 | PLN | 24,400 | USD | 6,557 | | 174,592 | ||||
GSCO-OT | 10/2019 | TRY | 65,350 | USD | 10,836 | | 725,089 | ||||
GSCO-OT | 05/2019 - 03/2021 | USD | 43,591 | BRL | 178,310 | 198,169 | 676,861 | ||||
GSCO-OT | 01/2021 | USD | 28,912 | NOK | 243,000 | 295,297 | | ||||
GSCO-OT | 10/2019 | USD | 5,475 | TRY | 39,450 | | 628,506 | ||||
GSCO-OT | 08/2019 | USD | 9,624 | ZAR | 137,824 | 253,917 | 16,822 | ||||
GSCO-OT | 05/2019 | ZAR | 10,470 | USD | 730 | | 9,793 | ||||
HSBC | 04/2019 | ARS | 61,700 | USD | 1,453 | | 32,521 | ||||
HSBC | 05/2019 | EUR | 2,055 | USD | 2,344 | | 31,153 | ||||
HSBC | 04/2019 | INR | 437,000 | USD | 6,358 | | 80,242 | ||||
HSBC | 04/2019 | USD | 1,424 | ARS | 61,700 | 2,989 | | ||||
HSBC | 05/2019 | USD | 1,511 | EUR | 1,340 | 3,264 | | ||||
HSBC | 06/2019 | USD | 366 | TRY | 2,110 | 13,593 | | ||||
JPM | 04/2019 | ARS | 60,000 | USD | 1,435 | | 62,824 | ||||
JPM | 04/2019 | BRL | 25,980 | USD | 6,667 | | 31,758 | ||||
JPM | 05/2019 | EUR | 7,220 | USD | 8,194 | | 69,113 | ||||
JPM | 04/2019 | GBP | 7,320 | USD | 9,721 | | 180,167 | ||||
JPM | 06/2019 | HUF | 23,000 | USD | 83 | | 2,394 | ||||
JPM | 09/2019 | IDR | 188,087,000 | USD | 11,898 | 994,954 | | ||||
JPM | 05/2019 | JPY | 143,000 | USD | 1,313 | | 17,728 | ||||
JPM | 05/2019 | NOK | 50,000 | USD | 5,815 | | 8,976 | ||||
JPM | 06/2019 | PLN | 370 | USD | 98 | | 892 | ||||
JPM | 04/2019 | USD | 1,476 | ARS | 60,000 | 103,432 | | ||||
JPM | 05/2019 | USD | 13,436 | AUD | 19,000 | 25,200 | 90,350 | ||||
JPM | 04/2019 | USD | 10,067 | BRL | 37,373 | 526,319 | | ||||
JPM | 08/2019 | USD | 6,993 | CLP | 4,545,900 | 313,737 | | ||||
JPM | 05/2019 | USD | 75,616 | EUR | 66,135 | 1,169,857 | | ||||
JPM | 05/2019 | USD | 12,486 | GBP | 9,390 | 232,078 | | ||||
JPM | 05/2019 | USD | 1,803 | NOK | 15,500 | 2,783 | | ||||
JPM | 06/2019 | USD | 9,527 | TRY | 54,920 | 354,767 | | ||||
JPM | 08/2019 | ZAR | 44,824 | USD | 3,039 | 16,822 | | ||||
RBC | 05/2019 | EUR | 13,390 | USD | 15,237 | | 167,260 | ||||
24 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA |
Forward Currency Exchange Contracts (Continued) | ||||||||||||
Unrealized | Unrealized | |||||||||||
Counterparty | Settlement Month(s) | Currency Purchased (000’s) | Currency Sold (000’s) | Appreciation | Depreciation | |||||||
RBC | 05/2019 | JPY | 142,000 | USD | 1,304 $ | — | $ | 18,162 | ||||
RBC | 05/2019 | NOK | 48,905 | USD | 5,652 | 26,700 | — | |||||
RBC | 05/2019 | USD | 18,534 | EUR | 16,260 | 232,874 | — | |||||
RBC | 05/2019 | USD | 1,854 | NOK | 16,040 | — | 8,757 | |||||
SCB | 09/2019 | IDR | 305,067,000 | USD | 21,200 | — | 287,902 | |||||
SCB | 05/2019 | USD | 25,403 | EUR | 22,000 | 598,401 | — | |||||
SCB | 09/2019 | USD | 11,553 | IDR | 188,087,000 | — | 1,339,915 | |||||
SCB | 05/2019 | USD | 747 | ZAR | 10,470 | 26,228 | — | |||||
SCB | 08/2019 | ZAR | 93,000 | USD | 6,560 | — | 229,213 | |||||
Total Unrealized Appreciation and Depreciation | $ | 9,891,578 $ | 9,787,139 | |||||||||
1 |
Futures Contracts as of March 31, 2019 | ||||||||||
Notional | Unrealized | |||||||||
Number of | Amount | Appreciation/ | ||||||||
Description | Buy/Sell | Expiration Date | Contracts | (000's) | Value | (Depreciation) | ||||
Euro-BUND | Sell | 6/06/19 | 179 | EUR | 33,285 $ | 33,399,949 | $ | (114,751) | ||
United States Treasury Long Bonds | Buy | 6/19/19 | 23 | USD | 3,387 | 3,442,094 | 54,832 | |||
United States Treasury Long Bonds | Sell | 6/19/19 | 173 | USD | 25,089 | 25,890,531 | (802,007) | |||
United States Treasury Nts. , 10 yr. | Buy | 6/19/19 | 151 | USD | 18,488 | 18,757,031 | 269,264 | |||
United States Treasury Nts. , 10 yr. | Sell | 6/19/19 | 173 | USD | 21,165 | 21,489,844 | (324,596) | |||
United States Treasury Nts. , 2 yr. | Buy | 6/28/19 | 86 | USD | 18,252 | 18,326,063 | 74,408 | |||
United States Treasury Nts. , 2 yr. | Sell | 6/28/19 | 506 | USD | 107,425 | 107,825,438 | (400,527) | |||
United States Treasury Nts. , 5 yr. | Buy | 6/28/19 | 133 | USD | 15,281 | 15,405,141 | 124,511 | |||
United States Ultra Bonds | Buy | 6/19/19 | 68 | USD | 11,009 | 11,424,000 | 415,040 | |||
$ | (703,826) | |||||||||
1 |
Over-the-Counter Options Written at March 31, 2019 | ||||||||||||
Notional | ||||||||||||
Number of | Amount | |||||||||||
Description | Counterparty | Exercise Price | Expiration Date | Contracts | (000's) Premiums Received | Value | ||||||
AUD Currency Call | BOA | USD | 0.749 | 6/3/19 | AUD | (25,500,000) | AUD 200,000 $ | 35,506 $ | (19,413) | |||
AUD Currency Put | BOA | USD | 0.689 | 6/3/19 | AUD | (25,500,000) | AUD 200,000 | 128,867 | (94,532) | |||
BRL Currency Put1 | GSCO-OT | BRL | 4.500 | 3/30/20 | BRL | (1,457,000) | BRL 10,000 | 254,684 | (332,045) | |||
BRL Currency Put1 | GSCO-OT | BRL | 4.500 | 3/30/20 | BRL | (1,457,000) | BRL 10,000 | 254,684 | (332,045) | |||
BRL Currency Put1 | GSCO-OT | BRL | 4.500 | 3/27/20 | BRL | (1,460,000) | BRL 10,500 | 254,624 | (334,717) | |||
BRL Currency Put | GSCO-OT | BRL | 3.880 | 5/2/19 | BRL | (56,640,700) | BRL 387,950 | 163,359 | (343,762) | |||
BRL Currency Put2 | GSCO-OT | BRL | 4.500 | 12/6/19 | BRL | (586,000) | BRL 5,000 | 103,839 | (86,098) | |||
BRL Currency Put3 | GSCO-OT | BRL | 4.500 | 12/10/19 | BRL | (586,000) | BRL 5,300 | 121,888 | (86,377) | |||
BRL Currency Put1 | GSCO-OT | BRL | 4.230 | 3/4/21 | BRL | (61,600,000) | BRL 423,000 | 689,978 | (833,595) | |||
BRL Currency Call | GSCO-OT | BRL | 3.463 | 5/2/19 | BRL | (50,559,800) | BRL 346,300 | 69,540 | (4,202) | |||
BRL Currency Put | JPM | BRL | 3.850 | 4/4/19 | BRL | (56,200,000) | BRL 385,000 | 120,613 | (287,012) | |||
BRL Currency Call | JPM | BRL | 3.700 | 4/4/19 | BRL | (54,000,000) | BRL 370,000 | 84,831 | (7,172) | |||
BRL Currency Put2 | JPM | BRL | 4.250 | 3/4/21 | BRL | (61,900,000) | BRL 425,000 | 653,227 | (816,096) | |||
CAD Currency Put | RBC | CAD | 1.345 | 5/21/19 | CAD | (36,500,000) | CAD 250,000 | 145,270 | (158,330) | |||
CAD Currency Call | RBC | CAD | 1.280 | 5/21/19 | CAD | (36,500,000) | CAD 250,000 | 81,030 | (9,815) | |||
CLP Currency Put | CITNA-B | CLP | 678.000 | 5/2/19 | CLP | (11,898,900,000) | CLP 101,700,000 | 130,744 | (224,294) | |||
CLP Currency Put | CITNA-B | CLP | 785.750 | 11/4/19 | CLP | (23,088,000,000) | CLP 78,575,000 | 504,513 | (115,440) | |||
CLP Currency Call | CITNA-B | CLP | 621.000 | 5/2/19 | CLP | (10,898,550,000) | CLP 93,150,000 | 77,448 | (4,251) | |||
CLP Currency Put | GSCO-OT | CLP | 691.000 | 8/5/19 | CLP | (11,056,000,000) | CLP 138,200,000 | 193,872 | (267,998) | |||
CLP Currency Call | GSCO-OT | CLP | 607.000 | 8/5/19 | CLP | (9,712,000,000) | CLP 121,400,000 | 88,928 | (15,636) | |||
COP Currency Put | BOA | COP | 3268.000 | 5/23/19 | COP | (23,850,000,000) | COP 163,400,000 | 60,063 | (57,240) | |||
COP Currency Call | BOA | CLP | 3008.000 | 5/23/19 | CLP | (21,950,000,000) | CLP 150,400,000 | 57,940 | (11,195) | |||
COP Currency Call | CITNA-B | COP | 2981.000 | 5/2/19 | COP | (43,523,000,000) | COP 298,100,000 | 105,902 | (9,575) | |||
COP Currency Put | CITNA-B | COP | 3227.000 | 5/2/19 | COP | (47,114,000,000) | COP 322,700,000 | 113,389 | (112,131) | |||
COP Currency Put | GSCO-OT | COP | 3285.000 | 5/13/19 | COP | (57,500,000,000) | COP 492,750,000 | 118,011 | (90,850) | |||
COP Currency Call | GSCO-OT | COP | 3040.000 | 5/13/19 | COP | (53,200,000,000) | COP 456,000,000 | 144,638 | (25,536) | |||
COP Currency Put | JPM | COP | 3300.000 | 4/15/19 | COP | (48,290,000,000) | COP 330,000,000 | 128,202 | (21,248) | |||
COP Currency Call | JPM | COP | 3020.000 | 4/15/19 | COP | (44,200,000,000) | COP 302,000,000 | 97,006 | (7,956) | |||
COP Currency Put | MSCO | COP | 3280.560 | 6/26/19 | COP | (47,800,000,000) | COP 328,056,000 | 90,083 | (166,344) | |||
COP Currency Call | MSCO | COP | 3053.080 | 6/26/19 | COP | (44,486,000,000) | COP 305,308,000 | 90,084 | (56,052) | |||
EUR Currency Call | BOA | INR | 80.750 | 6/20/19 | EUR | (11,700,000) | EUR 100,000 | 150,012 | (107,267) | |||
EUR Currency Put | CITNA-B | ZAR | 15.750 | 6/27/19 | EUR | (29,100,000) | EUR 200,000 | 253,457 | (370,545) | |||
EUR Currency Call | GSCO-OT | INR | 81.200 | 7/18/19 | EUR | (29,300,000) | EUR 150,000 | 635,130 | (341,747) | |||
EUR Currency Call4 | GSCO-OT | NOK | 11.000 | 1/6/21 | EUR | (2,925,000) | EUR 10,000 | 586,026 | (389,414) | |||
EUR Currency Call5 | GSCO-OT | ZAR | 20.000 | 3/30/20 | EUR | (2,593,460) | EUR 18,245 | 508,741 | (643,138) | |||
EUR Currency Call | GSCO-OT | INR | 85.340 | 9/3/19 | EUR | (14,600,000) | EUR 110,000 | 285,950 | (76,196) | |||
EUR Currency Call | GSCO-OT | KRW | 1303.350 | 9/30/19 | EUR | (21,860,000) | EUR 150,000 | 297,000 | (362,888) | |||
25 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA |
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued | ||||||||||||
Over-the-Counter Options Written (Continued) | ||||||||||||
Notional | ||||||||||||
Number of | Amount | |||||||||||
Description | Counterparty | Exercise Price | Expiration Date | Contracts | (000’s) Premiums Received | Value | ||||||
EUR Currency Put | GSCO-OT | ZAR | 15.750 | 7/10/19 | EUR | (7,120,000) | EUR 75,000 $ | 233,186 $ | (98,224) | |||
EUR Currency Call | JPM | INR | 83.000 | 8/5/19 | EUR | (14,600,000) | EUR 105,000 | 244,777 | (115,940) | |||
EUR Currency Put | JPM | RUB | 73.800 | 8/5/19 | EUR | (14,600,000) | EUR 105,000 | 163,059 | (258,775) | |||
EUR Currency Call | JPM | ZAR | 16.793 | 5/31/19 | EUR | (14,650,000) | EUR 75,000 | 226,983 | (289,745) | |||
EUR Currency Put | JPM | ZAR | 15.035 | 5/31/19 | EUR | (14,650,000) | EUR 75,000 | 174,502 | (30,246) | |||
EUR Currency Call | JPM | CLP | 796.350 | 7/15/19 | EUR | (7,300,000) | EUR 50,000 | 145,405 | (72,665) | |||
EUR Currency Call | JPM | ZAR | 17.438 | 7/10/19 | EUR | (7,120,000) | EUR 75,000 | 391,297 | (132,733) | |||
EUR Currency Call | JPM | ZAR | 19.700 | 1/6/20 | EUR | (7,300,000) | EUR 75,000 | 268,025 | (164,370) | |||
EUR Currency Call | JPM | ZAR | 17.825 | 8/13/19 | EUR | (7,300,000) | EUR 50,000 | 135,958 | (146,424) | |||
EUR Currency Put | JPM | RUB | 71.400 | 6/27/19 | EUR | (26,317,000) | EUR 200,000 | 178,290 | (153,013) | |||
EUR Currency Call | JPM | INR | 80.400 | 6/21/19 | EUR | (13,110,000) | EUR 100,000 | 171,113 | (142,294) | |||
EUR Currency Put | JPM | ZAR | 14.713 | 1/6/20 | EUR | (7,300,000) | EUR 75,000 | 96,532 | (51,586) | |||
EUR Currency Put | JPM | ZAR | 15.300 | 8/13/19 | EUR | (7,300,000) | EUR 50,000 | 135,958 | (61,303) | |||
French Republic Government | ||||||||||||
Bonds Call | MSCO | EUR | 104.030 | 6/25/19 | EUR | (27,800,000) | EUR 70,373,856 | 238,780 | (275,711) | |||
IDR Currency Put | GSCO-OT | IDR | 15000.000 | 7/10/19 | IDR | (390,000,000,000) | IDR 3,005,250,000 | 949,000 | — | |||
INR Currency Put | GSCO-OT | INR | 80.050 | 10/14/19 | INR | (1,131,600,000) | INR 8,005,000 | 282,723 | (27,158) | |||
INR Currency Call | GSCO-OT | INR | 67.000 | 6/21/19 | INR | (489,800,000) | INR 6,700,000 | 21,171 | (13,068) | |||
INR Currency Put | GSCO-OT | INR | 71.650 | 6/21/19 | INR | (523,780,000) | INR 7,165,000 | 44,512 | (61,382) | |||
JPY Currency Put | BOA | JPY | 111.300 | 4/24/19 | JPY | (6,514,669,000) | JPY 22,260,000 | 289,151 | (189,577) | |||
JPY Currency Call | BOA | JPY | 104.150 | 4/24/19 | JPY | (6,096,161,000) | JPY 20,830,000 | 203,108 | (5,609) | |||
JPY Currency Put | BOA | JPY | 113.000 | 8/22/19 | JPY | (4,956,400,000) | JPY 16,950,000 | 235,188 | (214,959) | |||
JPY Currency Call | BOA | JPY | 105.000 | 8/22/19 | JPY | (4,605,500,000) | JPY 15,750,000 | 341,465 | (245,565) | |||
JPY Currency Call | SCB | JPY | 105.000 | 8/22/19 | JPY | (4,605,500,000) | JPY 15,750,000 | 341,903 | (245,565) | |||
JPY Currency Put | SCB | JPY | 113.000 | 8/22/19 | JPY | (4,956,500,000) | JPY 16,950,000 | 249,799 | (214,963) | |||
KRW Currency Call6 | GSCO-OT | KRW | 1115.000 | 7/18/19 | KRW | (16,279,000,000) | KRW 111,500,000 | 94,900 | (57,790) | |||
KRW Currency Put | GSCO-OT | KRW | 1155.000 | 7/18/19 | KRW | (16,863,000,000) | KRW 115,500,000 | 100,740 | (119,896) | |||
MXN Currency Put | BOA | MXN | 22.363 | 1/14/20 | MXN | (654,160,000) | MXN 2,236,250 | 661,254 | (406,384) | |||
MXN Currency Put | CITNA-B | MXN | 19.625 | 4/16/19 | MXN | (571,811,250) | MXN 1,962,500 | 134,976 | (189,830) | |||
MXN Currency Call | CITNA-B | MXN | 19.000 | 4/16/19 | MXN | (553,600,701) | MXN 1,900,000 | 134,977 | (52,670) | |||
MXN Currency Put | CITNA-B | MXN | 22.828 | 8/15/19 | MXN | (171,202,500) | MXN 1,712,108 | 192,431 | (22,770) | |||
MXN Currency Put | GSCO-OT | MXN | 22.562 | 3/4/20 | MXN | (439,800,000) | MXN 4,512,300 | 431,544 | (323,600) | |||
MXN Currency Call | GSCO-OT | MXN | 18.099 | 3/4/20 | MXN | (352,820,000) | MXN 3,619,700 | 173,033 | (105,835) | |||
MXN Currency Put | SCB | MXN | 20.250 | 6/18/19 | MXN | (589,275,000) | MXN 3,037,500 | 172,039 | (305,863) | |||
MXN Currency Call | SCB | MXN | 18.550 | 6/18/19 | MXN | (539,805,000) | MXN 2,782,500 | 109,649 | (85,068) | |||
RUB Currency Call | GSCO-OT | RUB | 60.000 | 2/5/21 | RUB | (438,000,000) | RUB 6,300,000 | 65,510 | (62,222) | |||
RUB Currency Put | GSCO-OT | RUB | 80.000 | 2/5/21 | RUB | (584,000,000) | RUB 8,400,000 | 335,194 | (300,193) | |||
RUB Currency Put | JPM | RUB | 70.000 | 6/7/19 | RUB | (1,979,100,000) | RUB 17,500,000 | 793,217 | (193,952) | |||
RUB Currency Call | JPM | RUB | 60.000 | 2/25/21 | RUB | (1,315,900,000) | RUB 4,500,000 | 238,946 | (190,924) | |||
RUB Currency Put | JPM | RUB | 80.000 | 2/25/21 | RUB | (1,754,500,000) | RUB 6,000,000 | 977,717 | (932,324) | |||
S&P 500 Index Put | BOA | USD | 2335.470 | 2/21/20 | USD | (21,973) | USD 62,281 | 1,274,951 | (982,760) | |||
S&P 500 Index Put | GSCO-OT | USD | 2397.620 | 3/13/20 | USD | (20,733) | USD 58,766 | 1,128,715 | (1,168,197) | |||
S&P 500 Index Put | JPM | USD | 2378.810 | 2/26/20 | USD | (15,621) | USD 44,276 | 873,033 | (793,985) | |||
SGD Currency Call | GSCO-OT | CNY | 5.052 | 5/17/19 | SGD | (21,900,000) | SGD 150,000 | 53,506 | (16,687) | |||
SGD Currency Put | GSCO-OT | CNY | 4.862 | 5/17/19 | SGD | (21,900,000) | SGD 150,000 | 28,374 | (11,019) | |||
TRY Currency Call | GSCO-OT | TRY | 5.250 | 10/16/19 | TRY | (77,000,000) | TRY 536,650 | 181,793 | (191,270) | |||
TRY Currency Put | GSCO-OT | TRY | 6.750 | 1/15/20 | TRY | (98,690,000) | TRY 702,000 | 686,181 | (1,527,999) | |||
TRY Currency Call | GSCO-OT | TRY | 5.367 | 2/27/20 | TRY | (78,325,000) | TRY 536,650 | 148,564 | (270,654) | |||
ZAR Currency Put | GSCO-OT | ZAR | 16.208 | 1/27/20 | ZAR | (118,482,000) | ZAR 1,215,563 | 214,236 | (262,476) | |||
ZAR Currency Call | GSCO-OT | ZAR | 12.283 | 1/27/20 | ZAR | (89,793,000) | ZAR 921,225 | 77,387 | (26,311) | |||
ZAR Currency Put | GSCO-OT | ZAR | 15.000 | 8/23/19 | ZAR | (548,300,000) | ZAR 5,250,000 | 906,925 | (1,252,081) | |||
ZAR Currency Put | GSCO-OT | ZAR | 14.738 | 5/16/19 | ZAR | (429,472,846) | ZAR 1,473,800 | 562,441 | (538,954) | |||
ZAR Currency Put | GSCO-OT | ZAR | 14.646 | 5/27/19 | ZAR | (102,522,000) | ZAR 1,464,600 | 187,628 | (168,341) | |||
Total Over-the-Counter Options Written | $ | 24,580,825 $ | (20,993,082) |
1. Knock-out option becomes ineligible for exercise if at any time spot rates are less than or equal to 3.70 BRL/USD
2. Knock-out option becomes ineligible for exercise if at any time spot rates are less than or equal to 3.60 BRL/USD
3. Knock-out option becomes ineligible for exercise if at any time spot rates are less than or equal to 3.61 BRL/USD
4. Knock-out option becomes ineligible for exercise if at any time spot rates are less than or equal to 9.40 NOK/EUR
5. Knock-out option becomes ineligible for exercise if at any time spot rates are less than or equal to 15.50 ZAR/EUR
6. Knock-out option becomes ineligible for exercise if at any time spot rates are less than or equal to 1,085.00 KRW/USD.
1
Centrally Cleared Credit Default Swaps at March 31, 2019 | |||||||||||||
Unrealized | |||||||||||||
Buy/Sell | Notional Amount | Premiums | Appreciation/ | ||||||||||
Reference Asset | Protection | Fixed Rate | Maturity Date | (000's) | Received/(Paid) | Value | (Depreciation) | ||||||
Brazilian Government International | Buy | 1.000 | % | 6/20/24 | USD | 1,000 $ | (36,276 | ) $ | 35,079 | $ | (1,197 | ) |
Centrally Cleared Credit Default Swaps (Continued) | ||||||||||||||
Unrealized | ||||||||||||||
Buy/Sell | Notional Amount | Premiums | Appreciation/ | |||||||||||
Reference Asset | Protection | Fixed Rate | Maturity Date | (000s) | Received/(Paid) | Value | (Depreciation) | |||||||
Brazilian Government International | Buy | 1.000% | 6/20/24 | USD | 2,000 $ | (75,684) $ | 70,266 $ | (5,418) | ||||||
Brazilian Government International | Buy | 1.000 | 6/20/24 | USD | 1,750 | (66,887) | 61,483 | (5,404) | ||||||
CDX. EM. 31 | Buy | 1.000 | 6/20/24 | USD | 2,250 | (78,550) | 81,683 | 3,133 | ||||||
CDX. EM. 31 | Buy | 1.000 | 6/20/24 | USD | 2,000 | (69,822) | 72,697 | 2,875 | ||||||
CDX. HY. 32 | Buy | 5.000 | 6/20/24 | USD | 44,000 | 2,633,596 | (3,013,181) | (379,585) | ||||||
Federative Republic of Brazil | Sell | 1.000 | 6/20/22 | USD | 2,500 | 154,768 | (14,949) | 139,819 | ||||||
Mexico Government International | Buy | 1.000 | 6/20/24 | USD | 3,750 | (80,097) | 37,393 | (42,704) | ||||||
Mexico Government International | Buy | 1.000 | 6/20/24 | USD | 3,250 | (69,417) | 32,263 | (37,154) | ||||||
Mexico Government International | Buy | 1.000 | 6/20/24 | USD | 1,500 | (21,658) | 14,891 | (6,767) | ||||||
Republic Of South Africa Gover | Buy | 1.000 | 6/20/24 | USD | 1,750 | (78,888) | 81,405 | 2,517 | ||||||
Republic Of South Africa Gover | Buy | 1.000 | 6/20/24 | USD | 2,500 | (112,697) | 116,293 | 3,596 | ||||||
Russian Foreign Bond - Eurobon | Buy | 1.000 | 6/20/24 | USD | 1,500 | (28,307) | 24,602 | (3,705) | ||||||
Total Cleared Credit Default Swaps | $ | 2,070,081 $ | (2,400,075) $ | (329,994) | ||||||||||
Over-the-Counter Credit Default Swaps at March 31, 2019 | ||||||||||||||
Unrealized | ||||||||||||||
Buy/Sell | Notional Amount | Premiums | Appreciation/ | |||||||||||
Reference Asset | Counterparty | Protection | Fixed Rate | Maturity Date | (000's) | Received/(Paid) | Value | (Depreciation) | ||||||
Hellenic Republic | BAC | Sell | 1.000% | 6/20/25 | USD | 1,414 $ | 235,247 $ | (210,336) $ | 24,911 | |||||
Hellenic Republic | BAC | Sell | 1.000 | 6/20/25 | USD | 3,534 | 529,497 | (525,692) | 3,805 | |||||
Hellenic Republic | BAC | Sell | 1.000 | 12/20/25 | USD | 3,400 | 528,719 | (554,534) | (25,815) | |||||
Hellenic Republic | BAC | Sell | 1.000 | 12/20/19 | USD | 2,350 | 35,260 | 165 | 35,425 | |||||
Hellenic Republic | GSCOI | Sell | 1.000 | 6/20/25 | USD | 1,410 | 222,469 | (209,741) | 12,728 | |||||
iTraxx Europe Crossover Series 24 | ||||||||||||||
Version 1 | JPM | Sell | 5.000 | 12/20/20 | EUR | 2,900 | (209,609) | 224,039 | 14,430 | |||||
Oriental Republic of Uruguay | BOA | Sell | 1.000 | 12/20/21 | USD | 2,697 | 48,743 | 38,897 | 87,640 | |||||
State Bank of India | BNP | Sell | 1.000 | 9/20/19 | USD | 1,740 | 71,791 | 7,553 | 79,344 | |||||
Total Over-the-Counter Credit Default Swaps | $ | 1,462,117 $ | (1,229,649) $ | 232,468 | ||||||||||
The table that follows shows the undiscounted maximum potential payment by the Fund related to selling credit protection in credit default swaps: | ||||||||||||||
Total Maximum Potential | ||||||||||||||
Payments for Selling | ||||||||||||||
Type of Reference Asset on | Credit Protection | Reference Asset | ||||||||||||
which the Fund Sold Protection | (Undiscounted) | Amount Recoverable* | Rating Range** | |||||||||||
Investment Grade Single Name Corporate Debt | $ | 1,740,000 | $ | | BBB- | |||||||||
Non-Investment Grade Corporate Debt | 2,900,000 | | C | |||||||||||
Investment Grade Sovereign Debt | 2,697,000 | | BBB | |||||||||||
Non-Investment Grade Sovereign Debt | 14,608,000 | 3,750,000 | BB- to BB | |||||||||||
Total USD | $ | 21,945,000 | $ | 3,750,000 |
*Amounts recoverable includes potential payments from related purchased protection for instances where the Fund is the seller of protection. In addition, the Fund has no recourse provisions
under the credit derivatives and holds no collateral which can offset or reduce potential payments under a triggering event.
** The period end reference asset security ratings, as rated by any rating organization, are included in the equivalent Standard & Poors rating category. The reference asset rating represents
the likelihood of a potential credit event on the reference asset which would result in a related payment by the Fund.
Centrally Cleared Interest Rate Swaps at March 31, 2019 | |||||||||||||
Notional | Unrealized | ||||||||||||
Pay/Receive | Amount | Premiums | Appreciation/ | ||||||||||
Counterparty | Floating Rate | Floating Rate | Fixed Rate | Maturity Date | (000's) | Received / (Paid) | Value | (Depreciation) | |||||
Six-Month EUR | |||||||||||||
BAC | Receive | EURIBOR | 1.123% | 3/8/28 | EUR | 2,475 $ | $ | (186,619) $ | (186,619) | ||||
Six-Month | |||||||||||||
BNP | Receive | HUF-BUBOR-Reuters | 3.280 | 10/26/28 | HUF | 475,700 | | (228,844) | (228,844) | ||||
BNP | Pay | MXN TIIE BANXICO | 8.000 | 8/13/20 | MXN | 311,315 | | (13,686) | (13,686) | ||||
Six-Month | |||||||||||||
BNP | Pay | HUF-BUBOR-Reuters | 1.210 | 10/26/20 | HUF | 2,101,000 | | 109,299 | 109,299 | ||||
BOA | Pay | BZDI | 9.160 | 7/1/22 | BRL | 144,900 | | (35,288) | (35,288) | ||||
Three-Month USD | |||||||||||||
BOA | Receive | BBA LIBOR | 2.304 | 5/30/22 | USD | 84,755 | | (68,484) | (68,484) | ||||
BOA | Pay | BBSW3M | 1.560 | 3/22/22 | AUD | 20,750 | | (299,163) | (299,163) | ||||
Three-Month USD | |||||||||||||
BOA | Receive | BBA LIBOR | 2.410 | 3/26/22 | USD | 14,600 | | (41,065) | (41,065) | ||||
Three-Month USD | |||||||||||||
BOA | Receive | BBA LIBOR | 2.320 | 3/28/22 | USD | 10,000 | | (3,858) | (3,858) | ||||
BOA | Pay | BBSW3M | 1.470 | 3/26/22 | AUD | 13,900 | | (5,133) | (5,133) | ||||
27 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA |
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued | |||||||||||||
Centrally Cleared Interest Rate Swaps (Continued) | |||||||||||||
Notional | Unrealized | ||||||||||||
Pay/Receive | Amount | Premiums | Appreciation/ | ||||||||||
Counterparty | Floating Rate | Floating Rate | Fixed Rate | Maturity Date | (000’s) | Received / (Paid) | Value | (Depreciation) | |||||
Three-Month USD | |||||||||||||
BOA | Receive | BBA LIBOR | 2.320% | 3/28/22 | USD | 25,150 $ | — $ | (9,704) $ | (9,704) | ||||
BOA | Pay | BBSW3M | 1.500 | 3/26/22 | AUD | 34,500 | — | 8,857 | 8,857 | ||||
BOA | Receive | BZDI | 6.550 | 1/2/20 | BRL | 33,530 | — | (3,681) | (3,681) | ||||
Six-Month HUF | |||||||||||||
CITNA-B | Pay | BUBOR | 2.205 | 3/8/28 | HUF | 825,000 | — | 85,575 | 85,575 | ||||
CITNA-B | Receive | JIBA3M | 8.050 | 2/22/29 | ZAR | 29,200 | — | (11,655) | (11,655) | ||||
CITNA-B | Receive | JIBA3M | 7.250 | 7/10/20 | ZAR | 104,000 | — | (13,616) | (13,616) | ||||
DEU | Pay | MXN TIIE BANXICO | 8.525 | 1/15/24 | MXN | 70,450 | — | 104,237 | 104,237 | ||||
Three-Month ZAR | |||||||||||||
DEU | Pay | JIBAR SAFEX | 7.675 | 2/21/22 | ZAR | 26,465 | — | 23,088 | 23,088 | ||||
DEU | Pay | JIBA3M | 8.420 | 8/29/28 | ZAR | 62,800 | — | 144,339 | 144,339 | ||||
DEU | Receive | JIBA3M | 7.500 | 8/15/20 | ZAR | 136,300 | — | (51,713) | (51,713) | ||||
DEU | Receive | JIBA3M | 7.120 | 6/29/19 | ZAR | 202,850 | — | 1,292 | 1,292 | ||||
GSCOI | Pay | COOVIBR | 4.380 | 3/5/20 | COP | 46,300,000 | — | 22,699 | 22,699 | ||||
GSCOI | Pay | SORF6M | 1.980 | 3/4/21 | SGD | 50,200 | — | 53,016 | 53,016 | ||||
GSCOI | Receive | SORF6M | 2.073 | 3/4/24 | SGD | 20,600 | — | (101,133) | (101,133) | ||||
GSCOI | Pay | MXN TIIE BANXICO | 8.055 | 3/2/22 | MXN | 208,200 | — | 48,055 | 48,055 | ||||
GSCOI | Pay | COOVIBR | 4.380 | 2/26/20 | COP | 93,400,000 | — | 33,843 | 33,843 | ||||
GSCOI | Receive | COOVIBR | 4.925 | 3/5/22 | COP | 16,000,000 | — | (32,062) | (32,062) | ||||
GSCOI | Pay | COOVIBR | 4.380 | 1/10/20 | COP | 49,450,000 | — | 22,930 | 22,930 | ||||
GSCOI | Pay | MXN TIIE BANXICO | 8.620 | 12/26/28 | MXN | 37,300 | — | 67,847 | 67,847 | ||||
Six-Month | |||||||||||||
GSCOI | Pay | GBP-LIBOR-BBA | 3.450 | 10/15/25 | GBP | 6,930 | — | 77,977 | 77,977 | ||||
GSCOI | Pay | COOVIBR | 4.610 | 6/7/20 | COP | 20,710,000 | — | 29,632 | 29,632 | ||||
GSCOI | Pay | BZDI | 11.730 | 1/2/25 | BRL | 17,600 | — | 494,237 | 494,237 | ||||
GSCOI | Receive | BZDI | 8.235 | 1/2/20 | BRL | 45,400 | — | (264,036) | (264,036) | ||||
GSCOI | Pay | MXN TIIE BANXICO | 7.760 | 9/25/20 | MXN | 312,000 | — | (52,902) | (52,902) | ||||
GSCOI | Pay | MXN TIIE BANXICO | 8.480 | 10/27/20 | MXN | 155,730 | — | 40,760 | 40,760 | ||||
GSCOI | Pay | MXN TIIE BANXICO | 8.770 | 10/29/20 | MXN | 324,700 | — | 160,171 | 160,171 | ||||
Three-Month USD | |||||||||||||
GSCOI | Receive | BBA LIBOR | 2.281 | 5/30/22 | USD | 94,000 | — | (13,955) | (13,955) | ||||
Three-Month COP IBR | |||||||||||||
GSCOI | Pay | OIS Compound | 6.500 | 11/9/28 | COP | 6,000,000 | — | 86,365 | 86,365 | ||||
HSBC | Receive | MXN TIIE BANXICO | 8.600 | 1/18/29 | MXN | 40,600 | — | (70,535) | (70,535) | ||||
HSBC | Pay | MXN TIIE BANXICO | 8.320 | 1/28/21 | MXN | 151,000 | — | 33,999 | 33,999 | ||||
JPM | Pay | MXN TIIE BANXICO | 8.750 | 10/29/20 | MXN | 649,000 | — | 309,886 | 309,886 | ||||
Three-Month USD | |||||||||||||
JPM | Pay | BBA LIBOR | 2.275 | 9/3/24 | USD | 25,900 | — | 24,458 | 24,458 | ||||
Three-Month ZAR | |||||||||||||
JPM | Pay | JIBAR SAFEX | 7.930 | 11/27/22 | ZAR | 15,000 | — | 21,869 | 21,869 | ||||
JPM | Pay | BUBOR06M | 1.185 | 1/8/22 | HUF | 1,400,000 | — | 63,950 | 63,950 | ||||
JPM | Pay | BZDI | 10.940 | 1/2/23 | BRL | 22,770 | — | 465,453 | 465,453 | ||||
JPM | Pay | BZDI | 9.230 | 7/1/22 | BRL | 153,000 | — | (27,658) | (27,658) | ||||
JPM | Pay | COOVIBR | 4.890 | 10/17/20 | COP | 46,900,000 | — | 149,370 | 149,370 | ||||
JPM | Pay | BZDI | 9.280 | 7/1/22 | BRL | 119,900 | — | (16,303) | (16,303) | ||||
JPM | Pay | MXN TIIE BANXICO | 8.600 | 10/27/20 | MXN | 158,670 | — | 56,585 | 56,585 | ||||
JPM | Receive | BUBOR06M | 2.265 | 1/8/29 | HUF | 450,000 | — | (49,114) | (49,114) | ||||
SIB | Receive | BZDI | 6.560 | 1/2/20 | BRL | 58,700 | — | (7,933) | (7,933) | ||||
SIB | Pay | BZDI | 9.825 | 7/1/20 | BRL | 148,000 | — | 429,195 | 429,195 | ||||
UBS | Receive | BBSW6M | 1.823 | 3/21/24 | AUD | 43,100 | — | (176,121) | (176,121) | ||||
UBS | Pay | BBSW3M | 1.560 | 3/21/21 | AUD | 105,600 | — | 83,156 | 83,156 | ||||
Total of Centrally Cleared Interest Rate Swaps | $ | — $ | 1,467,879 $ | 1,467,879 | |||||||||
Over-the-Counter Interest Rate Swaps at March 31, 2019 | |||||||||||||
Notional | Unrealized | ||||||||||||
Pay/Receive | Amount Premiums | Appreciation/ | |||||||||||
Counterparty | Floating Rate | Floating Rate | Fixed Rate | Maturity Date | (000's) | Received / (Paid) | Value | (Depreciation) | |||||
Six-Month INR | |||||||||||||
FBIL MIBOR OIS | |||||||||||||
BOA | Pay | Compound | 6.330% | 1/31/22 | INR | 210,000 $ | — $ | 47,204 $ | 47,204 | ||||
Six-Month INR | |||||||||||||
FBIL MIBOR OIS | |||||||||||||
BOA | Receive | Compound | 5.790 | 3/6/21 | INR | 1,383,000 | — | (11,936) | (11,936) | ||||
GSCOI | Receive | KWCDC | 1.800 | 3/5/24 | KRW | 16,748,000 | — | (123,538) | (123,538) | ||||
GSCOI | Pay | KWCDC | 1.875 | 3/5/20 | KRW | 82,252,000 | — | 50,041 | 50,041 | ||||
28 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA |
Over-the-Counter Interest Rate Swaps (Continued) | |||||||||||||
Notional | Unrealized | ||||||||||||
Pay/Receive | Amount Premiums Received | Appreciation/ | |||||||||||
Counterparty | Floating Rate | Floating Rate | Fixed Rate | Maturity Date | (000’s) | / (Paid) | Value | (Depreciation) | |||||
Six-Month INR | |||||||||||||
FBIL MIBOR OIS | |||||||||||||
SCB | Receive | Compound | 6.438 | % | 1/10/24 | INR | 250,000 $ | — $ | (99,761) $ | (99,761) | |||
Total of Over-the-Counter Interest Rate Swaps | $ | — $ | (137,990) $ | (137,990) |
Over-the-Counter Credit Default Swaptions Written at March 31, 2019 | |||||||||||||||
Notional | |||||||||||||||
Buy/Sell | Amount | ||||||||||||||
Description | Counterparty | Protection Reference Asset | Fixed Rate Expiration Date | (000 | 's) | Premiums Received | Value | ||||||||
Credit Default Swap maturing | |||||||||||||||
12/20/23 Put | JPM | Sell | CDX. NA. HY. 31 | 5.000 | % | 4/17/19 | USD | 36,500 | $ | 66,174 | $ | (6,972 | ) | ||
Credit Default Swap maturing | |||||||||||||||
12/20/23 Put | JPM | Sell | CDX. NA. HY. 31 | 5.000 | 4/17/19 | USD | 36,500 | 89,425 | (9,965 | ) | |||||
iTraxx Europe | |||||||||||||||
Credit Default Swap maturing | Crossover Series | ||||||||||||||
12/20/23 Put | JPM | Sell | 30 Version 2 | 5.000 | 5/15/19 | EUR | 36,600 | 102,174 | (72,751 | ) | |||||
iTraxx Europe | |||||||||||||||
Credit Default Swap maturing | Crossover Series | ||||||||||||||
12/20/23 Put | JPM | Sell | 30 Version 2 | 5.000 | 5/15/19 | EUR | 36,600 | 163,478 | (117,379 | ) | |||||
iTraxx Europe | |||||||||||||||
Credit Default Swap maturing | Crossover Series | ||||||||||||||
12/20/23 Put | JPM | Sell | 30 Version 2 | 5.000 | 4/17/19 | EUR | 51,240 | 134,461 | (49,776 | ) | |||||
Credit Default Swap maturing | |||||||||||||||
12/20/23 Put | JPM | Sell | CDX. NA. HY. 31 | 5.000 | 5/15/19 | USD | 29,100 | 111,220 | (31,806 | ) | |||||
Credit Default Swap maturing | |||||||||||||||
12/20/23 Put | JPM | Sell | CDX. NA. HY. 31 | 5.000 | 5/15/19 | USD | 29,100 | 122,627 | (37,132 | ) | |||||
Credit Default Swap maturing | |||||||||||||||
12/20/23 Put | JPM | Sell | CDX. NA. HY. 31 | 5.000 | 6/19/19 | USD | 58,275 | 329,254 | (250,116 | ) | |||||
Total Over-the-Counter Credit Default Swaptions Written | $ | 1,118,813 | $ | (575,897 | ) | ||||||||||
1 |
Over-the-Counter Interest Rate Swaptions Written at March 31, 2019 | ||||||||||||||||
Pay/Receive | Expiration | Notional Amount | ||||||||||||||
Description | Counterparty | Floating Rate Floating Rate | Fixed Rate | Date | (000 | 's) | Premiums Received | Value | ||||||||
Interest Rate Swap maturing | Three-Month | |||||||||||||||
5/14/29 Call | BOA | Receive CAD-BA-CDOR | 2.394 | % | 5/14/19 | CAD | 39,600 | $ | 267,578 | $ | (843,892 | ) | ||||
Interest Rate Swap maturing | Three-Month | |||||||||||||||
3/25/25 Call | BOA | ReceiveUSD-LIBOR-BBA | 1.916 | 3/23/20 | USD | 146,200 | 724,713 | (881,307 | ) | |||||||
Interest Rate Swap maturing | Three-Month | |||||||||||||||
9/25/24 Call | BOA | ReceiveUSD-LIBOR-BBA | 2.055 | 9/23/19 | USD | 146,200 | 562,870 | (631,739 | ) | |||||||
Interest Rate Swap maturing | Six-Month PLN- | |||||||||||||||
5/30/24 Put | GSCOI | Pay | WIBOR-WIBO | 2.095 | 5/28/19 | PLN | 14,500 | 16,069 | (4,851 | ) | ||||||
Interest Rate Swap maturing | Six-Month PLN- | |||||||||||||||
5/30/24 Call | GSCOI | Receive | WIBOR-WIBO | 2.095 | 5/28/19 | PLN | 14,500 | 16,069 | (27,919 | ) | ||||||
Interest Rate Swap maturing | Six-Month EUR | |||||||||||||||
8/12/29 Put | JPM | Pay | EURIBOR | 0.868 | 8/8/19 | EUR | 109,700 | 582,818 | (154,575 | ) | ||||||
Interest Rate Swap maturing | Three-Month | |||||||||||||||
9/5/24 Call | JPM | ReceiveUSD-LIBOR-BBA | 2.400 | 9/3/19 | USD | 72,985 | 306,537 | (813,831 | ) | |||||||
Interest Rate Swap maturing | Three-Month | |||||||||||||||
9/6/24 Call | JPM | ReceiveUSD-LIBOR-BBA | 2.400 | 9/4/19 | USD | 73,000 | 306,600 | (815,875 | ) | |||||||
MAX [((CMS10 | ||||||||||||||||
minus CMS2) | ||||||||||||||||
Interest Rate Cap maturing | minus 0.52%), | |||||||||||||||
2/22/21 Put | MSCO | Pay | 0.00%] * 10 | 52.000 | 2/25/21 | USD | 35,000 | 266,000 | (328,300 | ) | ||||||
MAX [(0.02% | ||||||||||||||||
minus (CMS10 | ||||||||||||||||
Interest Rate Floor maturing | minus CMS2)), | |||||||||||||||
2/22/21 Call | MSCO | Pay | 0.00%] * 10 | 0.020 | 2/25/21 | USD | 35,000 | 385,000 | (203,000 | ) | ||||||
Interest Rate Swap maturing | Three-Month | |||||||||||||||
5/3/24 Call | NOM | ReceiveUSD-LIBOR-BBA | 2.346 | 5/1/19 | USD | 80,500 | 128,800 | (436,043 | ) | |||||||
Total Over-the-Counter Interest Rate Swaptions Written | $ | 3,563,054 | $ | (5,141,332 | ) |
Glossary: | ||
Counterparty Abbreviations | ||
BAC | Barclays Bank plc | |
BNP | BNP Paribas | |
BOA | Bank of America NA | |
CITNA-B | Citibank NA | |
DEU | Deutsche Bank AG | |
GSCOI | Goldman Sachs International | |
29 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA |
CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued | |
Counterparty Abbreviations (Continued) | |
GSCO-OT | Goldman Sachs Bank USA |
HSBC | HSBC Bank USA NA |
JPM | JPMorgan Chase Bank NA |
MSCO | Morgan Stanley Capital Services, Inc. |
NOM | Nomura Global Financial Products, Inc. |
RBC | RBC Dominion Securities |
SCB | Standard Chartered Bank |
SIB | Banco Santander SA |
UBS | UBS AG |
Currency abbreviations indicate amounts reporting in currencies | |
ARS | Argentine Peso |
AUD | Australian Dollar |
BRL | Brazilian Real |
CAD | Canadian Dollar |
CLP | Chilean Peso |
COP | Colombian Peso |
EGP | Egyptian Pounds |
EUR | Euro |
GBP | British Pound Sterling |
HUF | Hungarian Forint |
IDR | Indonesian Rupiah |
INR | Indian Rupee |
JPY | Japanese Yen |
KRW | South Korean Won |
MXN | Mexican Nuevo Peso |
MYR | Malaysian Ringgit |
NOK | Norwegian Krone |
PLN | Polish Zloty |
RUB | Russian Ruble |
SEK | Swedish Krona |
SGD | Singapore Dollar |
THB | Thailand Baht |
TRY | New Turkish Lira |
UYU | Uruguay Peso |
ZAR | South African Rand |
Definitions | |
30YR CMT | 30 Year Constant Maturity Treasury |
BA-CDOR | Canada Bankers Acceptances Deposit Offering Rate |
BANXICO | Banco de Mexico |
BBA LIBOR | British Bankers' Association London - Interbank Offered Rate |
BBSW3M | Bank Bill Swap Reference Rate (Australian Financial Market) 3 Month |
BBSW6M | Bank Bill Swap Reference Rate (Australian Financial Market) 6 Month |
BP0003M | ICE LIBOR GBP 3 Month |
BUBOR | Budapest Interbank Offered Rate |
BUBOR06M | Budapest Interbank Offered Rate 6 Month |
BUND | German Federal Obligation |
BZDI | Brazil Interbank Deposit Rate |
CDX. NA. HY. 31 | Market CDX High Yield Index |
CDX. HY. 32 | Market CDX High Yield Index |
CDX. EM. 31 | Markit CDX Emerging Markets Index |
CMS2 | 2 yr ISDA Swap Floating Rate Option |
CMS10 | 10 yr ISDA Swap Floating Rate Option |
COOVIBR | Colombia IBR Overnight Nominal interbank Reference Rate |
EUR003M | EURIBOR 3 Month fACT/360 |
EURIBOR | Euro Interbank Offered Rate |
EUSA5 | EUR Swap Annual 5 Year |
EUSA8 | EUR Swap Annual 8 Year |
EUSA10 | EUR Swap Annual 10 Year |
EUSA11 | EUR Swap Annual 11 Year |
FBIL | Financial Benchmarks India Private Ltd. |
H15T5Y | US Treasury Yield Curve Rate T Note Constant Maturity 5 Year |
H15T10Y | US Treasury Yield Curve Rate T Note Constant Maturity 10 Year |
H15T1Y | US Treasury Yield Curve Rate T Note Constant Maturity 1 Year |
IBR | Indicador Bancario de Referencia |
ICE LIBOR | Intercontinental Exchange London Interbank Offered Rate |
ITraxx Europe Crossover Series 24 Version 1 | Credit Default Swap Trading Index for a Specific Basket of Securities |
ITraxx Europe Crossover Series 30 Version 2 | Credit Default Swap Trading Index for a Specific Basket of Securities |
JIBAR SAFEX | South Africa Johannesburg Interbank Agreed Rate/Futures Exchange |
30 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA |
Definitions (Continued) | ||
JIBA3M | South Africa Johannesburg Interbank Agreed Rate 3 Month | |
KWCDC | South Korean Won Index | |
LIBOR01M | ICE LIBOR USD 1 Month | |
LIBOR4 | London Interbank Offered Rate-Quarterly | |
LIBOR6 | London Interbank Offered Rate-Bi-Monthly | |
LIBOR12 | London Interbank Offered Rate-Monthly | |
MIBOR | Mumbai Interbank Offered Rate | |
OIS | Overnight Index Swap | |
PRIME4 | United States Prime Rate-Quarterly | |
SORF6M | Association of Banks in Singapore Swap Offer Rate Fixing 6 Month | |
S&P | Standard & Poor's | |
TIIE | Interbank Equilibrium Interest Rate | |
US0001M | ICE LIBOR USD 1 Month | |
US0003M | ICE LIBOR USD 3 Month | |
USISDA05 | USD ICE Swap Rate 11:00am NY 5 Year | |
USSW5 | USD Swap Semi 30/360 5 Year | |
WIBOR WIBO | Poland Warsaw Interbank Offer Bid Rate | |
31 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA |
NOTES TO CONSOLIDATED STATEMENT OF INVESTMENTS March 31, 2019 Unaudited
1. Organization
Oppenheimer Global Strategic Income 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 main 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.
Basis for Consolidation. The Fund has established a Cayman Islands exempted company, Oppenheimer Global Strategic Income Fund/VA (Cayman)
Ltd., which is wholly-owned and controlled by the Fund. The Fund and Subsidiary are both managed by the Manager. The Fund may invest up to 25%
of its total assets in the Subsidiary. The Subsidiary invests primarily in Regulation S securities. Regulation S securities are securities of U.S. and non-U.S.
issuers that are issued through private offerings without registration with the Securities and Exchange Commission pursuant to Regulation S under the
Securities Act of 1933. The Fund applies its investment restrictions and compliance policies and procedures, on a look-through basis, to the Subsidiary.
At period end, the Fund owned 88,909 shares with net assets of $7,285,180 in the Subsidiary.
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.
Loans are valued at the mean between the bid and asked prices utilizing evaluated prices obtained from third party pricing services or broker-dealers.
Standard inputs generally considered by third-party pricing vendors include information obtained from market participants regarding broker-dealer price
quotations.
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
32 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
3. Securities Valuation (Continued)
rates, or the occurrence of other specific events.
Forward foreign currency exchange contracts are valued utilizing current and forward currency rates obtained from third party pricing services. When
the settlement date of a contract is an interim date for which a quotation is not available, interpolated values are derived using the nearest dated
forward currency rate.
Futures contracts and futures options traded on a commodities or futures exchange will be valued at the final settlement price or official closing price
on the principal exchange as reported by such principal exchange at its trading session ending at, or most recently prior to, the time when the Fund's
assets are valued.
Securities for which market quotations are not readily available, or when a significant event has occurred that would materially affect the value of
the security, are fair valued either (i) by a standardized fair valuation methodology applicable to the security type or the significant event as previously
approved by the Valuation Committee and the Funds Board or (ii) as determined in good faith by the Managers Valuation Committee. The Valuation
Committee considers all relevant facts that are reasonably available, through either public information or information available to the Manager, when
determining the fair value of a security. Those standardized fair valuation methodologies include, but are not limited to, valuing securities at the last sale
price or initially at cost and subsequently adjusting the value based on: changes in company specific fundamentals, changes in an appropriate securities
index, or changes in the value of similar securities which may be further adjusted for any discounts related to security-specific resale restrictions. When
possible, such methodologies use observable market inputs such as unadjusted quoted prices of similar securities, observable interest rates, currency
rates and yield curves. The methodologies used for valuing securities are not necessarily an indication of the risks associated with investing in those
securities nor can it be assured that the Fund can obtain the fair value assigned to a security if it were to sell the security.
To assess the continuing appropriateness of security valuations, the Manager regularly compares prior day prices and sale prices to the current day
prices and challenges those prices exceeding certain tolerance levels with the third party pricing service or broker source. For those securities valued
by fair valuations, whether through a standardized fair valuation methodology or a fair valuation determination, the Valuation Committee reviews and
affirms the reasonableness of the valuations based on such methodologies and fair valuation determinations on a regular basis after considering all
relevant information that is reasonably available.
Classifications
Each investment asset or liability of the Fund is assigned a level at measurement date based on the significance and source of the inputs to its valuation.
Various data inputs may be used in determining the value of each of the Funds investments as of the reporting period end. These data inputs are
categorized in the following hierarchy under applicable financial accounting standards:
1) Level 1-unadjusted quoted prices in active markets for identical assets or liabilities (including securities actively traded on a securities exchange)
2) Level 2-inputs other than unadjusted quoted prices that are observable for the asset or liability (such as unadjusted quoted prices for similar assets
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: | ||||||||
Asset-Backed Securities | $ | | $ | 34,466,530 | $ | | $ | 34,466,530 |
Mortgage-Backed Obligations | | 288,460,755 | | 288,460,755 | ||||
U. S. Government Obligations | | 98,784,383 | | 98,784,383 | ||||
Foreign Government Obligations | | 338,321,182 | | 338,321,182 | ||||
Corporate Loans | | 7,395,461 | | 7,395,461 | ||||
Corporate Bonds and Notes | | 603,081,318 | 28,429 | 603,109,747 | ||||
Preferred Stocks | 11,735,841 | 104,131 | | 11,839,972 | ||||
Common Stocks | 2,023,084 | 158,625 | 24,273 | 2,205,982 | ||||
Rights, Warrants and Certificates | | | 27,997 | 27,997 | ||||
Structured Securities | | 7,337,981 | 76,239 | 7,414,220 | ||||
Short-Term Notes | | 10,474,607 | | 10,474,607 | ||||
Investment Companies | 59,077,576 | 104,872,552 | | 163,950,128 | ||||
Over-the-Counter Options Purchased | | 14,833,655 | | 14,833,655 | ||||
Over-the-Counter Credit Default Swaptions Purchased | | 365,915 | | 365,915 | ||||
Over-the-Counter Interest Rate Swaptions Purchased | | 2,244,304 | | 2,244,304 | ||||
Total Investments, at Value | 72,836,501 | 1,510,901,399 | 156,938 | 1,583,894,838 | ||||
33 | OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA |
NOTES TO CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued | |||||||||||
3. Securities Valuation (Continued) | |||||||||||
Level 3 | |||||||||||
Level 1 | Level 2 | Significant | |||||||||
Unadjusted | Other Significant | Unobservable | |||||||||
Quoted Prices | Observable Inputs | Inputs | Value | ||||||||
Other Financial Instruments: | |||||||||||
Swaps, at value | $ | | $ | 367,899 | $ | | $ | 367,899 | |||
Centrally cleared swaps, at value | | 3,880,195 | | 3,880,195 | |||||||
Futures contracts | 938,055 | | | 938,055 | |||||||
Forward currency exchange contracts | | 9,891,578 | | 9,891,578 | |||||||
Unfunded loan commitments | | 954 | | 954 | |||||||
Total Assets | $ | 73,774,556 | $ | 1,525,042,025 | $ | 156,938 | $ | 1,598,973,519 | |||
Liabilities Table | |||||||||||
Other Financial Instruments: | |||||||||||
Swaps, at value | $ | | $ | (1,735,538) $ | | $ | (1,735,538) | ||||
Centrally cleared swaps, at value | | (4,812,391) | | (4,812,391) | |||||||
Options written, at value | | (20,993,082) | | (20,993,082) | |||||||
Futures contracts | (1,641,881) | | | (1,641,881) | |||||||
Forward currency exchange contracts | | (9,787,139) | | (9,787,139) | |||||||
Swaptions written, at value | | (5,717,229) | | (5,717,229) | |||||||
Total Liabilities | $ | (1,641,881) $ | (43,045,379) $ | | $ | (44,687,260) |
Forward currency exchange contracts and futures contracts, if any, are reported at their unrealized appreciation/depreciation at measurement date, which
represents the change in the contracts value from trade date. All additional assets and liabilities included in the above table are reported at their market
value at measurement date.
For the reporting period, there were no transfers between levels.
4. Investments and Risks
Risks of Foreign Investing. The Fund may invest in foreign securities which are subject to special risks. Securities traded in foreign markets may
be less liquid and more volatile than those traded in U.S. markets. Foreign issuers are usually not subject to the same accounting and disclosure
requirements that U.S. companies are subject to, which may make it difficult for the Fund to evaluate a foreign companys operations or financial
condition. A change in the value of a foreign currency against the U.S. dollar will result in a change in the U.S. dollar value of investments denominated
in that foreign currency and in the value of any income or distributions the Fund may receive on those investments. The value of foreign investments
may be affected by exchange control regulations, foreign taxes, higher transaction and other costs, delays in the settlement of transactions, changes
in economic or monetary policy in the United States or abroad, expropriation or nationalization of a companys assets, or other political and economic
factors. In addition, due to the inter-relationship of global economies and financial markets, changes in political and economic factors in one country or
region could adversely affect conditions in another country or region. Investments in foreign securities may also expose the Fund to time-zone arbitrage
risk. Foreign securities may trade on weekends or other days when the Fund does not price its shares. At times, the Fund may emphasize investments in
a particular country or region and may be subject to greater risks from adverse events that occur in that country or region. Foreign securities and foreign
currencies held in foreign banks and securities depositories may be subject to limited or no regulatory oversight.
Investments in Affiliated Funds. The Fund is permitted to invest in other mutual funds advised by the Manager 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
applicable, the Fund's investments in Affiliated Funds are included in the Consolidated 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. At period end, the Fund had no holdings
in IGMMF.
Investment in Oppenheimer Master Funds. The Fund is permitted to invest in entities sponsored and/or advised by the Manager or an affiliate.
Certain of these entities in which the Fund invests are mutual funds registered under the 1940 Act, as amended, that expect to be treated as
34 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
4. Investments and Risks (Continued)
partnerships for tax purposes, specifically Oppenheimer Master Loan Fund, LLC ("Master Loan") and Oppenheimer Master Event-Linked Bond Fund, LLC
("Master Event-Linked Bond") (the Master Funds). Each Master Fund 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 Master Fund than in another, the
Fund will have greater exposure to the risks of that Master Fund.
The investment objective of Master Loan is to seek income. The investment objective of Master Event-Linked Bond is to seek total return. The
Funds investments in the Master Funds are included in the Consolidated Statement of Investments. The Fund recognizes income and gain/(loss) on its
investments in each Master Fund according to its allocated pro-rata share, based on its relative proportion of total outstanding Master Fund shares
held, of the total net income earned and the net gain/(loss) realized on investments sold by the Master Funds. As a shareholder, the Fund is subject to its
proportional share of the Master 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 Master Funds. The Fund owns 7.8% of Master Loan and
8.2% of Master Event-Linked Bond at period end.
Investment in OFI Carlyle Private Credit Fund. The Fund is permitted to invest in OFI Carlyle Private Credit Fund (Carlyle Fund), a closed-end
management investment company that is operated as an interval fund. OC Private Capital, LLC, a joint venture between the Manager and Carlyle
Investment Management LLC, is the investment adviser of Carlyle Fund. Carlyle Fund has its own investment risks, and those risks can affect the value
of the Funds investments and therefore the value of the Funds shares. The investment objective of Carlyle Fund is to produce current income. The
Fund is subject to its proportional share of Carlyle Funds expenses, including management fees and incentive fees. The Manager will waive fees and/
or reimburse Fund expenses in the amount of indirect management fees paid by the Fund to Carlyle Fund, net of management fee waivers and/or
reimbursements received from Carlyle Fund.
Carlyle Fund reports its net asset value per share (NAV) monthly and offers its shares monthly, at the then-current NAV. Carlyle Fund conducts
quarterly repurchase offers for a limited amount of its shares; the Fund does not have the right to redeem its shares of Carlyle Fund daily or at will. The
Funds investment in Carlyle Fund may expose the Fund to liquidity risk, meaning that the Fund could be adversely affected by its inability to dispose of
its investment in Carlyle Fund at a fair price or advantageous time, and/or may be less able to take advantage of other market opportunities due to its
position in Carlyle Fund.
Structured Securities. The Fund invests in structured securities whose market values, interest rates and/or redemption prices are linked to the
performance of underlying foreign currencies, interest rate spreads, stock market indices, prices of individual securities, commodities or other financial
instruments or the occurrence of other specific events. The structured securities are often leveraged, increasing the volatility of each notes market value
relative to the change in the underlying linked financial element or event. Fluctuations in value of these securities are recorded as unrealized gains and
losses in the accompanying Consolidated Statement of Operations in the annual and semiannual reports. The Fund records a realized gain or loss when
structured security is sold or matures.
Loans. The Fund invests in loans made to U.S. and foreign borrowers that are corporations, partnerships or other business entities. The Fund will do
so directly as an original lender or by assignment or indirectly through participation agreements or certain derivative instruments. While many of these
loans will be collateralized, the Fund can also invest in uncollateralized loans. Loans are often issued in connection with recapitalizations, acquisitions,
leveraged buyouts, and refinancing of borrowers. The loans often pay interest at rates that float above (or are adjusted periodically based on) a
benchmark that reflects current interest rates although the Fund can also invest in loans with fixed interest rates.
When investing in loans, the Fund generally will have a contractual relationship only with the lender, not with the relevant borrower. As a result,
the Fund generally will have the right to receive payments of principal, interest, and any fees to which it is entitled only from the lender selling the
participation and only upon receipt by the lender of the payments from the relevant borrower. The Fund may not directly benefit from the collateral
supporting the debt obligation in which it has purchased the participation. As a result, the Fund will assume the credit risk of both the borrower and the
institution selling the participation to the Fund.
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:
35 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
NOTES TO CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
4. Investments and Risks (Continued) | |||
When-Issued or | |||
Delayed Delivery | |||
Basis Transactions | |||
Purchased securities | $ | 190,507,126 | |
Sold securities | 18,342,127 |
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 counterparty pledged $630,516 of collateral to the Fund for forward roll transactions.
At period end, the Fund pledged $36,000 of collateral to the counterparty for forward roll transactions.
Restricted Securities. At period end, investments in securities included issues that are restricted. A restricted security may have a contractual
restriction on its resale and is valued under methods approved by the Board of Trustees as reflecting fair value. Securities that are restricted are marked
with an applicable footnote on the Consolidated Statement of Investments. Restricted securities are reported on a schedule following the Consolidated
Statement of Investments.
Equity Security Risk. Stocks and other equity securities fluctuate in price. The value of the Funds portfolio may be affected by changes in the equity
markets generally. Equity markets may experience significant short-term volatility and may fall sharply at times. Different markets may behave differently
from each other and U.S. equity markets may move in the opposite direction from one or more foreign stock markets. Adverse events in any part of the
equity or fixed-income markets may have unexpected negative effects on other market segments.
The prices of individual equity securities generally do not all move in the same direction at the same time and a variety of factors can affect the price
of a particular companys securities. These factors may include, but are not limited to, poor earnings reports, a loss of customers, litigation against the
company, general unfavorable performance of the companys sector or industry, or changes in government regulations affecting the company or its
industry.
Credit Risk. The Fund invests in high-yield, non-investment-grade bonds, which may be subject to a greater degree of credit risk. Credit risk relates to
the ability of the issuer to meet interest or principal payments or both as they become due. The Fund may acquire securities that have missed an interest
payment, and is not obligated to dispose of securities whose issuers or underlying obligors subsequently miss an interest and/or principal payment.
Information concerning securities not accruing interest at period end is as follows: | |||
Cost | $ | 2,972,070 | |
Market Value | $ | 880,464 | |
Market Value as % of Net Assets | 0.06% |
Sovereign Debt Risk. The Fund invests in sovereign debt securities, which are subject to certain special risks. These risks include, but are not limited
to, the risk that a governmental entity may delay or refuse, or otherwise be unable, to pay interest or repay the principal on its sovereign debt. There
may also be no legal process for collecting sovereign debt that a government does not pay or bankruptcy proceedings through which all or part of such
sovereign debt may be collected. In addition, a restructuring or default of sovereign debt may also cause additional impacts to the financial markets,
such as downgrades to credit ratings, reduced liquidity and increased volatility, among others.
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
36 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
5. Market Risk Factors (Continued)
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.
Forward Currency Exchange Contracts
The Fund may enter into forward currency exchange contracts (forward contracts) for the purchase or sale of a foreign currency at a negotiated rate at
a future date. Such contracts are traded in the OTC inter-bank currency dealer market.
Forward contracts are reported on a schedule following the Consolidated Statement of Investments. The unrealized appreciation (depreciation)
is reported in the Consolidated Statement of Assets and Liabilities in the annual and semiannual reports as a receivable (or payable) and in the
Consolidated Statement of Operations in the annual and semiannual reports within the change in unrealized appreciation (depreciation). At contract
close, the difference between the original cost of the contract and the value at the close date is recorded as a realized gain (loss) in the Consolidated
Statement of Operations in the annual and semiannual reports.
The Fund may enter into forward foreign currency exchange contracts in order to decrease exposure to foreign exchange rate risk associated with
either specific transactions or portfolio instruments or to increase exposure to foreign exchange rate risk.
During the reporting period, the Fund had daily average contract amounts on forward contracts to buy and sell of $381,480,783 and $621,543,623,
respectively.
Additional associated risk to the Fund includes counterparty credit risk. Counterparty credit risk arises from the possibility that the counterparty to a
forward contract will default and fail to perform its obligations to the Fund.
Futures Contracts
A futures contract is a commitment to buy or sell a specific amount of a commodity, financial instrument or currency at a negotiated price on a stipulated
future date. The Fund may buy and sell futures contracts and may also buy or write put or call options on these futures contracts. Futures contracts and
options thereon are generally entered into on a regulated futures exchange and cleared through a clearinghouse associated with the exchange.
Upon entering into a futures contract, the Fund is required to deposit either cash or securities (initial margin) in an amount equal to a certain
percentage of the contract value in an account registered in the futures commission merchants name. Subsequent payments (variation margin) are paid
to or from the futures commission merchant each day equal to the daily changes in the contract value. Such payments are recorded as unrealized gains
and losses. Should the Fund fail to make requested variation margin payments, the futures commission merchant can gain access to the initial margin to
satisfy the Funds payment obligations.
Futures contracts are reported on a schedule following the Consolidated Statement of Investments. Securities held by a futures commission merchant
37 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
NOTES TO CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
6. Use of Derivatives (Continued)
to cover initial margin requirements on open futures contracts are noted in the Consolidated 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 Consolidated Statement of Assets and Liabilities in the annual and semiannual reports. The net change in
unrealized appreciation and depreciation is reported in the Consolidated Statement of Operations in the annual and semiannual reports. Realized gains
(losses) are reported in the Consolidated 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 $64,935,797 and $208,850,889 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.
Option Activity
The Fund may buy and sell put and call options, or write put and call options. When an option is written, the Fund receives a premium and becomes
obligated to sell or purchase the underlying security, currency or other underlying financial instrument at a fixed price, upon exercise of the option.
Options can be traded through an exchange or through a privately negotiated arrangement with a dealer in an OTC transaction. Options traded
through an exchange are generally cleared through a clearinghouse (such as The Options Clearing Corporation). The difference between the premium
received or paid, and market value of the option, is recorded as unrealized appreciation or depreciation. The net change in unrealized appreciation or
depreciation is reported in the Consolidated Statement of Operations in the annual and semiannual reports. When an option is exercised, the cost of the
security purchased or the proceeds of the security sale are adjusted by the amount of premium received or paid. Upon the expiration or closing of the
option transaction, a gain or loss is reported in the Consolidated Statement of Operations in the annual and semiannual reports.
Foreign Currency Options. The Fund may purchase or write call and put options on currencies to increase or decrease exposure to foreign exchange
rate risk. A purchased call, or written put option becomes more valuable as the price of the underlying financial instrument appreciates relative to the
strike price. A purchased put, or written call option becomes more valuable as the price of the underlying financial instrument depreciates relative to the
strike price.
Interest Rate Options. The Fund may purchase or write call and put options on treasury and/or euro futures to increase or decrease exposure to
interest rate risk. A purchased call or written put option becomes more valuable as the price of the underlying financial instrument appreciates relative
the strike price. A purchased put or written call option becomes more valuable as the price of the underlying financial instrument depreciates relative to
the strike price.
Index/Security Options. The Fund may purchase or write call and put options on individual equity securities and/or equity indexes to increase or
decrease exposure to equity risk. A purchased call or written put option becomes more valuable as the price of the underlying financial instrument
appreciates relative to the strike price. A purchased put or written call option becomes more valuable as the price of the underlying financial instrument
depreciates relative to the strike price.
During the reporting period, the Fund had an ending monthly average market value of $6,650,382 and $4,450,077 on purchased call options and
purchased put options, respectively.
Options written, if any, are reported in a schedule following the Consolidated Statement of Investments and as a liability in the Consolidated
Statement of Assets and Liabilities in the annual and semiannual reports. Securities held in collateral accounts to cover potential obligations with respect
to outstanding written options are noted in the Consolidated Statement of Investments.
The risk in writing a call option is the market price of the underlying security increasing above the strike price and the option being exercised. The Fund
must then purchase the underlying security at the higher market price and deliver it for the strike price or, if it owns the underlying security, deliver it at
the strike price and forego any benefit from the increase in the price of the underlying security above the strike price. The risk in writing a put option is
the market price of the underlying security decreasing below the strike price and the option being exercised. The Fund must then purchase the underlying
security at the strike price when the market price of the underlying security is below the strike price. Alternatively, the Fund could also close out a written
option position, in which case the risk is that the closing transaction will require a premium to be paid by the Fund that is greater than the premium
the Fund received. When writing options, the Fund has the additional risk that there may be an illiquid market where the Fund is unable to close the
contract. The risk in buying an option is that the Fund pays a premium for the option, and the option may be worth less than the premium paid or expire
worthless.
During the reporting period, the Fund had an ending monthly average market value of $3,981,482 and $9,619,620 on written call options and
written put options, respectively.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
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,
38 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
6. Use of Derivatives (Continued)
equity, debt, index, total return, credit default, currency, and volatility swaps.
Swap contracts are reported on a schedule following the Consolidated 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 Consolidated Statement of Assets and Liabilities in the
annual and semiannual reports. The unrealized appreciation (depreciation) related to the change in the valuation of the notional amount of the swap
is combined with the accrued interest due to (owed by) the Fund, if any, at termination or settlement. The net change in this amount during the period
is included on the Consolidated 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 Consolidated Statement of Operations in the
annual and semiannual reports.
Swap contract agreements are exposed to the market risk factor of the specific underlying reference rate or asset. Swap contracts are typically more
attractively priced compared to similar investments in related cash securities because they isolate the risk to one market risk factor and eliminate the
other market risk factors. Investments in cash securities (for instance bonds) have exposure to multiple risk factors (credit and interest rate risk). Because
swaps have embedded leverage, they can expose the Fund to substantial risk in the isolated market risk factor.
Credit Default Swap Contracts. A credit default swap is a contract that enables an investor to buy or sell protection against a defined-issuer credit
event, such as the issuers failure to make timely payments of interest or principal on a debt security, bankruptcy or restructuring. The Fund may enter
into credit default swaps either by buying or selling protection on a corporate issuer, sovereign issuer, or a basket or index of issuers (the reference
asset).
The buyer of protection pays a periodic fee to the seller of protection based on the notional amount of the swap contract. The seller of protection
agrees to compensate the buyer of protection for future potential losses as a result of a credit event on the reference asset. The contract effectively
transfers the credit event risk of the reference asset from the buyer of protection to the seller of protection.
The ongoing value of the contract will fluctuate throughout the term of the contract based primarily on the credit risk of the reference asset. If
the credit quality of the reference asset improves relative to the credit quality at contract initiation, the buyer of protection may have an unrealized
loss greater than the anticipated periodic fee owed. This unrealized loss would be the result of current credit protection being cheaper than the cost
of credit protection at contract initiation. If the buyer elects to terminate the contract prior to its maturity, and there has been no credit event, this
unrealized loss will become realized. If the contract is held to maturity, and there has been no credit event, the realized loss will be equal to the
periodic fee paid over the life of the contract.
If there is a credit event, the buyer of protection can exercise its rights under the contract and receive a payment from the seller of protection equal
to the notional amount of the swap less the market value of specified debt securities issued by the reference asset. Upon exercise of the contract
the difference between such value and the notional amount is recorded as realized gain (loss) and is included on the Consolidated Statement of
Operations in the annual and semiannual reports.
The Fund may purchase or sell credit protection through credit default swaps to increase or decrease exposure to the credit risk of individual issuers
and/or indexes of issuers that are either unavailable or considered to be less attractive in the bond market.
For the reporting period, the Fund had ending monthly average notional amounts of $39,455,000 and $24,122,755 on credit default swaps to buy
protection and credit default swaps to sell protection, respectively.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
Interest Rate Swap Contracts. An interest rate swap is an agreement between counterparties to exchange periodic payments based on interest
rates. One cash flow stream will typically be a floating rate payment based upon a specified floating interest rate while the other is typically a fixed
interest rate.
The Fund may enter into interest rate swaps in which it pays the fixed or floating interest rate in order to increase or decrease exposure to interest
rate risk. Typically, if relative interest rates rise, floating payments under a swap agreement will be greater than the fixed payments.
For the reporting period, the Fund had ending monthly average notional amounts of $229,318,411 and $686,560,748 on interest rate swaps
which pay a fixed rate and interest rate swaps which receive a fixed rate, respectively.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
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 $26,034,384 on total return swaps which are long the
reference asset.
Additional associated risks to the Fund include counterparty credit risk and liquidity risk.
At period end, the Fund had no total return swap agreements outstanding.
39 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
NOTES TO CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
6. Use of Derivatives (Continued)
Swaption Transactions
The Fund may enter into a swaption contract which grants the purchaser the right, but not the obligation, to enter into a swap transaction at preset
terms detailed in the underlying agreement within a specified period of time. The purchaser pays a premium to the swaption writer who bears the risk of
unfavorable changes in the preset terms on the underlying swap.
Purchased swaptions are reported as a component of investments in the Consolidated Statement of Investments and the Consolidated Statement
of Assets and Liabilities in the annual and semiannual reports. Written swaptions are reported on a schedule following the Consolidated Statement of
Investments and their value is reported as a separate asset or liability line item in the Consolidated Statement of Assets and Liabilities in the annual and
semiannual reports. The net change in unrealized appreciation or depreciation on written swaptions is separately reported in the Consolidated Statement
of Operations in the annual and semiannual reports. When a swaption is exercised, the cost of the swap is adjusted by the amount of premium paid or
received. Upon the expiration or closing of an unexercised swaption contract, a gain or loss is reported in the Consolidated Statement of Operations in
the annual and semiannual reports for the amount of the premium paid or received.
The Fund generally will incur a greater risk when it writes a swaption than when it purchases a swaption. When the Fund writes a swaption it will
become obligated, upon exercise of the swaption, according to the terms of the underlying agreement. Swaption contracts written by the Fund do not
give rise to counterparty credit risk prior to exercise as they obligate the Fund, not its counterparty, to perform. When the Fund purchases a swaption it
only risks losing the amount of the premium it paid if the swaption expires unexercised. However, when the Fund exercises a purchased swaption there
a risk that the counterparty will fail to perform or otherwise default on its obligations under the swaption contract.
The Fund may purchase swaptions which give it the option to enter into an interest rate swap in which it pays a floating or fixed interest rate and
receives a fixed or floating interest rate in order to increase or decrease exposure to interest rate risk. Purchasing the fixed portion of this swaption
becomes more valuable as the reference interest rate decreases relative to the preset interest rate. Purchasing the floating portion of this swaption
becomes more valuable as the reference interest rate increases relative to the preset interest rate.
The Fund may purchase swaptions which give it the option to buy or sell credit protection through credit default swaps in order to decrease or
increase exposure to the credit risk of individual issuers and/ or indexes of issuers. A swaption selling protection becomes more valuable as the likelihood
of a credit event on the reference asset decreases. A swaption buying protection becomes more valuable as the likelihood of a credit event on the
reference asset increases.
The Fund may write swaptions which give it the obligation, if exercised by the purchaser, to enter into an interest rate swap in which it pays a fixed
or floating interest rate and receives a floating or fixed interest rate in order to increase or decrease exposure to interest rate risk. A written swaption
paying a fixed rate becomes more valuable as the reference interest rate increases relative to the preset interest rate. A written swaption paying a
floating rate becomes more valuable as the reference interest rate decreases relative to the preset interest rate.
The Fund may write swaptions which give it the obligation, if exercised by the purchaser, to sell or buy credit protection through credit default swaps
in order to increase or decrease exposure to the credit risk of individual issuers and/or indexes of issuers. A written swaption selling protection becomes
more valuable as the likelihood of a credit event on the reference asset decreases. A written swaption buying protection becomes more valuable as the
likelihood of a credit event on the reference asset increases.
The Fund may enter into currency swaption contracts with the obligation to pay an interest rate on the US dollar notional amount or various foreign
currency notional amounts and receive an interest rate on various foreign currency notional amounts or US dollar notional amounts, with an option
to replace the contractual currency as disclosed in the Consolidated Statement of Investments. This is done in order to take a positive investment
perspective on the related currencies for which the Fund receives a payment. The US dollar swaption contracts seek to increase exposure to foreign
exchange rate risk. The foreign currency swaption contracts seek to decrease exposure to foreign exchange rate risk.
During the reporting period, the Fund had an ending monthly average market value of $5,231,845 and $9,842,097 on purchased and written
swaptions, respectively.
Counterparty Credit Risk. Derivative positions are subject to the risk that the counterparty will not fulfill its obligation to the Fund. The Fund intends
to enter into derivative transactions with counterparties that the Manager believes to be creditworthy at the time of the transaction.
The Funds risk of loss from counterparty credit risk on OTC derivatives is generally limited to the aggregate unrealized gain netted against any
collateral held by the Fund. For OTC options purchased, the Fund bears the risk of loss of the amount of the premiums paid plus the positive change
in market values net of any collateral held by the Fund should the counterparty fail to perform under the contracts. Options written by the Fund do not
typically give rise to counterparty credit risk, as options written generally obligate the Fund and not the counterparty to perform.
To reduce counterparty risk with respect to OTC transactions, the Fund has entered into master netting arrangements, established within the Fund's
International Swap and Derivatives Association, Inc. (ISDA) master agreements, which allow the Fund to make (or to have an entitlement to receive)
a single net payment in the event of default (close-out netting) for outstanding payables and receivables with respect to certain OTC positions in
swaps, options, swaptions, and forward currency exchange contracts for each individual counterparty. In addition, the Fund may require that certain
counterparties post cash and/or securities in collateral accounts to cover their net payment obligations for those derivative contracts subject to ISDA
master agreements. If the counterparty fails to perform under these contracts and agreements, the cash and/or securities will be made available to the
Fund.
At period end, the Fund has required certain counterparties to post collateral of $1,375,574.
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.
40 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
6. Use of Derivatives (Continued)
For financial reporting purposes, the Fund does not offset derivative assets and derivative liabilities that are subject to netting arrangements in the
Consolidated Statement of Assets and Liabilities in the annual and semiannual reports. Bankruptcy or insolvency laws of a particular jurisdiction may
impose restrictions on or prohibitions against the right of offset in bankruptcy, insolvency or other events.
The 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
Consolidated Statement of Assets and Liabilities in the annual and semiannual reports as cash pledged as collateral. Non-cash collateral pledged by the
Fund, if any, is noted in the Consolidated Statement of Investments. Generally, the amount of collateral due from or to a party must exceed a minimum
transfer amount threshold (e.g., $250,000) before a transfer has to be made. To the extent amounts due to the Fund from its counterparties are not fully
collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance.
7. Borrowing and Other Financing
Loan Commitments. The following commitments are subject to funding based on the borrowers discretion. The Fund is obligated to fund these
commitments at the time of the request by the borrower. These commitments have been excluded from the Statement of Investments. The unrealized
appreciation/depreciation on these commitments is recorded as an asset/liability on the Statement of Assets and Liabilities in the annual and semiannual
reports.
Commitment | |||||||
Termination | Unfunded | Unrealized | |||||
Interest Rate | Date | Amount | Appreciation | ||||
Claire's Stores, Inc. , Sr. Sec. | |||||||
Credit Facilities Term Loan | 0.75% | 10/12/22 | $ | 11,141 | $ | 954 |
8. Pending Acquisition
On October 18, 2018, Massachusetts Mutual Life Insurance Company, an indirect corporate parent of the Sub-Adviser and the Manager, announced
that it has entered into an agreement whereby Invesco Ltd. (Invesco), a global investment management company, will acquire the Sub-Adviser
(the Transaction). In connection with the Transaction, on January 11, 2019, the Funds Board unanimously approved an Agreement and Plan of
Reorganization (the Agreement), which provides for the transfer of the assets and liabilities of the Fund to a corresponding, newly formed fund (the
Acquiring Fund) in the Invesco family of funds (the Reorganization) in exchange for shares of the corresponding Acquiring Fund of equal value to
the value of the shares of the Fund as of the close of business on the closing date. Although the Acquiring Fund will be managed by Invesco Advisers,
Inc., the Acquiring Fund will, as of the closing date, have the same investment objective and substantially similar principal investment strategies and risks
as the Fund. After the Reorganization, Invesco Advisers, Inc. will be the investment adviser to the Acquiring Fund, and the Fund will be liquidated and
dissolved under applicable law and terminate its registration under the Investment Company Act of 1940, as amended. The Reorganization is expected
to be a tax-free reorganization for U.S. federal income tax purposes.
As of 5 p.m. Eastern Standard Time on April 12, 2019, the Reorganization has been approved by shareholders of record of the Fund as of January 14,
2019. Accordingly, if certain other closing conditions are satisfied or waived, the Reorganization is currently expected to close on or about May 24, 2019,
41 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA
NOTES TO CONSOLIDATED STATEMENT OF INVESTMENTS Unaudited / Continued
8. Pending Acquisition (Continued)
or as soon as practicable thereafter. This is subject to change.
42 OPPENHEIMER GLOBAL STRATEGIC INCOME FUND/VA